Initial Definition removed
This commit is contained in:
Luis Fernando Molina committed
1 parent
f0e661d13f
commit
c35c715d65
2 files changed
+212
-246
No files matched your search
@@ -60,11 +60,9 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
|
||||
tradingEngine.current.position.positionQuotedAsset.beginBalance.value = tradingEngine.current.episode.episodeQuotedAsset.balance.value
|
||||
tradingEngine.current.position.situationName.value = situationName
|
||||
|
||||
/* Initializing Stop and Take Profit Stage / Phase */
|
||||
tradingEngine.current.position.stopLoss.stopLossStage.value = 'Open Stage'
|
||||
tradingEngine.current.position.takeProfit.takeProfitStage.value = 'Open Stage'
|
||||
tradingEngine.current.position.stopLoss.stopLossPhase.value = 0
|
||||
tradingEngine.current.position.takeProfit.takeProfitPhase.value = 0
|
||||
/* Initializing Stop and Take Phase */
|
||||
tradingEngine.current.position.stopLoss.stopLossPhase.value = 1
|
||||
tradingEngine.current.position.takeProfit.takeProfitPhase.value = 1
|
||||
|
||||
/* Updating Episode Counters */
|
||||
tradingEngine.current.episode.episodeCounters.positions.value++
|
||||
|
||||
@@ -259,116 +259,118 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
}
|
||||
|
||||
async function runOpenStage() {
|
||||
/* Abort Open Stage Check */
|
||||
if (tradingEngine.current.strategyOpenStage.status.value === 'Open' && tradingEngine.current.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,
|
||||
and cancel all unfilled limit orders. We call this the Closing status of the Open Stage.
|
||||
*/
|
||||
changeStageStatus('Open Stage', 'Closing')
|
||||
|
||||
checkIfWeNeedToAbortTheStage()
|
||||
runWhenStatusIsOpening()
|
||||
await runWhenStatusIsOpen()
|
||||
await runWhenStatusIsClosing()
|
||||
|
||||
function checkIfWeNeedToAbortTheStage() {
|
||||
/* Abort Open Stage Check */
|
||||
if (tradingEngine.current.strategyOpenStage.status.value === 'Open' && tradingEngine.current.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,
|
||||
and cancel all unfilled limit orders. We call this the Closing status of the Open Stage.
|
||||
*/
|
||||
changeStageStatus('Open Stage', 'Closing')
|
||||
}
|
||||
}
|
||||
|
||||
/* Opening Status Procedure */
|
||||
if (tradingEngine.current.strategyOpenStage.status.value === 'Opening') {
|
||||
function runWhenStatusIsOpening() {
|
||||
/* Opening Status Procedure */
|
||||
if (tradingEngine.current.strategyOpenStage.status.value === 'Opening') {
|
||||
|
||||
/* This procedure is intended to run only once */
|
||||
let tradingSystemStage = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
|
||||
let executionNode = tradingSystemStage.openExecution
|
||||
/* This procedure is intended to run only once */
|
||||
let tradingSystemStage = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
|
||||
let tradingEngineStage = tradingEngine.current.strategyOpenStage
|
||||
|
||||
/* Reset the Exchange Orders data structure to its initial value */
|
||||
tradingEngineModule.initializeNode(tradingEngine.exchangeOrders)
|
||||
/* Reset the Exchange Orders data structure to its initial value */
|
||||
tradingEngineModule.initializeNode(tradingEngine.exchangeOrders)
|
||||
|
||||
tradingSystem.evalConditions(tradingSystemStage, 'Initial Definition')
|
||||
tradingSystem.evalFormulas(tradingSystemStage, 'Initial Definition')
|
||||
/* Entry Position size and rate */
|
||||
tradingSystem.evalFormulas(tradingSystemStage, 'Initial Targets')
|
||||
