Fullly working on Multi Period
This commit is contained in:
Luis Fernando Molina committed
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commit
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6 files changed
+865
-1916
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+70
-29
@@ -43,9 +43,12 @@
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> Entering function."); }
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let processingDailyFiles = (currentDay !== undefined)
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if (timePeriod > global.dailyFilePeriods[0][0]) {
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processingDailyFiles = false
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} else {
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processingDailyFiles = true
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}
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let executionArray = [];
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let recordsArray = [];
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let conditionsArray = [];
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let strategiesArray = [];
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@@ -227,7 +230,10 @@
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/* In some cases we need to know if we are positioned at the last candle of the calendar day, for that we need these variables. */
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let lastInstantOfTheDay = currentDay.valueOf() + ONE_DAY_IN_MILISECONDS - 1;
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let lastInstantOfTheDay = 0
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if (currentDay) {
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lastInstantOfTheDay = currentDay.valueOf() + ONE_DAY_IN_MILISECONDS - 1;
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}
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/*
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The following counters need to survive multiple executions of the similator and keep themselves reliable.
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@@ -243,7 +249,7 @@
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not adding to the counters duplicate info when processing the day before candles.
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To overcome these challenges we record the values of the counters and variables on the interExecutionMemory only when
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the day is complete and if we have a currentDay. That menas that for Market Files we will never use
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the day is complete and if we have a current Day. That menas that for Market Files we will never use
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interExecutionMemory.
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*/
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@@ -458,14 +464,16 @@
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endRate: interExecutionMemory.currentTrade.endRate
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}
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if (currentDay.valueOf() >= startDate.valueOf() + ONE_DAY_IN_MILISECONDS) { // Only after the first day we start grabbing the balance from this memory.
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if (currentDay) {
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if (currentDay.valueOf() >= startDate.valueOf() + ONE_DAY_IN_MILISECONDS) { // Only after the first day we start grabbing the balance from this memory.
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balanceAssetA = interExecutionMemory.balanceAssetA;
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balanceAssetB = interExecutionMemory.balanceAssetB;
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balanceAssetA = interExecutionMemory.balanceAssetA;
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balanceAssetB = interExecutionMemory.balanceAssetB;
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yesterday.balanceAssetA = balanceAssetA;
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yesterday.balanceAssetB = balanceAssetB;
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yesterday.balanceAssetA = balanceAssetA;
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yesterday.balanceAssetB = balanceAssetB;
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}
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}
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lastTradeProfitLoss = interExecutionMemory.lastTradeProfitLoss;
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@@ -553,7 +561,17 @@
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function initializeLoop() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> initializeLoop -> Entering function."); }
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i = 0
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/* Estimate Initial Candle */
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let firstEnd = candles[0].end
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let targetEnd = initialDate.valueOf()
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let diff = targetEnd - firstEnd
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let amount = diff / timePeriod
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i = Math.trunc(amount)
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if (i < 0) { i = 0 }
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loop()
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}
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@@ -570,18 +588,39 @@
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let chart = {}
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for (let j = 0; j < global.dailyFilePeriods.length; j++) {
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if (processingDailyFiles) {
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for (let j = 0; j < global.dailyFilePeriods.length; j++) {
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let mapKey = dailyFilePeriods[j][1]
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chart[mapKey] = {}
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chart[mapKey].candle = getElement(candlesAt[mapKey], candle);
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chart[mapKey].percentageBandwidth = getElement(percentageBandwidthAt[mapKey], candle);
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chart[mapKey].bollingerBand = getElement(bollingerBandsAt[mapKey], candle);
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chart[mapKey].bollingerChannel = getElement(bollingerChannelsAt[mapKey], candle);
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chart[mapKey].bollingerSubChannel = getElement(bollingerSubChannelsAt[mapKey], candle);
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let mapKey = dailyFilePeriods[j][1]
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let propertyName = 'at' + mapKey.replace('-', '');
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chart[propertyName] = {}
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chart[propertyName].candle = getElement(candlesAt[mapKey], candle);
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chart[propertyName].percentageBandwidth = getElement(percentageBandwidthAt[mapKey], candle);
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chart[propertyName].bollingerBand = getElement(bollingerBandsAt[mapKey], candle);
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chart[propertyName].bollingerChannel = getElement(bollingerChannelsAt[mapKey], candle);
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chart[propertyName].bollingerSubChannel = getElement(bollingerSubChannelsAt[mapKey], candle);
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}
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}
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let positionedAtYesterday = (candle.end < currentDay.valueOf())
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for (let j = 0; j < global.marketFilesPeriods.length; j++) {
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let mapKey = marketFilesPeriods[j][1]
