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Massive Refactoring of Current for Trading Current

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Luis Fernando Molina committed 2021-02-07 16:38:38 +01:00
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Projects/Superalgos/Icons/current.png → Projects/Superalgos/Icons/trading-current.png
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Projects/Superalgos/Plugins/Learning-Mines/Masters.json
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Projects/Superalgos/Plugins/Trading-Engines/Low-Frequency.json
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Projects/Superalgos/Plugins/Trading-Mines/Masters.json
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Projects/Superalgos/Plugins/Trading-Systems/BB-Top-Bounce-BTC-USDT.json
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Projects/Superalgos/Plugins/Trading-Systems/Masters-Lightning-Strike.json
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{"type":"Workspace","name":"Trading System Design Tutorials","rootNodes":[{"type":"Network","name":"My Network","project":"Superalgos","networkNodes":[{"type":"Network Node","name":"My Computer","config":"{ \n\"host\": \"localhost\", \n\"webPort\": \"34248\", \n\"webSocketsPort\": \"18041\"\n}","project":"Superalgos","dataTasks":{"type":"Data Tasks","name":"New Data Tasks","project":"Superalgos","projectDataTasks":[{"type":"Project Data Tasks","name":"Superalgos","project":"Superalgos","exchangeDataTasks":[{"type":"Exchange Data Tasks","name":"Binance","project":"Superalgos","marketDataTasks":[{"type":"Market Data Tasks","name":"Binance BTC/USDT","project":"Superalgos","dataMineTasks":[{"type":"Data Mine Tasks","name":"Masters","project":"Superalgos","taskManagers":[{"type":"Task Manager","name":"Masters","project":"Superalgos","tasks":[{"type":"Task","name":"Exchange Raw Data","project":"Superalgos","bot":{"type":"Sensor Bot Instance","name":"Exchange Raw Data","config":"{ \n\"startDate\": \"2020-01-01\"\n}","project":"Superalgos","processes":[{"type":"Sensor Process Instance","name":"Exchange Raw Data Historic-OHLCVs","project":"Superalgos","id":"d0ff77d8-76de-4d50-840a-e50a55ad7d1b","savedPayload":{"position":{"x":23464.287287440642,"y":29377.997434862405},"targetPosition":{"x":23762.643856051123,"y":29409.355973842703},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":3,"distanceToParent":3,"arrangementStyle":0},"uiObject":{"isRunning":false},"referenceParent":{"type":"Process 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Definition","name":"Multi-Period-Daily","id":"980ceb1d-7be6-454f-90d9-01ba1fd4a65d"}}}],"id":"fc478301-77ac-4396-bd3b-915b4c681fa0","savedPayload":{"position":{"x":23913.47009798565,"y":29070.59468798798},"targetPosition":{"x":24136.413545628868,"y":29271.33386989564},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{"isRunning":false}}},"id":"30054a4b-7c93-4a3a-a6db-2e0d38507b2e","savedPayload":{"position":{"x":24136.413545628868,"y":29271.33386989564},"targetPosition":{"x":24359.356993272086,"y":29472.073051803298},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{"isRunning":false}}},{"type":"Task","name":"Bollinger Bands","project":"Superalgos","bot":{"type":"Indicator Bot Instance","name":"Bollinger Bands","config":"{}","project":"Superalgos","processes":[{"type":"Indicator Process Instance","name":"Bollinger Bands Multi-Period-Market","project":"Superalgos","id":"bf0f739f-98b7-4c73-ae06-8d3fe83147ce","savedPayload":{"position":{"x":24098.412828859568,"y":28617.882534106506},"targetPosition":{"x":24234.60997878143,"y":28885.184491363016},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":3,"distanceToParent":3,"arrangementStyle":0},"uiObject":{"isRunning":false},"referenceParent":{"type":"PLine truncated
Projects/Superalgos/Schemas/AppSchema.json
+11 -11
View File
@@ -2989,9 +2989,9 @@
"level": 0,
"childrenNodesProperties": [
{
"name": "current",
"name": "tradingCurrent",
"type": "node",
"childType": "Current",
"childType": "Trading Current",
"autoAdd": true
},
{
@@ -3138,7 +3138,7 @@
"addLeftIcons": true,
"level": 3,
"attachingRules": {
"compatibleTypes": "->Current->"
"compatibleTypes": "->Trading Current->"
},
"propertyNameAtParent": "episode",
"childrenNodesProperties": [
@@ -5715,7 +5715,7 @@
"propertyNameAtParent": "hitFail"
},
{
"type": "Current",
"type": "Trading Current",
"menuItems": [
{
"action": "Add Missing Children",
@@ -5738,7 +5738,7 @@
"attachingRules": {
"compatibleTypes": "->Trading Engine->"
},
"propertyNameAtParent": "current",
"propertyNameAtParent": "tradingCurrent",
"childrenNodesProperties": [
{
"name": "episode",
@@ -6536,7 +6536,7 @@
"addLeftIcons": true,
"level": 3,
"attachingRules": {
"compatibleTypes": "->Current->"
"compatibleTypes": "->Trading Current->"
},
"propertyNameAtParent": "strategyTriggerStage",
"childrenNodesProperties": [
@@ -6600,7 +6600,7 @@
"addLeftIcons": true,
"level": 3,
"attachingRules": {
"compatibleTypes": "->Current->"
"compatibleTypes": "->Trading Current->"
},
"propertyNameAtParent": "strategyManageStage",
"childrenNodesProperties": [
@@ -6664,7 +6664,7 @@
"addLeftIcons": true,
"level": 3,
"attachingRules": {
"compatibleTypes": "->Current->"
"compatibleTypes": "->Trading Current->"
},
"propertyNameAtParent": "strategyOpenStage",
"childrenNodesProperties": [
@@ -6746,7 +6746,7 @@
"addLeftIcons": true,
"level": 3,
"attachingRules": {
"compatibleTypes": "->Current->"
"compatibleTypes": "->Trading Current->"
},
"propertyNameAtParent": "strategyCloseStage",
"childrenNodesProperties": [
@@ -6828,7 +6828,7 @@
"addLeftIcons": true,
"level": 3,
"attachingRules": {
"compatibleTypes": "->Current->Last->"
"compatibleTypes": "->Trading Current->Last->"
},
"propertyNameAtParent": "strategy",
"childrenNodesProperties": [
@@ -7956,7 +7956,7 @@
"addLeftIcons": true,
"level": 3,
"attachingRules": {
"compatibleTypes": "->Current->Last->"
"compatibleTypes": "->Trading Current->Last->"
},
"propertyNameAtParent": "position",
"childrenNodesProperties": [
Projects/Superalgos/Schemas/Docs-Nodes/annualized-rate-of-return.json
+3 -3
View File
@@ -31,7 +31,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.episode.episodeBaseAsset.annualizedRateOfReturn.value = \n((( tradingEngine.current.episode.episodeBaseAsset.beginBalance.value +\ntradingEngine.current.episode.episodeBaseAsset.profitLoss.value ) / \ntradingEngine.current.episode.episodeBaseAsset.beginBalance.value) ^\n(365 / tradingEngine.current.episode.episodeStatistics.days.value)) - 1\n\ntradingEngine.current.episode.episodeQuotedAsset.annualizedRateOfReturn.value = \n((( tradingEngine.current.episode.episodeQuotedAsset.beginBalance.value +\ntradingEngine.current.episode.episodeQuotedAsset.profitLoss.value ) / \ntradingEngine.current.episode.episodeQuotedAsset.beginBalance.value) ^\n(365 / tradingEngine.current.episode.episodeStatistics.days.value)) - 1",
"text": "tradingEngine.tradingCurrent.episode.episodeBaseAsset.annualizedRateOfReturn.value = \n((( tradingEngine.tradingCurrent.episode.episodeBaseAsset.beginBalance.value +\ntradingEngine.current.episode.episodeBaseAsset.profitLoss.value ) / \ntradingEngine.current.episode.episodeBaseAsset.beginBalance.value) ^\n(365 / tradingEngine.tradingCurrent.episode.episodeStatistics.days.value)) - 1\n\ntradingEngine.current.episode.episodeQuotedAsset.annualizedRateOfReturn.value = \n((( tradingEngine.tradingCurrent.episode.episodeQuotedAsset.beginBalance.value +\ntradingEngine.current.episode.episodeQuotedAsset.profitLoss.value ) / \ntradingEngine.current.episode.episodeQuotedAsset.beginBalance.value) ^\n(365 / tradingEngine.tradingCurrent.episode.episodeStatistics.days.value)) - 1",
"updated": 1609925166406
},
{
@@ -40,7 +40,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.episode.episodeBaseAsset.annualizedRateOfReturn.value = \nMath.pow(\n ( tradingEngine.current.episode.episodeBaseAsset.beginBalance.value +\n tradingEngine.current.episode.episodeBaseAsset.profitLoss.value ) / \n tradingEngine.current.episode.episodeBaseAsset.beginBalance.value\n , \n (365 / tradingEngine.current.episode.episodeStatistics.days.value)\n ) - 1\n\ntradingEngine.current.episode.episodeQuotedAsset.annualizedRateOfReturn.value = \nMath.pow(\n ( tradingEngine.current.episode.episodeQuotedAsset.beginBalance.value +\n tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value ) / \n tradingEngine.current.episode.episodeQuotedAsset.beginBalance.value\n , \n (365 / tradingEngine.current.episode.episodeStatistics.days.value)\n ) - 1",
"text": "tradingEngine.tradingCurrent.episode.episodeBaseAsset.annualizedRateOfReturn.value = \nMath.pow(\n ( tradingEngine.tradingCurrent.episode.episodeBaseAsset.beginBalance.value +\n tradingEngine.tradingCurrent.episode.episodeBaseAsset.profitLoss.value ) / \n tradingEngine.tradingCurrent.episode.episodeBaseAsset.beginBalance.value\n , \n (365 / tradingEngine.tradingCurrent.episode.episodeStatistics.days.value)\n ) - 1\n\ntradingEngine.current.episode.episodeQuotedAsset.annualizedRateOfReturn.value = \nMath.pow(\n ( tradingEngine.tradingCurrent.episode.episodeQuotedAsset.beginBalance.value +\n tradingEngine.tradingCurrent.episode.episodeQuotedAsset.profitLoss.value ) / \n tradingEngine.tradingCurrent.episode.episodeQuotedAsset.beginBalance.value\n , \n (365 / tradingEngine.tradingCurrent.episode.episodeStatistics.days.value)\n ) - 1",
"updated": 1609925205928
},
{
@@ -57,7 +57,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.episode.episodeStatistics.annualizedRateOfReturn.value =\nMath.pow(\n (\n tradingEngine.current.episode.episodeBaseAsset.beginBalance.value * \n tradingEngine.current.episode.beginRate.value +\n tradingEngine.current.episode.episodeQuotedAsset.beginBalance.value +\n tradingEngine.current.episode.episodeBaseAsset.profitLoss.value +\n tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value\n ) / \n (\n tradingEngine.current.episode.episodeBaseAsset.beginBalance.value * \n tradingEngine.current.episode.beginRate.value +\n tradingEngine.current.episode.episodeQuotedAsset.beginBalance.value \n ) \n , \n (\n 365 / tradingEngine.current.episode.episodeStatistics.days.value\n ) \n ) - 1",
"text": "tradingEngine.tradingCurrent.episode.episodeStatistics.annualizedRateOfReturn.value =\nMath.pow(\n (\n tradingEngine.tradingCurrent.episode.episodeBaseAsset.beginBalance.value * \n tradingEngine.tradingCurrent.episode.beginRate.value +\n tradingEngine.tradingCurrent.episode.episodeQuotedAsset.beginBalance.value +\n tradingEngine.tradingCurrent.episode.episodeBaseAsset.profitLoss.value +\n tradingEngine.tradingCurrent.episode.episodeQuotedAsset.profitLoss.value\n ) / \n (\n tradingEngine.tradingCurrent.episode.episodeBaseAsset.beginBalance.value * \n tradingEngine.tradingCurrent.episode.beginRate.value +\n tradingEngine.tradingCurrent.episode.episodeQuotedAsset.beginBalance.value \n ) \n , \n (\n 365 / tradingEngine.tradingCurrent.episode.episodeStatistics.days.value\n ) \n ) - 1",
"updated": 1609925262959
},
{
Projects/Superalgos/Schemas/Docs-Nodes/formula.json
+3 -3
View File
@@ -37,7 +37,7 @@
},
{
"style": "Json",
"text": "tradingEngine.current.position.entryTargetRate.value * 1.03"
"text": "tradingEngine.tradingCurrent.position.entryTargetRate.value * 1.03"
},
{
"style": "Note",
@@ -59,7 +59,7 @@
},
{
"style": "Javascript",
"text": "if (chart.at01hs.bollingerBand.movingAverage * 0.98 > \ntradingEngine.current.position.stopLoss.value)\n{chart.at01hs.bollingerBand.movingAverage * 0.98}\nelse\n{tradingEngine.current.position.stopLoss.value}\n",
"text": "if (chart.at01hs.bollingerBand.movingAverage * 0.98 > \ntradingEngine.current.position.stopLoss.value)\n{chart.at01hs.bollingerBand.movingAverage * 0.98}\nelse\n{tradingEngine.tradingCurrent.position.stopLoss.value}\n",
"updated": 1609346601773
},
{
@@ -82,7 +82,7 @@
},
{
"style": "Javascript",
"text": "function orderRate() {\nconst ORDER_STEP_NUMBER = 1 // Secuential step number, starting with 1 from the closest to the price.\nconst BUY_SELL_SIGN = -1 // 1 for buy orders, -1 for sell orders.\nconst STEP_SEPARATION = 0.15 // % of separation of stair steps between them.\nconst BASE_FACTOR = 0.2 // % above or below bollinger band without bias.\nconst BIAS_FACTOR = 0.3 // % to move the whole stair of orders up or down depending on the bias.\nconst BAND_RATE = chart.at01min.bollingerBand.lowerBand // Upper Bollinger Band for sell orders, and Lower for buy orders.\nlet inbalance = tradingEngine.current.episode.episodeBaseAsset.beginBalance.value - tradingEngine.current.episode.episodeBaseAsset.balance.value\nlet BIAS_SIGN\nif (inbalance === 0) {\nBIAS_SIGN = 0\n}\nif (inbalance < 0) {\nBIAS_SIGN = + 1\n}\nif (inbalance > 0) {\nBIAS_SIGN = - 1\n}\nlet rate = BAND_RATE + BUY_SELL_SIGN BAND_RATE (BASE_FACTOR + ORDER_STEP_NUMBER STEP_SEPARATION + BIAS_SIGN BIAS_FACTOR) / 100\nreturn rate\n}\norderRate()",
"text": "function orderRate() {\nconst ORDER_STEP_NUMBER = 1 // Secuential step number, starting with 1 from the closest to the price.\nconst BUY_SELL_SIGN = -1 // 1 for buy orders, -1 for sell orders.\nconst STEP_SEPARATION = 0.15 // % of separation of stair steps between them.\nconst BASE_FACTOR = 0.2 // % above or below bollinger band without bias.\nconst BIAS_FACTOR = 0.3 // % to move the whole stair of orders up or down depending on the bias.\nconst BAND_RATE = chart.at01min.bollingerBand.lowerBand // Upper Bollinger Band for sell orders, and Lower for buy orders.\nlet inbalance = tradingEngine.tradingCurrent.episode.episodeBaseAsset.beginBalance.value - tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value\nlet BIAS_SIGN\nif (inbalance === 0) {\nBIAS_SIGN = 0\n}\nif (inbalance < 0) {\nBIAS_SIGN = + 1\n}\nif (inbalance > 0) {\nBIAS_SIGN = - 1\n}\nlet rate = BAND_RATE + BUY_SELL_SIGN BAND_RATE (BASE_FACTOR + ORDER_STEP_NUMBER STEP_SEPARATION + BIAS_SIGN BIAS_FACTOR) / 100\nreturn rate\n}\norderRate()",
"updated": 1609346807464
}
]
Projects/Superalgos/Schemas/Docs-Nodes/profit-loss.json
+4 -4
View File
@@ -31,7 +31,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.episode.episodeBaseAsset.profitLoss.value =\n tradingEngine.current.episode.episodeBaseAsset.balance.value -\n sessionParameters.sessionBaseAsset.config.initialBalance\n \ntradingEngine.current.episode.episodeQuotedAsset.profitLoss.value =\n tradingEngine.current.episode.episodeQuotedAsset.balance.value -\n sessionParameters.sessionQuotedAsset.config.initialBalance",
"text": "tradingEngine.tradingCurrent.episode.episodeBaseAsset.profitLoss.value =\n tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value -\n sessionParameters.sessionBaseAsset.config.initialBalance\n \ntradingEngine.current.episode.episodeQuotedAsset.profitLoss.value =\n tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value -\n sessionParameters.sessionQuotedAsset.config.initialBalance",
"updated": 1609880593226
},
{
@@ -45,7 +45,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.position.positionBaseAsset.profitLoss.value =\n tradingEngine.current.episode.episodeBaseAsset.balance.value -\n tradingEngine.current.position.positionBaseAsset.beginBalance\n \ntradingEngine.current.position.positionQuotedAsset.profitLoss.value =\n tradingEngine.current.episode.episodeQuotedAsset.balance.value -\n tradingEngine.current.position.positionQuotedAsset.beginBalance",
"text": "tradingEngine.tradingCurrent.position.positionBaseAsset.profitLoss.value =\n tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value -\n tradingEngine.tradingCurrent.position.positionBaseAsset.beginBalance\n \ntradingEngine.current.position.positionQuotedAsset.profitLoss.value =\n tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value -\n tradingEngine.tradingCurrent.position.positionQuotedAsset.beginBalance",
"updated": 1609880668611
},
{
@@ -66,7 +66,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.episode.episodeStatistics.profitLoss.value =\n tradingEngine.current.episode.episodeBaseAsset.profitLoss.value * \n tradingEngine.current.episode.candle.close.value +\n tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value",
"text": "tradingEngine.tradingCurrent.episode.episodeStatistics.profitLoss.value =\n tradingEngine.tradingCurrent.episode.episodeBaseAsset.profitLoss.value * \n tradingEngine.tradingCurrent.episode.candle.close.value +\n tradingEngine.tradingCurrent.episode.episodeQuotedAsset.profitLoss.value",
"updated": 1609880717964
},
{
@@ -75,7 +75,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.position.positionStatistics.profitLoss.value =\n tradingEngine.current.episode.episodeBaseAsset.profitLoss.value * \n tradingEngine.current.position.endRate.value +\n tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value",
"text": "tradingEngine.tradingCurrent.position.positionStatistics.profitLoss.value =\n tradingEngine.tradingCurrent.episode.episodeBaseAsset.profitLoss.value * \n tradingEngine.tradingCurrent.position.endRate.value +\n tradingEngine.tradingCurrent.episode.episodeQuotedAsset.profitLoss.value",
"updated": 1609880790493
},
{
Projects/Superalgos/Schemas/Docs-Nodes/roi.json
+3 -3
View File
@@ -35,7 +35,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.episode.episodeBaseAsset.ROI.value =\n tradingEngine.current.episode.episodeBaseAsset.profitLoss.value /\n tradingEngine.current.episode.episodeBaseAsset.beginBalance.value * 100 \n \ntradingEngine.current.episode.episodeQuotedAsset.ROI.value =\n tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value /\n tradingEngine.current.episode.episodeQuotedAsset.beginBalance.value * 100",
"text": "tradingEngine.tradingCurrent.episode.episodeBaseAsset.ROI.value =\n tradingEngine.tradingCurrent.episode.episodeBaseAsset.profitLoss.value /\n tradingEngine.tradingCurrent.episode.episodeBaseAsset.beginBalance.value * 100 \n \ntradingEngine.current.episode.episodeQuotedAsset.ROI.value =\n tradingEngine.tradingCurrent.episode.episodeQuotedAsset.profitLoss.value /\n tradingEngine.tradingCurrent.episode.episodeQuotedAsset.beginBalance.value * 100",
"updated": 1611332768337
},
{
@@ -53,7 +53,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.position.positionBaseAsset.ROI.value =\n tradingEngine.current.position.positionBaseAsset.profitLoss.value * 100 /\n tradingEngine.current.strategyOpenStage.stageBaseAsset.sizeFilled.value\n \ntradingEngine.current.position.positionQuotedAsset.ROI.value =\n tradingEngine.current.position.positionQuotedAsset.profitLoss.value * 100 /\n tradingEngine.current.strategyOpenStage.stageQuotedAsset.sizeFilled.value",
"text": "tradingEngine.tradingCurrent.position.positionBaseAsset.ROI.value =\n tradingEngine.tradingCurrent.position.positionBaseAsset.profitLoss.value * 100 /\n tradingEngine.tradingCurrent.strategyOpenStage.stageBaseAsset.sizeFilled.value\n \ntradingEngine.current.position.positionQuotedAsset.ROI.value =\n tradingEngine.tradingCurrent.position.positionQuotedAsset.profitLoss.value * 100 /\n tradingEngine.tradingCurrent.strategyOpenStage.stageQuotedAsset.sizeFilled.value",
"updated": 1611332799800
},
{
@@ -71,7 +71,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.episode.episodeStatistics.ROI.value =\n (\n tradingEngine.current.episode.episodeBaseAsset.profitLoss.value * \n tradingEngine.current.episode.endRate.value +\n tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value\n ) / (\n tradingEngine.current.episode.episodeBaseAsset.beginBalance.value * \n tradingEngine.current.episode.beginRate.value +\n tradingEngine.current.episode.episodeQuotedAsset.beginBalance.value\n ) * 100",
"text": "tradingEngine.tradingCurrent.episode.episodeStatistics.ROI.value =\n (\n tradingEngine.tradingCurrent.episode.episodeBaseAsset.profitLoss.value * \n tradingEngine.tradingCurrent.episode.endRate.value +\n tradingEngine.tradingCurrent.episode.episodeQuotedAsset.profitLoss.value\n ) / (\n tradingEngine.tradingCurrent.episode.episodeBaseAsset.beginBalance.value * \n tradingEngine.tradingCurrent.episode.beginRate.value +\n tradingEngine.tradingCurrent.episode.episodeQuotedAsset.beginBalance.value\n ) * 100",
"updated": 1611332824026
},
{
Projects/Superalgos/Schemas/Docs-Nodes/target-rate.json
+4 -4
View File
@@ -49,7 +49,7 @@
},
{
"style": "Text",
"text": "For example, tradingEngine.current.position.entryTargetRate.value or tradingEngine.current.position.exitTargetRate.value."
"text": "For example, tradingEngine.tradingCurrent.position.entryTargetRate.value or tradingEngine.tradingCurrent.position.exitTargetRate.value."
},
{
"style": "Title",
@@ -72,7 +72,7 @@
},
{
"style": "Text",
"text": "The horizontal segment marks the target rate defined at the open stage. If you are using market orders to take the position, then using tradingEngine.current.episode.candle.close.value may offer a good representation of the rate of market orders. If you are using limit orders, then you may decide at which rate you wish to take the position, and the horizontal segment of the triangle will match the chosen rate."
"text": "The horizontal segment marks the target rate defined at the open stage. If you are using market orders to take the position, then using tradingEngine.tradingCurrent.episode.candle.close.value may offer a good representation of the rate of market orders. If you are using limit orders, then you may decide at which rate you wish to take the position, and the horizontal segment of the triangle will match the chosen rate."
},
{
"style": "Text",
@@ -105,7 +105,7 @@
},
{
"style": "Text",
"text": "The difference in rate between the moment in time the target is hit and the time the 1-hour candle closes may be significant. As a result, if the close stage target rate is defined as tradingEngine.current.episode.candle.close.value, the resulting simulation may show significant slippage, and diverge from what the trade would look like if running on the 1-minute time frame, like you would when trading live."
"text": "The difference in rate between the moment in time the target is hit and the time the 1-hour candle closes may be significant. As a result, if the close stage target rate is defined as tradingEngine.tradingCurrent.episode.candle.close.value, the resulting simulation may show significant slippage, and diverge from what the trade would look like if running on the 1-minute time frame, like you would when trading live."
},
{
"style": "Text",
@@ -113,7 +113,7 @@
},
{
"style": "Javascript",
"text": "targetRate()\n\nfunction targetRate() {\n switch (tradingEngine.current.position.exitType.value) {\n case 'No Exit': {\n return tradingEngine.current.episode.candle.close.value\n break\n }\n case 'Take Profit': {\n return tradingEngine.current.position.takeProfit.finalValue.value\n break\n }\n case 'Stop Loss': {\n return tradingEngine.current.position.stopLoss.finalValue.value\n break\n }\n }\n}",
"text": "targetRate()\n\nfunction targetRate() {\n switch (tradingEngine.tradingCurrent.position.exitType.value) {\n case 'No Exit': {\n return tradingEngine.tradingCurrent.episode.candle.close.value\n break\n }\n case 'Take Profit': {\n return tradingEngine.tradingCurrent.position.takeProfit.finalValue.value\n break\n }\n case 'Stop Loss': {\n return tradingEngine.tradingCurrent.position.stopLoss.finalValue.value\n break\n }\n }\n}",
"updated": 1609596984516
},
{
Projects/Superalgos/Schemas/Docs-Nodes/target-size-in-base-asset.json
+3 -3
View File
@@ -50,7 +50,7 @@
},
{
"style": "Text",
"text": "tradingEngine.current.episode.episodeBaseAsset.balance.value"
"text": "tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value"
},
{
"style": "Text",
@@ -58,7 +58,7 @@
},
{
"style": "Text",
"text": "tradingEngine.current.episode.episodeQuotedAsset.balance.value"
"text": "tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value"
},
{
"style": "Text",
@@ -66,7 +66,7 @@
},
{
"style": "Text",
"text": "tradingEngine.current.strategyOpenStage.stageBaseAsset.sizeFilled.value - tradingEngine.current.strategyOpenStage.stageBaseAsset.feesPaid.value"
"text": "tradingEngine.tradingCurrent.strategyOpenStage.stageBaseAsset.sizeFilled.value - tradingEngine.tradingCurrent.strategyOpenStage.stageBaseAsset.feesPaid.value"
},
{
"style": "Text",
Projects/Superalgos/Schemas/Docs-Nodes/time-frame.json
+1 -1
View File
@@ -75,7 +75,7 @@
},
{
"style": "Javascript",
"text": "targetRate()\n\nfunction targetRate() {\n switch (tradingEngine.current.position.exitType.value) {\n case 'No Exit': {\n return tradingEngine.current.episode.candle.close.value\n break\n }\n case 'Take Profit': {\n return tradingEngine.current.position.takeProfit.finalValue.value\n break\n }\n case 'Stop Loss': {\n return tradingEngine.current.position.stopLoss.finalValue.value\n break\n }\n }\n}",
"text": "targetRate()\n\nfunction targetRate() {\n switch (tradingEngine.tradingCurrent.position.exitType.value) {\n case 'No Exit': {\n return tradingEngine.tradingCurrent.episode.candle.close.value\n break\n }\n case 'Take Profit': {\n return tradingEngine.tradingCurrent.position.takeProfit.finalValue.value\n break\n }\n case 'Stop Loss': {\n return tradingEngine.tradingCurrent.position.stopLoss.finalValue.value\n break\n }\n }\n}",
"updated": 1611866140829
},
{
Projects/Superalgos/Schemas/Docs-Nodes/current.json → Projects/Superalgos/Schemas/Docs-Nodes/trading-current.json
+1 -1
View File
@@ -1,5 +1,5 @@
{
"type": "Current",
"type": "Trading Current",
"definition": {
"text": "The current object refers to the context in which instances of several other objects exist&mdash;like episode, strategy, position, strategy stages, and so on&mdash;in particular, the instances that are open at the time of evaluation, hence the adjective current."