tradingPositionModule.initialTargets(tradingSystemStage, tradingEngineStage)
|
||||
initializeStageTargetSize()
|
||||
|
||||
/* Entry Position size and rate */
|
||||
tradingSystem.evalFormulas(tradingSystemStage, 'Initial Targets')
|
||||
tradingPositionModule.initialTargets(tradingSystemStage, tradingEngine.current.strategyOpenStage)
|
||||
initializeStageTargetSize()
|
||||
|
||||
/* Check Execution at open stage node */
|
||||
tradingSystem.evalConditions(tradingSystemStage, 'Open Execution')
|
||||
tradingSystem.evalFormulas(tradingSystemStage, 'Open Execution')
|
||||
|
||||
await tradingExecutionModule.runExecution(
|
||||
executionNode,
|
||||
tradingEngine.current.strategyOpenStage
|
||||
)
|
||||
|
||||
/* From here on, the state is officialy Open */
|
||||
changeStageStatus('Open Stage', 'Open')
|
||||
return
|
||||
/* From here on, the stage is officialy Open */
|
||||
changeStageStatus('Open Stage', 'Open')
|
||||
}
|
||||
}
|
||||
|
||||
/* Open Status Procedure */
|
||||
if (tradingEngine.current.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 executionNode = tradingSystemStage.openExecution
|
||||
async function runWhenStatusIsOpen() {
|
||||
/* Open Status Procedure */
|
||||
if (tradingEngine.current.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 executionNode = tradingSystemStage.openExecution
|
||||
|
||||
/* Every Loop Cycle Activity */
|
||||
tradingSystem.evalConditions(tradingSystemStage, 'Open Execution')
|
||||
tradingSystem.evalFormulas(tradingSystemStage, 'Open Execution')
|
||||
/* Evaluate conditions and formulas so they are ready during the execution run */
|
||||
tradingSystem.evalConditions(executionNode, 'Open Execution')
|
||||
tradingSystem.evalFormulas(executionNode, 'Open Execution')
|
||||
|
||||
await tradingExecutionModule.runExecution(
|
||||
executionNode,
|
||||
tradingEngine.current.strategyOpenStage
|
||||
)
|
||||
checkIfStageNeedsToBeClosed(tradingEngine.current.strategyOpenStage, tradingSystemStage, 'Open Stage')
|
||||
await tradingExecutionModule.runExecution(
|
||||
executionNode,
|
||||
tradingEngineStage
|
||||
)
|
||||
checkIfStageNeedsToBeClosed(tradingEngineStage, tradingSystemStage, 'Open Stage')
|
||||
}
|
||||
}
|
||||
|
||||
/* Closing Status Procedure */
|
||||
if (tradingEngine.current.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 executionNode = tradingSystemStage.openExecution
|
||||
async function runWhenStatusIsClosing() {
|
||||
/* Closing Status Procedure */
|
||||
if (tradingEngine.current.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 executionNode = tradingSystemStage.openExecution
|
||||
|
||||
/*
|
||||
Check if there are unfilled orders, we will check if they were executed,
|
||||
and cancel the ones that were not.
|
||||
*/
|
||||
tradingSystem.evalConditions(tradingSystemStage, 'Open Execution')
|
||||
tradingSystem.evalFormulas(tradingSystemStage, 'Open Execution')
|
||||
/*
|
||||
Check if there are unfilled orders, we will check if they were executed,
|
||||
and cancel the ones that were not.
|
||||
*/
|
||||
tradingSystem.evalConditions(tradingSystemStage, 'Open Execution')
|
||||
tradingSystem.evalFormulas(tradingSystemStage, 'Open Execution')
|
||||
|
||||
await tradingExecutionModule.runExecution(
|
||||
executionNode,
|
||||
tradingEngine.current.strategyOpenStage
|
||||
)
|
||||
await tradingExecutionModule.runExecution(
|
||||
executionNode,
|
||||
tradingEngine.current.strategyOpenStage
|
||||
)
|
||||
|
||||
/*
|
||||
The Closing is finished when the sizeFilled + feesPaid reaches the sizePlaced.
