Trading Execution Implemented

This commit is contained in:
Luis Fernando Molina committed 2020-07-20 16:18:43 +02:00
1 parent 1838628258
commit b98650af8d
3 files changed
+450 -629

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@@ -23,8 +23,8 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
let tradingEngine
let sessionParameters
let conditions = new Map()
let formulas = new Map()
tradingSystem.conditions = new Map()
tradingSystem.formulas = new Map()
const EXCHANGE_API_MODULE = require('./ExchangeAPI.js')
let exchangeAPIModule = EXCHANGE_API_MODULE.newExchangeAPI(bot, logger)
@@ -80,8 +80,8 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
chart = undefined
conditions = undefined
formulas = undefined
tradingSystem.conditions = undefined
tradingSystem.formulas = undefined
tradingSystem.highlights = undefined
tradingSystem.errors = undefined
@@ -270,7 +270,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
}
}
conditions.set(node.id, value)
tradingSystem.conditions.set(node.id, value)
if (value === true) {
tradingSystem.highlights.push(node.id)
@@ -311,7 +311,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
}
}
formulas.set(node.id, value)
tradingSystem.formulas.set(node.id, value)
if (error !== undefined) {
tradingSystem.errors.push([node.id, error])
@@ -524,7 +524,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
evalConditions(stageNode, 'Open Execution')
evalFormulas(stageNode, 'Open Execution')
checkExecution(executionNode, true, false, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
tradingExecutionModule.checkExecution(executionNode, true, false, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
/* From here on, the state is officially Open */
tradingStrategyModule.updateStageStatus('Open Stage', 'Open')
@@ -544,7 +544,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
evalConditions(stageNode, 'Open Execution')
evalFormulas(stageNode, 'Open Execution')
checkExecution(executionNode, false, false, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
tradingExecutionModule.checkExecution(executionNode, false, false, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
/*
The Open is finished when the fillSize reaches the Position Size.
@@ -572,7 +572,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
evalConditions(stageNode, 'Open Execution')
evalFormulas(stageNode, 'Open Execution')
checkExecution(executionNode, false, true, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
tradingExecutionModule.checkExecution(executionNode, false, true, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
}
/*
@@ -609,7 +609,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
if (strategy.openStage.initialDefinition.positionSize === undefined) return DEFAULT_VALUE
if (strategy.openStage.initialDefinition.positionSize.formula === undefined) return DEFAULT_VALUE
let value = formulas.get(strategy.openStage.initialDefinition.positionSize.formula.id)
let value = tradingSystem.formulas.get(strategy.openStage.initialDefinition.positionSize.formula.id)
if (value === undefined) return DEFAULT_VALUE
return value
}
@@ -623,7 +623,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
if (strategy.openStage.initialDefinition.positionRate === undefined) return DEFAULT_VALUE
if (strategy.openStage.initialDefinition.positionRate.formula === undefined) return DEFAULT_VALUE
let value = formulas.get(strategy.openStage.initialDefinition.positionRate.formula.id)
let value = tradingSystem.formulas.get(strategy.openStage.initialDefinition.positionRate.formula.id)
if (value === undefined) return DEFAULT_VALUE
return value
}
@@ -958,7 +958,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
evalConditions(stageNode, 'Close Execution')
evalFormulas(stageNode, 'Close Execution')
checkExecution(executionNode, false, false, tradingEngine.current.position.openStageFilledSize, tradingEngine.current.position.closeStageOrdersSize, tradingEngine.current.position.closeStageFilledSize)
tradingExecutionModule.checkExecution(executionNode, false, false, tradingEngine.current.position.openStageFilledSize, tradingEngine.current.position.closeStageOrdersSize, tradingEngine.current.position.closeStageFilledSize)
/* Close the Stage Validation */
if (tradingEngine.current.position.closeStageFilledSize.value === tradingEngine.current.position.openStageFilledSize.value) {
@@ -1071,7 +1071,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
if (phase !== undefined) {
if (phase.formula !== undefined) {
let previousValue = tradingEngine.current.position.stopLoss.value
tradingPositionModule.applyStopLossFormula(formulas, phase.formula.id)
tradingPositionModule.applyStopLossFormula(tradingSystem.formulas, phase.formula.id)