},
Projects/Superalgos/Schemas/Docs-Topics/order-management-002-reviewing-defined-orders.json
+2 -2
View File
@@ -36,7 +36,7 @@
},
{
"style": "Javascript",
"text": "(tradingEngine.current.episode.cycle.value === 'First')"
"text": "(tradingEngine.tradingCurrent.episode.cycle.value === 'First')"
},
{
"style": "List",
@@ -78,7 +78,7 @@
},
{
"style": "Javascript",
"text": "(tradingEngine.current.episode.cycle.value === 'Second')"
"text": "(tradingEngine.tradingCurrent.episode.cycle.value === 'Second')"
},
{
"style": "List",
Projects/Superalgos/Schemas/Docs-Topics/order-management-003-opening-orders.json
+2 -2
View File
@@ -60,7 +60,7 @@
},
{
"style": "Javascript",
"text": "tradingEngineOrder.rate.value = tradingEngine.current.episode.candle.close.value",
"text": "tradingEngineOrder.rate.value = tradingEngine.tradingCurrent.episode.candle.close.value",
"updated": 1610220056132
},
{
@@ -209,7 +209,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.episode.episodeQuotedAsset.balance.value -\ntradingEngineOrder.orderQuotedAsset.size.value => 0",
"text": "tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value -\ntradingEngineOrder.orderQuotedAsset.size.value => 0",
"updated": 1610220335526
},
{
Projects/Superalgos/Schemas/Docs-Topics/order-management-010-simulating-sync-with-the-exchange.json
+2 -2
View File
@@ -270,7 +270,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.episode.candle.min.value <=\ntradingEngineOrder.actualRate.value",
"text": "tradingEngine.tradingCurrent.episode.candle.min.value <=\ntradingEngineOrder.actualRate.value",
"updated": 1610223130690
},
{
@@ -279,7 +279,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.episode.candle.max.value >=\ntradingEngineOrder.actualRate.value",
"text": "tradingEngine.tradingCurrent.episode.candle.max.value >=\ntradingEngineOrder.actualRate.value",
"updated": 1610223149566
},
{
Projects/Superalgos/Schemas/Docs-Topics/order-management-012-accounting.json
+8 -8
View File
@@ -82,7 +82,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.episode.episodeBaseAsset.balance.value =\ntradingEngine.current.episode.episodeBaseAsset.balance.value +\npreviousBaseAssetSizeFilled",
"text": "tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value =\ntradingEngine.current.episode.episodeBaseAsset.balance.value +\npreviousBaseAssetSizeFilled",
"updated": 1610224035951
},
{
@@ -92,7 +92,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.episode.episodeBaseAsset.balance.value =\ntradingEngine.current.episode.episodeBaseAsset.balance.value -\ntradingEngineOrder.orderBaseAsset.sizeFilled.value",
"text": "tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value =\ntradingEngine.current.episode.episodeBaseAsset.balance.value -\ntradingEngineOrder.orderBaseAsset.sizeFilled.value",
"updated": 1610224081072
},
{
@@ -102,7 +102,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.episode.episodeQuotedAsset.balance.value =\ntradingEngine.current.episode.episodeQuotedAsset.balance.value -\npreviousQuotedAssetSizeFilled +\npreviousQuotedAssetFeesPaid",
"text": "tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value =\ntradingEngine.current.episode.episodeQuotedAsset.balance.value -\npreviousQuotedAssetSizeFilled +\npreviousQuotedAssetFeesPaid",
"updated": 1610224107848
},
{
@@ -112,7 +112,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.episode.episodeQuotedAsset.balance.value =\ntradingEngine.current.episode.episodeQuotedAsset.balance.value +\ntradingEngineOrder.orderQuotedAsset.sizeFilled.value -\ntradingEngineOrder.orderQuotedAsset.feesPaid.value",
"text": "tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value =\ntradingEngine.current.episode.episodeQuotedAsset.balance.value +\ntradingEngineOrder.orderQuotedAsset.sizeFilled.value -\ntradingEngineOrder.orderQuotedAsset.feesPaid.value",
"updated": 1610224148958
},
{
@@ -126,7 +126,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.episode.episodeBaseAsset.balance.value =\ntradingEngine.current.episode.episodeBaseAsset.balance.value -\npreviousBaseAssetSizeFilled +\npreviousBaseAssetFeesPaid",
"text": "tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value =\ntradingEngine.current.episode.episodeBaseAsset.balance.value -\npreviousBaseAssetSizeFilled +\npreviousBaseAssetFeesPaid",
"updated": 1610224182969
},
{
@@ -136,7 +136,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.episode.episodeBaseAsset.balance.value =\ntradingEngine.current.episode.episodeBaseAsset.balance.value +\ntradingEngineOrder.orderBaseAsset.sizeFilled.value -\ntradingEngineOrder.orderBaseAsset.feesPaid.value",
"text": "tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value =\ntradingEngine.current.episode.episodeBaseAsset.balance.value +\ntradingEngineOrder.orderBaseAsset.sizeFilled.value -\ntradingEngineOrder.orderBaseAsset.feesPaid.value",
"updated": 1610224202075
},
{
@@ -146,7 +146,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.episode.episodeQuotedAsset.balance.value =\ntradingEngine.current.episode.episodeQuotedAsset.balance.value +\npreviousQuotedAssetSizeFilled",
"text": "tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value =\ntradingEngine.current.episode.episodeQuotedAsset.balance.value +\npreviousQuotedAssetSizeFilled",
"updated": 1610224219415
},
{
@@ -156,7 +156,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.episode.episodeQuotedAsset.balance.value =\ntradingEngine.current.episode.episodeQuotedAsset.balance.value -\ntradingEngineOrder.orderQuotedAsset.sizeFilled.value",
"text": "tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value =\ntradingEngine.current.episode.episodeQuotedAsset.balance.value -\ntradingEngineOrder.orderQuotedAsset.sizeFilled.value",
"updated": 1610224237924
},
{
Projects/Superalgos/Schemas/Docs-Topics/trading-engine-004-temporal-context-current-and-last.json
+4 -4
View File
@@ -26,17 +26,17 @@
},
{
"style": "Title",
"text": "Current",
"text": "Trading Current",
"updated": 1611254496763
},
{
"style": "Include",
"text": "Superalgos->Node->Current->Definition",
"text": "Superalgos->Node->Trading Current->Definition",
"updated": 1611254540559
},
{
"style": "Include",
"text": "Superalgos->Node->Current->Content"
"text": "Superalgos->Node->Trading Current->Content"
},
{
"style": "Include",
@@ -45,7 +45,7 @@
},
{
"style": "Hierarchy",
"text": "Superalgos->Current->2",
"text": "Superalgos->Trading Current->2",
"updated": 1611254736085
},
{
Projects/Superalgos/Schemas/Docs-Topics/trading-logic-003-accessing-runtime-data.json
+3 -3
View File
@@ -19,7 +19,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.strategyOpenStage.begin.value"
"text": "tradingEngine.tradingCurrent.strategyOpenStage.begin.value"
},
{
"style": "Text",
@@ -28,7 +28,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.strategyOpenStage.stageQuotedAsset.targetSize.value"
"text": "tradingEngine.tradingCurrent.strategyOpenStage.stageQuotedAsset.targetSize.value"
},
{
"style": "Note",
@@ -62,7 +62,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.position.entryTargetRate.value * 1.03",
"text": "tradingEngine.tradingCurrent.position.entryTargetRate.value * 1.03",
"updated": 1610216926922
},
{
Projects/Superalgos/Schemas/Docs-Topics/trading-logic-004-accessing-trading-system-definitions-and-session-parameters.json
+2 -2
View File
@@ -50,7 +50,7 @@
},
{
"style": "Javascript",
"text": "\"The condition with the following code: \" + \ntradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].triggerStage.takePositionEvent.situations[0].conditions[0].code +\n\" triggered the take position event.\"",
"text": "\"The condition with the following code: \" + \ntradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value].triggerStage.takePositionEvent.situations[0].conditions[0].code +\n\" triggered the take position event.\"",
"updated": 1610217276846
},
{
@@ -60,7 +60,7 @@
},
{
"style": "Javascript",
"text": "[tradingEngine.current.strategy.index.value]"
"text": "[tradingEngine.tradingCurrent.strategy.index.value]"
},
{
"style": "Text",
Projects/Superalgos/Schemas/Docs-Tutorials/testing-a-trading-idea-the-other-stages-012-tutorial-step-copy-the-nodes-path.json
+1 -1
View File
@@ -16,7 +16,7 @@
},
{
"style": "Text",
"text": "The following string should end up in your clipboard:<br/>tradingEngine.current.episode.<br/>episodeBaseAsset.balance.value"
"text": "The following string should end up in your clipboard:<br/>tradingEngine.tradingCurrent.episode.<br/>episodeBaseAsset.balance.value"
},
{
"style": "Note",
Projects/Superalgos/Schemas/Docs-Tutorials/testing-a-trading-idea-the-other-stages-029-tutorial-step-entry-target-rate.json
+1 -1
View File
@@ -22,7 +22,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.position.entryTargetRate.value * 1.03"
"text": "tradingEngine.tradingCurrent.position.entryTargetRate.value * 1.03"
},
{
"style": "Success",
Projects/Superalgos/Schemas/Docs-Tutorials/testing-a-trading-idea-the-other-stages-030-tutorial-step-managed-take-profit.json
+1 -1
View File
@@ -17,7 +17,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.position.entryTargetRate.value * 0.9"
"text": "tradingEngine.tradingCurrent.position.entryTargetRate.value * 0.9"
},
{
"style": "Callout",
Projects/Superalgos/Schemas/Docs-Tutorials/testing-a-trading-idea-the-other-stages-035-tutorial-step-target-size-in-quoted-asset.json
+1 -1
View File
@@ -25,7 +25,7 @@
},
{
"style": "Javascript",
"text": "tradingEngine.current.strategyOpenStage.stageQuotedAsset.sizeFilled.value - \ntradingEngine.current.strategyOpenStage.stageQuotedAsset.feesPaid.value",
"text": "tradingEngine.tradingCurrent.strategyOpenStage.stageQuotedAsset.sizeFilled.value - \ntradingEngine.current.strategyOpenStage.stageQuotedAsset.feesPaid.value",
"updated": 1610473148011
}
]
Projects/Superalgos/Schemas/Docs-Tutorials/trading-bot-layers-012-tutorial-step-et-voilà.json
+1 -1
View File
@@ -5,7 +5,7 @@
"definition": {
"icon": {
"project": "Superalgos",
"name": "current"
"name": "trading-current"
},
"text": "So, we turned on the Episode Counters and the Current Episode layers... let's take a look at the hierarchy..."
},
Projects/Superalgos/Schemas/Docs-Tutorials/welcome-to-superalgos-079-tutorial-step-lets-take-a-peek..json
+1 -1
View File
@@ -21,7 +21,7 @@
},
{
"style": "Text",
"text": "tradingEngine.current.position.exitTargetRate.value"
"text": "tradingEngine.tradingCurrent.position.exitTargetRate.value"
},
{
"style": "Text",
Projects/Superalgos/Schemas/Docs-Tutorials/welcome-to-superalgos-080-tutorial-step-find-the-node-challenge.json
+1 -1
View File
@@ -17,7 +17,7 @@
},
{
"style": "Text",
"text": "tradingEngine.current.position.exitTargetRate.value"
"text": "tradingEngine.tradingCurrent.position.exitTargetRate.value"
},
{
"style": "Callout",
Projects/Superalgos/Schemas/Docs-Tutorials/welcome-to-superalgos-082-tutorial-step-the-coolest-trick.json
+1 -1
View File
@@ -20,7 +20,7 @@
},
{
"style": "List",
"text": "Turn on the Current Position layer on the Trading Engine layers manager. I chose this layer because it corresponds to this section of the hierarchy... tradingEngine.current.position, remember ?",
"text": "Turn on the Current Position layer on the Trading Engine layers manager. I chose this layer because it corresponds to this section of the hierarchy... tradingEngine.tradingCurrent.position, remember ?",
"updated": 1610536718614
},
{
Projects/Superalgos/TS/Bot-Modules/Learning-Bot/Low-Frequency-Learning/LearningEngine.js
+21 -21
View File
@@ -56,36 +56,36 @@ exports.newSuperalgosBotModulesLearningEngine = function (processIndex) {
}
function setCurrentCandle(candle) {
learningEngine.current.episode.candle.begin.value = candle.begin
learningEngine.current.episode.candle.end.value = candle.end
learningEngine.current.episode.candle.open.value = candle.open
learningEngine.current.episode.candle.close.value = candle.close
learningEngine.current.episode.candle.min.value = candle.min
learningEngine.current.episode.candle.max.value = candle.max
learningEngine.learningCurrent.episode.candle.begin.value = candle.begin
learningEngine.learningCurrent.episode.candle.end.value = candle.end
learningEngine.learningCurrent.episode.candle.open.value = candle.open
learningEngine.learningCurrent.episode.candle.close.value = candle.close
learningEngine.learningCurrent.episode.candle.min.value = candle.min
learningEngine.learningCurrent.episode.candle.max.value = candle.max
}
function setCurrentCycle(cycle) {
learningEngine.current.episode.cycle.value = cycle
learningEngine.current.episode.cycle.lastBegin.value = learningEngine.current.episode.cycle.begin.value
learningEngine.current.episode.cycle.lastEnd.value = learningEngine.current.episode.cycle.end.value
learningEngine.learningCurrent.episode.cycle.value = cycle
learningEngine.learningCurrent.episode.cycle.lastBegin.value = learningEngine.learningCurrent.episode.cycle.begin.value
learningEngine.learningCurrent.episode.cycle.lastEnd.value = learningEngine.learningCurrent.episode.cycle.end.value
switch (cycle) {
case 'First': {
learningEngine.current.episode.cycle.begin.value =
learningEngine.current.episode.candle.begin.value +
learningEngine.learningCurrent.episode.cycle.begin.value =
learningEngine.learningCurrent.episode.candle.begin.value +
sessionParameters.timeFrame.config.value
learningEngine.current.episode.cycle.end.value =
learningEngine.current.episode.candle.begin.value +
learningEngine.learningCurrent.episode.cycle.end.value =
learningEngine.learningCurrent.episode.candle.begin.value +
sessionParameters.timeFrame.config.value +
sessionParameters.timeFrame.config.value / 2 - 1
break
}
case 'Second': {
learningEngine.current.episode.cycle.begin.value =
learningEngine.current.episode.candle.begin.value +
learningEngine.learningCurrent.episode.cycle.begin.value =
learningEngine.learningCurrent.episode.candle.begin.value +
sessionParameters.timeFrame.config.value +
sessionParameters.timeFrame.config.value / 2
learningEngine.current.episode.cycle.end.value =
learningEngine.current.episode.candle.begin.value +
learningEngine.learningCurrent.episode.cycle.end.value =
learningEngine.learningCurrent.episode.candle.begin.value +
sessionParameters.timeFrame.config.value +
sessionParameters.timeFrame.config.value * 4 / 4 - 1
break
@@ -96,11 +96,11 @@ exports.newSuperalgosBotModulesLearningEngine = function (processIndex) {
objects starting with lastBegin in zero to being saved on file. For that reason
we will do this:
*/
if (learningEngine.current.episode.cycle.lastBegin.value === 0) {
learningEngine.current.episode.cycle.lastBegin.value = learningEngine.current.episode.cycle.begin.value
if (learningEngine.learningCurrent.episode.cycle.lastBegin.value === 0) {
learningEngine.learningCurrent.episode.cycle.lastBegin.value = learningEngine.learningCurrent.episode.cycle.begin.value
}
if (learningEngine.current.episode.cycle.lastEnd.value === 0) {
learningEngine.current.episode.cycle.lastEnd.value = learningEngine.current.episode.cycle.end.value
if (learningEngine.learningCurrent.episode.cycle.lastEnd.value === 0) {
learningEngine.learningCurrent.episode.cycle.lastEnd.value = learningEngine.learningCurrent.episode.cycle.end.value
}
}
Projects/Superalgos/TS/Bot-Modules/Learning-Bot/Low-Frequency-Learning/LearningEpisode.js
+109 -109
View File
@@ -49,69 +49,69 @@ exports.newSuperalgosBotModulesLearningEpisode = function (processIndex) {
must be opened there, since it might happen that it is looping at the end of the market
or the task / session was restarted. We will only execute if the episode was never opened before.
*/
if (learningEngine.current.episode.begin.value !== learningEngine.current.episode.begin.config.initialValue) { return }
if (learningEngine.learningCurrent.episode.begin.value !== learningEngine.learningCurrent.episode.begin.config.initialValue) { return }
/* Starting begin and end */
learningEngine.current.episode.begin.value = learningEngine.current.episode.candle.begin.value
learningEngine.current.episode.end.value = learningEngine.current.episode.candle.end.value
learningEngine.learningCurrent.episode.begin.value = learningEngine.learningCurrent.episode.candle.begin.value
learningEngine.learningCurrent.episode.end.value = learningEngine.learningCurrent.episode.candle.end.value
/* Getting the begin Balance from the session configuration */
learningEngine.current.episode.episodeBaseAsset.beginBalance.value = sessionParameters.sessionBaseAsset.config.initialBalance
learningEngine.current.episode.episodeQuotedAsset.beginBalance.value = sessionParameters.sessionQuotedAsset.config.initialBalance
learningEngine.learningCurrent.episode.episodeBaseAsset.beginBalance.value = sessionParameters.sessionBaseAsset.config.initialBalance
learningEngine.learningCurrent.episode.episodeQuotedAsset.beginBalance.value = sessionParameters.sessionQuotedAsset.config.initialBalance
/* The current balance is also the begin balance, that is how this starts. */
learningEngine.current.episode.episodeBaseAsset.balance.value = sessionParameters.sessionBaseAsset.config.initialBalance
learningEngine.current.episode.episodeQuotedAsset.balance.value = sessionParameters.sessionQuotedAsset.config.initialBalance
learningEngine.learningCurrent.episode.episodeBaseAsset.balance.value = sessionParameters.sessionBaseAsset.config.initialBalance
learningEngine.learningCurrent.episode.episodeQuotedAsset.balance.value = sessionParameters.sessionQuotedAsset.config.initialBalance
/* Recording the opening at the Learning Engine Data Structure */
learningEngine.current.episode.status.value = 'Open'
learningEngine.current.episode.serialNumber.value = 1
learningEngine.current.episode.identifier.value = TS.projects.superalgos.utilities.miscellaneousFunctions.genereteUniqueId()
learningEngine.current.episode.beginRate.value = learningEngine.current.episode.candle.close.value
learningEngine.learningCurrent.episode.status.value = 'Open'
learningEngine.learningCurrent.episode.serialNumber.value = 1
learningEngine.learningCurrent.episode.identifier.value = TS.projects.superalgos.utilities.miscellaneousFunctions.genereteUniqueId()
learningEngine.learningCurrent.episode.beginRate.value = learningEngine.learningCurrent.episode.candle.close.value
}
function updateExitType(exitType) {
learningEngine.current.episode.exitType.value = exitType
learningEngine.learningCurrent.episode.exitType.value = exitType
}
function closeEpisode() {
learningEngine.current.episode.status.value = 'Closed'
learningEngine.current.episode.end.value = learningEngine.current.episode.candle.end.value
learningEngine.current.episode.endRate.value = learningEngine.current.episode.candle.close.value
learningEngine.current.episode.episodeBaseAsset.endBalance.value = learningEngine.current.episode.episodeBaseAsset.balance.value
learningEngine.current.episode.episodeQuotedAsset.endBalance.value = learningEngine.current.episode.episodeQuotedAsset.balance.value
learningEngine.learningCurrent.episode.status.value = 'Closed'
learningEngine.learningCurrent.episode.end.value = learningEngine.learningCurrent.episode.candle.end.value
learningEngine.learningCurrent.episode.endRate.value = learningEngine.learningCurrent.episode.candle.close.value
learningEngine.learningCurrent.episode.episodeBaseAsset.endBalance.value = learningEngine.learningCurrent.episode.episodeBaseAsset.balance.value
learningEngine.learningCurrent.episode.episodeQuotedAsset.endBalance.value = learningEngine.learningCurrent.episode.episodeQuotedAsset.balance.value
}
function resetEpisode() {
TS.projects.superalgos.globals.processModuleObjects.MODULE_OBJECTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_MODULE_OBJECT.initializeNode(learningEngine.current.episode)
TS.projects.superalgos.globals.processModuleObjects.MODULE_OBJECTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_MODULE_OBJECT.initializeNode(learningEngine.learningCurrent.episode)
}
function updateEnds() {
if (learningEngine.current.episode.status.value === 'Open') {
learningEngine.current.episode.end.value = learningEngine.current.episode.end.value + sessionParameters.timeFrame.config.value
learningEngine.current.episode.endRate.value = learningEngine.current.episode.candle.close.value
learningEngine.current.episode.episodeBaseAsset.endBalance.value = learningEngine.current.episode.episodeBaseAsset.balance.value
learningEngine.current.episode.episodeQuotedAsset.endBalance.value = learningEngine.current.episode.episodeQuotedAsset.balance.value
if (learningEngine.learningCurrent.episode.status.value === 'Open') {
learningEngine.learningCurrent.episode.end.value = learningEngine.learningCurrent.episode.end.value + sessionParameters.timeFrame.config.value
learningEngine.learningCurrent.episode.endRate.value = learningEngine.learningCurrent.episode.candle.close.value
learningEngine.learningCurrent.episode.episodeBaseAsset.endBalance.value = learningEngine.learningCurrent.episode.episodeBaseAsset.balance.value
learningEngine.learningCurrent.episode.episodeQuotedAsset.endBalance.value = learningEngine.learningCurrent.episode.episodeQuotedAsset.balance.value
}
}
function resetLearningEngineDataStructure() {
if (learningEngine.current.episode.status.value === 'Closed') {
if (learningEngine.learningCurrent.episode.status.value === 'Closed') {
resetEpisode()
}
}
function updateCounters() {
if (learningEngine.current.episode.status.value === 'Open') {
learningEngine.current.episode.episodeCounters.periods.value++
if (learningEngine.learningCurrent.episode.status.value === 'Open') {
learningEngine.learningCurrent.episode.episodeCounters.periods.value++
}
}
function updateStatistics() {
/* Daus Calculation */
learningEngine.current.episode.episodeStatistics.days.value =
learningEngine.current.episode.episodeCounters.periods.value *
learningEngine.learningCurrent.episode.episodeStatistics.days.value =
learningEngine.learningCurrent.episode.episodeCounters.periods.value *
sessionParameters.timeFrame.config.value /
TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS
}
@@ -123,45 +123,45 @@ exports.newSuperalgosBotModulesLearningEpisode = function (processIndex) {
function calculateAssetsStatistics() {
/* Updating Profit Loss */
learningEngine.current.episode.episodeBaseAsset.profitLoss.value =
learningEngine.current.episode.episodeBaseAsset.balance.value -
learningEngine.learningCurrent.episode.episodeBaseAsset.profitLoss.value =
learningEngine.learningCurrent.episode.episodeBaseAsset.balance.value -
sessionParameters.sessionBaseAsset.config.initialBalance
learningEngine.current.episode.episodeQuotedAsset.profitLoss.value =
learningEngine.current.episode.episodeQuotedAsset.balance.value -
learningEngine.learningCurrent.episode.episodeQuotedAsset.profitLoss.value =
learningEngine.learningCurrent.episode.episodeQuotedAsset.balance.value -
sessionParameters.sessionQuotedAsset.config.initialBalance
learningEngine.current.episode.episodeBaseAsset.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.current.episode.episodeBaseAsset.profitLoss.value, 10)
learningEngine.current.episode.episodeQuotedAsset.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.current.episode.episodeQuotedAsset.profitLoss.value, 10)
learningEngine.learningCurrent.episode.episodeBaseAsset.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.learningCurrent.episode.episodeBaseAsset.profitLoss.value, 10)
learningEngine.learningCurrent.episode.episodeQuotedAsset.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.learningCurrent.episode.episodeQuotedAsset.profitLoss.value, 10)
/*
Updating ROI
https://www.investopedia.com/articles/basics/10/guide-to-calculating-roi.asp
*/
learningEngine.current.episode.episodeBaseAsset.ROI.value =
learningEngine.current.episode.episodeBaseAsset.profitLoss.value /
learningEngine.current.episode.episodeBaseAsset.beginBalance.value * 100
learningEngine.learningCurrent.episode.episodeBaseAsset.ROI.value =
learningEngine.learningCurrent.episode.episodeBaseAsset.profitLoss.value /
learningEngine.learningCurrent.episode.episodeBaseAsset.beginBalance.value * 100
learningEngine.current.episode.episodeQuotedAsset.ROI.value =
learningEngine.current.episode.episodeQuotedAsset.profitLoss.value /
learningEngine.current.episode.episodeQuotedAsset.beginBalance.value * 100
learningEngine.learningCurrent.episode.episodeQuotedAsset.ROI.value =
learningEngine.learningCurrent.episode.episodeQuotedAsset.profitLoss.value /
learningEngine.learningCurrent.episode.episodeQuotedAsset.beginBalance.value * 100
learningEngine.current.episode.episodeBaseAsset.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.current.episode.episodeBaseAsset.ROI.value, 10)
learningEngine.current.episode.episodeQuotedAsset.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.current.episode.episodeQuotedAsset.ROI.value, 10)
learningEngine.learningCurrent.episode.episodeBaseAsset.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.learningCurrent.episode.episodeBaseAsset.ROI.value, 10)
learningEngine.learningCurrent.episode.episodeQuotedAsset.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.learningCurrent.episode.episodeQuotedAsset.ROI.value, 10)
/* Updating Hit Ratio */
if (learningEngine.current.episode.episodeCounters.positions.value > 0) {
learningEngine.current.episode.episodeBaseAsset.hitRatio.value =
learningEngine.current.episode.episodeBaseAsset.hits.value /
learningEngine.current.episode.episodeCounters.positions.value
if (learningEngine.learningCurrent.episode.episodeCounters.positions.value > 0) {
learningEngine.learningCurrent.episode.episodeBaseAsset.hitRatio.value =
learningEngine.learningCurrent.episode.episodeBaseAsset.hits.value /
learningEngine.learningCurrent.episode.episodeCounters.positions.value
learningEngine.current.episode.episodeQuotedAsset.hitRatio.value =
learningEngine.current.episode.episodeQuotedAsset.hits.value /
learningEngine.current.episode.episodeCounters.positions.value
learningEngine.learningCurrent.episode.episodeQuotedAsset.hitRatio.value =
learningEngine.learningCurrent.episode.episodeQuotedAsset.hits.value /
learningEngine.learningCurrent.episode.episodeCounters.positions.value
learningEngine.current.episode.episodeBaseAsset.hitRatio.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.current.episode.episodeBaseAsset.hitRatio.value, 10)