|
||||
This can happens either because we update the sizeFilled value when we see
|
||||
at the exchange that orders were filled, or we reduce the sizePlaced when
|
||||
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) {
|
||||
case 'Base Asset': {
|
||||
if (
|
||||
tradingEngine.current.strategyOpenStage.stageBaseAsset.sizeFilled.value +
|
||||
tradingEngine.current.strategyOpenStage.stageBaseAsset.feesPaid.value >=
|
||||
tradingEngine.current.strategyOpenStage.stageBaseAsset.sizePlaced.value
|
||||
) {
|
||||
changeStageStatus('Open Stage', 'Closed')
|
||||
/*
|
||||
The Closing is finished when the sizeFilled + feesPaid reaches the sizePlaced.
|
||||
This can happens either because we update the sizeFilled value when we see
|
||||
at the exchange that orders were filled, or we reduce the sizePlaced when
|
||||
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) {
|
||||
case 'Base Asset': {
|
||||
if (
|
||||
tradingEngine.current.strategyOpenStage.stageBaseAsset.sizeFilled.value +
|
||||
tradingEngine.current.strategyOpenStage.stageBaseAsset.feesPaid.value >=
|
||||
tradingEngine.current.strategyOpenStage.stageBaseAsset.sizePlaced.value
|
||||
) {
|
||||
changeStageStatus('Open Stage', 'Closed')
|
||||
}
|
||||
break
|
||||
}
|
||||
break
|
||||
}
|
||||
case 'Quoted Asset': {
|
||||
if (
|
||||
tradingEngine.current.strategyOpenStage.stageQuotedAsset.sizeFilled.value +
|
||||
tradingEngine.current.strategyOpenStage.stageQuotedAsset.feesPaid.value >=
|
||||
tradingEngine.current.strategyOpenStage.stageQuotedAsset.sizePlaced.value
|
||||
) {
|
||||
changeStageStatus('Open Stage', 'Closed')
|
||||
case 'Quoted Asset': {
|
||||
if (
|
||||
tradingEngine.current.strategyOpenStage.stageQuotedAsset.sizeFilled.value +
|
||||
tradingEngine.current.strategyOpenStage.stageQuotedAsset.feesPaid.value >=
|
||||
tradingEngine.current.strategyOpenStage.stageQuotedAsset.sizePlaced.value
|
||||
) {
|
||||
changeStageStatus('Open Stage', 'Closed')
|
||||
}
|
||||
break
|
||||
}
|
||||
break
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -386,57 +388,50 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
}
|
||||
|
||||
function runManageStage() {
|
||||
/* Opening Status Procedure */
|
||||
if (tradingEngine.current.strategyManageStage.status.value === 'Opening') {
|
||||
/* We jump the management at the loop cycle where the position is being taken. */
|
||||
changeStageStatus('Manage Stage', 'Open')
|
||||
return
|
||||
|
||||
runWhenStatusIsOpening()
|
||||
runWhenStatusIsOpen()
|
||||
|
||||
function runWhenStatusIsOpening() {
|
||||
/* Opening Status Procedure */
|
||||
if (tradingEngine.current.strategyManageStage.status.value === 'Opening') {
|
||||
|
||||
/* Now we switch to the Open status. */
|
||||
changeStageStatus('Manage Stage', 'Open')
|
||||
}
|
||||
}
|
||||
|
||||
/* Open Status Procedure */
|
||||
if (tradingEngine.current.strategyManageStage.status.value === 'Open') {
|
||||
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
|
||||
let manageStage = strategy.manageStage
|
||||
tradingSystem.evalConditions(manageStage, 'Manage Stage')
|
||||
tradingSystem.evalFormulas(manageStage, 'Manage Stage')
|
||||
function runWhenStatusIsOpen() {
|
||||
/* Open Status Procedure */
|
||||
if (tradingEngine.current.strategyManageStage.status.value === 'Open') {
|
||||
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
|
||||
let manageStage = strategy.manageStage
|
||||
|
||||
if (
|
||||
tradingEngine.current.position.stopLoss.stopLossStage.value === 'Open Stage' ||
|
||||
tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Open Stage') {
|
||||
let tradingSystemStage = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
|
||||
tradingSystem.evalConditions(tradingSystemStage, 'Initial Definition')
|
||||