if (tradingEngine.current.position.stopLoss.value !== previousValue) {
announcementsModule.makeAnnoucements(phase)
@@ -1103,7 +1103,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
if (phase !== undefined) {
if (phase.formula !== undefined) {
let previousValue = tradingEngine.current.position.takeProfit.value
tradingPositionModule.applyTakeProfitFormula(formulas, phase.formula.id)
tradingPositionModule.applyTakeProfitFormula(tradingSystem.formulas, phase.formula.id)
if (tradingEngine.current.position.takeProfit.value !== previousValue) {
announcementsModule.makeAnnoucements(phase)
@@ -1112,305 +1112,6 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
}
}
function checkExecution(executionNode, stageIsOpening, stageIsClosing, stageSizeLimit, stageOrdersSize, stageFilledSize) {
/* Enforcing Precision Limit */
stageSizeLimit.value = global.PRECISE(stageSizeLimit.value, 10)
stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
stageFilledSize.value = global.PRECISE(stageFilledSize.value, 10)
checkExecutionAlgorithms(executionNode)
function checkExecutionAlgorithms(executionNode) {
for (let i = 0; i < executionNode.executionAlgorithms.length; i++) {
let executionAlgorithm = executionNode.executionAlgorithms[i]
checkOrders(executionAlgorithm.marketBuyOrders, executionAlgorithm, executionNode)
checkOrders(executionAlgorithm.marketSellOrders, executionAlgorithm, executionNode)
checkOrders(executionAlgorithm.limitBuyOrders, executionAlgorithm, executionNode)
checkOrders(executionAlgorithm.limitSellOrders, executionAlgorithm, executionNode)
}
}
function checkOrders(orders, executionAlgorithm, executionNode) {
for (let i = 0; i < orders.length; i++) {
let tradingSystemOrder = orders[i]
/* Basic Validations */
if (tradingSystemOrder.config.positionSizePercentage === undefined) { continue }
if (tradingSystemOrder.referenceParent === undefined) { continue }
let tradingEngineOrder = tradingEngineModule.getNodeById(tradingSystemOrder.referenceParent.id)
if (tradingEngineOrder.identifier === undefined) { continue }
if (tradingEngineOrder.begin === undefined) { continue }
if (tradingEngineOrder.end === undefined) { continue }
if (tradingEngineOrder.rate === undefined) { continue }
if (tradingEngineOrder.size === undefined) { continue }
if (tradingEngineOrder.status === undefined) { continue }
if (tradingEngineOrder.algorithmName === undefined) { continue }
if (tradingEngineOrder.orderCounters === undefined) { continue }
if (tradingEngineOrder.orderCounters.periods === undefined) { continue }
if (tradingEngineOrder.orderStatistics.days === undefined) { continue }
if (tradingEngineOrder.orderStatistics.percentageFilled === undefined) { continue }
if (tradingEngineOrder.orderStatistics.actualRate === undefined) { continue }
if (tradingEngineOrder.orderStatistics.feesPaid === undefined) { continue }
switch (tradingEngineOrder.status.value) {
case 'Not Open': {
{
/* Check if we need to Create this Order */
if (stageIsClosing === true) { continue }
let situationName = checkOrderEvent(tradingSystemOrder.createOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
if (situationName !== undefined) {
/* Order Size Calculation */
tradingEngineOrder.size.value = formulas.get(executionAlgorithm.positionSize.formula.id) * tradingSystemOrder.config.positionSizePercentage / 100
if (stageOrdersSize.value + tradingEngineOrder.size.value > stageSizeLimit.value) {
/* We reduce the size to the remaining size of the position. */
tradingEngineOrder.size.value = stageSizeLimit.value - stageOrdersSize.value
tradingEngineOrder.size.value = global.PRECISE(tradingEngineOrder.size.value, 10)
}
if (tradingEngineOrder.size.value <= 0) { continue }
/* Place Order at the Exchange */
if (placeOrderAtExchange(tradingSystemOrder, tradingEngineOrder) !== true) { continue }
/* Updating Episode Counters */
tradingEngine.episode.episodeCounters.orders.value++
/* Initialize this */
tradingEngine.current.distanceToEvent.createOrder.value = 1
/* Create Order Procedure */
tradingEngineOrder.status.value = 'Open'
tradingEngineOrder.identifier.value = global.UNIQUE_ID()
tradingEngineOrder.begin.value = tradingEngine.current.candle.begin.value
tradingEngineOrder.end.value = tradingEngine.current.candle.end.value
tradingEngineOrder.serialNumber.value = tradingEngine.episode.episodeCounters.orders.value
tradingEngineOrder.orderName.value = tradingSystemOrder.name
tradingEngineOrder.algorithmName.value = executionAlgorithm.name
tradingEngineOrder.situationName.value = situationName
/* Order Rate Calculation */
tradingEngineOrder.rate.value = tradingEngine.current.position.rate.value // By default this is the order rate.
