Many Bugs Fixed
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Luis Fernando Molina committed
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42cbff258e
commit
b701c561a7
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-80
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@@ -367,8 +367,8 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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actualRateSimulation()
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percentageFilledSimulation()
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sizeFilledSimulation()
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feesPaidSimulation()
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sizeFilledSimulation()
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doTheAccounting(
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tradingEngineStage,
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@@ -430,67 +430,6 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
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}
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function feesPaidSimulation() {
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/* Fees Paid Simulation */
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let calculatedBasedOnTradingSystem = false
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/* Based on the Trading System Definition */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage !== undefined) {
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if (tradingEngineOrder.orderBaseAsset.feesPaid.value === tradingEngineOrder.orderBaseAsset.feesPaid.config.initialValue) {
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tradingEngineOrder.orderBaseAsset.feesPaid.value =
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tradingEngineOrder.orderBaseAsset.sizeFilled.value *
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tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100
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calculatedBasedOnTradingSystem = true
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}
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if (tradingEngineOrder.orderQuotedAsset.feesPaid.value === tradingEngineOrder.orderQuotedAsset.feesPaid.config.initialValue) {
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tradingEngineOrder.orderQuotedAsset.feesPaid.value =
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tradingEngineOrder.orderQuotedAsset.sizeFilled.value *
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tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100
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calculatedBasedOnTradingSystem = true
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}
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}
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}
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/* Based on the Session Parameters Definition */
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if (calculatedBasedOnTradingSystem === false) {
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/* Fees are simulated based on the Session Paremeters */
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switch (tradingEngineOrder.type) {
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case 'Market Order': {
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tradingEngineOrder.orderBaseAsset.feesPaid.value =
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tradingEngineOrder.orderBaseAsset.sizeFilled.value *
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bot.SESSION.parameters.feeStructure.config.taker / 100
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tradingEngineOrder.orderQuotedAsset.feesPaid.value =
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tradingEngineOrder.orderQuotedAsset.sizeFilled.value *
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bot.SESSION.parameters.feeStructure.config.taker / 100
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break
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}
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case 'Limit Order': {
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tradingEngineOrder.orderBaseAsset.feesPaid.value =
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tradingEngineOrder.orderBaseAsset.sizeFilled.value *
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bot.SESSION.parameters.feeStructure.config.maker / 100
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tradingEngineOrder.orderQuotedAsset.feesPaid.value =
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tradingEngineOrder.orderQuotedAsset.sizeFilled.value *
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bot.SESSION.parameters.feeStructure.config.maker / 100
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break
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}
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}
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}
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tradingEngineOrder.orderBaseAsset.feesPaid.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.feesPaid.value, 10)
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tradingEngineOrder.orderQuotedAsset.feesPaid.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.feesPaid.value, 10)
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}
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function percentageFilledSimulation() {
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/*
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Order Filling Simulation: the way we are going to handle this is the following.
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@@ -514,6 +453,14 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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}
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break
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}
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case 'Market Buy Order': {
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orderWasHit = true
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break
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}
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case 'Market Sell Order': {
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orderWasHit = true
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break
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}
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}
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if (orderWasHit === true) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill !== undefined) {
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@@ -546,6 +493,80 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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}
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}
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function feesPaidSimulation() {
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/*
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The way the fess paid is calculated is as follows: From the order size we apply the % of fee,
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that would give us the total fees for that order. To that we apply the % filled of the orders,
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that give use the final result of the fees paid for the current % filled.
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But before that, we will see if there is an specific definition on how to simulate the fees for
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this order, or if there is not, we use the fees session parameters definitions.