tradingSystem.evalFormulas(tradingSystemStage, 'Initial Definition')
|
||||
/* Evaluate all the stage conditions and formulas to have them ready */
|
||||
tradingSystem.evalConditions(manageStage, 'Manage Stage')
|
||||
tradingSystem.evalFormulas(manageStage, 'Manage Stage')
|
||||
|
||||
/* Stop Loss Management */
|
||||
checkStopPhasesEvents()
|
||||
calculateStopLoss()
|
||||
calculateStopLossPosition()
|
||||
|
||||
/* Take Profit Management */
|
||||
checkTakeProfitPhaseEvents()
|
||||
calculateTakeProfit()
|
||||
calculateTakeProfitPosition()
|
||||
|
||||
/* Checking if Stop or Take Profit were hit */
|
||||
checkStopLossOrTakeProfitWasHit()
|
||||
}
|
||||
|
||||
/* Stop Loss Management */
|
||||
checkStopPhasesEvents()
|
||||
calculateStopLoss()
|
||||
calculateStopLossPosition()
|
||||
|
||||
/* Take Profit Management */
|
||||
checkTakeProfitPhaseEvents()
|
||||
calculateTakeProfit()
|
||||
calculateTakeProfitPosition()
|
||||
|
||||
/* Checking if Stop or Take Profit were hit */
|
||||
checkStopLossOrTakeProfitWasHit()
|
||||
}
|
||||
|
||||
function calculateStopLoss() {
|
||||
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
|
||||
let openStage = strategy.openStage
|
||||
let manageStage = strategy.manageStage
|
||||
let phase
|
||||
|
||||
if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Open Stage' && openStage !== undefined) {
|
||||
if (openStage.initialDefinition !== undefined) {
|
||||
if (openStage.initialDefinition.initialStopLoss !== undefined) {
|
||||
phase = openStage.initialDefinition.initialStopLoss.phases[tradingEngine.current.position.stopLoss.stopLossPhase.value]
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Manage Stage' && manageStage !== undefined) {
|
||||
if (manageStage !== undefined) {
|
||||
if (manageStage.managedStopLoss !== undefined) {
|
||||
phase = manageStage.managedStopLoss.phases[tradingEngine.current.position.stopLoss.stopLossPhase.value - 1]
|
||||
}
|
||||
@@ -456,19 +451,10 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
|
||||
function calculateTakeProfit() {
|
||||
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
|
||||
let openStage = strategy.openStage
|
||||
let manageStage = strategy.manageStage
|
||||
let phase
|
||||
|
||||
if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Open Stage' && openStage !== undefined) {
|
||||
if (openStage.initialDefinition !== undefined) {
|
||||
if (openStage.initialDefinition.initialTakeProfit !== undefined) {
|
||||
phase = openStage.initialDefinition.initialTakeProfit.phases[tradingEngine.current.position.takeProfit.takeProfitPhase.value]
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Manage Stage' && manageStage !== undefined) {
|
||||
if (manageStage !== undefined) {
|
||||
if (manageStage.managedTakeProfit !== undefined) {
|
||||
phase = manageStage.managedTakeProfit.phases[tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1]
|
||||
}
|
||||
@@ -489,7 +475,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
function calculateStopLossPosition() {
|
||||
/*
|
||||
The position of the Stop Loss (above or below the price) is needed in order to know
|
||||
later if the price hit the Stop Loss or not at every Simulation cycle. When we get
|
||||
later if the price hit the Stop Loss or not at every Simulation candle. When we get
|
||||
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.
|
||||
*/
|
||||
@@ -505,7 +491,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
function calculateTakeProfitPosition() {
|
||||
/*
|
||||
The position of the Take Profit (above or below the price) is needed in order to know
|
||||
later if the price hit the Take Profit or not at every Simulation cycle. When we get
|
||||
later if the price hit the Take Profit or not at every Simulation candle. When we get
|
||||
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.