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let propertyName = 'at' + mapKey.replace('-', '');
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chart[propertyName] = {}
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chart[propertyName].candle = getElement(candlesAt[mapKey], candle);
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chart[propertyName].percentageBandwidth = getElement(percentageBandwidthAt[mapKey], candle);
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chart[propertyName].bollingerBand = getElement(bollingerBandsAt[mapKey], candle);
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chart[propertyName].bollingerChannel = getElement(bollingerChannelsAt[mapKey], candle);
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chart[propertyName].bollingerSubChannel = getElement(bollingerSubChannelsAt[mapKey], candle);
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}
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/* While we are processing the previous day. */
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let positionedAtYesterday = false
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if (currentDay) {
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positionedAtYesterday = (candle.end < currentDay.valueOf())
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}
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Candle Begin @ " + (new Date(candle.begin)).toLocaleString()) }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Candle End @ " + (new Date(candle.end)).toLocaleString()) }
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@@ -1913,14 +1952,16 @@
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}
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/* We are not going to place orders based on outdated information. The next filter prevents firing orders when backtesting. */
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let today = new Date(Math.trunc((new Date().valueOf()) / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS)
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let processDay = new Date(Math.trunc(currentDay.valueOf() / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS)
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if (today.valueOf() !== processDay.valueOf()) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because the current candle belongs to the previous day and that is considered simulation and not live trading."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> today = " + today); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> processDay = " + processDay); }
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takePositionAtSimulation()
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return;
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if (currentDay) {
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let today = new Date(Math.trunc((new Date().valueOf()) / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS)
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let processDay = new Date(Math.trunc(currentDay.valueOf() / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS)
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if (today.valueOf() !== processDay.valueOf()) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because the current candle belongs to the previous day and that is considered simulation and not live trading."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> today = " + today); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> processDay = " + processDay); }
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takePositionAtSimulation()
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return;
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}
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}
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let openPositionRate
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@@ -2552,7 +2593,7 @@
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/*
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Before returning we need to see if we have to record some of our counters at the interExecutionMemory.
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To do that, the condition to be met is that this execution must include all candles of the currentDay.
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To do that, the condition to be met is that this execution must include all candles of the current day.
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*/
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if (processingDailyFiles) {
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@@ -2616,7 +2657,7 @@
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> callback -> recordsArray.length = " + recordsArray.length); }
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callback(tradingSystem, executionArray, recordsArray, conditionsArray, strategiesArray, tradesArray, lastObjectsArray);
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callback(tradingSystem, recordsArray, conditionsArray, strategiesArray, tradesArray, lastObjectsArray);
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}
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@@ -1,674 +0,0 @@
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exports.newUserBot = function newUserBot(bot, logger, COMMONS, UTILITIES, fileStorage) {
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const FULL_LOG = true;
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const LOG_FILE_CONTENT = false;
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const MODULE_NAME = "User Bot";
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const EXECUTION_FOLDER_NAME = "Trading-Execution";
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const SIMULATED_RECORDS_FOLDER_NAME = "Trading-Simulation";
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const CONDITIONS_FOLDER_NAME = "Simulation-Conditions";
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const STRATEGIES_FOLDER_NAME = "Simulation-Strategies";
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const TRADES_FOLDER_NAME = "Simulation-Trades";
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const ONE_DAY_IN_MILISECONDS = 24 * 60 * 60 * 1000;
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const commons = COMMONS.newCommons(bot, logger, UTILITIES);
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thisObject = {
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initialize: initialize,
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start: start
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};
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let utilities = UTILITIES.newCloudUtilities(bot, logger);
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let dataDependencies;
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let assistant;
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return thisObject;
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function initialize(pDataDependencies, callBackFunction, pAssistant) {
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try {
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logger.fileName = MODULE_NAME;
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logger.initialize();
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] initialize -> Entering function."); }
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dataDependencies = pDataDependencies;
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assistant = pAssistant;
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callBackFunction(global.DEFAULT_OK_RESPONSE);
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] initialize -> err = " + err.stack);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function start(dataFiles, timePeriod, outputPeriodLabel, currentDay, startDate, endDate, interExecutionMemory, callBackFunction) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> Entering function."); }
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let market = global.MARKET;
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let dataFile;
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let recordsArray