if (tradingSystemOrder.positionRate !== undefined) {
if (tradingSystemOrder.positionRate.formula !== undefined) {
tradingEngineOrder.rate.value = formulas.get(tradingSystemOrder.positionRate.formula.id)
tradingEngineOrder.rate.value = global.PRECISE(tradingEngineOrder.rate.value, 10)
}
}
/* Update Stage Orders Size */
stageOrdersSize.value = stageOrdersSize.value + tradingEngineOrder.size.value
stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
}
}
break
}
case 'Open': {
tradingEngineOrder.end.value = tradingEngine.current.candle.end.value
tradingEngineOrder.orderCounters.periods.value++
tradingEngineOrder.orderStatistics.days.value = tradingEngineOrder.orderCounters.periods.value * sessionParameters.timeFrame.config.value / global.ONE_DAY_IN_MILISECONDS
/* If the stage is closing we wont be moving or cancelling orders based on defined events */
if (stageIsClosing !== true) {
/* Check if we need to Cancel this Order */
let situationName = checkOrderEvent(tradingSystemOrder.cancelOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
if (situationName !== undefined) {
/* Since the order was cancelled, we remove the unfilled amount of the order from here */
let unfilledPercentage = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
let unfilledSize = tradingEngineOrder.size.value * unfilledPercentage / 100
stageOrdersSize.value = stageOrdersSize.value - unfilledSize
stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
/* Cancel the Order */
tradingEngineOrder.status.value = 'Closed'
tradingEngineOrder.exitType.value = 'Cancelled by Event'
/* Initialize this */
tradingEngine.current.distanceToEvent.cancelOrder.value = 1
break
}
/* Check if we need to Move this Order */
if (tradingSystemOrder.moveOrderEvents !== undefined) {
for (let j = 0; j < tradingSystemOrder.moveOrderEvents.length; j++) {
let moveOrderEvent = tradingSystemOrder.moveOrderEvents[j]
let situationName = checkOrderEvent(moveOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
if (situationName !== undefined) {
if (moveOrderEvent.positionRate !== undefined) {
if (moveOrderEvent.positionRate.formula !== undefined) {
/* Move Order to a different Rate */
tradingEngineOrder.rate.value = formulas.get(moveOrderEvent.positionRate.formula.id)
tradingEngineOrder.rate.value = global.PRECISE(tradingEngineOrder.rate.value, 10)
/* Initialize this */
tradingEngine.current.distanceToEvent.moveOrder.value = 1
break
}
}
}
}
}
}
/* Simulate Events that happens at the Exchange, if needed. */
simulateExchangeEvents(tradingSystemOrder, tradingEngineOrder)
}
}
}
}
function placeOrderAtExchange(tradingSystemOrder, tradingEngineOrder) {
/* Filter by Session Type */
switch (bot.SESSION.type) {
case 'Backtesting Session': {
return true
}
case 'Live Trading Session': {
break
}
case 'Fordward Testing Session': {
break
}
case 'Paper Trading Session': {
return true
}
}
let orderId = exchangeAPIModule.createOrder(tradingSystemOrder, tradingEngineOrder)
if (orderId !== undefined) {
tradingEngineOrder.exchangeId.value = orderId
return true
}
}
function simulateExchangeEvents(tradingSystemOrder, tradingEngineOrder) {
/* Filter by Session Type */
switch (bot.SESSION.type) {
case 'Backtesting Session': {
break
}
case 'Live Trading Session': {
return
}
case 'Fordward Testing Session': {
return
}
case 'Paper Trading Session': {
break
}
}
/* Filter by what is defined at the Strategy */
if (tradingSystemOrder.simulatedExchangeEvents === undefined) { return }
/* Partial Fill Simulation */
if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill !== undefined) {
if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability !== undefined) {
/* Percentage Filled Calculation */
let percentageFilled = tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability * 100
if (tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled > 100) {