learningEngine.current.episode.episodeQuotedAsset.hitRatio.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.current.episode.episodeQuotedAsset.hitRatio.value, 10)
learningEngine.learningCurrent.episode.episodeBaseAsset.hitRatio.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.learningCurrent.episode.episodeBaseAsset.hitRatio.value, 10)
learningEngine.learningCurrent.episode.episodeQuotedAsset.hitRatio.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.learningCurrent.episode.episodeQuotedAsset.hitRatio.value, 10)
}
/*
@@ -169,94 +169,94 @@ exports.newSuperalgosBotModulesLearningEpisode = function (processIndex) {
https://www.investopedia.com/terms/a/annualized-rate.asp
*/
learningEngine.current.episode.episodeBaseAsset.annualizedRateOfReturn.value =
learningEngine.learningCurrent.episode.episodeBaseAsset.annualizedRateOfReturn.value =
Math.pow(
(
learningEngine.current.episode.episodeBaseAsset.beginBalance.value +
learningEngine.current.episode.episodeBaseAsset.profitLoss.value
) / learningEngine.current.episode.episodeBaseAsset.beginBalance.value
learningEngine.learningCurrent.episode.episodeBaseAsset.beginBalance.value +
learningEngine.learningCurrent.episode.episodeBaseAsset.profitLoss.value
) / learningEngine.learningCurrent.episode.episodeBaseAsset.beginBalance.value
,
(365 / learningEngine.current.episode.episodeStatistics.days.value)
(365 / learningEngine.learningCurrent.episode.episodeStatistics.days.value)
) - 1
learningEngine.current.episode.episodeQuotedAsset.annualizedRateOfReturn.value =
learningEngine.learningCurrent.episode.episodeQuotedAsset.annualizedRateOfReturn.value =
Math.pow(
(
learningEngine.current.episode.episodeQuotedAsset.beginBalance.value +
learningEngine.current.episode.episodeQuotedAsset.profitLoss.value
) / learningEngine.current.episode.episodeQuotedAsset.beginBalance.value
learningEngine.learningCurrent.episode.episodeQuotedAsset.beginBalance.value +
learningEngine.learningCurrent.episode.episodeQuotedAsset.profitLoss.value
) / learningEngine.learningCurrent.episode.episodeQuotedAsset.beginBalance.value
,
(365 / learningEngine.current.episode.episodeStatistics.days.value)
(365 / learningEngine.learningCurrent.episode.episodeStatistics.days.value)
) - 1
learningEngine.current.episode.episodeBaseAsset.annualizedRateOfReturn.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.current.episode.episodeBaseAsset.annualizedRateOfReturn.value, 10)
learningEngine.current.episode.episodeQuotedAsset.annualizedRateOfReturn.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.current.episode.episodeQuotedAsset.annualizedRateOfReturn.value, 10)
learningEngine.learningCurrent.episode.episodeBaseAsset.annualizedRateOfReturn.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.learningCurrent.episode.episodeBaseAsset.annualizedRateOfReturn.value, 10)
learningEngine.learningCurrent.episode.episodeQuotedAsset.annualizedRateOfReturn.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.learningCurrent.episode.episodeQuotedAsset.annualizedRateOfReturn.value, 10)
/* Updating Hit or Fail */
if (learningEngine.current.episode.episodeBaseAsset.profitLoss.value > 0) {
learningEngine.current.episode.episodeBaseAsset.hitFail.value = 'Hit'
if (learningEngine.learningCurrent.episode.episodeBaseAsset.profitLoss.value > 0) {
learningEngine.learningCurrent.episode.episodeBaseAsset.hitFail.value = 'Hit'
} else {
learningEngine.current.episode.episodeBaseAsset.hitFail.value = 'Fail'
learningEngine.learningCurrent.episode.episodeBaseAsset.hitFail.value = 'Fail'
}
if (learningEngine.current.episode.episodeQuotedAsset.profitLoss.value > 0) {
learningEngine.current.episode.episodeQuotedAsset.hitFail.value = 'Hit'
if (learningEngine.learningCurrent.episode.episodeQuotedAsset.profitLoss.value > 0) {
learningEngine.learningCurrent.episode.episodeQuotedAsset.hitFail.value = 'Hit'
} else {
learningEngine.current.episode.episodeQuotedAsset.hitFail.value = 'Fail'
learningEngine.learningCurrent.episode.episodeQuotedAsset.hitFail.value = 'Fail'
}
}
function calculateEpisodeStatistics() {
/* Updating Profit Loss */
learningEngine.current.episode.episodeStatistics.profitLoss.value =
learningEngine.current.episode.episodeBaseAsset.profitLoss.value * learningEngine.current.episode.candle.close.value +
learningEngine.current.episode.episodeQuotedAsset.profitLoss.value
learningEngine.learningCurrent.episode.episodeStatistics.profitLoss.value =
learningEngine.learningCurrent.episode.episodeBaseAsset.profitLoss.value * learningEngine.learningCurrent.episode.candle.close.value +
learningEngine.learningCurrent.episode.episodeQuotedAsset.profitLoss.value
learningEngine.current.episode.episodeStatistics.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.current.episode.episodeStatistics.profitLoss.value, 10)
learningEngine.learningCurrent.episode.episodeStatistics.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.learningCurrent.episode.episodeStatistics.profitLoss.value, 10)
/*
Updating ROI
https://www.investopedia.com/articles/basics/10/guide-to-calculating-roi.asp
*/
learningEngine.current.episode.episodeStatistics.ROI.value =
learningEngine.learningCurrent.episode.episodeStatistics.ROI.value =
(
learningEngine.current.episode.episodeBaseAsset.profitLoss.value * learningEngine.current.episode.endRate.value +
learningEngine.current.episode.episodeQuotedAsset.profitLoss.value
learningEngine.learningCurrent.episode.episodeBaseAsset.profitLoss.value * learningEngine.learningCurrent.episode.endRate.value +
learningEngine.learningCurrent.episode.episodeQuotedAsset.profitLoss.value
) / (
learningEngine.current.episode.episodeBaseAsset.beginBalance.value * learningEngine.current.episode.beginRate.value +
learningEngine.current.episode.episodeQuotedAsset.beginBalance.value
learningEngine.learningCurrent.episode.episodeBaseAsset.beginBalance.value * learningEngine.learningCurrent.episode.beginRate.value +
learningEngine.learningCurrent.episode.episodeQuotedAsset.beginBalance.value
) * 100
learningEngine.current.episode.episodeStatistics.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.current.episode.episodeStatistics.ROI.value, 10)
learningEngine.learningCurrent.episode.episodeStatistics.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.learningCurrent.episode.episodeStatistics.ROI.value, 10)
/*
Updating Annualized Rate Of Return
https://www.investopedia.com/terms/a/annualized-rate.asp
*/
learningEngine.current.episode.episodeStatistics.annualizedRateOfReturn.value =
learningEngine.learningCurrent.episode.episodeStatistics.annualizedRateOfReturn.value =
Math.pow(
(
learningEngine.current.episode.episodeBaseAsset.beginBalance.value * learningEngine.current.episode.beginRate.value +
learningEngine.current.episode.episodeQuotedAsset.beginBalance.value +
learningEngine.current.episode.episodeBaseAsset.profitLoss.value +
learningEngine.current.episode.episodeQuotedAsset.profitLoss.value
learningEngine.learningCurrent.episode.episodeBaseAsset.beginBalance.value * learningEngine.learningCurrent.episode.beginRate.value +
learningEngine.learningCurrent.episode.episodeQuotedAsset.beginBalance.value +
learningEngine.learningCurrent.episode.episodeBaseAsset.profitLoss.value +
learningEngine.learningCurrent.episode.episodeQuotedAsset.profitLoss.value
) /
(
learningEngine.current.episode.episodeBaseAsset.beginBalance.value * learningEngine.current.episode.beginRate.value +
learningEngine.current.episode.episodeQuotedAsset.beginBalance.value
learningEngine.learningCurrent.episode.episodeBaseAsset.beginBalance.value * learningEngine.learningCurrent.episode.beginRate.value +
learningEngine.learningCurrent.episode.episodeQuotedAsset.beginBalance.value
)
,
(365 / learningEngine.current.episode.episodeStatistics.days.value)
(365 / learningEngine.learningCurrent.episode.episodeStatistics.days.value)
) - 1
learningEngine.current.episode.episodeStatistics.annualizedRateOfReturn.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.current.episode.episodeStatistics.annualizedRateOfReturn.value, 10)
learningEngine.learningCurrent.episode.episodeStatistics.annualizedRateOfReturn.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(learningEngine.learningCurrent.episode.episodeStatistics.annualizedRateOfReturn.value, 10)
/* Updating Hit or Fail */
if (learningEngine.current.episode.episodeStatistics.profitLoss.value > 0) {
learningEngine.current.episode.episodeStatistics.hitFail.value = 'Hit'
if (learningEngine.learningCurrent.episode.episodeStatistics.profitLoss.value > 0) {
learningEngine.learningCurrent.episode.episodeStatistics.hitFail.value = 'Hit'
} else {
learningEngine.current.episode.episodeStatistics.hitFail.value = 'Fail'
learningEngine.learningCurrent.episode.episodeStatistics.hitFail.value = 'Fail'
}
}
}
@@ -264,57 +264,57 @@ exports.newSuperalgosBotModulesLearningEpisode = function (processIndex) {
function updateDistanceToEventsCounters() {
/* Keeping Distance Counters Up-to-date while avoinding counting before the first event happens. */
if (
learningEngine.current.episode.distanceToEvent.triggerOn.value > 0
learningEngine.learningCurrent.episode.distanceToEvent.triggerOn.value > 0
) {
learningEngine.current.episode.distanceToEvent.triggerOn.value++
learningEngine.learningCurrent.episode.distanceToEvent.triggerOn.value++
}
if (
learningEngine.current.episode.distanceToEvent.triggerOff.value > 0
learningEngine.learningCurrent.episode.distanceToEvent.triggerOff.value > 0
) {
learningEngine.current.episode.distanceToEvent.triggerOff.value++
learningEngine.learningCurrent.episode.distanceToEvent.triggerOff.value++
}
if (
learningEngine.current.episode.distanceToEvent.takePosition.value > 0
learningEngine.learningCurrent.episode.distanceToEvent.takePosition.value > 0
) {
learningEngine.current.episode.distanceToEvent.takePosition.value++
learningEngine.learningCurrent.episode.distanceToEvent.takePosition.value++
}
if (
learningEngine.current.episode.distanceToEvent.closePosition.value > 0
learningEngine.learningCurrent.episode.distanceToEvent.closePosition.value > 0
) {
learningEngine.current.episode.distanceToEvent.closePosition.value++
learningEngine.learningCurrent.episode.distanceToEvent.closePosition.value++
}
if (
learningEngine.current.episode.distanceToEvent.nextPhase.value > 0
learningEngine.learningCurrent.episode.distanceToEvent.nextPhase.value > 0
) {
learningEngine.current.episode.distanceToEvent.nextPhase.value++
learningEngine.learningCurrent.episode.distanceToEvent.nextPhase.value++
}
if (
learningEngine.current.episode.distanceToEvent.moveToPhase.value > 0
learningEngine.learningCurrent.episode.distanceToEvent.moveToPhase.value > 0
) {
learningEngine.current.episode.distanceToEvent.moveToPhase.value++
learningEngine.learningCurrent.episode.distanceToEvent.moveToPhase.value++
}
if (
learningEngine.current.episode.distanceToEvent.createOrder.value > 0
learningEngine.learningCurrent.episode.distanceToEvent.createOrder.value > 0
) {
learningEngine.current.episode.distanceToEvent.createOrder.value++
learningEngine.learningCurrent.episode.distanceToEvent.createOrder.value++
}
if (
learningEngine.current.episode.distanceToEvent.cancelOrder.value > 0
learningEngine.learningCurrent.episode.distanceToEvent.cancelOrder.value > 0
) {
learningEngine.current.episode.distanceToEvent.cancelOrder.value++
learningEngine.learningCurrent.episode.distanceToEvent.cancelOrder.value++
}
if (
learningEngine.current.episode.distanceToEvent.closeOrder.value > 0
learningEngine.learningCurrent.episode.distanceToEvent.closeOrder.value > 0
) {
learningEngine.current.episode.distanceToEvent.closeOrder.value++
learningEngine.learningCurrent.episode.distanceToEvent.closeOrder.value++
}
}
}
Projects/Superalgos/TS/Bot-Modules/Learning-Bot/Low-Frequency-Learning/LearningProcess.js
+4 -4
View File
@@ -57,7 +57,7 @@
This variable tell us which day we are standing at, specially while working
with Daily Files. From this Date is that we are going to load the Daily Files.
*/
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.learningEngine.current.episode.processDate.value =
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.learningEngine.learningCurrent.episode.processDate.value =
TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.learningParameters.timeRange.config.initialDatetime).valueOf()
}
@@ -70,7 +70,7 @@
the simulation loop, once we discover that all candles from a certain date have benn processed.
Here is the point where we sync one and the other.
*/
let learningProcessDate = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.learningEngine.current.episode.processDate.value)
let learningProcessDate = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.learningEngine.learningCurrent.episode.processDate.value)
if (
await TS.projects.superalgos.functionLibraries.dataDependenciesFunctions.processSingleFiles(
@@ -151,7 +151,7 @@
use it to save Output Files and later the Data Ranges. This is the point where
the date calculated by the Simulation is applied at the Learning Process Level.
*/
learningProcessDate = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.learningEngine.current.episode.processDate.value)
learningProcessDate = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.learningEngine.learningCurrent.episode.processDate.value)
if (checkStopTaskGracefully() === false) { break }
if (checkStopProcessing() === false) { break }
@@ -240,7 +240,7 @@
indicators to be built and continue the processing once this process is called
again.
*/
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.learningEngine.current.episode.headOfTheMarket.value === true) {
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.learningEngine.learningCurrent.episode.headOfTheMarket.value === true) {
return false
}
}
Projects/Superalgos/TS/Bot-Modules/Learning-Bot/Low-Frequency-Learning/LearningRecords.js
+4 -4
View File
@@ -58,13 +58,13 @@ exports.newSuperalgosBotModulesLearningRecords = function (processIndex) {
There are a few products configured to be saved only at an specific cycle.
*/
if (product.config.saveAtCycle !== undefined) {
if (learningEngine.current.episode.cycle.value !== product.config.saveAtCycle) {
if (learningEngine.learningCurrent.episode.cycle.value !== product.config.saveAtCycle) {
return
}
}
/* Clean the file from information of previous executions */
//pruneOutputFile(product, outputDatasetArray, learningEngine.current.episode.candle.end.value)
//pruneOutputFile(product, outputDatasetArray, learningEngine.learningCurrent.episode.candle.end.value)
/* Clean Open Records */
if (product.config.saveAsObjects === true) {
@@ -256,8 +256,8 @@ exports.newSuperalgosBotModulesLearningRecords = function (processIndex) {
of the day? Easy: the end of the candle must be 1 millisecod before the next day. That happens at any
time frame.
*/
let currentDay = new Date(learningEngine.current.episode.candle.end.value)
let nextDay = new Date(learningEngine.current.episode.candle.end.value + 1)
let currentDay = new Date(learningEngine.learningCurrent.episode.candle.end.value)
let nextDay = new Date(learningEngine.learningCurrent.episode.candle.end.value + 1)
if (currentDay.getUTCDate() !== nextDay.getUTCDate()) {
/*
We will save the object only if it is closed, becasuse we are at the last candle of the day.
Projects/Superalgos/TS/Bot-Modules/Learning-Bot/Low-Frequency-Learning/LearningSimulation.js
+35 -35
View File
@@ -55,7 +55,7 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
let dailyCandles = []
for (let i = 0; i < candles.length; i++) {
let candle = candles[i]
if (candle.begin >= TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.learningEngine.current.episode.processDate.value) {
if (candle.begin >= TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.learningEngine.learningCurrent.episode.processDate.value) {
dailyCandles.push(candle)
}
}
@@ -99,7 +99,7 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
In this case we already have at the last candle index the next candle to be
processed. We will just continue with this candle.
*/
initialCandle = learningEngine.current.episode.candle.index.value
initialCandle = learningEngine.learningCurrent.episode.candle.index.value
}
/*
Main Simulation Loop
@@ -113,7 +113,7 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
loop is not empty, then the lascCandle() check will override this value
depending on if we really are at the head of the market or not.
*/
learningEngine.current.episode.headOfTheMarket.value = true
learningEngine.learningCurrent.episode.headOfTheMarket.value = true
/*
This is the main simulation loop. It will go through the initial candle
until one less than the last candle available. We will never process the last
@@ -121,10 +121,10 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
that still can change. So effectively will be processing all closed candles.
*/
for (let i = initialCandle; i < candles.length - 1; i++) {
learningEngine.current.episode.candle.index.value = i
learningEngine.learningCurrent.episode.candle.index.value = i
/* This is the current candle the Simulation is working at. */
let candle = candles[learningEngine.current.episode.candle.index.value]
let candle = candles[learningEngine.learningCurrent.episode.candle.index.value]
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME,
'[INFO] runSimulation -> loop -> Candle Begin @ ' + (new Date(candle.begin)).toUTCString())
@@ -210,7 +210,7 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
learningEpisodeModuleObject.reset()
TS.projects.superalgos.globals.processModuleObjects.MODULE_OBJECTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_MODULE_OBJECT.reset()
let infoMessage = 'Processing candle # ' + learningEngine.current.episode.candle.index.value + ' @ the ' + learningEngine.current.episode.cycle.value + ' cycle.'
let infoMessage = 'Processing candle # ' + learningEngine.learningCurrent.episode.candle.index.value + ' @ the ' + learningEngine.learningCurrent.episode.cycle.value + ' cycle.'
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME,
'[INFO] runSimulation -> loop -> ' + infoMessage)
@@ -222,8 +222,8 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
}
contextInfo = {
candleIndex: learningEngine.current.episode.candle.index.value,
cycle: learningEngine.current.episode.cycle.value
candleIndex: learningEngine.learningCurrent.episode.candle.index.value,
cycle: learningEngine.learningCurrent.episode.cycle.value
}
TS.projects.superalgos.utilities.docsFunctions.buildPlaceholder(docs, undefined, undefined, undefined, undefined, undefined, contextInfo)
@@ -302,7 +302,7 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
if (sessionParameters.heartbeats.config.date === true || sessionParameters.heartbeats.config.candleIndex === true) {
/* We will produce a simulation level heartbeat in order to inform the user this is running. */
heartBeatDate = new Date(Math.trunc(learningEngine.current.episode.candle.begin.value / TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS) * TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS)
heartBeatDate = new Date(Math.trunc(learningEngine.learningCurrent.episode.candle.begin.value / TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS) * TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS)
let fromDate = new Date(sessionParameters.timeRange.config.initialDatetime)
let lastDate = new Date(sessionParameters.timeRange.config.finalDatetime)
@@ -320,7 +320,7 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
let processingDate = heartBeatDate.getUTCFullYear() + '-' + TS.projects.superalgos.utilities.miscellaneousFunctions.pad(heartBeatDate.getUTCMonth() + 1, 2) + '-' + TS.projects.superalgos.utilities.miscellaneousFunctions.pad(heartBeatDate.getUTCDate(), 2)
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME,
'[INFO] runSimulation -> loop -> Simulation ' + TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_KEY + ' Loop # ' + learningEngine.current.episode.candle.index.value + ' @ ' + processingDate)
'[INFO] runSimulation -> loop -> Simulation ' + TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_KEY + ' Loop # ' + learningEngine.learningCurrent.episode.candle.index.value + ' @ ' + processingDate)
/* Logging to console and disk */
if (TS.projects.superalgos.utilities.dateTimeFunctions.areTheseDatesEqual(currentDate, new Date()) === false) {
@@ -344,7 +344,7 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
if (sessionParameters.heartbeats.config.date === true) {
hartbeatText = hartbeatText + currentDateString
}
hartbeatText = hartbeatText + ' Candle # ' + learningEngine.current.episode.candle.index.value
hartbeatText = hartbeatText + ' Candle # ' + learningEngine.learningCurrent.episode.candle.index.value
TS.projects.superalgos.functionLibraries.processFunctions.processHeartBeat(processIndex, hartbeatText, percentage)
}
}
@@ -448,15 +448,15 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
for (let i = 0; i < pArray.length; i++) {
element = pArray[i]
if (learningEngine.current.episode.candle.end.value === element.end) { // when there is an exact match at the end we take that element
if (learningEngine.learningCurrent.episode.candle.end.value === element.end) { // when there is an exact match at the end we take that element
return element
} else {
if (
i > 0 &&
element.end > learningEngine.current.episode.candle.end.value
element.end > learningEngine.learningCurrent.episode.candle.end.value
) {
let previousElement = pArray[i - 1]
if (previousElement.end < learningEngine.current.episode.candle.end.value) {
if (previousElement.end < learningEngine.learningCurrent.episode.candle.end.value) {
return previousElement // If one elements goes into the future of currentCandle, then we stop and take the previous element.
} else {
return
@@ -485,7 +485,7 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
The second +1 is because we need to compare the next candle (remember that the loops allways avoid the
last candle of the dataset available.)
*/
if (learningEngine.current.episode.candle.index.value + 1 + 1 === candles.length) {
if (learningEngine.learningCurrent.episode.candle.index.value + 1 + 1 === candles.length) {
/*
When processing daily files, we need a mechanism to turn from one day to the next one.
That mechanism is the one implemented here. If we detect that the next candle is the last candle of
@@ -495,7 +495,7 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
let candlesPerDay = TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS / sessionParameters.timeFrame.config.value
if (
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_PROCESSING_DAILY_FILES &&
learningEngine.current.episode.candle.index.value + 1 + 1 === candlesPerDay
learningEngine.learningCurrent.episode.candle.index.value + 1 + 1 === candlesPerDay
) {
/*
Here we found that the next candle of the dataset is the last candle of the day.
@@ -504,9 +504,9 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
the first candle of the new dataset we shall receive. The first candle of the next day starts
at index 0, so we will position the index now at zero.
*/
learningEngine.current.episode.candle.index.value = 0
learningEngine.current.episode.processDate.value =
learningEngine.current.episode.processDate.value + TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS
learningEngine.learningCurrent.episode.candle.index.value = 0
learningEngine.learningCurrent.episode.processDate.value =
learningEngine.learningCurrent.episode.processDate.value + TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS
return false
}
@@ -516,21 +516,21 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
next execution it will likely have more candles at the dataset. And if it does not,
it will just wait there until it does.
*/
learningEngine.current.episode.headOfTheMarket.value = true
learningEngine.current.episode.candle.index.value++
learningEngine.learningCurrent.episode.headOfTheMarket.value = true
learningEngine.learningCurrent.episode.candle.index.value++
return false
} else {
/* Wd did not reach the head of the market */
learningEngine.current.episode.headOfTheMarket.value = false
learningEngine.current.episode.candle.index.value++
learningEngine.learningCurrent.episode.headOfTheMarket.value = false
learningEngine.learningCurrent.episode.candle.index.value++
return true
}
}
function checkInitialDatetime() {
/* Here we check that the current candle is not before the initial datetime defined at the session parameters.*/
if (learningEngine.current.episode.candle.end.value < sessionParameters.timeRange.config.initialDatetime) {
if (learningEngine.learningCurrent.episode.candle.end.value < sessionParameters.timeRange.config.initialDatetime) {
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME,
'[INFO] runSimulation -> checkInitialAndFinalDatetime -> Skipping Candle before the sessionParameters.timeRange.config.initialDatetime.')
return false
@@ -540,7 +540,7 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
function checkFinalDatetime() {
/* Here we check that the next candle is not after of the user-defined final datetime at the session parameters.*/
if (learningEngine.current.episode.candle.begin.value + sessionParameters.timeFrame.config.value > sessionParameters.timeRange.config.finalDatetime) {
if (learningEngine.learningCurrent.episode.candle.begin.value + sessionParameters.timeFrame.config.value > sessionParameters.timeRange.config.finalDatetime) {
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME,
'[INFO] runSimulation -> checkInitialAndFinalDatetime -> Skipping Candle after the sessionParameters.timeRange.config.finalDatetime.')
return false
@@ -551,17 +551,17 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
function checkMinimunAndMaximunBalance() {
/* Checks for Minimun and Maximun Balance. We do the check while not inside any strategy only. */
if (
learningEngine.current.strategy.index.value === learningEngine.current.strategy.index.config.initialValue
learningEngine.learningCurrent.strategy.index.value === learningEngine.learningCurrent.strategy.index.config.initialValue
) {
/*
We will perform this check only when we are not inside a position,
because there the balances have shifted from their resting position.