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let conditionsArray
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let strategiesArray
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let tradesArray
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let lastObjectsArray
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let tradingSystem = {};
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commons.initializeData();
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for (let i = 0; i < dataDependencies.config.length; i++) {
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let dependency = dataDependencies.config[i];
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dataFile = dataFiles[i];
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switch (i) {
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/*
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case 0: {
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commons.buildLRC(dataFile, callBackFunction);
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break;
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}*/
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case 0: {
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commons.buildPercentageBandwidthMap(dataFile, callBackFunction);
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break;
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}
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case 1: {
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commons.buildBollingerBandsMap(dataFile, callBackFunction);
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break;
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}
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case 2: {
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commons.buildBollingerChannelsArray(dataFile, callBackFunction);
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break;
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}
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case 3: {
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commons.buildBollingerSubChannelsArray(dataFile, callBackFunction);
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break;
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}
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case 4: {
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commons.buildCandles(dataFile, callBackFunction);
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break;
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}
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}
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}
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commons.runSimulation(
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timePeriod,
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currentDay,
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startDate,
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endDate,
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interExecutionMemory,
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assistant,
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writeFiles,
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callBackFunction)
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function writeFiles(pTradingSystem, pExecutionArray, pRecordsArray, pConditionsArray, pStrategiesArray, pTradesArray, pLastObjectsArray) {
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tradingSystem = pTradingSystem
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executionArray = pExecutionArray
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recordsArray = pRecordsArray
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conditionsArray = pConditionsArray
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strategiesArray = pStrategiesArray
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tradesArray = pTradesArray
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lastObjectsArray = pLastObjectsArray
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writeExecutionFile()
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}
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function writeExecutionFile() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> Entering function."); }
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let separator = "";
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let fileRecordCounter = 0;
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let fileContent = "";
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for (let i = 0; i < executionArray.length; i++) {
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let record = executionArray[i];
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/* Will only add to the file the records of the current day */
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if (record.begin < currentDay.valueOf()) { continue; }
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fileContent = fileContent + separator + '[' +
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record.begin + "," +
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record.end + "," +
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JSON.stringify(record.executionRecord) + "]";
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if (separator === "") { separator = ","; }
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fileRecordCounter++;
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}
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fileContent = "[" + fileContent + "]";
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let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
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let fileName = '' + market.assetA + '_' + market.assetB + '.json';
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let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
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let filePath = filePathRoot + "/Output/" + EXECUTION_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath;
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filePath += '/' + fileName
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fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
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function onFileCreated(err) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> onFileCreated -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> onFileCreated -> fileContent = " + fileContent); }
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> err = " + err.stack);
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logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> filePath = " + filePath);
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logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
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callBackFunction(err);
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return;
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}
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writeFinalResults();
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> err = " + err.stack);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> err = " + err.stack);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function writeFinalResults() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeFinalResults -> Entering function."); }
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if ( // We only write this file if we are at the head of the market.
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Math.trunc(currentDay.valueOf() / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS
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!==
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Math.trunc((new Date()).valueOf() / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS
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) {
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writeRecordsFile();
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return;
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}
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let separator = "";