percentageFilled = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
}
tradingEngineOrder.orderStatistics.percentageFilled.value = tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled
if (tradingEngineOrder.orderStatistics.percentageFilled.value === 100) {
/* Close this Order */
tradingEngineOrder.status.value = 'Closed'
tradingEngineOrder.exitType.value = 'Filled'
/* Initialize this */
tradingEngine.current.distanceToEvent.closeOrder.value = 1
}
/* Filled Size Calculation */
stageFilledSize.value = stageFilledSize.value + tradingEngineOrder.size.value * percentageFilled / 100
stageFilledSize.value = global.PRECISE(stageFilledSize.value, 10)
if (stageIsClosing === true && tradingEngineOrder.status.value !== 'Closed') {
if (tradingEngineOrder.orderStatistics.percentageFilled.value === 0) {
/* Close this Order */
tradingEngineOrder.status.value = 'Closed'
tradingEngineOrder.exitType.value = 'Cancelled by Closing Stage'
/* Initialize this */
tradingEngine.current.distanceToEvent.closeOrder.value = 1
}
if (tradingEngineOrder.orderStatistics.percentageFilled.value > 0 && tradingEngineOrder.orderStatistics.percentageFilled.value < 100) {
/* Close this Order */
tradingEngineOrder.status.value = 'Closed'
tradingEngineOrder.exitType.value = 'Partially Filled'
/* Initialize this */
tradingEngine.current.distanceToEvent.closeOrder.value = 1
}
/* Since the order was cancelled, we remove the unfilled amount of the order from here */
let unfilledPercentage = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
let unfilledSize = tradingEngineOrder.size.value * unfilledPercentage / 100
stageOrdersSize.value = stageOrdersSize.value - unfilledSize
stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
}
}
}
/* Actual Rate Simulation */
if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.orderStatistics.actualRate.config.initialValue) {
tradingEngineOrder.orderStatistics.actualRate.value = formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
}
}
}
/* Fees Paid Simulation */
if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid !== undefined) {
if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage !== undefined) {
if (tradingEngineOrder.orderStatistics.feesPaid.value === tradingEngineOrder.orderStatistics.feesPaid.config.initialValue) {
tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value * tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100
}
}
}
}
function checkOrderEvent(event, order, executionAlgorithm, executionNode) {
if (event !== undefined) {
for (let k = 0; k < event.situations.length; k++) {
let situation = event.situations[k]
let passed
if (situation.conditions.length > 0) {
passed = true
}
passed = checkConditions(situation, passed)
tradingSystem.values.push([situation.id, passed])
if (passed) {
tradingSystem.highlights.push(situation.id)
tradingSystem.highlights.push(event.id)
tradingSystem.highlights.push(order.id)
tradingSystem.highlights.push(executionAlgorithm.id)
tradingSystem.highlights.push(executionNode.id)
announcementsModule.makeAnnoucements(event)
return situation.name // if the event is triggered, we return the name of the situation that passed
}
}
}
}
}
function isItInside(elementWithTimestamp, elementWithBeginEnd) {
/*
The function is to allow in Conditions and Formulas to easily know when an element with timestamp (like the ones of single files) are inside the time range
@@ -1429,8 +1130,8 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
let condition = situation.conditions[m]
let value = false
if (conditions.get(condition.id) !== undefined) {
value = conditions.get(condition.id)
if (tradingSystem.conditions.get(condition.id) !== undefined) {
value = tradingSystem.conditions.get(condition.id)
}
if (value === true) {
tradingSystem.highlights.push(condition.id)