*/
let stopRunningDate = (new Date(learningEngine.current.episode.candle.begin.value)).toUTCString()
let stopRunningDate = (new Date(learningEngine.learningCurrent.episode.candle.begin.value)).toUTCString()
if (sessionParameters.sessionBaseAsset.config.minimumBalance !== undefined) {
if (learningEngine.current.episode.episodeBaseAsset.balance.value <= sessionParameters.sessionBaseAsset.config.minimumBalance) {
if (learningEngine.learningCurrent.episode.episodeBaseAsset.balance.value <= sessionParameters.sessionBaseAsset.config.minimumBalance) {
const errorMessage = 'Min Balance reached @ ' + stopRunningDate
let docs = {
@@ -573,7 +573,7 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
let contextInfo = {
timestamp: stopRunningDate,
episodeBaseAssetBalance: learningEngine.current.episode.episodeBaseAsset.balance.value,
episodeBaseAssetBalance: learningEngine.learningCurrent.episode.episodeBaseAsset.balance.value,
sessionBaseAssetMinimumBalance: sessionParameters.sessionBaseAsset.config.minimumBalance
}
@@ -587,7 +587,7 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
}
if (sessionParameters.sessionBaseAsset.config.maximumBalance !== undefined) {
if (learningEngine.current.episode.episodeBaseAsset.balance.value >= sessionParameters.sessionBaseAsset.config.maximumBalance) {
if (learningEngine.learningCurrent.episode.episodeBaseAsset.balance.value >= sessionParameters.sessionBaseAsset.config.maximumBalance) {
const errorMessage = 'Max Balance reached @ ' + stopRunningDate
let docs = {
@@ -599,7 +599,7 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
let contextInfo = {
timestamp: stopRunningDate,
episodeBaseAssetBalance: learningEngine.current.episode.episodeBaseAsset.balance.value,
episodeBaseAssetBalance: learningEngine.learningCurrent.episode.episodeBaseAsset.balance.value,
sessionBaseAssetMaximumBalance: sessionParameters.sessionBaseAsset.config.maximumBalance
}
@@ -613,7 +613,7 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
}
if (sessionParameters.sessionQuotedAsset.config.minimumBalance !== undefined) {
if (learningEngine.current.episode.episodeQuotedAsset.balance.value <= sessionParameters.sessionQuotedAsset.config.minimumBalance) {
if (learningEngine.learningCurrent.episode.episodeQuotedAsset.balance.value <= sessionParameters.sessionQuotedAsset.config.minimumBalance) {
const errorMessage = 'Min Balance reached @ ' + stopRunningDate
let docs = {
@@ -625,7 +625,7 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
let contextInfo = {
timestamp: stopRunningDate,
episodeQuotedAssetBalance: learningEngine.current.episode.episodeQuotedAsset.balance.value,
episodeQuotedAssetBalance: learningEngine.learningCurrent.episode.episodeQuotedAsset.balance.value,
sessionQuotedAssetMinimumBalance: sessionParameters.sessionQuotedAsset.config.minimumBalance
}
@@ -639,7 +639,7 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
}
if (sessionParameters.sessionQuotedAsset.config.maximumBalance !== undefined) {
if (learningEngine.current.episode.episodeQuotedAsset.balance.value >= sessionParameters.sessionQuotedAsset.config.maximumBalance) {
if (learningEngine.learningCurrent.episode.episodeQuotedAsset.balance.value >= sessionParameters.sessionQuotedAsset.config.maximumBalance) {
const errorMessage = 'Max Balance reached @ ' + stopRunningDate
let docs = {
@@ -651,7 +651,7 @@ exports.newSuperalgosBotModulesLearningSimulation = function (processIndex) {
let contextInfo = {
timestamp: stopRunningDate,
episodeQuotedAssetBalance: learningEngine.current.episode.episodeQuotedAsset.balance.value,
episodeQuotedAssetBalance: learningEngine.learningCurrent.episode.episodeQuotedAsset.balance.value,
sessionQuotedAssetMaximumBalance: sessionParameters.sessionQuotedAsset.config.maximumBalance
}
Projects/Superalgos/TS/Bot-Modules/Learning-Bot/Low-Frequency-Learning/LearningSystem.js
+3 -3
View File
@@ -75,7 +75,7 @@ exports.newSuperalgosBotModulesLearningSystem = function (processIndex) {
This rate will later help plotting the error at the
charts.
*/
let rate = learningEngine.current.episode.candle.close.value
let rate = learningEngine.learningCurrent.episode.candle.close.value
errorDataArray.push(rate)
learningSystem.errors.push(errorDataArray)
}
@@ -86,7 +86,7 @@ exports.newSuperalgosBotModulesLearningSystem = function (processIndex) {
This rate will later help plotting the warning at the
charts.
*/
let rate = learningEngine.current.episode.candle.close.value
let rate = learningEngine.learningCurrent.episode.candle.close.value
warningDataArray.push(rate)
learningSystem.warnings.push(warningDataArray)
}
@@ -97,7 +97,7 @@ exports.newSuperalgosBotModulesLearningSystem = function (processIndex) {
This rate will later help plotting the warning at the
charts.
*/
let rate = learningEngine.current.episode.candle.close.value
let rate = learningEngine.learningCurrent.episode.candle.close.value
infoDataArray.push(rate)
learningSystem.infos.push(infoDataArray)
}
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/OrdersSimulations.js
+10 -10
View File
@@ -207,7 +207,7 @@ exports.newSuperalgosBotModulesOrdersSimulations = function (processIndex) {
*/
switch (true) {
case tradingSystemOrder.type === 'Market Buy Order' || tradingSystemOrder.type === 'Limit Buy Order': {
if (tradingEngineOrder.orderStatistics.actualRate.value > tradingEngine.current.episode.candle.max.value) {
if (tradingEngineOrder.orderStatistics.actualRate.value > tradingEngine.tradingCurrent.episode.candle.max.value) {
const message = 'Simulating - Actual Rate Too Hight'
let docs = {
@@ -218,23 +218,23 @@ exports.newSuperalgosBotModulesOrdersSimulations = function (processIndex) {
}
contextInfo = {
previousActualRate: tradingEngineOrder.orderStatistics.actualRate.value,
recalculatedActualRate: tradingEngine.current.episode.candle.max.value
recalculatedActualRate: tradingEngine.tradingCurrent.episode.candle.max.value
}
TS.projects.superalgos.utilities.docsFunctions.buildPlaceholder(docs, undefined, undefined, undefined, undefined, undefined, contextInfo)
tradingSystem.addWarning(
[
[tradingEngineOrder.orderStatistics.actualRate.id, tradingEngine.current.episode.candle.max.id],
[tradingEngineOrder.orderStatistics.actualRate.id, tradingEngine.tradingCurrent.episode.candle.max.id],
message,
docs
]
)
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngine.current.episode.candle.max.value
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngine.tradingCurrent.episode.candle.max.value
}
break
}
case tradingSystemOrder.type === 'Market Sell Order' || tradingSystemOrder.type === 'Limit Sell Order': {
if (tradingEngineOrder.orderStatistics.actualRate.value < tradingEngine.current.episode.candle.min.value) {
if (tradingEngineOrder.orderStatistics.actualRate.value < tradingEngine.tradingCurrent.episode.candle.min.value) {
const message = 'Simulating - Actual Rate Too Low'
let docs = {
@@ -245,18 +245,18 @@ exports.newSuperalgosBotModulesOrdersSimulations = function (processIndex) {
}
contextInfo = {
previousActualRate: tradingEngineOrder.orderStatistics.actualRate.value,
recalculatedActualRate: tradingEngine.current.episode.candle.max.value
recalculatedActualRate: tradingEngine.tradingCurrent.episode.candle.max.value
}
TS.projects.superalgos.utilities.docsFunctions.buildPlaceholder(docs, undefined, undefined, undefined, undefined, undefined, contextInfo)
tradingSystem.addWarning(
[
[tradingEngineOrder.orderStatistics.actualRate.id, tradingEngine.current.episode.candle.min.id],
[tradingEngineOrder.orderStatistics.actualRate.id, tradingEngine.tradingCurrent.episode.candle.min.id],
message,
docs
]
)
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngine.current.episode.candle.min.value
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngine.tradingCurrent.episode.candle.min.value
}
break
}
@@ -390,13 +390,13 @@ exports.newSuperalgosBotModulesOrdersSimulations = function (processIndex) {
let orderWasHit
switch (tradingSystemOrder.type) {
case 'Limit Buy Order': {
if (tradingEngine.current.episode.candle.min.value <= tradingEngineOrder.orderStatistics.actualRate.value) {
if (tradingEngine.tradingCurrent.episode.candle.min.value <= tradingEngineOrder.orderStatistics.actualRate.value) {
orderWasHit = true
}
break
}
case 'Limit Sell Order': {
if (tradingEngine.current.episode.candle.max.value >= tradingEngineOrder.orderStatistics.actualRate.value) {
if (tradingEngine.tradingCurrent.episode.candle.max.value >= tradingEngineOrder.orderStatistics.actualRate.value) {
orderWasHit = true
}
break
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/Snapshots.js
+11 -11
View File
@@ -96,7 +96,7 @@ exports.newSuperalgosBotModulesSnapshots = function (processIndex) {
}
function strategyExit() {
getResults(tradingEngine.current.strategy.begin.value, tradingEngine.current.strategy.end.value)
getResults(tradingEngine.tradingCurrent.strategy.begin.value, tradingEngine.tradingCurrent.strategy.end.value)
let valuesArray = closeValues.concat(strategyValues)
snapshots.strategies.push(valuesArray)
}
@@ -115,7 +115,7 @@ exports.newSuperalgosBotModulesSnapshots = function (processIndex) {
}
function positionExit() {
getResults(tradingEngine.current.position.begin.value, tradingEngine.current.position.end.value)
getResults(tradingEngine.tradingCurrent.position.begin.value, tradingEngine.tradingCurrent.position.end.value)
let valuesArray = closeValues.concat(positionValues)
snapshots.positions.push(valuesArray)
}
@@ -294,17 +294,17 @@ exports.newSuperalgosBotModulesSnapshots = function (processIndex) {
let closeHeaders = ['Trade Number', 'Open Datetime', 'Close Datetime', 'Strategy Name', 'Trigger On Situation', 'Take Position Situation', 'Result In Base Asset', 'Result In Quoted Asset', 'ROI in Base Asset', 'ROI in Quoted Asset', 'Exit Type']
closeValues = [
tradingEngine.current.episode.episodeCounters.positions.value, // Position Number
tradingEngine.tradingCurrent.episode.episodeCounters.positions.value, // Position Number
(new Date(openDatetime)).toISOString(), // Open Datetime
(new Date(closeDatetime)).toISOString(), // Open Datetime
tradingEngine.current.strategy.strategyName.value, // Strategy Name
tradingEngine.current.strategy.situationName.value, // Trigger On Situation
tradingEngine.current.position.situationName.value, // Take Position Situation
tradingEngine.current.position.positionBaseAsset.hitFail.value, // Result in Base Asset
tradingEngine.current.position.positionQuotedAsset.hitFail.value, // Result in Base Asset
tradingEngine.current.position.positionBaseAsset.ROI.value, // ROI in Base Asseet
tradingEngine.current.position.positionQuotedAsset.ROI.value, // ROI in Quoted Asset
tradingEngine.current.position.exitType.value // Exit Type
tradingEngine.tradingCurrent.strategy.strategyName.value, // Strategy Name
tradingEngine.tradingCurrent.strategy.situationName.value, // Trigger On Situation
tradingEngine.tradingCurrent.position.situationName.value, // Take Position Situation
tradingEngine.tradingCurrent.position.positionBaseAsset.hitFail.value, // Result in Base Asset
tradingEngine.tradingCurrent.position.positionQuotedAsset.hitFail.value, // Result in Base Asset
tradingEngine.tradingCurrent.position.positionBaseAsset.ROI.value, // ROI in Base Asseet
tradingEngine.tradingCurrent.position.positionQuotedAsset.ROI.value, // ROI in Quoted Asset
tradingEngine.tradingCurrent.position.exitType.value // Exit Type
]
if (createCloseHeaders === true) {
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingEngine.js
+21 -21
View File
@@ -56,36 +56,36 @@ exports.newSuperalgosBotModulesTradingEngine = function (processIndex) {
}
function setCurrentCandle(candle) {
tradingEngine.current.episode.candle.begin.value = candle.begin
tradingEngine.current.episode.candle.end.value = candle.end
tradingEngine.current.episode.candle.open.value = candle.open
tradingEngine.current.episode.candle.close.value = candle.close
tradingEngine.current.episode.candle.min.value = candle.min
tradingEngine.current.episode.candle.max.value = candle.max
tradingEngine.tradingCurrent.episode.candle.begin.value = candle.begin
tradingEngine.tradingCurrent.episode.candle.end.value = candle.end
tradingEngine.tradingCurrent.episode.candle.open.value = candle.open
tradingEngine.tradingCurrent.episode.candle.close.value = candle.close
tradingEngine.tradingCurrent.episode.candle.min.value = candle.min
tradingEngine.tradingCurrent.episode.candle.max.value = candle.max
}
function setCurrentCycle(cycle) {
tradingEngine.current.episode.cycle.value = cycle
tradingEngine.current.episode.cycle.lastBegin.value = tradingEngine.current.episode.cycle.begin.value
tradingEngine.current.episode.cycle.lastEnd.value = tradingEngine.current.episode.cycle.end.value
tradingEngine.tradingCurrent.episode.cycle.value = cycle
tradingEngine.tradingCurrent.episode.cycle.lastBegin.value = tradingEngine.tradingCurrent.episode.cycle.begin.value
tradingEngine.tradingCurrent.episode.cycle.lastEnd.value = tradingEngine.tradingCurrent.episode.cycle.end.value
switch (cycle) {
case 'First': {
tradingEngine.current.episode.cycle.begin.value =
tradingEngine.current.episode.candle.begin.value +
tradingEngine.tradingCurrent.episode.cycle.begin.value =
tradingEngine.tradingCurrent.episode.candle.begin.value +
sessionParameters.timeFrame.config.value
tradingEngine.current.episode.cycle.end.value =
tradingEngine.current.episode.candle.begin.value +
tradingEngine.tradingCurrent.episode.cycle.end.value =
tradingEngine.tradingCurrent.episode.candle.begin.value +
sessionParameters.timeFrame.config.value +
sessionParameters.timeFrame.config.value / 2 - 1
break
}
case 'Second': {
tradingEngine.current.episode.cycle.begin.value =
tradingEngine.current.episode.candle.begin.value +
tradingEngine.tradingCurrent.episode.cycle.begin.value =
tradingEngine.tradingCurrent.episode.candle.begin.value +
sessionParameters.timeFrame.config.value +
sessionParameters.timeFrame.config.value / 2
tradingEngine.current.episode.cycle.end.value =
tradingEngine.current.episode.candle.begin.value +
tradingEngine.tradingCurrent.episode.cycle.end.value =
tradingEngine.tradingCurrent.episode.candle.begin.value +
sessionParameters.timeFrame.config.value +
sessionParameters.timeFrame.config.value * 4 / 4 - 1
break
@@ -96,11 +96,11 @@ exports.newSuperalgosBotModulesTradingEngine = function (processIndex) {
objects starting with lastBegin in zero to being saved on file. For that reason
we will do this:
*/
if (tradingEngine.current.episode.cycle.lastBegin.value === 0) {
tradingEngine.current.episode.cycle.lastBegin.value = tradingEngine.current.episode.cycle.begin.value
if (tradingEngine.tradingCurrent.episode.cycle.lastBegin.value === 0) {
tradingEngine.tradingCurrent.episode.cycle.lastBegin.value = tradingEngine.tradingCurrent.episode.cycle.begin.value
}
if (tradingEngine.current.episode.cycle.lastEnd.value === 0) {
tradingEngine.current.episode.cycle.lastEnd.value = tradingEngine.current.episode.cycle.end.value
if (tradingEngine.tradingCurrent.episode.cycle.lastEnd.value === 0) {
tradingEngine.tradingCurrent.episode.cycle.lastEnd.value = tradingEngine.tradingCurrent.episode.cycle.end.value
}
}
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingEpisode.js
+109 -109
View File
@@ -49,69 +49,69 @@ exports.newSuperalgosBotModulesTradingEpisode = function (processIndex) {
must be opened there, since it might happen that it is looping at the end of the market
or the task / session was restarted. We will only execute if the episode was never opened before.
*/
if (tradingEngine.current.episode.begin.value !== tradingEngine.current.episode.begin.config.initialValue) { return }
if (tradingEngine.tradingCurrent.episode.begin.value !== tradingEngine.tradingCurrent.episode.begin.config.initialValue) { return }
/* Starting begin and end */
tradingEngine.current.episode.begin.value = tradingEngine.current.episode.candle.begin.value
tradingEngine.current.episode.end.value = tradingEngine.current.episode.candle.end.value
tradingEngine.tradingCurrent.episode.begin.value = tradingEngine.tradingCurrent.episode.candle.begin.value
tradingEngine.tradingCurrent.episode.end.value = tradingEngine.tradingCurrent.episode.candle.end.value
/* Getting the begin Balance from the session configuration */
tradingEngine.current.episode.episodeBaseAsset.beginBalance.value = sessionParameters.sessionBaseAsset.config.initialBalance
tradingEngine.current.episode.episodeQuotedAsset.beginBalance.value = sessionParameters.sessionQuotedAsset.config.initialBalance
tradingEngine.tradingCurrent.episode.episodeBaseAsset.beginBalance.value = sessionParameters.sessionBaseAsset.config.initialBalance
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.beginBalance.value = sessionParameters.sessionQuotedAsset.config.initialBalance
/* The current balance is also the begin balance, that is how this starts. */
tradingEngine.current.episode.episodeBaseAsset.balance.value = sessionParameters.sessionBaseAsset.config.initialBalance
tradingEngine.current.episode.episodeQuotedAsset.balance.value = sessionParameters.sessionQuotedAsset.config.initialBalance
tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value = sessionParameters.sessionBaseAsset.config.initialBalance
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value = sessionParameters.sessionQuotedAsset.config.initialBalance
/* Recording the opening at the Trading Engine Data Structure */
tradingEngine.current.episode.status.value = 'Open'
tradingEngine.current.episode.serialNumber.value = 1
tradingEngine.current.episode.identifier.value = TS.projects.superalgos.utilities.miscellaneousFunctions.genereteUniqueId()
tradingEngine.current.episode.beginRate.value = tradingEngine.current.episode.candle.close.value
tradingEngine.tradingCurrent.episode.status.value = 'Open'
tradingEngine.tradingCurrent.episode.serialNumber.value = 1
tradingEngine.tradingCurrent.episode.identifier.value = TS.projects.superalgos.utilities.miscellaneousFunctions.genereteUniqueId()
tradingEngine.tradingCurrent.episode.beginRate.value = tradingEngine.tradingCurrent.episode.candle.close.value
}
function updateExitType(exitType) {
tradingEngine.current.episode.exitType.value = exitType
tradingEngine.tradingCurrent.episode.exitType.value = exitType
}
function closeEpisode() {
tradingEngine.current.episode.status.value = 'Closed'
tradingEngine.current.episode.end.value = tradingEngine.current.episode.candle.end.value
tradingEngine.current.episode.endRate.value = tradingEngine.current.episode.candle.close.value
tradingEngine.current.episode.episodeBaseAsset.endBalance.value = tradingEngine.current.episode.episodeBaseAsset.balance.value
tradingEngine.current.episode.episodeQuotedAsset.endBalance.value = tradingEngine.current.episode.episodeQuotedAsset.balance.value
tradingEngine.tradingCurrent.episode.status.value = 'Closed'
tradingEngine.tradingCurrent.episode.end.value = tradingEngine.tradingCurrent.episode.candle.end.value
tradingEngine.tradingCurrent.episode.endRate.value = tradingEngine.tradingCurrent.episode.candle.close.value
tradingEngine.tradingCurrent.episode.episodeBaseAsset.endBalance.value = tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.endBalance.value = tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value
}
function resetEpisode() {
TS.projects.superalgos.globals.processModuleObjects.MODULE_OBJECTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_MODULE_OBJECT.initializeNode(tradingEngine.current.episode)
TS.projects.superalgos.globals.processModuleObjects.MODULE_OBJECTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_MODULE_OBJECT.initializeNode(tradingEngine.tradingCurrent.episode)
}
function updateEnds() {
if (tradingEngine.current.episode.status.value === 'Open') {
tradingEngine.current.episode.end.value = tradingEngine.current.episode.end.value + sessionParameters.timeFrame.config.value
tradingEngine.current.episode.endRate.value = tradingEngine.current.episode.candle.close.value
tradingEngine.current.episode.episodeBaseAsset.endBalance.value = tradingEngine.current.episode.episodeBaseAsset.balance.value
tradingEngine.current.episode.episodeQuotedAsset.endBalance.value = tradingEngine.current.episode.episodeQuotedAsset.balance.value
if (tradingEngine.tradingCurrent.episode.status.value === 'Open') {
tradingEngine.tradingCurrent.episode.end.value = tradingEngine.tradingCurrent.episode.end.value + sessionParameters.timeFrame.config.value
tradingEngine.tradingCurrent.episode.endRate.value = tradingEngine.tradingCurrent.episode.candle.close.value
tradingEngine.tradingCurrent.episode.episodeBaseAsset.endBalance.value = tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.endBalance.value = tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value
}
}
function resetTradingEngineDataStructure() {
if (tradingEngine.current.episode.status.value === 'Closed') {
if (tradingEngine.tradingCurrent.episode.status.value === 'Closed') {
resetEpisode()
}
}
function updateCounters() {
if (tradingEngine.current.episode.status.value === 'Open') {
tradingEngine.current.episode.episodeCounters.periods.value++
if (tradingEngine.tradingCurrent.episode.status.value === 'Open') {
tradingEngine.tradingCurrent.episode.episodeCounters.periods.value++
}
}
function updateStatistics() {
/* Daus Calculation */
tradingEngine.current.episode.episodeStatistics.days.value =
tradingEngine.current.episode.episodeCounters.periods.value *
tradingEngine.tradingCurrent.episode.episodeStatistics.days.value =
tradingEngine.tradingCurrent.episode.episodeCounters.periods.value *
sessionParameters.timeFrame.config.value /
TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS
}
@@ -123,45 +123,45 @@ exports.newSuperalgosBotModulesTradingEpisode = function (processIndex) {
function calculateAssetsStatistics() {
/* Updating Profit Loss */
tradingEngine.current.episode.episodeBaseAsset.profitLoss.value =
tradingEngine.current.episode.episodeBaseAsset.balance.value -
tradingEngine.tradingCurrent.episode.episodeBaseAsset.profitLoss.value =
tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value -
sessionParameters.sessionBaseAsset.config.initialBalance
tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value =
tradingEngine.current.episode.episodeQuotedAsset.balance.value -
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.profitLoss.value =
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value -
sessionParameters.sessionQuotedAsset.config.initialBalance
tradingEngine.current.episode.episodeBaseAsset.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeBaseAsset.profitLoss.value, 10)
tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value, 10)
tradingEngine.tradingCurrent.episode.episodeBaseAsset.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.episode.episodeBaseAsset.profitLoss.value, 10)
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.episode.episodeQuotedAsset.profitLoss.value, 10)
/*
Updating ROI
https://www.investopedia.com/articles/basics/10/guide-to-calculating-roi.asp
*/
tradingEngine.current.episode.episodeBaseAsset.ROI.value =
tradingEngine.current.episode.episodeBaseAsset.profitLoss.value /
tradingEngine.current.episode.episodeBaseAsset.beginBalance.value * 100
tradingEngine.tradingCurrent.episode.episodeBaseAsset.ROI.value =
tradingEngine.tradingCurrent.episode.episodeBaseAsset.profitLoss.value /
tradingEngine.tradingCurrent.episode.episodeBaseAsset.beginBalance.value * 100
tradingEngine.current.episode.episodeQuotedAsset.ROI.value =
tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value /
tradingEngine.current.episode.episodeQuotedAsset.beginBalance.value * 100
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.ROI.value =
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.profitLoss.value /
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.beginBalance.value * 100
tradingEngine.current.episode.episodeBaseAsset.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeBaseAsset.ROI.value, 10)
tradingEngine.current.episode.episodeQuotedAsset.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeQuotedAsset.ROI.value, 10)
tradingEngine.tradingCurrent.episode.episodeBaseAsset.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.episode.episodeBaseAsset.ROI.value, 10)
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.episode.episodeQuotedAsset.ROI.value, 10)
/* Updating Hit Ratio */
if (tradingEngine.current.episode.episodeCounters.positions.value > 0) {
tradingEngine.current.episode.episodeBaseAsset.hitRatio.value =
tradingEngine.current.episode.episodeBaseAsset.hits.value /
tradingEngine.current.episode.episodeCounters.positions.value
if (tradingEngine.tradingCurrent.episode.episodeCounters.positions.value > 0) {
tradingEngine.tradingCurrent.episode.episodeBaseAsset.hitRatio.value =
tradingEngine.tradingCurrent.episode.episodeBaseAsset.hits.value /
tradingEngine.tradingCurrent.episode.episodeCounters.positions.value
tradingEngine.current.episode.episodeQuotedAsset.hitRatio.value =
tradingEngine.current.episode.episodeQuotedAsset.hits.value /
tradingEngine.current.episode.episodeCounters.positions.value
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.hitRatio.value =
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.hits.value /
tradingEngine.tradingCurrent.episode.episodeCounters.positions.value
tradingEngine.current.episode.episodeBaseAsset.hitRatio.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeBaseAsset.hitRatio.value, 10)
tradingEngine.current.episode.episodeQuotedAsset.hitRatio.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeQuotedAsset.hitRatio.value, 10)
tradingEngine.tradingCurrent.episode.episodeBaseAsset.hitRatio.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.episode.episodeBaseAsset.hitRatio.value, 10)
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.hitRatio.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.episode.episodeQuotedAsset.hitRatio.value, 10)
}
/*
@@ -169,94 +169,94 @@ exports.newSuperalgosBotModulesTradingEpisode = function (processIndex) {
https://www.investopedia.com/terms/a/annualized-rate.asp
*/
tradingEngine.current.episode.episodeBaseAsset.annualizedRateOfReturn.value =
tradingEngine.tradingCurrent.episode.episodeBaseAsset.annualizedRateOfReturn.value =
Math.pow(
(
tradingEngine.current.episode.episodeBaseAsset.beginBalance.value +
tradingEngine.current.episode.episodeBaseAsset.profitLoss.value
) / tradingEngine.current.episode.episodeBaseAsset.beginBalance.value
tradingEngine.tradingCurrent.episode.episodeBaseAsset.beginBalance.value +
tradingEngine.tradingCurrent.episode.episodeBaseAsset.profitLoss.value
) / tradingEngine.tradingCurrent.episode.episodeBaseAsset.beginBalance.value
,
(365 / tradingEngine.current.episode.episodeStatistics.days.value)
(365 / tradingEngine.tradingCurrent.episode.episodeStatistics.days.value)
) - 1
tradingEngine.current.episode.episodeQuotedAsset.annualizedRateOfReturn.value =
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.annualizedRateOfReturn.value =
Math.pow(
(
tradingEngine.current.episode.episodeQuotedAsset.beginBalance.value +
tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value