|
||||
*/
|
||||
@@ -520,28 +506,13 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
|
||||
function checkStopPhasesEvents() {
|
||||
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
|
||||
let openStage = strategy.openStage
|
||||
let manageStage = strategy.manageStage
|
||||
let parentNode
|
||||
let phaseIndex
|
||||
let phase
|
||||
let stopLoss
|
||||
let stage
|
||||
|
||||
if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Open Stage' && openStage !== undefined) {
|
||||
stage = openStage
|
||||
if (openStage.initialDefinition !== undefined) {
|
||||
if (openStage.initialDefinition.initialStopLoss !== undefined) {
|
||||
parentNode = openStage.initialDefinition
|
||||
phaseIndex = tradingEngine.current.position.stopLoss.stopLossPhase.value
|
||||
stopLoss = openStage.initialDefinition.initialStopLoss
|
||||
phase = stopLoss.phases[phaseIndex]
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Manage Stage' && manageStage !== undefined) {
|
||||
stage = manageStage
|
||||
if (manageStage !== undefined) {
|
||||
if (manageStage.managedStopLoss !== undefined) {
|
||||
parentNode = manageStage
|
||||
phaseIndex = tradingEngine.current.position.stopLoss.stopLossPhase.value - 1
|
||||
@@ -572,7 +543,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
tradingSystem.highlights.push(phase.id)
|
||||
tradingSystem.highlights.push(stopLoss.id)
|
||||
tradingSystem.highlights.push(parentNode.id)
|
||||
tradingSystem.highlights.push(stage.id)
|
||||
tradingSystem.highlights.push(manageStage.id)
|
||||
|
||||
tradingPositionModule.updateStopLoss(tradingEngine.current.position.stopLoss.stopLossPhase.value + 1, 'Manage Stage')
|
||||
|
||||
@@ -602,7 +573,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
tradingSystem.highlights.push(phase.id)
|
||||
tradingSystem.highlights.push(stopLoss.id)
|
||||
tradingSystem.highlights.push(parentNode.id)
|
||||
tradingSystem.highlights.push(stage.id)
|
||||
tradingSystem.highlights.push(manageStage.id)
|
||||
|
||||
let moveToPhase = moveToPhaseEvent.referenceParent
|
||||
if (moveToPhase !== undefined) {
|
||||
@@ -633,22 +604,8 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
let phaseIndex
|
||||
let phase
|
||||
let takeProfit
|
||||
let stage
|
||||
|
||||
if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Open Stage' && openStage !== undefined) {
|
||||
stage = openStage
|
||||
if (openStage.initialDefinition !== undefined) {
|
||||
if (openStage.initialDefinition.initialTakeProfit !== undefined) {
|
||||
parentNode = openStage.initialDefinition
|
||||
phaseIndex = tradingEngine.current.position.takeProfit.takeProfitPhase.value
|
||||
takeProfit = openStage.initialDefinition.initialTakeProfit
|
||||
phase = takeProfit.phases[phaseIndex]
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Manage Stage' && manageStage !== undefined) {
|
||||
stage = manageStage
|
||||
if (manageStage !== undefined) {
|
||||
if (manageStage.managedTakeProfit !== undefined) {
|
||||
parentNode = manageStage
|
||||
phaseIndex = tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1
|
||||
@@ -679,7 +636,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
tradingSystem.highlights.push(phase.id)
|
||||
tradingSystem.highlights.push(takeProfit.id)
|
||||
tradingSystem.highlights.push(parentNode.id)
|
||||
tradingSystem.highlights.push(stage.id)
|
||||
tradingSystem.highlights.push(manageStage.id)
|
||||
|
||||
tradingPositionModule.updateTakeProfit(tradingEngine.current.position.takeProfit.takeProfitPhase.value + 1, 'Manage Stage')
|
||||
|
||||
@@ -709,7 +666,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
tradingSystem.highlights.push(phase.id)
|
||||
tradingSystem.highlights.push(takeProfit.id)
|
||||
tradingSystem.highlights.push(parentNode.id)
|
||||
tradingSystem.highlights.push(stage.id)
|
||||
tradingSystem.highlights.push(manageStage.id)
|
||||
|
||||
let moveToPhase = moveToPhaseEvent.referenceParent
|
||||
if (moveToPhase !== undefined) {
|
||||
@@ -785,68 +742,81 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
}
|
||||
|
||||
async function runCloseStage() {
|
||||
/* Opening Status Procedure */
|
||||
if (tradingEngine.current.strategyCloseStage.status.value === 'Opening') {
|
||||
|
||||
runWhenStatusIsOpening()
|
||||
await runWhenStatusIsOpen()
|
||||
|
||||
function runWhenStatusIsOpening() {
|
||||
/* Opening Status Procedure */
|
||||
if (tradingEngine.current.strategyCloseStage.status.value === 'Opening') {
|
||||
/*
|
||||
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
|
||||
|
||||
/* Exit Position size and rate */
|
||||
tradingSystem.evalFormulas(tradingSystemStage, 'Initial Targets')
|
||||
tradingPositionModule.initialTargets(tradingSystemStage, tradingEngine.current.strategyCloseStage)
|
||||
|
||||
initializeStageTargetSize()
|
||||
changeStageStatus('Close Stage', 'Open')
|
||||
}
|
||||
}
|
||||
|
||||
async function runWhenStatusIsOpen() {
|
||||
/*
|
||||
This will happen only once, as soon as the Take Profit or Stop was hit.