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*/
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let calculatedBasedOnTradingSystem = false
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/* Based on the Trading System Definition */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage !== undefined) {
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if (tradingEngineOrder.orderBaseAsset.feesPaid.value === tradingEngineOrder.orderBaseAsset.feesPaid.config.initialValue) {
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tradingEngineOrder.orderBaseAsset.feesPaid.value =
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tradingEngineOrder.orderBaseAsset.size.value *
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tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100 *
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tradingEngineOrder.orderStatistics.percentageFilled.value / 100
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calculatedBasedOnTradingSystem = true
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}
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if (tradingEngineOrder.orderQuotedAsset.feesPaid.value === tradingEngineOrder.orderQuotedAsset.feesPaid.config.initialValue) {
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tradingEngineOrder.orderQuotedAsset.feesPaid.value =
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tradingEngineOrder.orderQuotedAsset.size.value *
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tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100 *
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tradingEngineOrder.orderStatistics.percentageFilled.value / 100
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calculatedBasedOnTradingSystem = true
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}
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}
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}
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/* Based on the Session Parameters Definition */
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if (calculatedBasedOnTradingSystem === false) {
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/* Fees are simulated based on the Session Paremeters */
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switch (tradingEngineOrder.type) {
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case 'Market Order': {
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tradingEngineOrder.orderBaseAsset.feesPaid.value =
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tradingEngineOrder.orderBaseAsset.size.value *
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bot.SESSION.parameters.feeStructure.config.taker / 100 *
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tradingEngineOrder.orderStatistics.percentageFilled.value / 100
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tradingEngineOrder.orderQuotedAsset.feesPaid.value =
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tradingEngineOrder.orderQuotedAsset.size.value *
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bot.SESSION.parameters.feeStructure.config.taker / 100 *
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tradingEngineOrder.orderStatistics.percentageFilled.value / 100
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break
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}
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case 'Limit Order': {
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tradingEngineOrder.orderBaseAsset.feesPaid.value =
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tradingEngineOrder.orderBaseAsset.size.value *
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bot.SESSION.parameters.feeStructure.config.maker / 100 *
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tradingEngineOrder.orderStatistics.percentageFilled.value / 100
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tradingEngineOrder.orderQuotedAsset.feesPaid.value =
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tradingEngineOrder.orderQuotedAsset.size.value *
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bot.SESSION.parameters.feeStructure.config.maker / 100 *
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tradingEngineOrder.orderStatistics.percentageFilled.value / 100
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break
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}
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}
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}
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tradingEngineOrder.orderBaseAsset.feesPaid.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.feesPaid.value, 10)
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tradingEngineOrder.orderQuotedAsset.feesPaid.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.feesPaid.value, 10)
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}
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function sizeFilledSimulation() {
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/* Size Filled */
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tradingEngineOrder.orderBaseAsset.sizeFilled.value =
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@@ -104,14 +104,12 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
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tradingEngine.current.position.takeProfit.value = formulas.get(formulaId)
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}
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function updateStopLoss(phase, stage) {
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function updateStopLoss(phase) {
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tradingEngine.current.position.stopLoss.stopLossPhase.value = phase
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tradingEngine.current.position.stopLoss.stopLossStage.value = stage
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}
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function updateTakeProfit(phase, stage) {
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function updateTakeProfit(phase) {
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tradingEngine.current.position.takeProfit.takeProfitPhase.value = phase
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tradingEngine.current.position.takeProfit.takeProfitStage.value = stage
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}
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function initialTargets(tradingSystemStageNode, tradingEngineStageNode) {
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@@ -545,7 +545,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
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tradingSystem.highlights.push(parentNode.id)
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tradingSystem.highlights.push(manageStage.id)
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tradingPositionModule.updateStopLoss(tradingEngine.current.position.stopLoss.stopLossPhase.value + 1, 'Manage Stage')
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tradingPositionModule.updateStopLoss(tradingEngine.current.position.stopLoss.stopLossPhase.value + 1)
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announcementsModule.makeAnnoucements(nextPhaseEvent)
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return // only one event can pass at the time
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@@ -579,7 +579,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
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if (moveToPhase !== undefined) {
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for (let q = 0; q < stopLoss.phases.length; q++) {
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if (stopLoss.phases[q].id === moveToPhase.id) {
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tradingPositionModule.updateStopLoss(q + 1, 'Manage Stage')
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tradingPositionModule.updateStopLoss(q + 1)
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}
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}
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} else {
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@@ -638,7 +638,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
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tradingSystem.highlights.push(parentNode.id)
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tradingSystem.highlights.push(manageStage.id)
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tradingPositionModule.updateTakeProfit(tradingEngine.current.position.takeProfit.takeProfitPhase.value + 1, 'Manage Stage')
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tradingPositionModule.updateTakeProfit(tradingEngine.current.position.takeProfit.takeProfitPhase.value + 1)
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announcementsModule.makeAnnoucements(nextPhaseEvent)
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return // only one event can pass at the time
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@@ -672,7 +672,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
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if (moveToPhase !== undefined) {
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for (let q = 0; q < takeProfit.phases.length; q++) {
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if (takeProfit.phases[q].id === moveToPhase.id) {
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tradingPositionModule.updateTakeProfit(q + 1, 'Manage Stage')
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tradingPositionModule.updateTakeProfit(q + 1)
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}
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}
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} else {
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@@ -769,7 +769,13 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
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The reason for that is that we need the final filled size of the Open Stage
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to be known before we start placing orders at the Close Stage.