) / tradingEngine.current.episode.episodeQuotedAsset.beginBalance.value
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.beginBalance.value +
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.profitLoss.value
) / tradingEngine.tradingCurrent.episode.episodeQuotedAsset.beginBalance.value
,
(365 / tradingEngine.current.episode.episodeStatistics.days.value)
(365 / tradingEngine.tradingCurrent.episode.episodeStatistics.days.value)
) - 1
tradingEngine.current.episode.episodeBaseAsset.annualizedRateOfReturn.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeBaseAsset.annualizedRateOfReturn.value, 10)
tradingEngine.current.episode.episodeQuotedAsset.annualizedRateOfReturn.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeQuotedAsset.annualizedRateOfReturn.value, 10)
tradingEngine.tradingCurrent.episode.episodeBaseAsset.annualizedRateOfReturn.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.episode.episodeBaseAsset.annualizedRateOfReturn.value, 10)
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.annualizedRateOfReturn.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.episode.episodeQuotedAsset.annualizedRateOfReturn.value, 10)
/* Updating Hit or Fail */
if (tradingEngine.current.episode.episodeBaseAsset.profitLoss.value > 0) {
tradingEngine.current.episode.episodeBaseAsset.hitFail.value = 'Hit'
if (tradingEngine.tradingCurrent.episode.episodeBaseAsset.profitLoss.value > 0) {
tradingEngine.tradingCurrent.episode.episodeBaseAsset.hitFail.value = 'Hit'
} else {
tradingEngine.current.episode.episodeBaseAsset.hitFail.value = 'Fail'
tradingEngine.tradingCurrent.episode.episodeBaseAsset.hitFail.value = 'Fail'
}
if (tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value > 0) {
tradingEngine.current.episode.episodeQuotedAsset.hitFail.value = 'Hit'
if (tradingEngine.tradingCurrent.episode.episodeQuotedAsset.profitLoss.value > 0) {
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.hitFail.value = 'Hit'
} else {
tradingEngine.current.episode.episodeQuotedAsset.hitFail.value = 'Fail'
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.hitFail.value = 'Fail'
}
}
function calculateEpisodeStatistics() {
/* Updating Profit Loss */
tradingEngine.current.episode.episodeStatistics.profitLoss.value =
tradingEngine.current.episode.episodeBaseAsset.profitLoss.value * tradingEngine.current.episode.candle.close.value +
tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value
tradingEngine.tradingCurrent.episode.episodeStatistics.profitLoss.value =
tradingEngine.tradingCurrent.episode.episodeBaseAsset.profitLoss.value * tradingEngine.tradingCurrent.episode.candle.close.value +
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.profitLoss.value
tradingEngine.current.episode.episodeStatistics.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeStatistics.profitLoss.value, 10)
tradingEngine.tradingCurrent.episode.episodeStatistics.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.episode.episodeStatistics.profitLoss.value, 10)
/*
Updating ROI
https://www.investopedia.com/articles/basics/10/guide-to-calculating-roi.asp
*/
tradingEngine.current.episode.episodeStatistics.ROI.value =
tradingEngine.tradingCurrent.episode.episodeStatistics.ROI.value =
(
tradingEngine.current.episode.episodeBaseAsset.profitLoss.value * tradingEngine.current.episode.endRate.value +
tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value
tradingEngine.tradingCurrent.episode.episodeBaseAsset.profitLoss.value * tradingEngine.tradingCurrent.episode.endRate.value +
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.profitLoss.value
) / (
tradingEngine.current.episode.episodeBaseAsset.beginBalance.value * tradingEngine.current.episode.beginRate.value +
tradingEngine.current.episode.episodeQuotedAsset.beginBalance.value
tradingEngine.tradingCurrent.episode.episodeBaseAsset.beginBalance.value * tradingEngine.tradingCurrent.episode.beginRate.value +
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.beginBalance.value
) * 100
tradingEngine.current.episode.episodeStatistics.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeStatistics.ROI.value, 10)
tradingEngine.tradingCurrent.episode.episodeStatistics.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.episode.episodeStatistics.ROI.value, 10)
/*
Updating Annualized Rate Of Return
https://www.investopedia.com/terms/a/annualized-rate.asp
*/
tradingEngine.current.episode.episodeStatistics.annualizedRateOfReturn.value =
tradingEngine.tradingCurrent.episode.episodeStatistics.annualizedRateOfReturn.value =
Math.pow(
(
tradingEngine.current.episode.episodeBaseAsset.beginBalance.value * tradingEngine.current.episode.beginRate.value +
tradingEngine.current.episode.episodeQuotedAsset.beginBalance.value +
tradingEngine.current.episode.episodeBaseAsset.profitLoss.value +
tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value
tradingEngine.tradingCurrent.episode.episodeBaseAsset.beginBalance.value * tradingEngine.tradingCurrent.episode.beginRate.value +
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.beginBalance.value +
tradingEngine.tradingCurrent.episode.episodeBaseAsset.profitLoss.value +
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.profitLoss.value
) /
(
tradingEngine.current.episode.episodeBaseAsset.beginBalance.value * tradingEngine.current.episode.beginRate.value +
tradingEngine.current.episode.episodeQuotedAsset.beginBalance.value
tradingEngine.tradingCurrent.episode.episodeBaseAsset.beginBalance.value * tradingEngine.tradingCurrent.episode.beginRate.value +
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.beginBalance.value
)
,
(365 / tradingEngine.current.episode.episodeStatistics.days.value)
(365 / tradingEngine.tradingCurrent.episode.episodeStatistics.days.value)
) - 1
tradingEngine.current.episode.episodeStatistics.annualizedRateOfReturn.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeStatistics.annualizedRateOfReturn.value, 10)
tradingEngine.tradingCurrent.episode.episodeStatistics.annualizedRateOfReturn.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.episode.episodeStatistics.annualizedRateOfReturn.value, 10)
/* Updating Hit or Fail */
if (tradingEngine.current.episode.episodeStatistics.profitLoss.value > 0) {
tradingEngine.current.episode.episodeStatistics.hitFail.value = 'Hit'
if (tradingEngine.tradingCurrent.episode.episodeStatistics.profitLoss.value > 0) {
tradingEngine.tradingCurrent.episode.episodeStatistics.hitFail.value = 'Hit'
} else {
tradingEngine.current.episode.episodeStatistics.hitFail.value = 'Fail'
tradingEngine.tradingCurrent.episode.episodeStatistics.hitFail.value = 'Fail'
}
}
}
@@ -264,57 +264,57 @@ exports.newSuperalgosBotModulesTradingEpisode = function (processIndex) {
function updateDistanceToEventsCounters() {
/* Keeping Distance Counters Up-to-date while avoinding counting before the first event happens. */
if (
tradingEngine.current.episode.distanceToEvent.triggerOn.value > 0
tradingEngine.tradingCurrent.episode.distanceToEvent.triggerOn.value > 0
) {
tradingEngine.current.episode.distanceToEvent.triggerOn.value++
tradingEngine.tradingCurrent.episode.distanceToEvent.triggerOn.value++
}
if (
tradingEngine.current.episode.distanceToEvent.triggerOff.value > 0
tradingEngine.tradingCurrent.episode.distanceToEvent.triggerOff.value > 0
) {
tradingEngine.current.episode.distanceToEvent.triggerOff.value++
tradingEngine.tradingCurrent.episode.distanceToEvent.triggerOff.value++
}
if (
tradingEngine.current.episode.distanceToEvent.takePosition.value > 0
tradingEngine.tradingCurrent.episode.distanceToEvent.takePosition.value > 0
) {
tradingEngine.current.episode.distanceToEvent.takePosition.value++
tradingEngine.tradingCurrent.episode.distanceToEvent.takePosition.value++
}
if (
tradingEngine.current.episode.distanceToEvent.closePosition.value > 0
tradingEngine.tradingCurrent.episode.distanceToEvent.closePosition.value > 0
) {
tradingEngine.current.episode.distanceToEvent.closePosition.value++
tradingEngine.tradingCurrent.episode.distanceToEvent.closePosition.value++
}
if (
tradingEngine.current.episode.distanceToEvent.nextPhase.value > 0
tradingEngine.tradingCurrent.episode.distanceToEvent.nextPhase.value > 0
) {
tradingEngine.current.episode.distanceToEvent.nextPhase.value++
tradingEngine.tradingCurrent.episode.distanceToEvent.nextPhase.value++
}
if (
tradingEngine.current.episode.distanceToEvent.moveToPhase.value > 0
tradingEngine.tradingCurrent.episode.distanceToEvent.moveToPhase.value > 0
) {
tradingEngine.current.episode.distanceToEvent.moveToPhase.value++
tradingEngine.tradingCurrent.episode.distanceToEvent.moveToPhase.value++
}
if (
tradingEngine.current.episode.distanceToEvent.createOrder.value > 0
tradingEngine.tradingCurrent.episode.distanceToEvent.createOrder.value > 0
) {
tradingEngine.current.episode.distanceToEvent.createOrder.value++
tradingEngine.tradingCurrent.episode.distanceToEvent.createOrder.value++
}
if (
tradingEngine.current.episode.distanceToEvent.cancelOrder.value > 0
tradingEngine.tradingCurrent.episode.distanceToEvent.cancelOrder.value > 0
) {
tradingEngine.current.episode.distanceToEvent.cancelOrder.value++
tradingEngine.tradingCurrent.episode.distanceToEvent.cancelOrder.value++
}
if (
tradingEngine.current.episode.distanceToEvent.closeOrder.value > 0
tradingEngine.tradingCurrent.episode.distanceToEvent.closeOrder.value > 0
) {
tradingEngine.current.episode.distanceToEvent.closeOrder.value++
tradingEngine.tradingCurrent.episode.distanceToEvent.closeOrder.value++
}
}
}
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingOrders.js
+47 -47
View File
@@ -52,22 +52,22 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
function mantainReset(mantain, reset) {
if (tradingEngine.current.strategy.index.value === tradingEngine.current.strategy.index.config.initialValue) { return }
if (tradingEngine.tradingCurrent.strategy.index.value === tradingEngine.tradingCurrent.strategy.index.config.initialValue) { return }
let stageNode
let executionNode
stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
stageNode = tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value].openStage
if (stageNode !== undefined) { // The Open Stage is optional. It might be undefined.
executionNode = stageNode.openExecution
processExecutionNode(executionNode, tradingEngine.current.strategyOpenStage.status.value)
processExecutionNode(executionNode, tradingEngine.tradingCurrent.strategyOpenStage.status.value)
}
stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].closeStage
stageNode = tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value].closeStage
if (stageNode !== undefined) { // The Close Stage is optional. It might be undefined.
executionNode = stageNode.closeExecution
processExecutionNode(executionNode, tradingEngine.current.strategyCloseStage.status.value)
processExecutionNode(executionNode, tradingEngine.tradingCurrent.strategyCloseStage.status.value)
}
function processExecutionNode(executionNode, stageStatus) {
@@ -121,7 +121,7 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
case 'Not Open': {
{
/* During the First cycle we can not create new orders. That is reserved for the Second cycle. */
if (tradingEngine.current.episode.cycle.value === 'First') { continue }
if (tradingEngine.tradingCurrent.episode.cycle.value === 'First') { continue }
/* When the stage is closing we can not create new orders */
if (tradingEngineStage.status.value === 'Closing') { continue }
/*
@@ -156,7 +156,7 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
}
case 'Open': {
/* During the Second cycle we can not cancel orders. That is reserved for the First cycle. */
if (tradingEngine.current.episode.cycle.value === 'Second') { continue }
if (tradingEngine.tradingCurrent.episode.cycle.value === 'Second') { continue }
/* Simulate Events that happens at the Exchange, if needed. */
simulateCheckExchangeEvents(tradingEngineStage, tradingSystemOrder, tradingEngineOrder)
@@ -354,17 +354,17 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
tradingEngineStage.stageQuotedAsset.sizePlaced.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
/* Updating Episode Counters */
tradingEngine.current.episode.episodeCounters.orders.value++
tradingEngine.tradingCurrent.episode.episodeCounters.orders.value++
/* Initialize this */
tradingEngine.current.episode.distanceToEvent.createOrder.value = 1
tradingEngine.tradingCurrent.episode.distanceToEvent.createOrder.value = 1
/* Create Order Procedure */
tradingEngineOrder.status.value = 'Open'
tradingEngineOrder.identifier.value = TS.projects.superalgos.utilities.miscellaneousFunctions.genereteUniqueId()
tradingEngineOrder.begin.value = tradingEngine.current.episode.cycle.begin.value
tradingEngineOrder.end.value = tradingEngine.current.episode.cycle.end.value
tradingEngineOrder.serialNumber.value = tradingEngine.current.episode.episodeCounters.orders.value
tradingEngineOrder.begin.value = tradingEngine.tradingCurrent.episode.cycle.begin.value
tradingEngineOrder.end.value = tradingEngine.tradingCurrent.episode.cycle.end.value
tradingEngineOrder.serialNumber.value = tradingEngine.tradingCurrent.episode.episodeCounters.orders.value
tradingEngineOrder.orderName.value = tradingSystemOrder.name
tradingEngineOrder.algorithmName.value = executionAlgorithm.name
tradingEngineOrder.situationName.value = situationName
@@ -390,7 +390,7 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
For Market Orders, the rate is irrelevant, since it is not sent to the Exchange.
We store at this field the last know price as a reference.
*/
tradingEngineOrder.rate.value = tradingEngine.current.episode.candle.close.value
tradingEngineOrder.rate.value = tradingEngine.tradingCurrent.episode.candle.close.value
}
}
@@ -529,7 +529,7 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
switch (true) {
case tradingSystemOrder.type === 'Market Buy Order' || tradingSystemOrder.type === 'Limit Buy Order': {
if (
tradingEngine.current.episode.episodeQuotedAsset.balance.value - tradingEngineOrder.orderQuotedAsset.size.value < 0
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value - tradingEngineOrder.orderQuotedAsset.size.value < 0
) {
const message = 'Possible Negative Balance'
let docs = {
@@ -540,26 +540,26 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
}
contextInfo = {
orderQuotedAssetSize: tradingEngineOrder.orderQuotedAsset.size.value,
episodeQuotedAssetBalance: tradingEngine.current.episode.episodeQuotedAsset.balance.value
episodeQuotedAssetBalance: tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value
}
TS.projects.superalgos.utilities.docsFunctions.buildPlaceholder(docs, undefined, undefined, undefined, undefined, undefined, contextInfo)
tradingSystem.addWarning(
[
[tradingEngine.current.episode.episodeQuotedAsset.balance.id, tradingEngineOrder.orderQuotedAsset.size.id],
[tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.id, tradingEngineOrder.orderQuotedAsset.size.id],
message,
docs
]
)
tradingEngineOrder.orderQuotedAsset.size.value = tradingEngine.current.episode.episodeQuotedAsset.balance.value
tradingEngineOrder.orderQuotedAsset.size.value = tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value
tradingEngineOrder.orderBaseAsset.size.value = tradingEngineOrder.orderQuotedAsset.size.value / tradingEngineOrder.rate.value
}
break
}
case tradingSystemOrder.type === 'Market Sell Order' || tradingSystemOrder.type === 'Limit Sell Order': {
if (
tradingEngine.current.episode.episodeBaseAsset.balance.value - tradingEngineOrder.orderBaseAsset.size.value < 0
tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value - tradingEngineOrder.orderBaseAsset.size.value < 0
) {
const message = 'Possible Negative Balance'
let docs = {
@@ -570,19 +570,19 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
}
contextInfo = {
orderBaseAssetSize: tradingEngineOrder.orderBaseAsset.size.value,
episodeBaseAssetBalance: tradingEngine.current.episode.episodeBaseAsset.balance.value
episodeBaseAssetBalance: tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value
}
TS.projects.superalgos.utilities.docsFunctions.buildPlaceholder(docs, undefined, undefined, undefined, undefined, undefined, contextInfo)
tradingSystem.addWarning(
[
[tradingEngine.current.episode.episodeBaseAsset.balance.id, tradingEngineOrder.orderBaseAsset.size.id],
[tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.id, tradingEngineOrder.orderBaseAsset.size.id],
message,
docs
]
)
tradingEngineOrder.orderBaseAsset.size.value = tradingEngine.current.episode.episodeBaseAsset.balance.value
tradingEngineOrder.orderBaseAsset.size.value = tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value
tradingEngineOrder.orderQuotedAsset.size.value = tradingEngineOrder.orderBaseAsset.size.value * tradingEngineOrder.rate.value
}
break
@@ -674,7 +674,7 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
tradingEngineOrder.exitType.value = 'Filled'
/* Initialize this */
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
tradingEngine.tradingCurrent.episode.distanceToEvent.closeOrder.value = 1
await updateEndsWithCycle(tradingEngineOrder)
@@ -701,7 +701,7 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
tradingEngineOrder.status.value = 'Closed'
tradingEngineOrder.exitType.value = 'Closed at the Exchange'
/* Initialize this */
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
tradingEngine.tradingCurrent.episode.distanceToEvent.closeOrder.value = 1
await updateEndsWithCycle(tradingEngineOrder)
@@ -737,7 +737,7 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
tradingEngineOrder.exitType.value = 'Cancelled at the Exchange'
}
/* Initialize this */
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
tradingEngine.tradingCurrent.episode.distanceToEvent.closeOrder.value = 1
await updateEndsWithCycle(tradingEngineOrder)
@@ -808,7 +808,7 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
tradingEngineOrder.exitType.value = 'Filled'
/* Initialize this */
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
tradingEngine.tradingCurrent.episode.distanceToEvent.closeOrder.value = 1
updateEndsWithCycle(tradingEngineOrder)
@@ -961,24 +961,24 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
case tradingSystemOrder.type === 'Market Sell Order' || tradingSystemOrder.type === 'Limit Sell Order': {
/* Balance Base Asset: Undo the previous accounting */
tradingEngine.current.episode.episodeBaseAsset.balance.value =
tradingEngine.current.episode.episodeBaseAsset.balance.value +
tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value =
tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value +
previousBaseAssetSizeFilled
/* Balance Base Asset: Account the current filling and fees */
tradingEngine.current.episode.episodeBaseAsset.balance.value =
tradingEngine.current.episode.episodeBaseAsset.balance.value -
tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value =
tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value -
tradingEngineOrder.orderBaseAsset.sizeFilled.value
/* Balance Quoted Asset: Undo the previous accounting */
tradingEngine.current.episode.episodeQuotedAsset.balance.value =
tradingEngine.current.episode.episodeQuotedAsset.balance.value -
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value =
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value -
previousQuotedAssetSizeFilled +
previousQuotedAssetFeesPaid
/* Balance Quoted Asset: Account the current filling and fees */
tradingEngine.current.episode.episodeQuotedAsset.balance.value =
tradingEngine.current.episode.episodeQuotedAsset.balance.value +
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value =
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value +
tradingEngineOrder.orderQuotedAsset.sizeFilled.value -
tradingEngineOrder.orderQuotedAsset.feesPaid.value
break
@@ -989,31 +989,31 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
case tradingSystemOrder.type === 'Market Buy Order' || tradingSystemOrder.type === 'Limit Buy Order': {
/* Balance Base Asset: Undo the previous accounting */
tradingEngine.current.episode.episodeBaseAsset.balance.value =
tradingEngine.current.episode.episodeBaseAsset.balance.value -
tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value =
tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value -
previousBaseAssetSizeFilled +
previousBaseAssetFeesPaid
/* Balance Base Asset: Account the current filling and fees */
tradingEngine.current.episode.episodeBaseAsset.balance.value =
tradingEngine.current.episode.episodeBaseAsset.balance.value +
tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value =
tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value +
tradingEngineOrder.orderBaseAsset.sizeFilled.value -
tradingEngineOrder.orderBaseAsset.feesPaid.value
/* Balance Quoted Asset: Undo the previous accounting */
tradingEngine.current.episode.episodeQuotedAsset.balance.value =
tradingEngine.current.episode.episodeQuotedAsset.balance.value +
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value =
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value +
previousQuotedAssetSizeFilled
/* Balance Quoted Asset: Account the current filling and fees */
tradingEngine.current.episode.episodeQuotedAsset.balance.value =
tradingEngine.current.episode.episodeQuotedAsset.balance.value -
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value =
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value -
tradingEngineOrder.orderQuotedAsset.sizeFilled.value
break
}
}
tradingEngine.current.episode.episodeBaseAsset.balance.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeBaseAsset.balance.value, 10)
tradingEngine.current.episode.episodeQuotedAsset.balance.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeQuotedAsset.balance.value, 10)
tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value, 10)
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value, 10)
}
}
@@ -1040,7 +1040,7 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
tradingEngineOrder.exitType.value = exitType
/* Initialize this */
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
tradingEngine.tradingCurrent.episode.distanceToEvent.closeOrder.value = 1
updateEndsWithCycle(tradingEngineOrder)
@@ -1122,7 +1122,7 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
tradingEngineOrder.status.value = 'Closed'
/* Initialize this */
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
tradingEngine.tradingCurrent.episode.distanceToEvent.closeOrder.value = 1
await updateEndsWithCycle(tradingEngineOrder)
@@ -1238,12 +1238,12 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
function updateEnds(tradingEngineOrder) {
if (tradingEngineOrder.status.value === 'Open') {
tradingEngineOrder.end.value = tradingEngine.current.episode.candle.end.value
tradingEngineOrder.end.value = tradingEngine.tradingCurrent.episode.candle.end.value
}
}
async function updateEndsWithCycle(tradingEngineOrder) {
tradingEngineOrder.end.value = tradingEngine.current.episode.cycle.end.value
tradingEngineOrder.end.value = tradingEngine.tradingCurrent.episode.cycle.end.value
}
function updateCounters(tradingEngineOrder) {
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingPosition.js
+114 -114
View File
@@ -52,36 +52,36 @@ exports.newSuperalgosBotModulesTradingPosition = function (processIndex) {
function openPosition(situationName) {
/* Starting begin and end */
tradingEngine.current.position.begin.value = tradingEngine.current.episode.cycle.lastBegin.value
tradingEngine.current.position.end.value = tradingEngine.current.episode.cycle.lastEnd.value
tradingEngine.tradingCurrent.position.begin.value = tradingEngine.tradingCurrent.episode.cycle.lastBegin.value
tradingEngine.tradingCurrent.position.end.value = tradingEngine.tradingCurrent.episode.cycle.lastEnd.value
/* Recording the opening at the Trading Engine Data Structure */
tradingEngine.current.position.status.value = 'Open'
tradingEngine.current.position.serialNumber.value = tradingEngine.current.episode.episodeCounters.positions.value + 1
tradingEngine.current.position.identifier.value = TS.projects.superalgos.utilities.miscellaneousFunctions.genereteUniqueId()
tradingEngine.current.position.beginRate.value = tradingEngine.current.episode.candle.close.value
tradingEngine.current.position.positionBaseAsset.beginBalance.value = tradingEngine.current.episode.episodeBaseAsset.balance.value
tradingEngine.current.position.positionQuotedAsset.beginBalance.value = tradingEngine.current.episode.episodeQuotedAsset.balance.value
tradingEngine.current.position.situationName.value = situationName
tradingEngine.tradingCurrent.position.status.value = 'Open'
tradingEngine.tradingCurrent.position.serialNumber.value = tradingEngine.tradingCurrent.episode.episodeCounters.positions.value + 1
tradingEngine.tradingCurrent.position.identifier.value = TS.projects.superalgos.utilities.miscellaneousFunctions.genereteUniqueId()
tradingEngine.tradingCurrent.position.beginRate.value = tradingEngine.tradingCurrent.episode.candle.close.value
tradingEngine.tradingCurrent.position.positionBaseAsset.beginBalance.value = tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value
tradingEngine.tradingCurrent.position.positionQuotedAsset.beginBalance.value = tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value
tradingEngine.tradingCurrent.position.situationName.value = situationName
/* Initializing Stop and Take Phase */
tradingEngine.current.position.stopLoss.stopLossPhase.value = 1
tradingEngine.current.position.takeProfit.takeProfitPhase.value = 1
tradingEngine.tradingCurrent.position.stopLoss.stopLossPhase.value = 1
tradingEngine.tradingCurrent.position.takeProfit.takeProfitPhase.value = 1
/* Updating Episode Counters */
tradingEngine.current.episode.episodeCounters.positions.value++
tradingEngine.tradingCurrent.episode.episodeCounters.positions.value++
/* Inicializing this counter */
tradingEngine.current.episode.distanceToEvent.takePosition.value = 1
tradingEngine.tradingCurrent.episode.distanceToEvent.takePosition.value = 1
/* Remember the balance we had before taking the position to later calculate profit or loss */
tradingEngine.current.position.positionBaseAsset.beginBalance = tradingEngine.current.episode.episodeBaseAsset.balance.value
tradingEngine.current.position.positionQuotedAsset.beginBalance = tradingEngine.current.episode.episodeQuotedAsset.balance.value
tradingEngine.tradingCurrent.position.positionBaseAsset.beginBalance = tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value
tradingEngine.tradingCurrent.position.positionQuotedAsset.beginBalance = tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value
}
function closingPosition(exitType) {
tradingEngine.current.position.status.value = 'Closing'
tradingEngine.current.position.exitType.value = exitType
tradingEngine.tradingCurrent.position.status.value = 'Closing'
tradingEngine.tradingCurrent.position.exitType.value = exitType
/*
By the time we figured out that the stop loss or take profit were hit, or
@@ -89,51 +89,51 @@ exports.newSuperalgosBotModulesTradingPosition = function (processIndex) {
stop loss values for the next candle have already been calculated. In order
to avoid being plotted, we will put them in zero.