|
||||
We wil not be placing orders at this time because we do not know
|
||||
the total filled size of the Open Stage. By skiping execution now
|
||||
we allow the open stage to get a final value for sizeFilled that we can use.
|
||||
The following code will run only when the Open Stage is closed.
|
||||
The reason for that is that we need the final filled size of the Open Stage
|
||||
to be known before we start placing orders at the Close Stage.
|
||||
*/
|
||||
let tradingSystemStage = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].closeStage
|
||||
if (tradingEngine.current.strategyCloseStage.status.value === 'Open' && tradingEngine.current.strategyOpenStage.status.value === 'Closed') {
|
||||
/*
|
||||
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 executionNode = tradingSystemStage.closeExecution
|
||||
|
||||
/* Exit Position size and rate */
|
||||
tradingSystem.evalFormulas(tradingSystemStage, 'Initial Targets')
|
||||
tradingPositionModule.initialTargets(tradingSystemStage, tradingEngine.current.strategyCloseStage)
|
||||
tradingSystem.evalConditions(tradingSystemStage, 'Close Execution')
|
||||
tradingSystem.evalFormulas(tradingSystemStage, 'Close Execution')
|
||||
|
||||
initializeStageTargetSize()
|
||||
changeStageStatus('Close Stage', 'Open')
|
||||
return
|
||||
}
|
||||
await tradingExecutionModule.runExecution(
|
||||
executionNode,
|
||||
tradingEngine.current.strategyCloseStage
|
||||
)
|
||||
|
||||
/* Open Status Procedure */
|
||||
if (tradingEngine.current.strategyCloseStage.status.value === 'Open') {
|
||||
/*
|
||||
This will happen as long as the Close Stage is Open.
|
||||
checkIfStageNeedsToBeClosed(tradingEngineStage, tradingSystemStage, 'Close Stage')
|
||||
}
|
||||
|
||||
/*
|
||||
Exit Position Validation: we need al the previous stages to be either closed
|
||||
or at their initial default value. The last is becasue after Closed objects are
|
||||
initialized to their defualts.