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*/
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if (tradingEngine.current.strategyCloseStage.status.value === 'Open' && tradingEngine.current.strategyOpenStage.status.value === 'Closed') {
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if (
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tradingEngine.current.strategyCloseStage.status.value === 'Open' &&
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(
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tradingEngine.current.strategyOpenStage.status.value === 'Closed' ||
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tradingEngine.current.strategyOpenStage.status.value == tradingEngine.current.strategyOpenStage.status.config.initialValue
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)
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) {
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/*
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This will happen as long as the Close Stage is Open.
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*/
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@@ -878,7 +884,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
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if (
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tradingEngineStage.stageBaseAsset.sizeFilled.value +
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tradingEngineStage.stageBaseAsset.feesPaid.value >=
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tradingEngineStage.stageBaseAsset.targetSize
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tradingEngineStage.stageBaseAsset.targetSize.value
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) {
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positionFilled()
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} else {
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@@ -890,7 +896,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
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if (
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tradingEngineStage.stageQuotedAsset.sizeFilled.value +
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tradingEngineStage.stageQuotedAsset.feesPaid.value >=
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tradingEngineStage.stageQuotedAsset.targetSize
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tradingEngineStage.stageQuotedAsset.targetSize.value
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) {
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positionFilled()
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} else {
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@@ -970,33 +976,33 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
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function openStage(stage) {
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/* Recording the opening at the Trading Engine Data Structure */
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stage.begin.value = tradingEngine.current.episode.candle.end.value
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stage.begin.value = tradingEngine.current.episode.cycle.begin.value
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stage.beginRate.value = tradingEngine.current.episode.candle.close.value
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stage.end.value = tradingEngine.current.episode.candle.end.value
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stage.end.value = tradingEngine.current.episode.cycle.end.value
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}
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function closeStage(stage) {
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/* Recording the closing at the Trading Engine Data Structure */
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stage.end.value = tradingEngine.current.episode.candle.end.value
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stage.end.value = tradingEngine.current.episode.cycle.end.value
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stage.endRate.value = tradingEngine.current.episode.candle.close.value
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}
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}
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function updateEnds() {
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if (tradingEngine.current.strategyTriggerStage.status.value === 'Open') {
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tradingEngine.current.strategyTriggerStage.end.value = tradingEngine.current.episode.candle.end.value
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tradingEngine.current.strategyTriggerStage.end.value = tradingEngine.current.episode.cycle.end.value
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tradingEngine.current.strategyTriggerStage.endRate.value = tradingEngine.current.episode.candle.close.value
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}
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if (tradingEngine.current.strategyOpenStage.status.value === 'Open') {
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tradingEngine.current.strategyOpenStage.end.value = tradingEngine.current.episode.candle.end.value
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tradingEngine.current.strategyOpenStage.end.value = tradingEngine.current.episode.cycle.end.value
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tradingEngine.current.strategyOpenStage.endRate.value = tradingEngine.current.episode.candle.close.value
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}
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if (tradingEngine.current.strategyManageStage.status.value === 'Open') {
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tradingEngine.current.strategyManageStage.end.value = tradingEngine.current.episode.candle.end.value
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tradingEngine.current.strategyManageStage.end.value = tradingEngine.current.episode.cycle.end.value
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tradingEngine.current.strategyManageStage.endRate.value = tradingEngine.current.episode.candle.close.value
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}
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if (tradingEngine.current.strategyCloseStage.status.value === 'Open') {
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tradingEngine.current.strategyCloseStage.end.value = tradingEngine.current.episode.candle.end.value
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tradingEngine.current.strategyCloseStage.end.value = tradingEngine.current.episode.cycle.end.value
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tradingEngine.current.strategyCloseStage.endRate.value = tradingEngine.current.episode.candle.close.value
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}
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}
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+14
@@ -160,6 +160,20 @@
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finalDatetime: (new Date()).valueOf()
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}
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}
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} else {
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/* Check that we received valid dates */
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if(isNaN(new Date(bot.SESSION.parameters.timeRange.config.initialDatetime)).valueOf()) {
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let errorMessage = "sessionParameters.timeRange.config.initialDatetime is not a valid date."
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parentLogger.write(MODULE_NAME, "[ERROR] initialize -> checkParemeters -> " + errorMessage)
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bot.sessionError(bot.SESSION.parameters, errorMessage)
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return false
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}
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if(isNaN(new Date(bot.SESSION.parameters.timeRange.config.finalDatetime)).valueOf()) {
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let errorMessage = "sessionParameters.timeRange.config.initialDatetime is not a valid date."
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parentLogger.write(MODULE_NAME, "[ERROR] initialize -> checkParemeters -> " + errorMessage)
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bot.sessionError(bot.SESSION.parameters, errorMessage)
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return false
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}
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}
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/* Session Type Forced Values */
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