*/
tradingEngine.current.position.stopLoss.value = 0
tradingEngine.current.position.takeProfit.value = 0
tradingEngine.tradingCurrent.position.stopLoss.value = 0
tradingEngine.tradingCurrent.position.takeProfit.value = 0
}
function closePosition() {
tradingEngine.current.position.status.value = 'Closed'
tradingEngine.current.position.end.value = tradingEngine.current.episode.cycle.lastEnd.value
tradingEngine.current.position.endRate.value = tradingEngine.current.episode.candle.close.value
tradingEngine.current.position.positionBaseAsset.endBalance.value = tradingEngine.current.episode.episodeBaseAsset.balance.value
tradingEngine.current.position.positionQuotedAsset.endBalance.value = tradingEngine.current.episode.episodeQuotedAsset.balance.value
tradingEngine.tradingCurrent.position.status.value = 'Closed'
tradingEngine.tradingCurrent.position.end.value = tradingEngine.tradingCurrent.episode.cycle.lastEnd.value
tradingEngine.tradingCurrent.position.endRate.value = tradingEngine.tradingCurrent.episode.candle.close.value
tradingEngine.tradingCurrent.position.positionBaseAsset.endBalance.value = tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value
tradingEngine.tradingCurrent.position.positionQuotedAsset.endBalance.value = tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value
/*
Now that the position is closed, it is the right time to move this position from current to last at the Trading Engine data structure.
*/
TS.projects.superalgos.globals.processModuleObjects.MODULE_OBJECTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_MODULE_OBJECT.cloneValues(tradingEngine.current.position, tradingEngine.last.position)
TS.projects.superalgos.globals.processModuleObjects.MODULE_OBJECTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_MODULE_OBJECT.cloneValues(tradingEngine.tradingCurrent.position, tradingEngine.last.position)
cycleBasedStatistics()
/* Updating Hits & Fails */
if (tradingEngine.current.position.positionBaseAsset.profitLoss.value > 0) {
tradingEngine.current.episode.episodeBaseAsset.hits.value++
if (tradingEngine.tradingCurrent.position.positionBaseAsset.profitLoss.value > 0) {
tradingEngine.tradingCurrent.episode.episodeBaseAsset.hits.value++
}
if (tradingEngine.current.position.positionBaseAsset.profitLoss.value < 0) {
tradingEngine.current.episode.episodeBaseAsset.fails.value++
if (tradingEngine.tradingCurrent.position.positionBaseAsset.profitLoss.value < 0) {
tradingEngine.tradingCurrent.episode.episodeBaseAsset.fails.value++
}
if (tradingEngine.current.position.positionQuotedAsset.profitLoss.value > 0) {
tradingEngine.current.episode.episodeQuotedAsset.hits.value++
if (tradingEngine.tradingCurrent.position.positionQuotedAsset.profitLoss.value > 0) {
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.hits.value++
}
if (tradingEngine.current.position.positionQuotedAsset.profitLoss.value < 0) {
tradingEngine.current.episode.episodeQuotedAsset.fails.value++
if (tradingEngine.tradingCurrent.position.positionQuotedAsset.profitLoss.value < 0) {
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.fails.value++
}
}
function applyStopLossFormula(formulas, formulaId) {
updateStopLossTakeProfitFinalValue(tradingEngine.current.position.stopLoss)
tradingEngine.current.position.stopLoss.value = formulas.get(formulaId)
updateStopLossTakeProfitInitialValue(tradingEngine.current.position.stopLoss)
updateStopLossTakeProfitBeginEnd(tradingEngine.current.position.stopLoss)
updateStopLossTakeProfitFinalValue(tradingEngine.tradingCurrent.position.stopLoss)
tradingEngine.tradingCurrent.position.stopLoss.value = formulas.get(formulaId)
updateStopLossTakeProfitInitialValue(tradingEngine.tradingCurrent.position.stopLoss)
updateStopLossTakeProfitBeginEnd(tradingEngine.tradingCurrent.position.stopLoss)
}
function applyTakeProfitFormula(formulas, formulaId) {
updateStopLossTakeProfitFinalValue(tradingEngine.current.position.takeProfit)
tradingEngine.current.position.takeProfit.value = formulas.get(formulaId)
updateStopLossTakeProfitInitialValue(tradingEngine.current.position.takeProfit)
updateStopLossTakeProfitBeginEnd(tradingEngine.current.position.takeProfit)
updateStopLossTakeProfitFinalValue(tradingEngine.tradingCurrent.position.takeProfit)
tradingEngine.tradingCurrent.position.takeProfit.value = formulas.get(formulaId)
updateStopLossTakeProfitInitialValue(tradingEngine.tradingCurrent.position.takeProfit)
updateStopLossTakeProfitBeginEnd(tradingEngine.tradingCurrent.position.takeProfit)
}
function updateStopLossTakeProfitInitialValue(node) {
@@ -163,19 +163,19 @@ exports.newSuperalgosBotModulesTradingPosition = function (processIndex) {
end of the position itself.
*/
node.begin.value =
tradingEngine.current.episode.candle.begin.value +
tradingEngine.tradingCurrent.episode.candle.begin.value +
sessionParameters.timeFrame.config.value
node.end.value =
tradingEngine.current.episode.candle.end.value +
tradingEngine.tradingCurrent.episode.candle.end.value +
sessionParameters.timeFrame.config.value
}
function updateStopLoss(phase) {
tradingEngine.current.position.stopLoss.stopLossPhase.value = phase
tradingEngine.tradingCurrent.position.stopLoss.stopLossPhase.value = phase
}
function updateTakeProfit(phase) {
tradingEngine.current.position.takeProfit.takeProfitPhase.value = phase
tradingEngine.tradingCurrent.position.takeProfit.takeProfitPhase.value = phase
}
function initialTargets(tradingSystemStageNode, tradingEngineStageNode) {
@@ -252,11 +252,11 @@ exports.newSuperalgosBotModulesTradingPosition = function (processIndex) {
switch (tradingSystemStageNode.type) {
case 'Open Stage': {
tradingEngine.current.position.entryTargetRate.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
tradingEngine.tradingCurrent.position.entryTargetRate.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
break
}
case 'Close Stage': {
tradingEngine.current.position.exitTargetRate.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
tradingEngine.tradingCurrent.position.exitTargetRate.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
break
}
}
@@ -312,15 +312,15 @@ exports.newSuperalgosBotModulesTradingPosition = function (processIndex) {
switch (tradingSystemStageNode.type) {
case 'Open Stage': {
tradingEngine.current.position.positionBaseAsset.entryTargetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
tradingEngine.current.position.positionQuotedAsset.entryTargetSize.value =
TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value * tradingEngine.current.position.entryTargetRate.value, 10)
tradingEngine.tradingCurrent.position.positionBaseAsset.entryTargetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
tradingEngine.tradingCurrent.position.positionQuotedAsset.entryTargetSize.value =
TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value * tradingEngine.tradingCurrent.position.entryTargetRate.value, 10)
break
}
case 'Close Stage': {
tradingEngine.current.position.positionBaseAsset.exitTargetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
tradingEngine.current.position.positionQuotedAsset.exitTargetSize.value =
TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value * tradingEngine.current.position.exitTargetRate.value, 10)
tradingEngine.tradingCurrent.position.positionBaseAsset.exitTargetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
tradingEngine.tradingCurrent.position.positionQuotedAsset.exitTargetSize.value =
TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value * tradingEngine.tradingCurrent.position.exitTargetRate.value, 10)
break
}
}
@@ -371,15 +371,15 @@ exports.newSuperalgosBotModulesTradingPosition = function (processIndex) {
}
switch (tradingSystemStageNode.type) {
case 'Open Stage': {
tradingEngine.current.position.positionQuotedAsset.entryTargetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
tradingEngine.current.position.positionBaseAsset.entryTargetSize.value =
TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value / tradingEngine.current.position.entryTargetRate.value, 10)
tradingEngine.tradingCurrent.position.positionQuotedAsset.entryTargetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
tradingEngine.tradingCurrent.position.positionBaseAsset.entryTargetSize.value =
TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value / tradingEngine.tradingCurrent.position.entryTargetRate.value, 10)
break
}
case 'Close Stage': {
tradingEngine.current.position.positionQuotedAsset.exitTargetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
tradingEngine.current.position.positionBaseAsset.exitTargetSize.value =
TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value / tradingEngine.current.position.exitTargetRate.value, 10)
tradingEngine.tradingCurrent.position.positionQuotedAsset.exitTargetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
tradingEngine.tradingCurrent.position.positionBaseAsset.exitTargetSize.value =
TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value / tradingEngine.tradingCurrent.position.exitTargetRate.value, 10)
break
}
}
@@ -403,23 +403,23 @@ exports.newSuperalgosBotModulesTradingPosition = function (processIndex) {
}
function updateEnds() {
if (tradingEngine.current.position.status.value === 'Open') {
tradingEngine.current.position.end.value = tradingEngine.current.position.end.value + sessionParameters.timeFrame.config.value
tradingEngine.current.position.endRate.value = tradingEngine.current.episode.candle.close.value
tradingEngine.current.position.positionBaseAsset.endBalance.value = tradingEngine.current.episode.episodeBaseAsset.balance.value
tradingEngine.current.position.positionQuotedAsset.endBalance.value = tradingEngine.current.episode.episodeQuotedAsset.balance.value
if (tradingEngine.tradingCurrent.position.status.value === 'Open') {
tradingEngine.tradingCurrent.position.end.value = tradingEngine.tradingCurrent.position.end.value + sessionParameters.timeFrame.config.value
tradingEngine.tradingCurrent.position.endRate.value = tradingEngine.tradingCurrent.episode.candle.close.value
tradingEngine.tradingCurrent.position.positionBaseAsset.endBalance.value = tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value
tradingEngine.tradingCurrent.position.positionQuotedAsset.endBalance.value = tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value
}
}
function resetTradingEngineDataStructure() {
if (tradingEngine.current.position.status.value === 'Closed') {
TS.projects.superalgos.globals.processModuleObjects.MODULE_OBJECTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_MODULE_OBJECT.initializeNode(tradingEngine.current.position)
if (tradingEngine.tradingCurrent.position.status.value === 'Closed') {
TS.projects.superalgos.globals.processModuleObjects.MODULE_OBJECTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_MODULE_OBJECT.initializeNode(tradingEngine.tradingCurrent.position)
}
}
function updateCounters() {
if (tradingEngine.current.position.status.value === 'Open') {
tradingEngine.current.position.positionCounters.periods.value++
if (tradingEngine.tradingCurrent.position.status.value === 'Open') {
tradingEngine.tradingCurrent.position.positionCounters.periods.value++
}
}
@@ -430,89 +430,89 @@ exports.newSuperalgosBotModulesTradingPosition = function (processIndex) {
function calculateAssetsStatistics() {
/* Profit Loss Calculation */
tradingEngine.current.position.positionBaseAsset.profitLoss.value =
tradingEngine.current.episode.episodeBaseAsset.balance.value -
tradingEngine.current.position.positionBaseAsset.beginBalance
tradingEngine.tradingCurrent.position.positionBaseAsset.profitLoss.value =
tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value -
tradingEngine.tradingCurrent.position.positionBaseAsset.beginBalance
tradingEngine.current.position.positionQuotedAsset.profitLoss.value =
tradingEngine.current.episode.episodeQuotedAsset.balance.value -
tradingEngine.current.position.positionQuotedAsset.beginBalance
tradingEngine.tradingCurrent.position.positionQuotedAsset.profitLoss.value =
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value -
tradingEngine.tradingCurrent.position.positionQuotedAsset.beginBalance
tradingEngine.current.position.positionBaseAsset.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionBaseAsset.profitLoss.value, 10)
tradingEngine.current.position.positionQuotedAsset.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionQuotedAsset.profitLoss.value, 10)
tradingEngine.tradingCurrent.position.positionBaseAsset.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.position.positionBaseAsset.profitLoss.value, 10)
tradingEngine.tradingCurrent.position.positionQuotedAsset.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.position.positionQuotedAsset.profitLoss.value, 10)
/* ROI Calculation */
tradingEngine.current.position.positionBaseAsset.ROI.value =
tradingEngine.current.position.positionBaseAsset.profitLoss.value * 100 /
tradingEngine.current.strategyOpenStage.stageBaseAsset.targetSize.value
tradingEngine.tradingCurrent.position.positionBaseAsset.ROI.value =
tradingEngine.tradingCurrent.position.positionBaseAsset.profitLoss.value * 100 /
tradingEngine.tradingCurrent.strategyOpenStage.stageBaseAsset.targetSize.value
tradingEngine.current.position.positionQuotedAsset.ROI.value =
tradingEngine.current.position.positionQuotedAsset.profitLoss.value * 100 /
tradingEngine.current.strategyOpenStage.stageQuotedAsset.targetSize.value
tradingEngine.tradingCurrent.position.positionQuotedAsset.ROI.value =
tradingEngine.tradingCurrent.position.positionQuotedAsset.profitLoss.value * 100 /
tradingEngine.tradingCurrent.strategyOpenStage.stageQuotedAsset.targetSize.value
tradingEngine.current.position.positionBaseAsset.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionBaseAsset.ROI.value, 10)
tradingEngine.current.position.positionQuotedAsset.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionQuotedAsset.ROI.value, 10)
tradingEngine.tradingCurrent.position.positionBaseAsset.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.position.positionBaseAsset.ROI.value, 10)
tradingEngine.tradingCurrent.position.positionQuotedAsset.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.position.positionQuotedAsset.ROI.value, 10)
/* Hit Fail Calculation */
if (tradingEngine.current.position.positionBaseAsset.ROI.value > 0) {
tradingEngine.current.position.positionBaseAsset.hitFail.value = 'Hit'
if (tradingEngine.tradingCurrent.position.positionBaseAsset.ROI.value > 0) {
tradingEngine.tradingCurrent.position.positionBaseAsset.hitFail.value = 'Hit'
}
if (tradingEngine.current.position.positionBaseAsset.ROI.value < 0) {
tradingEngine.current.position.positionBaseAsset.hitFail.value = 'Fail'
if (tradingEngine.tradingCurrent.position.positionBaseAsset.ROI.value < 0) {
tradingEngine.tradingCurrent.position.positionBaseAsset.hitFail.value = 'Fail'
}
if (tradingEngine.current.position.positionBaseAsset.ROI.value === 0) {
tradingEngine.current.position.positionBaseAsset.hitFail.value = 'Even'
if (tradingEngine.tradingCurrent.position.positionBaseAsset.ROI.value === 0) {
tradingEngine.tradingCurrent.position.positionBaseAsset.hitFail.value = 'Even'
}
if (tradingEngine.current.position.positionQuotedAsset.ROI.value > 0) {
tradingEngine.current.position.positionQuotedAsset.hitFail.value = 'Hit'
if (tradingEngine.tradingCurrent.position.positionQuotedAsset.ROI.value > 0) {
tradingEngine.tradingCurrent.position.positionQuotedAsset.hitFail.value = 'Hit'
}
if (tradingEngine.current.position.positionQuotedAsset.ROI.value < 0) {
tradingEngine.current.position.positionQuotedAsset.hitFail.value = 'Fail'
if (tradingEngine.tradingCurrent.position.positionQuotedAsset.ROI.value < 0) {
tradingEngine.tradingCurrent.position.positionQuotedAsset.hitFail.value = 'Fail'
}
if (tradingEngine.current.position.positionQuotedAsset.ROI.value === 0) {
tradingEngine.current.position.positionQuotedAsset.hitFail.value = 'Even'
if (tradingEngine.tradingCurrent.position.positionQuotedAsset.ROI.value === 0) {
tradingEngine.tradingCurrent.position.positionQuotedAsset.hitFail.value = 'Even'
}
}
function calculatePositionStatistics() {
/* Profit Loss Calculation */
tradingEngine.current.position.positionStatistics.profitLoss.value =
tradingEngine.tradingCurrent.position.positionStatistics.profitLoss.value =
(
tradingEngine.current.episode.episodeBaseAsset.profitLoss.value * tradingEngine.current.position.endRate.value +
tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value
tradingEngine.tradingCurrent.episode.episodeBaseAsset.profitLoss.value * tradingEngine.tradingCurrent.position.endRate.value +
tradingEngine.tradingCurrent.episode.episodeQuotedAsset.profitLoss.value
)
tradingEngine.current.position.positionStatistics.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionStatistics.profitLoss.value, 10)
tradingEngine.tradingCurrent.position.positionStatistics.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.position.positionStatistics.profitLoss.value, 10)
/* ROI Calculation */
tradingEngine.current.position.positionStatistics.ROI.value =
tradingEngine.tradingCurrent.position.positionStatistics.ROI.value =
(
tradingEngine.current.position.positionStatistics.profitLoss.value
tradingEngine.tradingCurrent.position.positionStatistics.profitLoss.value
)
* 100 /
(
tradingEngine.current.position.positionBaseAsset.beginBalance * tradingEngine.current.position.beginRate.value +
tradingEngine.current.position.positionQuotedAsset.beginBalance
tradingEngine.tradingCurrent.position.positionBaseAsset.beginBalance * tradingEngine.tradingCurrent.position.beginRate.value +
tradingEngine.tradingCurrent.position.positionQuotedAsset.beginBalance
)
tradingEngine.current.position.positionStatistics.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionStatistics.ROI.value, 10)
tradingEngine.tradingCurrent.position.positionStatistics.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.position.positionStatistics.ROI.value, 10)
/* Hit Fail Calculation */
if (tradingEngine.current.position.positionStatistics.ROI.value > 0) {
tradingEngine.current.position.positionStatistics.hitFail.value = 'Hit'
if (tradingEngine.tradingCurrent.position.positionStatistics.ROI.value > 0) {
tradingEngine.tradingCurrent.position.positionStatistics.hitFail.value = 'Hit'
}
if (tradingEngine.current.position.positionStatistics.ROI.value < 0) {
tradingEngine.current.position.positionStatistics.hitFail.value = 'Fail'
if (tradingEngine.tradingCurrent.position.positionStatistics.ROI.value < 0) {
tradingEngine.tradingCurrent.position.positionStatistics.hitFail.value = 'Fail'
}
if (tradingEngine.current.position.positionStatistics.ROI.value === 0) {
tradingEngine.current.position.positionStatistics.hitFail.value = 'Even'
if (tradingEngine.tradingCurrent.position.positionStatistics.ROI.value === 0) {
tradingEngine.tradingCurrent.position.positionStatistics.hitFail.value = 'Even'
}
/* Days Calculation */
tradingEngine.current.position.positionStatistics.days.value =
tradingEngine.current.position.positionCounters.periods.value *
tradingEngine.tradingCurrent.position.positionStatistics.days.value =
tradingEngine.tradingCurrent.position.positionCounters.periods.value *
sessionParameters.timeFrame.config.value / TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS
tradingEngine.current.position.positionStatistics.days.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionStatistics.days.value, 10)
tradingEngine.tradingCurrent.position.positionStatistics.days.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.position.positionStatistics.days.value, 10)
}
}
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingProcess.js
+4 -4
View File
@@ -57,7 +57,7 @@
This variable tell us which day we are standing at, specially while working
with Daily Files. From this Date is that we are going to load the Daily Files.
*/
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.current.episode.processDate.value =
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.tradingCurrent.episode.processDate.value =
TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters.timeRange.config.initialDatetime).valueOf()
}
@@ -70,7 +70,7 @@
the simulation loop, once we discover that all candles from a certain date have benn processed.
Here is the point where we sync one and the other.
*/
let tradingProcessDate = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.current.episode.processDate.value)
let tradingProcessDate = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.tradingCurrent.episode.processDate.value)
if (
await TS.projects.superalgos.functionLibraries.dataDependenciesFunctions.processSingleFiles(
@@ -151,7 +151,7 @@
use it to save Output Files and later the Data Ranges. This is the point where
the date calculated by the Simulation is applied at the Trading Process Level.
*/
tradingProcessDate = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.current.episode.processDate.value)
tradingProcessDate = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.tradingCurrent.episode.processDate.value)
if (checkStopTaskGracefully() === false) { break }
if (checkStopProcessing() === false) { break }
@@ -240,7 +240,7 @@
indicators to be built and continue the processing once this process is called
again.
*/
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.current.episode.headOfTheMarket.value === true) {
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.tradingCurrent.episode.headOfTheMarket.value === true) {
return false
}
}
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingRecords.js
+4 -4
View File
@@ -58,13 +58,13 @@ exports.newSuperalgosBotModulesTradingRecords = function (processIndex) {
There are a few products configured to be saved only at an specific cycle.
*/
if (product.config.saveAtCycle !== undefined) {
if (tradingEngine.current.episode.cycle.value !== product.config.saveAtCycle) {
if (tradingEngine.tradingCurrent.episode.cycle.value !== product.config.saveAtCycle) {
return
}
}
/* Clean the file from information of previous executions */
//pruneOutputFile(product, outputDatasetArray, tradingEngine.current.episode.candle.end.value)
//pruneOutputFile(product, outputDatasetArray, tradingEngine.tradingCurrent.episode.candle.end.value)
/* Clean Open Records */
if (product.config.saveAsObjects === true) {
@@ -256,8 +256,8 @@ exports.newSuperalgosBotModulesTradingRecords = function (processIndex) {
of the day? Easy: the end of the candle must be 1 millisecod before the next day. That happens at any
time frame.
*/
let currentDay = new Date(tradingEngine.current.episode.candle.end.value)
let nextDay = new Date(tradingEngine.current.episode.candle.end.value + 1)
let currentDay = new Date(tradingEngine.tradingCurrent.episode.candle.end.value)
let nextDay = new Date(tradingEngine.tradingCurrent.episode.candle.end.value + 1)
if (currentDay.getUTCDate() !== nextDay.getUTCDate()) {
/*
We will save the object only if it is closed, becasuse we are at the last candle of the day.
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingSimulation.js
+35 -35
View File
@@ -55,7 +55,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
let dailyCandles = []
for (let i = 0; i < candles.length; i++) {
let candle = candles[i]
if (candle.begin >= TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.current.episode.processDate.value) {
if (candle.begin >= TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.tradingCurrent.episode.processDate.value) {
dailyCandles.push(candle)
}
}
@@ -99,7 +99,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
In this case we already have at the last candle index the next candle to be
processed. We will just continue with this candle.
*/
initialCandle = tradingEngine.current.episode.candle.index.value
initialCandle = tradingEngine.tradingCurrent.episode.candle.index.value
}
/*
Main Simulation Loop
@@ -113,7 +113,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
loop is not empty, then the lascCandle() check will override this value
depending on if we really are at the head of the market or not.
*/
tradingEngine.current.episode.headOfTheMarket.value = true
tradingEngine.tradingCurrent.episode.headOfTheMarket.value = true
/*
This is the main simulation loop. It will go through the initial candle
until one less than the last candle available. We will never process the last
@@ -121,10 +121,10 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
that still can change. So effectively will be processing all closed candles.
*/
for (let i = initialCandle; i < candles.length - 1; i++) {
tradingEngine.current.episode.candle.index.value = i
tradingEngine.tradingCurrent.episode.candle.index.value = i
/* This is the current candle the Simulation is working at. */
let candle = candles[tradingEngine.current.episode.candle.index.value]
let candle = candles[tradingEngine.tradingCurrent.episode.candle.index.value]
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME,
'[INFO] runSimulation -> loop -> Candle Begin @ ' + (new Date(candle.begin)).toUTCString())
@@ -210,7 +210,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
tradingEpisodeModuleObject.reset()
TS.projects.superalgos.globals.processModuleObjects.MODULE_OBJECTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_MODULE_OBJECT.reset()
let infoMessage = 'Processing candle # ' + tradingEngine.current.episode.candle.index.value + ' @ the ' + tradingEngine.current.episode.cycle.value + ' cycle.'
let infoMessage = 'Processing candle # ' + tradingEngine.tradingCurrent.episode.candle.index.value + ' @ the ' + tradingEngine.tradingCurrent.episode.cycle.value + ' cycle.'
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME,
'[INFO] runSimulation -> loop -> ' + infoMessage)
@@ -222,8 +222,8 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
}
contextInfo = {
candleIndex: tradingEngine.current.episode.candle.index.value,
cycle: tradingEngine.current.episode.cycle.value
candleIndex: tradingEngine.tradingCurrent.episode.candle.index.value,
cycle: tradingEngine.tradingCurrent.episode.cycle.value
}
TS.projects.superalgos.utilities.docsFunctions.buildPlaceholder(docs, undefined, undefined, undefined, undefined, undefined, contextInfo)
@@ -302,7 +302,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
if (sessionParameters.heartbeats.config.date === true || sessionParameters.heartbeats.config.candleIndex === true) {
/* We will produce a simulation level heartbeat in order to inform the user this is running. */
heartBeatDate = new Date(Math.trunc(tradingEngine.current.episode.candle.begin.value / TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS) * TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS)
heartBeatDate = new Date(Math.trunc(tradingEngine.tradingCurrent.episode.candle.begin.value / TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS) * TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS)
let fromDate = new Date(sessionParameters.timeRange.config.initialDatetime)
let lastDate = new Date(sessionParameters.timeRange.config.finalDatetime)
@@ -320,7 +320,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
let processingDate = heartBeatDate.getUTCFullYear() + '-' + TS.projects.superalgos.utilities.miscellaneousFunctions.pad(heartBeatDate.getUTCMonth() + 1, 2) + '-' + TS.projects.superalgos.utilities.miscellaneousFunctions.pad(heartBeatDate.getUTCDate(), 2)
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME,
'[INFO] runSimulation -> loop -> Simulation ' + TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_KEY + ' Loop # ' + tradingEngine.current.episode.candle.index.value + ' @ ' + processingDate)
'[INFO] runSimulation -> loop -> Simulation ' + TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_KEY + ' Loop # ' + tradingEngine.tradingCurrent.episode.candle.index.value + ' @ ' + processingDate)
/* Logging to console and disk */
if (TS.projects.superalgos.utilities.dateTimeFunctions.areTheseDatesEqual(currentDate, new Date()) === false) {
@@ -344,7 +344,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
if (sessionParameters.heartbeats.config.date === true) {
hartbeatText = hartbeatText + currentDateString
}
hartbeatText = hartbeatText + ' Candle # ' + tradingEngine.current.episode.candle.index.value
hartbeatText = hartbeatText + ' Candle # ' + tradingEngine.tradingCurrent.episode.candle.index.value
TS.projects.superalgos.functionLibraries.processFunctions.processHeartBeat(processIndex, hartbeatText, percentage)
}
}
@@ -448,15 +448,15 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
for (let i = 0; i < pArray.length; i++) {
element = pArray[i]
if (tradingEngine.current.episode.candle.end.value === element.end) { // when there is an exact match at the end we take that element
if (tradingEngine.tradingCurrent.episode.candle.end.value === element.end) { // when there is an exact match at the end we take that element
return element
} else {
if (
i > 0 &&
element.end > tradingEngine.current.episode.candle.end.value
element.end > tradingEngine.tradingCurrent.episode.candle.end.value
) {
let previousElement = pArray[i - 1]
if (previousElement.end < tradingEngine.current.episode.candle.end.value) {
if (previousElement.end < tradingEngine.tradingCurrent.episode.candle.end.value) {
return previousElement // If one elements goes into the future of currentCandle, then we stop and take the previous element.