|
||||
*/
|
||||
let tradingSystemStage = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].closeStage
|
||||
let executionNode = tradingSystemStage.closeExecution
|
||||
if (
|
||||
(
|
||||
tradingEngine.current.strategyTriggerStage.status.value === 'Closed' ||
|
||||
tradingEngine.current.strategyTriggerStage.status.value === tradingEngine.current.strategyTriggerStage.status.config.initialValue
|
||||
)
|
||||
&&
|
||||
(
|
||||
tradingEngine.current.strategyOpenStage.status.value === 'Closed' ||
|
||||
tradingEngine.current.strategyOpenStage.status.value === tradingEngine.current.strategyOpenStage.status.config.initialValue
|
||||
)
|
||||
&&
|
||||
(
|
||||
tradingEngine.current.strategyManageStage.status.value === 'Closed' ||
|
||||
tradingEngine.current.strategyManageStage.status.value === tradingEngine.current.strategyManageStage.status.config.initialValue
|
||||
)
|
||||
&&
|
||||
(
|
||||
tradingEngine.current.strategyCloseStage.status.value === 'Closed'
|
||||
)
|
||||
) {
|
||||
|
||||
tradingSystem.evalConditions(tradingSystemStage, 'Close Execution')
|
||||
tradingSystem.evalFormulas(tradingSystemStage, 'Close Execution')
|
||||
|
||||
await tradingExecutionModule.runExecution(
|
||||
executionNode,
|
||||
tradingEngine.current.strategyCloseStage
|
||||
)
|
||||
|
||||
checkIfStageNeedsToBeClosed(tradingEngine.current.strategyCloseStage, tradingSystemStage, 'Close Stage')
|
||||
}
|
||||
|
||||
/* Exit Position Validation */
|
||||
if (
|
||||
(
|
||||
tradingEngine.current.strategyTriggerStage.status.value === 'Closed' ||
|
||||
tradingEngine.current.strategyTriggerStage.status.value === tradingEngine.current.strategyTriggerStage.status.config.initialValue
|
||||
)
|
||||
&&
|
||||
(
|
||||
tradingEngine.current.strategyOpenStage.status.value === 'Closed' ||
|
||||
tradingEngine.current.strategyOpenStage.status.value === tradingEngine.current.strategyOpenStage.status.config.initialValue
|
||||
)
|
||||
&&
|
||||
(
|
||||
tradingEngine.current.strategyManageStage.status.value === 'Closed' ||
|
||||
tradingEngine.current.strategyManageStage.status.value === tradingEngine.current.strategyManageStage.status.config.initialValue
|
||||
)
|
||||
&&
|
||||
(
|
||||
tradingEngine.current.strategyCloseStage.status.value === 'Closed'
|
||||
)
|
||||
) {
|
||||
|
||||
/* Exiting Everything now. */
|
||||
exitPositionAndStrategy()
|
||||
/* Closing Everything now. */
|
||||
closePositionAndStrategy()
|
||||
}
|
||||
}
|
||||
|
||||
function initializeStageTargetSize() {
|
||||
@@ -860,8 +830,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
tradingEngine.current.strategyCloseStage.stageQuotedAsset.targetSize.value = global.PRECISE(tradingEngine.current.strategyCloseStage.stageQuotedAsset.targetSize.value, 10)
|
||||
}
|
||||
|
||||
function exitPositionAndStrategy() {
|
||||
|
||||
function closePositionAndStrategy() {
|
||||
/* Taking Position Snapshot */
|
||||
if (bot.SESSION.type === 'Backtesting Session') {
|
||||
if (sessionParameters.snapshots !== undefined) {
|
||||
@@ -920,7 +889,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
) {
|
||||
positionFilled()
|
||||
} else {
|
||||
checkCloseStageEvent()
|
||||
checkCloseStageEvent(tradingSystemStage)
|
||||
}
|
||||
break
|
||||
}
|
||||
@@ -939,7 +908,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
) {
|
||||
positionFilled()
|
||||
} else {
|
||||
checkCloseStageEvent()
|
||||
checkCloseStageEvent(tradingSystemStage)
|
||||
}
|
||||
break
|
||||
}
|
||||
@@ -947,7 +916,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
function positionFilled() {
|
||||
changeStageStatus(stageName, 'Closed', 'Position Size Filled')
|
||||
}
|
||||
function checkCloseStageEvent() {
|
||||
function checkCloseStageEvent(tradingSystemStage) {
|
||||
/* Check the Close Stage Event */
|
||||
tradingSystem.evalConditions(tradingSystemStage, 'Close Stage Event')
|
||||
if (checkStopStageEvent(tradingSystemStage) === true) {
|
||||
@@ -957,7 +926,6 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
}
|
||||
|
||||
function checkStopStageEvent(stage) {
|
||||
|
||||
/* Check the Close Stage Event. */
|
||||
let stopStageEvent = stage.stopStageEvent
|
||||
if (stopStageEvent !== undefined) {
|
||||
|
||||
Reference in new issue
Block a user