} else {
return
@@ -485,7 +485,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
The second +1 is because we need to compare the next candle (remember that the loops allways avoid the
last candle of the dataset available.)
*/
if (tradingEngine.current.episode.candle.index.value + 1 + 1 === candles.length) {
if (tradingEngine.tradingCurrent.episode.candle.index.value + 1 + 1 === candles.length) {
/*
When processing daily files, we need a mechanism to turn from one day to the next one.
That mechanism is the one implemented here. If we detect that the next candle is the last candle of
@@ -495,7 +495,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
let candlesPerDay = TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS / sessionParameters.timeFrame.config.value
if (
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_PROCESSING_DAILY_FILES &&
tradingEngine.current.episode.candle.index.value + 1 + 1 === candlesPerDay
tradingEngine.tradingCurrent.episode.candle.index.value + 1 + 1 === candlesPerDay
) {
/*
Here we found that the next candle of the dataset is the last candle of the day.
@@ -504,9 +504,9 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
the first candle of the new dataset we shall receive. The first candle of the next day starts
at index 0, so we will position the index now at zero.
*/
tradingEngine.current.episode.candle.index.value = 0
tradingEngine.current.episode.processDate.value =
tradingEngine.current.episode.processDate.value + TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS
tradingEngine.tradingCurrent.episode.candle.index.value = 0
tradingEngine.tradingCurrent.episode.processDate.value =
tradingEngine.tradingCurrent.episode.processDate.value + TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS
return false
}
@@ -516,21 +516,21 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
next execution it will likely have more candles at the dataset. And if it does not,
it will just wait there until it does.
*/
tradingEngine.current.episode.headOfTheMarket.value = true
tradingEngine.current.episode.candle.index.value++
tradingEngine.tradingCurrent.episode.headOfTheMarket.value = true
tradingEngine.tradingCurrent.episode.candle.index.value++
return false
} else {
/* Wd did not reach the head of the market */
tradingEngine.current.episode.headOfTheMarket.value = false
tradingEngine.current.episode.candle.index.value++
tradingEngine.tradingCurrent.episode.headOfTheMarket.value = false
tradingEngine.tradingCurrent.episode.candle.index.value++
return true
}
}
function checkInitialDatetime() {
/* Here we check that the current candle is not before the initial datetime defined at the session parameters.*/
if (tradingEngine.current.episode.candle.end.value < sessionParameters.timeRange.config.initialDatetime) {
if (tradingEngine.tradingCurrent.episode.candle.end.value < sessionParameters.timeRange.config.initialDatetime) {
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME,
'[INFO] runSimulation -> checkInitialAndFinalDatetime -> Skipping Candle before the sessionParameters.timeRange.config.initialDatetime.')
return false
@@ -540,7 +540,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
function checkFinalDatetime() {
/* Here we check that the next candle is not after of the user-defined final datetime at the session parameters.*/
if (tradingEngine.current.episode.candle.begin.value + sessionParameters.timeFrame.config.value > sessionParameters.timeRange.config.finalDatetime) {
if (tradingEngine.tradingCurrent.episode.candle.begin.value + sessionParameters.timeFrame.config.value > sessionParameters.timeRange.config.finalDatetime) {
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME,
'[INFO] runSimulation -> checkInitialAndFinalDatetime -> Skipping Candle after the sessionParameters.timeRange.config.finalDatetime.')
return false
@@ -551,17 +551,17 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
function checkMinimunAndMaximunBalance() {
/* Checks for Minimun and Maximun Balance. We do the check while not inside any strategy only. */
if (
tradingEngine.current.strategy.index.value === tradingEngine.current.strategy.index.config.initialValue
tradingEngine.tradingCurrent.strategy.index.value === tradingEngine.tradingCurrent.strategy.index.config.initialValue
) {
/*
We will perform this check only when we are not inside a position,
because there the balances have shifted from their resting position.
*/
let stopRunningDate = (new Date(tradingEngine.current.episode.candle.begin.value)).toUTCString()
let stopRunningDate = (new Date(tradingEngine.tradingCurrent.episode.candle.begin.value)).toUTCString()
if (sessionParameters.sessionBaseAsset.config.minimumBalance !== undefined) {
if (tradingEngine.current.episode.episodeBaseAsset.balance.value <= sessionParameters.sessionBaseAsset.config.minimumBalance) {
if (tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value <= sessionParameters.sessionBaseAsset.config.minimumBalance) {
const errorMessage = 'Min Balance reached @ ' + stopRunningDate
let docs = {
@@ -573,7 +573,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
let contextInfo = {
timestamp: stopRunningDate,
episodeBaseAssetBalance: tradingEngine.current.episode.episodeBaseAsset.balance.value,
episodeBaseAssetBalance: tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value,
sessionBaseAssetMinimumBalance: sessionParameters.sessionBaseAsset.config.minimumBalance
}
@@ -587,7 +587,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
}
if (sessionParameters.sessionBaseAsset.config.maximumBalance !== undefined) {
if (tradingEngine.current.episode.episodeBaseAsset.balance.value >= sessionParameters.sessionBaseAsset.config.maximumBalance) {
if (tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value >= sessionParameters.sessionBaseAsset.config.maximumBalance) {
const errorMessage = 'Max Balance reached @ ' + stopRunningDate
let docs = {
@@ -599,7 +599,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
let contextInfo = {
timestamp: stopRunningDate,
episodeBaseAssetBalance: tradingEngine.current.episode.episodeBaseAsset.balance.value,
episodeBaseAssetBalance: tradingEngine.tradingCurrent.episode.episodeBaseAsset.balance.value,
sessionBaseAssetMaximumBalance: sessionParameters.sessionBaseAsset.config.maximumBalance
}
@@ -613,7 +613,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
}
if (sessionParameters.sessionQuotedAsset.config.minimumBalance !== undefined) {
if (tradingEngine.current.episode.episodeQuotedAsset.balance.value <= sessionParameters.sessionQuotedAsset.config.minimumBalance) {
if (tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value <= sessionParameters.sessionQuotedAsset.config.minimumBalance) {
const errorMessage = 'Min Balance reached @ ' + stopRunningDate
let docs = {
@@ -625,7 +625,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
let contextInfo = {
timestamp: stopRunningDate,
episodeQuotedAssetBalance: tradingEngine.current.episode.episodeQuotedAsset.balance.value,
episodeQuotedAssetBalance: tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value,
sessionQuotedAssetMinimumBalance: sessionParameters.sessionQuotedAsset.config.minimumBalance
}
@@ -639,7 +639,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
}
if (sessionParameters.sessionQuotedAsset.config.maximumBalance !== undefined) {
if (tradingEngine.current.episode.episodeQuotedAsset.balance.value >= sessionParameters.sessionQuotedAsset.config.maximumBalance) {
if (tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value >= sessionParameters.sessionQuotedAsset.config.maximumBalance) {
const errorMessage = 'Max Balance reached @ ' + stopRunningDate
let docs = {
@@ -651,7 +651,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
let contextInfo = {
timestamp: stopRunningDate,
episodeQuotedAssetBalance: tradingEngine.current.episode.episodeQuotedAsset.balance.value,
episodeQuotedAssetBalance: tradingEngine.tradingCurrent.episode.episodeQuotedAsset.balance.value,
sessionQuotedAssetMaximumBalance: sessionParameters.sessionQuotedAsset.config.maximumBalance
}
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingStages.js
+134 -134
View File
@@ -107,7 +107,7 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
function checkTriggerOn() {
if (
tradingEngine.current.strategy.index.value === tradingEngine.current.strategy.index.config.initialValue
tradingEngine.tradingCurrent.strategy.index.value === tradingEngine.tradingCurrent.strategy.index.config.initialValue
) {
/*
To pick a new strategy we will check that any of the situations of the trigger on is true.
@@ -119,7 +119,7 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
for (let j = 0; j < tradingSystem.tradingStrategies.length; j++) {
if ( // If a strategy was already picked during the loop, we exit the loop
tradingEngine.current.strategy.index.value !== tradingEngine.current.strategy.index.config.initialValue
tradingEngine.tradingCurrent.strategy.index.value !== tradingEngine.tradingCurrent.strategy.index.config.initialValue
) { continue }
let strategy = tradingSystem.tradingStrategies[j]
@@ -145,7 +145,7 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
tradingStrategyModuleObject.openStrategy(j, situation.name, strategy.name)
/* Initialize this */
tradingEngine.current.episode.distanceToEvent.triggerOn.value = 1
tradingEngine.tradingCurrent.episode.distanceToEvent.triggerOn.value = 1
announcementsModuleObject.makeAnnoucements(triggerStage.triggerOn)
announcementsModuleObject.makeAnnoucements(triggerStage)
@@ -168,9 +168,9 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
}
function checkTriggerOff() {
if (tradingEngine.current.strategyTriggerStage.status.value === 'Open') {
if (tradingEngine.tradingCurrent.strategyTriggerStage.status.value === 'Open') {
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
let strategy = tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value]
let triggerStage = strategy.triggerStage
tradingSystem.evalConditions(strategy, 'Trigger Off Event')
@@ -192,7 +192,7 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
tradingSystem.highlights.push(triggerStage.triggerOff.id)
tradingSystem.highlights.push(triggerStage.id)
tradingEngine.current.episode.distanceToEvent.triggerOff.value = 1
tradingEngine.tradingCurrent.episode.distanceToEvent.triggerOff.value = 1
announcementsModuleObject.makeAnnoucements(triggerStage.triggerOff)
changeStageStatus('Trigger Stage', 'Closed', 'Trigger Off Event')
tradingStrategyModuleObject.closeStrategy('Trigger Off')
@@ -205,9 +205,9 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
function checkTakePosition() {
if (
tradingEngine.current.strategyTriggerStage.status.value === 'Open'
tradingEngine.tradingCurrent.strategyTriggerStage.status.value === 'Open'
) {
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
let strategy = tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value]
let triggerStage = strategy.triggerStage
tradingSystem.evalConditions(strategy, 'Take Position Event')
@@ -263,7 +263,7 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
function checkIfWeNeedToAbortTheStage() {
/* Abort Open Stage Check */
if (tradingEngine.current.strategyOpenStage.status.value === 'Open' && tradingEngine.current.strategyCloseStage.status.value === 'Open') {
if (tradingEngine.tradingCurrent.strategyOpenStage.status.value === 'Open' && tradingEngine.tradingCurrent.strategyCloseStage.status.value === 'Open') {
/*
if the Close stage is opened while the open stage is still open that means that
we need to stop placing orders, check what happened to the orders already placed,
@@ -275,21 +275,21 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
function runWhenStatusIsOpening() {
/* Opening Status Procedure */
if (tradingEngine.current.strategyOpenStage.status.value === 'Opening') {
if (tradingEngine.tradingCurrent.strategyOpenStage.status.value === 'Opening') {
/*
The system allows the user not to define an Open Stage, because the Open Stage is optional.
Here we are going to see if that is the case and if it is, we will inmidiatelly consider
the Open Stage as closed.
*/
if (tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage === undefined) {
if (tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value].openStage === undefined) {
changeStageStatus('Open Stage', 'Closed', 'Open Stage Undefined')
changeStageStatus('Close Stage', 'Opening')
return
}
/* This procedure is intended to run only once */
let tradingSystemStage = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
let tradingEngineStage = tradingEngine.current.strategyOpenStage
let tradingSystemStage = tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value].openStage
let tradingEngineStage = tradingEngine.tradingCurrent.strategyOpenStage
/* Reset the Exchange Orders data structure to its initial value */
TS.projects.superalgos.globals.processModuleObjects.MODULE_OBJECTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_MODULE_OBJECT.initializeNode(tradingEngine.exchangeOrders)
@@ -306,13 +306,13 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
async function runWhenStatusIsOpen() {
/* Open Status Procedure */
if (tradingEngine.current.strategyOpenStage.status.value === 'Open') {
if (tradingEngine.tradingCurrent.strategyOpenStage.status.value === 'Open') {
/*
While the Open Stage is Open, we do our regular stuff: place orders and check
what happened to the orders already placed.
*/
let tradingSystemStage = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
let tradingEngineStage = tradingEngine.current.strategyOpenStage
let tradingSystemStage = tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value].openStage
let tradingEngineStage = tradingEngine.tradingCurrent.strategyOpenStage
let executionNode = tradingSystemStage.openExecution
/* Evaluate conditions and formulas so they are ready during the execution run */
@@ -329,12 +329,12 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
async function runWhenStatusIsClosing() {
/* Closing Status Procedure */
if (tradingEngine.current.strategyOpenStage.status.value === 'Closing') {
if (tradingEngine.tradingCurrent.strategyOpenStage.status.value === 'Closing') {
/*
During the closing stage status, we do not place new orders, just check
if the ones placed were filled, and cancel the ones not filled.
*/
let tradingSystemStage = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
let tradingSystemStage = tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value].openStage
let executionNode = tradingSystemStage.openExecution
/*
@@ -346,7 +346,7 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
await tradingExecutionModuleObject.runExecution(
executionNode,
tradingEngine.current.strategyOpenStage
tradingEngine.tradingCurrent.strategyOpenStage
)
/*
@@ -356,11 +356,11 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
we cancel not yet filled orders. Here it does not matter the targetSize since
this status represent a force closure of this stage.
*/
switch (tradingEngine.current.strategyOpenStage.stageDefinedIn.value) {
switch (tradingEngine.tradingCurrent.strategyOpenStage.stageDefinedIn.value) {
case 'Base Asset': {
if (
tradingEngine.current.strategyOpenStage.stageBaseAsset.sizeFilled.value >=
tradingEngine.current.strategyOpenStage.stageBaseAsset.sizePlaced.value
tradingEngine.tradingCurrent.strategyOpenStage.stageBaseAsset.sizeFilled.value >=
tradingEngine.tradingCurrent.strategyOpenStage.stageBaseAsset.sizePlaced.value
) {
changeStageStatus('Open Stage', 'Closed')
}
@@ -368,8 +368,8 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
}
case 'Quoted Asset': {
if (
tradingEngine.current.strategyOpenStage.stageQuotedAsset.sizeFilled.value >=
tradingEngine.current.strategyOpenStage.stageQuotedAsset.sizePlaced.value
tradingEngine.tradingCurrent.strategyOpenStage.stageQuotedAsset.sizeFilled.value >=
tradingEngine.tradingCurrent.strategyOpenStage.stageQuotedAsset.sizePlaced.value
) {
changeStageStatus('Open Stage', 'Closed')
}
@@ -383,37 +383,37 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
/*
Validations that all needed nodes are there.
*/
if (tradingEngine.current.strategyOpenStage.stageBaseAsset === undefined) { badDefinitionUnhandledException(undefined, 'Stage Base Asset Node Missing', tradingEngine.current.strategyOpenStage) }
if (tradingEngine.current.strategyOpenStage.stageBaseAsset.targetSize === undefined) { badDefinitionUnhandledException(undefined, 'Target Size Node Missing', tradingEngine.current.strategyOpenStage.stageBaseAsset) }
if (tradingEngine.current.strategyOpenStage.stageQuotedAsset === undefined) { badDefinitionUnhandledException(undefined, 'Stage Quoted Asset Node Missing', tradingEngine.current.strategyOpenStage) }
if (tradingEngine.current.strategyOpenStage.stageQuotedAsset.targetSize === undefined) { badDefinitionUnhandledException(undefined, 'Target Size Node Missing', tradingEngine.current.strategyOpenStage.stageQuotedAsset) }
if (tradingEngine.tradingCurrent.strategyOpenStage.stageBaseAsset === undefined) { badDefinitionUnhandledException(undefined, 'Stage Base Asset Node Missing', tradingEngine.tradingCurrent.strategyOpenStage) }
if (tradingEngine.tradingCurrent.strategyOpenStage.stageBaseAsset.targetSize === undefined) { badDefinitionUnhandledException(undefined, 'Target Size Node Missing', tradingEngine.tradingCurrent.strategyOpenStage.stageBaseAsset) }
if (tradingEngine.tradingCurrent.strategyOpenStage.stageQuotedAsset === undefined) { badDefinitionUnhandledException(undefined, 'Stage Quoted Asset Node Missing', tradingEngine.tradingCurrent.strategyOpenStage) }
if (tradingEngine.tradingCurrent.strategyOpenStage.stageQuotedAsset.targetSize === undefined) { badDefinitionUnhandledException(undefined, 'Target Size Node Missing', tradingEngine.tradingCurrent.strategyOpenStage.stageQuotedAsset) }
/*
Here we will transform the position size into targets for each asset of the stage.
*/
tradingEngine.current.strategyOpenStage.stageBaseAsset.targetSize.value = tradingEngine.current.position.positionBaseAsset.entryTargetSize.value
tradingEngine.current.strategyOpenStage.stageQuotedAsset.targetSize.value = tradingEngine.current.position.positionQuotedAsset.entryTargetSize.value
tradingEngine.tradingCurrent.strategyOpenStage.stageBaseAsset.targetSize.value = tradingEngine.tradingCurrent.position.positionBaseAsset.entryTargetSize.value
tradingEngine.tradingCurrent.strategyOpenStage.stageQuotedAsset.targetSize.value = tradingEngine.tradingCurrent.position.positionQuotedAsset.entryTargetSize.value
tradingEngine.current.strategyOpenStage.stageBaseAsset.targetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.strategyOpenStage.stageBaseAsset.targetSize.value, 10)
tradingEngine.current.strategyOpenStage.stageQuotedAsset.targetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.strategyOpenStage.stageQuotedAsset.targetSize.value, 10)
tradingEngine.tradingCurrent.strategyOpenStage.stageBaseAsset.targetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.strategyOpenStage.stageBaseAsset.targetSize.value, 10)
tradingEngine.tradingCurrent.strategyOpenStage.stageQuotedAsset.targetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.strategyOpenStage.stageQuotedAsset.targetSize.value, 10)
}
}
function runManageStage() {
if (tradingEngine.current.episode.cycle.value !== 'First') { return }
if (tradingEngine.tradingCurrent.episode.cycle.value !== 'First') { return }
runWhenStatusIsOpening()
runWhenStatusIsOpen()
function runWhenStatusIsOpening() {
/* Opening Status Procedure */
if (tradingEngine.current.strategyManageStage.status.value === 'Opening') {
if (tradingEngine.tradingCurrent.strategyManageStage.status.value === 'Opening') {
/*
The system allows the user not to define a Manage Stage, because the Manage Stage is optional.
Here we are goint to see if that is the case and if it is, we will inmidiatelly consider
the Manage Stage as closed.
*/
if (tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].manageStage === undefined) {
if (tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value].manageStage === undefined) {
changeStageStatus('Manage Stage', 'Closed', 'Manage Stage Undefined')
changeStageStatus('Close Stage', 'Opening')
return
@@ -426,8 +426,8 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
function runWhenStatusIsOpen() {
/* Open Status Procedure */
if (tradingEngine.current.strategyManageStage.status.value === 'Open') {
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
if (tradingEngine.tradingCurrent.strategyManageStage.status.value === 'Open') {
let strategy = tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value]
let manageStage = strategy.manageStage
/* Evaluate all the stage conditions and formulas to have them ready */
@@ -449,22 +449,22 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
}
function calculateStopLoss() {
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
let strategy = tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value]
let manageStage = strategy.manageStage
let phase
if (manageStage !== undefined) {
if (manageStage.managedStopLoss !== undefined) {
phase = manageStage.managedStopLoss.phases[tradingEngine.current.position.stopLoss.stopLossPhase.value - 1]
phase = manageStage.managedStopLoss.phases[tradingEngine.tradingCurrent.position.stopLoss.stopLossPhase.value - 1]
}
}
if (phase !== undefined) {
if (phase.formula !== undefined) {
let previousValue = tradingEngine.current.position.stopLoss.value
let previousValue = tradingEngine.tradingCurrent.position.stopLoss.value
tradingPositionModuleObject.applyStopLossFormula(tradingSystem.formulas, phase.formula.id)
if (tradingEngine.current.position.stopLoss.value !== previousValue) {
if (tradingEngine.tradingCurrent.position.stopLoss.value !== previousValue) {
announcementsModuleObject.makeAnnoucements(phase)
}
}
@@ -472,22 +472,22 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
}
function calculateTakeProfit() {
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
let strategy = tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value]
let manageStage = strategy.manageStage
let phase
if (manageStage !== undefined) {
if (manageStage.managedTakeProfit !== undefined) {
phase = manageStage.managedTakeProfit.phases[tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1]
phase = manageStage.managedTakeProfit.phases[tradingEngine.tradingCurrent.position.takeProfit.takeProfitPhase.value - 1]
}
}
if (phase !== undefined) {
if (phase.formula !== undefined) {
let previousValue = tradingEngine.current.position.takeProfit.value
let previousValue = tradingEngine.tradingCurrent.position.takeProfit.value
tradingPositionModuleObject.applyTakeProfitFormula(tradingSystem.formulas, phase.formula.id)
if (tradingEngine.current.position.takeProfit.value !== previousValue) {
if (tradingEngine.tradingCurrent.position.takeProfit.value !== previousValue) {
announcementsModuleObject.makeAnnoucements(phase)
}
}
@@ -501,11 +501,11 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
the first values of the simulation of the Stop Loss we check if it is above or below
the Position Rate, and we assign the values Above or Below to it.
*/
if (tradingEngine.current.position.stopLoss.stopLossPosition.value === tradingEngine.current.position.stopLoss.stopLossPosition.config.initialValue) {
if (tradingEngine.current.position.stopLoss.value > tradingEngine.current.position.entryTargetRate.value) {
tradingEngine.current.position.stopLoss.stopLossPosition.value = 'Above'
if (tradingEngine.tradingCurrent.position.stopLoss.stopLossPosition.value === tradingEngine.tradingCurrent.position.stopLoss.stopLossPosition.config.initialValue) {
if (tradingEngine.tradingCurrent.position.stopLoss.value > tradingEngine.tradingCurrent.position.entryTargetRate.value) {
tradingEngine.tradingCurrent.position.stopLoss.stopLossPosition.value = 'Above'
} else {
tradingEngine.current.position.stopLoss.stopLossPosition.value = 'Below'
tradingEngine.tradingCurrent.position.stopLoss.stopLossPosition.value = 'Below'
}
}
}
@@ -517,17 +517,17 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
the first values of the simulation of the Take Profits we check if it is above or below
the Position Rates, and we assign the values Above or Below to it.
*/
if (tradingEngine.current.position.takeProfit.takeProfitPosition.value === tradingEngine.current.position.takeProfit.takeProfitPosition.config.initialValue) {
if (tradingEngine.current.position.takeProfit.value > tradingEngine.current.position.entryTargetRate.value) {
tradingEngine.current.position.takeProfit.takeProfitPosition.value = 'Above'
if (tradingEngine.tradingCurrent.position.takeProfit.takeProfitPosition.value === tradingEngine.tradingCurrent.position.takeProfit.takeProfitPosition.config.initialValue) {
if (tradingEngine.tradingCurrent.position.takeProfit.value > tradingEngine.tradingCurrent.position.entryTargetRate.value) {
tradingEngine.tradingCurrent.position.takeProfit.takeProfitPosition.value = 'Above'
} else {
tradingEngine.current.position.takeProfit.takeProfitPosition.value = 'Below'
tradingEngine.tradingCurrent.position.takeProfit.takeProfitPosition.value = 'Below'
}
}
}
function checkStopPhasesEvents() {
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
let strategy = tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value]
let manageStage = strategy.manageStage
let parentNode
let phaseIndex
@@ -537,7 +537,7 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
if (manageStage !== undefined) {
if (manageStage.managedStopLoss !== undefined) {
parentNode = manageStage
phaseIndex = tradingEngine.current.position.stopLoss.stopLossPhase.value - 1
phaseIndex = tradingEngine.tradingCurrent.position.stopLoss.stopLossPhase.value - 1
stopLoss = manageStage.managedStopLoss
phase = stopLoss.phases[phaseIndex]
}
@@ -567,12 +567,12 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
tradingSystem.highlights.push(parentNode.id)
tradingSystem.highlights.push(manageStage.id)
tradingPositionModuleObject.updateStopLoss(tradingEngine.current.position.stopLoss.stopLossPhase.value + 1)
tradingPositionModuleObject.updateStopLoss(tradingEngine.tradingCurrent.position.stopLoss.stopLossPhase.value + 1)
announcementsModuleObject.makeAnnoucements(nextPhaseEvent)
/* Reset this counter */
tradingEngine.current.episode.distanceToEvent.nextPhase.value = 1
tradingEngine.tradingCurrent.episode.distanceToEvent.nextPhase.value = 1
return // only one event can pass at the time
}
}
@@ -623,7 +623,7 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
announcementsModuleObject.makeAnnoucements(moveToPhaseEvent)
/* Reset this counter */
tradingEngine.current.episode.distanceToEvent.moveToPhase.value = 1
tradingEngine.tradingCurrent.episode.distanceToEvent.moveToPhase.value = 1
return // only one event can pass at the time
}
}
@@ -633,7 +633,7 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
}
function checkTakeProfitPhaseEvents() {
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
let strategy = tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value]
let openStage = strategy.openStage
let manageStage = strategy.manageStage
let parentNode
@@ -644,7 +644,7 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
if (manageStage !== undefined) {
if (manageStage.managedTakeProfit !== undefined) {
parentNode = manageStage
phaseIndex = tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1
phaseIndex = tradingEngine.tradingCurrent.position.takeProfit.takeProfitPhase.value - 1
takeProfit = manageStage.managedTakeProfit
phase = takeProfit.phases[phaseIndex]
}
@@ -674,12 +674,12 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
tradingSystem.highlights.push(parentNode.id)
tradingSystem.highlights.push(manageStage.id)
tradingPositionModuleObject.updateTakeProfit(tradingEngine.current.position.takeProfit.takeProfitPhase.value + 1)
tradingPositionModuleObject.updateTakeProfit(tradingEngine.tradingCurrent.position.takeProfit.takeProfitPhase.value + 1)
announcementsModuleObject.makeAnnoucements(nextPhaseEvent)
/* Reset this counter */
tradingEngine.current.episode.distanceToEvent.nextPhase.value = 1
tradingEngine.tradingCurrent.episode.distanceToEvent.nextPhase.value = 1
return // only one event can pass at the time
}
}
@@ -730,7 +730,7 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
announcementsModuleObject.makeAnnoucements(moveToPhaseEvent)
/* Reset this counter */
tradingEngine.current.episode.distanceToEvent.moveToPhase.value = 1
tradingEngine.tradingCurrent.episode.distanceToEvent.moveToPhase.value = 1
return // only one event can pass at the time
}
}
@@ -741,7 +741,7 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
function checkStopLossOrTakeProfitWasHit() {
{
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
let strategy = tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value]
/*
Checking what happened since the last execution. We need to know if the Stop Loss
or our Take Profit were hit.
@@ -750,12 +750,12 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
/* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */
if (
(
tradingEngine.current.position.stopLoss.stopLossPosition.value === 'Above' &&
tradingEngine.current.episode.candle.max.value >= tradingEngine.current.position.stopLoss.value
tradingEngine.tradingCurrent.position.stopLoss.stopLossPosition.value === 'Above' &&
tradingEngine.tradingCurrent.episode.candle.max.value >= tradingEngine.tradingCurrent.position.stopLoss.value
) ||
(
tradingEngine.current.position.stopLoss.stopLossPosition.value === 'Below' &&
tradingEngine.current.episode.candle.min.value <= tradingEngine.current.position.stopLoss.value
tradingEngine.tradingCurrent.position.stopLoss.stopLossPosition.value === 'Below' &&
tradingEngine.tradingCurrent.episode.candle.min.value <= tradingEngine.tradingCurrent.position.stopLoss.value
)
) {
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Stop Loss was hit.')
@@ -770,12 +770,12 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
/* Take Profit condition: Here we verify if the Take Profit was hit or not. */
if (
(
tradingEngine.current.position.takeProfit.takeProfitPosition.value === 'Below' &&
tradingEngine.current.episode.candle.min.value <= tradingEngine.current.position.takeProfit.value
tradingEngine.tradingCurrent.position.takeProfit.takeProfitPosition.value === 'Below' &&
tradingEngine.tradingCurrent.episode.candle.min.value <= tradingEngine.tradingCurrent.position.takeProfit.value
) ||
(
tradingEngine.current.position.takeProfit.takeProfitPosition.value === 'Above' &&
tradingEngine.current.episode.candle.max.value >= tradingEngine.current.position.takeProfit.value
tradingEngine.tradingCurrent.position.takeProfit.takeProfitPosition.value === 'Above' &&
tradingEngine.tradingCurrent.episode.candle.max.value >= tradingEngine.tradingCurrent.position.takeProfit.value
)
) {
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Take Profit was hit.')
@@ -800,13 +800,13 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
function runWhenStatusIsOpening() {
/* Opening Status Procedure */
if (tradingEngine.current.strategyCloseStage.status.value === 'Opening') {
if (tradingEngine.tradingCurrent.strategyCloseStage.status.value === 'Opening') {
/*
The system allows the user not to define a close stage, because the close stage is optional.
Here we are goint to see if that is the case and if it is, we will inmidiatelly consider
the close stage as closed.
*/
if (tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].closeStage === undefined) {
if (tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value].closeStage === undefined) {
changeStageStatus('Close Stage', 'Closed', 'Close Stage Undefined')
return
}
@@ -814,11 +814,11 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
/*
This will happen only once, as soon as the Take Profit or Stop was hit.
*/
let tradingSystemStage = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].closeStage
let tradingSystemStage = tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value].closeStage
/* Exit Position size and rate */
tradingSystem.evalFormulas(tradingSystemStage, 'Initial Targets')
tradingPositionModuleObject.initialTargets(tradingSystemStage, tradingEngine.current.strategyCloseStage)
tradingPositionModuleObject.initialTargets(tradingSystemStage, tradingEngine.tradingCurrent.strategyCloseStage)
initializeStageTargetSize()
changeStageStatus('Close Stage', 'Open')
@@ -832,17 +832,17 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
to be known before we start placing orders at the Close Stage.
*/
if (
tradingEngine.current.strategyCloseStage.status.value === 'Open' &&
tradingEngine.tradingCurrent.strategyCloseStage.status.value === 'Open' &&
(
tradingEngine.current.strategyOpenStage.status.value === 'Closed' ||
tradingEngine.current.strategyOpenStage.status.value === tradingEngine.current.strategyOpenStage.status.config.initialValue
tradingEngine.tradingCurrent.strategyOpenStage.status.value === 'Closed' ||
tradingEngine.tradingCurrent.strategyOpenStage.status.value === tradingEngine.tradingCurrent.strategyOpenStage.status.config.initialValue
)
) {
/*
This will happen as long as the Close Stage is Open.
*/
let tradingSystemStage = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].closeStage
let tradingEngineStage = tradingEngine.current.strategyCloseStage
let tradingSystemStage = tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value].closeStage
let tradingEngineStage = tradingEngine.tradingCurrent.strategyCloseStage
let executionNode = tradingSystemStage.closeExecution
tradingSystem.evalConditions(tradingSystemStage, 'Close Execution')
@@ -850,7 +850,7 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
await tradingExecutionModuleObject.runExecution(
executionNode,
tradingEngine.current.strategyCloseStage
tradingEngine.tradingCurrent.strategyCloseStage
)
checkIfStageNeedsToBeClosed(tradingEngineStage, tradingSystemStage, 'Close Stage')
@@ -861,18 +861,18 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
/*
Validations that all needed nodes are there.
*/
if (tradingEngine.current.strategyCloseStage.stageBaseAsset === undefined) { badDefinitionUnhandledException(undefined, 'Stage Base Asset Node Missing', tradingEngine.current.strategyCloseStage) }
if (tradingEngine.current.strategyCloseStage.stageBaseAsset.targetSize === undefined) { badDefinitionUnhandledException(undefined, 'Target Size Node Missing', tradingEngine.current.strategyCloseStage.stageBaseAsset) }
if (tradingEngine.current.strategyCloseStage.stageQuotedAsset === undefined) { badDefinitionUnhandledException(undefined, 'Stage Quoted Asset Node Missing', tradingEngine.current.strategyCloseStage) }
if (tradingEngine.current.strategyCloseStage.stageQuotedAsset.targetSize === undefined) { badDefinitionUnhandledException(undefined, 'Target Size Node Missing', tradingEngine.current.strategyCloseStage.stageQuotedAsset) }
if (tradingEngine.tradingCurrent.strategyCloseStage.stageBaseAsset === undefined) { badDefinitionUnhandledException(undefined, 'Stage Base Asset Node Missing', tradingEngine.tradingCurrent.strategyCloseStage) }
if (tradingEngine.tradingCurrent.strategyCloseStage.stageBaseAsset.targetSize === undefined) { badDefinitionUnhandledException(undefined, 'Target Size Node Missing', tradingEngine.tradingCurrent.strategyCloseStage.stageBaseAsset) }
if (tradingEngine.tradingCurrent.strategyCloseStage.stageQuotedAsset === undefined) { badDefinitionUnhandledException(undefined, 'Stage Quoted Asset Node Missing', tradingEngine.tradingCurrent.strategyCloseStage) }
if (tradingEngine.tradingCurrent.strategyCloseStage.stageQuotedAsset.targetSize === undefined) { badDefinitionUnhandledException(undefined, 'Target Size Node Missing', tradingEngine.tradingCurrent.strategyCloseStage.stageQuotedAsset) }
/*
Here we will transform the position size into targets for each asset of the stage.
*/
tradingEngine.current.strategyCloseStage.stageBaseAsset.targetSize.value = tradingEngine.current.position.positionBaseAsset.exitTargetSize.value
tradingEngine.current.strategyCloseStage.stageQuotedAsset.targetSize.value = tradingEngine.current.position.positionQuotedAsset.exitTargetSize.value
tradingEngine.tradingCurrent.strategyCloseStage.stageBaseAsset.targetSize.value = tradingEngine.tradingCurrent.position.positionBaseAsset.exitTargetSize.value
tradingEngine.tradingCurrent.strategyCloseStage.stageQuotedAsset.targetSize.value = tradingEngine.tradingCurrent.position.positionQuotedAsset.exitTargetSize.value
tradingEngine.current.strategyCloseStage.stageBaseAsset.targetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.strategyCloseStage.stageBaseAsset.targetSize.value, 10)
tradingEngine.current.strategyCloseStage.stageQuotedAsset.targetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.strategyCloseStage.stageQuotedAsset.targetSize.value, 10)
tradingEngine.tradingCurrent.strategyCloseStage.stageBaseAsset.targetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.strategyCloseStage.stageBaseAsset.targetSize.value, 10)
tradingEngine.tradingCurrent.strategyCloseStage.stageQuotedAsset.targetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.tradingCurrent.strategyCloseStage.stageQuotedAsset.targetSize.value, 10)
}
}
@@ -882,25 +882,25 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
or at their initial default value. The last is becasue after Closed objects are
initialized to their defualts.
*/
if (tradingEngine.current.position.status.value !== 'Open' && tradingEngine.current.position.status.value !== 'Closing') { return }
if (tradingEngine.tradingCurrent.position.status.value !== 'Open' && tradingEngine.tradingCurrent.position.status.value !== 'Closing') { return }
if (
(
tradingEngine.current.strategyTriggerStage.status.value === 'Closed' ||
tradingEngine.current.strategyTriggerStage.status.value === tradingEngine.current.strategyTriggerStage.status.config.initialValue
tradingEngine.tradingCurrent.strategyTriggerStage.status.value === 'Closed' ||
tradingEngine.tradingCurrent.strategyTriggerStage.status.value === tradingEngine.tradingCurrent.strategyTriggerStage.status.config.initialValue
)
&&
(
tradingEngine.current.strategyOpenStage.status.value === 'Closed' ||
tradingEngine.current.strategyOpenStage.status.value === tradingEngine.current.strategyOpenStage.status.config.initialValue
tradingEngine.tradingCurrent.strategyOpenStage.status.value === 'Closed' ||
tradingEngine.tradingCurrent.strategyOpenStage.status.value === tradingEngine.tradingCurrent.strategyOpenStage.status.config.initialValue
)
&&
(
tradingEngine.current.strategyManageStage.status.value === 'Closed' ||
tradingEngine.current.strategyManageStage.status.value === tradingEngine.current.strategyManageStage.status.config.initialValue
tradingEngine.tradingCurrent.strategyManageStage.status.value === 'Closed' ||
tradingEngine.tradingCurrent.strategyManageStage.status.value === tradingEngine.tradingCurrent.strategyManageStage.status.config.initialValue
)
&&
(
tradingEngine.current.strategyCloseStage.status.value === 'Closed'
tradingEngine.tradingCurrent.strategyCloseStage.status.value === 'Closed'
)
) {
@@ -933,8 +933,8 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
tradingStrategyModuleObject.closeStrategy('Position Closed')
/* Distance to Events Updates */
tradingEngine.current.episode.distanceToEvent.closePosition.value = 1
tradingEngine.current.episode.distanceToEvent.triggerOff.value = 1
tradingEngine.tradingCurrent.episode.distanceToEvent.closePosition.value = 1
tradingEngine.tradingCurrent.episode.distanceToEvent.triggerOff.value = 1
}
}
@@ -1033,19 +1033,19 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
let stage
switch (stageName) {
case 'Trigger Stage': {
stage = tradingEngine.current.strategyTriggerStage
stage = tradingEngine.tradingCurrent.strategyTriggerStage
break
}
case 'Open Stage': {
stage = tradingEngine.current.strategyOpenStage
stage = tradingEngine.tradingCurrent.strategyOpenStage
break
}
case 'Manage Stage': {
stage = tradingEngine.current.strategyManageStage
stage = tradingEngine.tradingCurrent.strategyManageStage
break
}
case 'Close Stage': {
stage = tradingEngine.current.strategyCloseStage
stage = tradingEngine.tradingCurrent.strategyCloseStage
break
}
}
@@ -1073,15 +1073,15 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
*/
function openStage(stage) {
/* Recording the opening at the Trading Engine Data Structure */
stage.begin.value = tradingEngine.current.episode.cycle.lastBegin.value
stage.end.value = tradingEngine.current.episode.cycle.lastEnd.value
stage.beginRate.value = tradingEngine.current.episode.candle.close.value
stage.begin.value = tradingEngine.tradingCurrent.episode.cycle.lastBegin.value
stage.end.value = tradingEngine.tradingCurrent.episode.cycle.lastEnd.value
stage.beginRate.value = tradingEngine.tradingCurrent.episode.candle.close.value
}
function closeStage(stage) {
/* Recording the closing at the Trading Engine Data Structure */
stage.end.value = tradingEngine.current.episode.cycle.lastEnd.value
stage.endRate.value = tradingEngine.current.episode.candle.close.value
stage.end.value = tradingEngine.tradingCurrent.episode.cycle.lastEnd.value
stage.endRate.value = tradingEngine.tradingCurrent.episode.candle.close.value
}
}
@@ -1090,43 +1090,43 @@ exports.newSuperalgosBotModulesTradingStages = function (processIndex) {
Note that we can not use the cycle here because this is executed via mantain
which in turn is executed before the first cycle for this candle is set.
*/
if (tradingEngine.current.strategyTriggerStage.status.value === 'Open') {
tradingEngine.current.strategyTriggerStage.end.value = tradingEngine.current.strategyTriggerStage.end.value + sessionParameters.timeFrame.config.value
tradingEngine.current.strategyTriggerStage.endRate.value = tradingEngine.current.episode.candle.close.value
if (tradingEngine.tradingCurrent.strategyTriggerStage.status.value === 'Open') {
tradingEngine.tradingCurrent.strategyTriggerStage.end.value = tradingEngine.tradingCurrent.strategyTriggerStage.end.value + sessionParameters.timeFrame.config.value
tradingEngine.tradingCurrent.strategyTriggerStage.endRate.value = tradingEngine.tradingCurrent.episode.candle.close.value
}
if (tradingEngine.current.strategyOpenStage.status.value === 'Open') {
tradingEngine.current.strategyOpenStage.end.value = tradingEngine.current.strategyOpenStage.end.value + sessionParameters.timeFrame.config.value
tradingEngine.current.strategyOpenStage.endRate.value = tradingEngine.current.episode.candle.close.value
if (tradingEngine.tradingCurrent.strategyOpenStage.status.value === 'Open') {
tradingEngine.tradingCurrent.strategyOpenStage.end.value = tradingEngine.tradingCurrent.strategyOpenStage.end.value + sessionParameters.timeFrame.config.value
tradingEngine.tradingCurrent.strategyOpenStage.endRate.value = tradingEngine.tradingCurrent.episode.candle.close.value
}
if (tradingEngine.current.strategyManageStage.status.value === 'Open') {
tradingEngine.current.strategyManageStage.end.value = tradingEngine.current.strategyManageStage.end.value + sessionParameters.timeFrame.config.value
tradingEngine.current.strategyManageStage.endRate.value = tradingEngine.current.episode.candle.close.value
if (tradingEngine.tradingCurrent.strategyManageStage.status.value === 'Open') {
tradingEngine.tradingCurrent.strategyManageStage.end.value = tradingEngine.tradingCurrent.strategyManageStage.end.value + sessionParameters.timeFrame.config.value
tradingEngine.tradingCurrent.strategyManageStage.endRate.value = tradingEngine.tradingCurrent.episode.candle.close.value
}
if (tradingEngine.current.strategyCloseStage.status.value === 'Open') {
tradingEngine.current.strategyCloseStage.end.value = tradingEngine.current.strategyCloseStage.end.value + sessionParameters.timeFrame.config.value
tradingEngine.current.strategyCloseStage.endRate.value = tradingEngine.current.episode.candle.close.value
if (tradingEngine.tradingCurrent.strategyCloseStage.status.value === 'Open') {
tradingEngine.tradingCurrent.strategyCloseStage.end.value = tradingEngine.tradingCurrent.strategyCloseStage.end.value + sessionParameters.timeFrame.config.value
tradingEngine.tradingCurrent.strategyCloseStage.endRate.value = tradingEngine.tradingCurrent.episode.candle.close.value
}
}
function resetTradingEngineDataStructure() {
if (tradingEngine.current.strategyTriggerStage.status.value === 'Closed') {
resetStage(tradingEngine.current.strategyTriggerStage.status)
if (tradingEngine.tradingCurrent.strategyTriggerStage.status.value === 'Closed') {
resetStage(tradingEngine.tradingCurrent.strategyTriggerStage.status)
}
if (tradingEngine.current.strategyOpenStage.status.value === 'Closed') {
resetStage(tradingEngine.current.strategyOpenStage.status)
if (tradingEngine.tradingCurrent.strategyOpenStage.status.value === 'Closed') {
resetStage(tradingEngine.tradingCurrent.strategyOpenStage.status)
}
if (tradingEngine.current.strategyManageStage.status.value === 'Closed') {
resetStage(tradingEngine.current.strategyManageStage.status)
if (tradingEngine.tradingCurrent.strategyManageStage.status.value === 'Closed') {
resetStage(tradingEngine.tradingCurrent.strategyManageStage.status)
}
if (tradingEngine.current.strategyCloseStage.status.value === 'Closed') {
resetStage(tradingEngine.current.strategyCloseStage.status)
if (tradingEngine.tradingCurrent.strategyCloseStage.status.value === 'Closed') {
resetStage(tradingEngine.tradingCurrent.strategyCloseStage.status)
}
if (tradingEngine.current.position.status.value === 'Closed') {
resetStage(tradingEngine.current.strategyTriggerStage)
resetStage(tradingEngine.current.strategyOpenStage)
resetStage(tradingEngine.current.strategyManageStage)
resetStage(tradingEngine.current.strategyCloseStage)
if (tradingEngine.tradingCurrent.position.status.value === 'Closed') {
resetStage(tradingEngine.tradingCurrent.strategyTriggerStage)
resetStage(tradingEngine.tradingCurrent.strategyOpenStage)
resetStage(tradingEngine.tradingCurrent.strategyManageStage)
resetStage(tradingEngine.tradingCurrent.strategyCloseStage)
}
function resetStage(stage) {
TS.projects.superalgos.globals.processModuleObjects.MODULE_OBJECTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_MODULE_OBJECT.initializeNode(stage)
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingStrategy.js
+22 -22
View File
@@ -38,50 +38,50 @@ exports.newSuperalgosBotModulesTradingStrategy = function (processIndex) {
function openStrategy(index, situationName, strategyName) {
/* Starting begin and end */
tradingEngine.current.strategy.begin.value = tradingEngine.current.episode.cycle.lastBegin.value
tradingEngine.current.strategy.end.value = tradingEngine.current.episode.cycle.lastEnd.value
tradingEngine.tradingCurrent.strategy.begin.value = tradingEngine.tradingCurrent.episode.cycle.lastBegin.value
tradingEngine.tradingCurrent.strategy.end.value = tradingEngine.tradingCurrent.episode.cycle.lastEnd.value
/* Recording the opening at the Trading Engine Data Structure */
tradingEngine.current.strategy.status.value = 'Open'
tradingEngine.current.strategy.serialNumber.value = tradingEngine.current.episode.episodeCounters.strategies.value
tradingEngine.current.strategy.identifier.value = TS.projects.superalgos.utilities.miscellaneousFunctions.genereteUniqueId()
tradingEngine.current.strategy.beginRate.value = tradingEngine.current.episode.candle.min.value
tradingEngine.tradingCurrent.strategy.status.value = 'Open'
tradingEngine.tradingCurrent.strategy.serialNumber.value = tradingEngine.tradingCurrent.episode.episodeCounters.strategies.value
tradingEngine.tradingCurrent.strategy.identifier.value = TS.projects.superalgos.utilities.miscellaneousFunctions.genereteUniqueId()
tradingEngine.tradingCurrent.strategy.beginRate.value = tradingEngine.tradingCurrent.episode.candle.min.value
tradingEngine.current.strategy.index.value = index
tradingEngine.current.strategy.situationName.value = situationName
tradingEngine.current.strategy.strategyName.value = strategyName
tradingEngine.tradingCurrent.strategy.index.value = index
tradingEngine.tradingCurrent.strategy.situationName.value = situationName
tradingEngine.tradingCurrent.strategy.strategyName.value = strategyName
/* Updating Episode Counters */
tradingEngine.current.episode.episodeCounters.strategies.value++
tradingEngine.tradingCurrent.episode.episodeCounters.strategies.value++
}
function closeStrategy(exitType) {
tradingEngine.current.strategy.status.value = 'Closed'
tradingEngine.current.strategy.exitType.value = exitType
tradingEngine.current.strategy.end.value = tradingEngine.current.episode.cycle.lastEnd.value
tradingEngine.current.strategy.endRate.value = tradingEngine.current.episode.candle.min.value
tradingEngine.tradingCurrent.strategy.status.value = 'Closed'
tradingEngine.tradingCurrent.strategy.exitType.value = exitType
tradingEngine.tradingCurrent.strategy.end.value = tradingEngine.tradingCurrent.episode.cycle.lastEnd.value
tradingEngine.tradingCurrent.strategy.endRate.value = tradingEngine.tradingCurrent.episode.candle.min.value
/*
Now that the strategy is closed, it is the right time to move this strategy from current to last at the Trading Engine data structure.
*/
TS.projects.superalgos.globals.processModuleObjects.MODULE_OBJECTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_MODULE_OBJECT.cloneValues(tradingEngine.current.strategy, tradingEngine.last.strategy)
TS.projects.superalgos.globals.processModuleObjects.MODULE_OBJECTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_MODULE_OBJECT.cloneValues(tradingEngine.tradingCurrent.strategy, tradingEngine.last.strategy)
}
function updateEnds() {
if (tradingEngine.current.strategy.status.value === 'Open') {
tradingEngine.current.strategy.end.value = tradingEngine.current.strategy.end.value + sessionParameters.timeFrame.config.value
tradingEngine.current.strategy.endRate.value = tradingEngine.current.episode.candle.close.value
if (tradingEngine.tradingCurrent.strategy.status.value === 'Open') {
tradingEngine.tradingCurrent.strategy.end.value = tradingEngine.tradingCurrent.strategy.end.value + sessionParameters.timeFrame.config.value
tradingEngine.tradingCurrent.strategy.endRate.value = tradingEngine.tradingCurrent.episode.candle.close.value
}
}
function resetTradingEngineDataStructure() {
if (tradingEngine.current.strategy.status.value === 'Closed') {
TS.projects.superalgos.globals.processModuleObjects.MODULE_OBJECTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_MODULE_OBJECT.initializeNode(tradingEngine.current.strategy)
if (tradingEngine.tradingCurrent.strategy.status.value === 'Closed') {
TS.projects.superalgos.globals.processModuleObjects.MODULE_OBJECTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_MODULE_OBJECT.initializeNode(tradingEngine.tradingCurrent.strategy)
}
}
function updateCounters() {
if (tradingEngine.current.strategy.status.value === 'Open') {
tradingEngine.current.strategy.strategyCounters.periods.value++
if (tradingEngine.tradingCurrent.strategy.status.value === 'Open') {
tradingEngine.tradingCurrent.strategy.strategyCounters.periods.value++
}
}
}
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingSystem.js
+3 -3
View File
@@ -75,7 +75,7 @@ exports.newSuperalgosBotModulesTradingSystem = function (processIndex) {
This rate will later help plotting the error at the
charts.
*/
let rate = tradingEngine.current.episode.candle.close.value
let rate = tradingEngine.tradingCurrent.episode.candle.close.value
errorDataArray.push(rate)
tradingSystem.errors.push(errorDataArray)
}
@@ -86,7 +86,7 @@ exports.newSuperalgosBotModulesTradingSystem = function (processIndex) {
This rate will later help plotting the warning at the
charts.
*/
let rate = tradingEngine.current.episode.candle.close.value
let rate = tradingEngine.tradingCurrent.episode.candle.close.value
warningDataArray.push(rate)
tradingSystem.warnings.push(warningDataArray)
}
@@ -97,7 +97,7 @@ exports.newSuperalgosBotModulesTradingSystem = function (processIndex) {
This rate will later help plotting the warning at the
charts.
*/
let rate = tradingEngine.current.episode.candle.close.value
let rate = tradingEngine.tradingCurrent.episode.candle.close.value
infoDataArray.push(rate)
tradingSystem.infos.push(infoDataArray)
}
Projects/Superalgos/TS/Function-Libraries/OutputManagementFunctions.js
+1 -1
View File
@@ -31,7 +31,7 @@ exports.newSuperalgosFunctionLibrariesOutputManagementFunctions = function () {
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true && TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING === false) {
await initializeOutputs()
} else {
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.current.episode.headOfTheMarket.value === true) {
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.tradingCurrent.episode.headOfTheMarket.value === true) {
await loadFiles()
} else {
await initializeOutputs()
Projects/Superalgos/UI/Function-Libraries/LearningSessionFunctions.js
+1 -1
View File
@@ -89,7 +89,7 @@ function newSuperalgosFunctionLibraryLearningSessionFunctions() {
lightingPath = '' +
'Learning Engine->' +
'Dynamic Indicators->Indicator Function->' +
'Current->Last->Previous->' +
'Trading Current->Last->Previous->' +
'Episode->' +
'Episode Base Asset->Episode Quoted Asset->Episode Counters->Episode Statistics->' +
'Strategies->Positions->Orders->Hits->Fails->' +
Projects/Superalgos/UI/Function-Libraries/TradingSessionFunctions.js
+1 -1
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@@ -89,7 +89,7 @@ function newSuperalgosFunctionLibraryTradingSessionFunctions() {
lightingPath = '' +
'Trading Engine->' +
'Dynamic Indicators->Indicator Function->' +
'Current->Last->Previous->' +
'Trading Current->Last->Previous->' +
'Episode->' +
'Episode Base Asset->Episode Quoted Asset->Episode Counters->Episode Statistics->' +
'Strategies->Positions->Orders->Hits->Fails->' +