|
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let fileRecordCounter = 0;
|
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|
||||
let fileContent = "";
|
||||
|
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for (let i = 0; i < recordsArray.length; i++) {
|
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|
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let record = recordsArray[i];
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/* Will only add to the file the records of the current day */
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|
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if (record.begin < currentDay.valueOf()) { continue; }
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fileContent = fileContent + separator + '[' +
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record.begin + "," +
|
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record.end + "," +
|
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record.type + "," +
|
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record.marketRate + "," +
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record.amount + "," +
|
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record.balanceA + "," +
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record.balanceB + "," +
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record.profit + "," +
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record.lastTradeProfitLoss + "," +
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record.stopLoss + "," +
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record.roundtrips + "," +
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record.hits + "," +
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record.fails + "," +
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record.hitRatio + "," +
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record.ROI + "," +
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record.periods + "," +
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record.days + "," +
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record.anualizedRateOfReturn + "," +
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record.positionRate + "," +
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record.lastTradeROI + "," +
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record.strategy + "," +
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record.strategyStageNumber + "," +
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record.takeProfit + "," +
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record.stopLossPhase + "," +
|
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record.takeProfitPhase + "," +
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JSON.stringify(record.executionRecord) + "," +
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record.positionSize + "," +
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record.initialBalanceA + "," +
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record.minimumBalanceA + "," +
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record.maximumBalanceA + "," +
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record.initialBalanceB + "," +
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record.minimumBalanceB + "," +
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record.maximumBalanceB + "," +
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record.baseAsset + "," +
|
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record.positionPeriods + "," +
|
||||
record.positionDays + "]";
|
||||
|
||||
if (separator === "") { separator = ","; }
|
||||
|
||||
fileRecordCounter++;
|
||||
|
||||
}
|
||||
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||||
fileContent = "[" + fileContent + "]";
|
||||
|
||||
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
||||
|
||||
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
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let filePath = filePathRoot + "/Output/" + SIMULATED_RECORDS_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel;
|
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filePath += '/' + fileName
|
||||
|
||||
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
|
||||
|
||||
function onFileCreated(err) {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeFinalResults -> onFileCreated -> Entering function."); }
|
||||
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeFinalResults -> onFileCreated -> fileContent = " + fileContent); }
|
||||
|
||||
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
||||
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeFinalResults -> onFileCreated -> err = " + err.stack);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeFinalResults -> onFileCreated -> filePath = " + filePath);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeFinalResults -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
||||
|
||||
callBackFunction(err);
|
||||
return;
|
||||
|
||||
}
|
||||
|
||||
writeRecordsFile();
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeFinalResults -> onFileCreated -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeFinalResults -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
function writeRecordsFile() {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeRecordsFile -> Entering function."); }
|
||||
|
||||
let separator = "";
|
||||
let fileRecordCounter = 0;
|
||||
|
||||
let fileContent = "";
|
||||
|
||||
for (let i = 0; i < recordsArray.length; i++) {
|
||||
|
||||
let record = recordsArray[i];
|
||||
|
||||
/* Will only add to the file the records of the current day */
|
||||
|
||||
if (record.begin < currentDay.valueOf()) { continue; }
|
||||
|
||||
fileContent = fileContent + separator + '[' +
|
||||
record.begin + "," +
|
||||
record.end + "," +
|
||||
record.type + "," +
|
||||
record.marketRate + "," +
|
||||
record.amount + "," +
|
||||
record.balanceA + "," +
|
||||
record.balanceB + "," +
|
||||
record.profit + "," +
|
||||
record.lastTradeProfitLoss + "," +
|
||||
record.stopLoss + "," +
|
||||
record.roundtrips + "," +
|
||||
record.hits + "," +
|
||||
record.fails + "," +
|
||||
record.hitRatio + "," +
|
||||
record.ROI + "," +
|
||||
record.periods + "," +
|
||||
record.days + "," +
|
||||
record.anualizedRateOfReturn + "," +
|
||||
record.positionRate + "," +
|
||||
record.lastTradeROI + "," +
|
||||
record.strategy + "," +
|
||||
record.strategyStageNumber + "," +
|
||||
record.takeProfit + "," +
|
||||
record.stopLossPhase + "," +
|
||||
record.takeProfitPhase + "," +
|
||||
JSON.stringify(record.executionRecord) + "," +
|
||||
record.positionSize + "," +
|
||||
record.initialBalanceA + "," +
|
||||
record.minimumBalanceA + "," +
|
||||
record.maximumBalanceA + "," +
|
||||
record.initialBalanceB + "," +
|
||||
record.minimumBalanceB + "," +
|
||||
record.maximumBalanceB + "," +
|
||||
record.baseAsset + "," +
|
||||
record.positionPeriods + "," +
|
||||
record.positionDays + "]";
|
||||
|
||||
if (separator === "") { separator = ","; }
|
||||
|
||||
fileRecordCounter++;
|
||||
|
||||
}
|
||||
|
||||
fileContent = "[" + fileContent + "]";
|
||||
|
||||
let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
|
||||
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
||||
|
||||
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
||||
let filePath = filePathRoot + "/Output/" + SIMULATED_RECORDS_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath;
|
||||
filePath += '/' + fileName
|
||||
|
||||
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
|
||||
|
||||
function onFileCreated(err) {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeRecordsFile -> onFileCreated -> Entering function."); }
|
||||
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeRecordsFile -> onFileCreated -> fileContent = " + fileContent); }
|
||||
|
||||
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
||||
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> onFileCreated -> err = " + err.stack);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> onFileCreated -> filePath = " + filePath);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
||||
|
||||
callBackFunction(err);
|
||||
return;
|
||||
|
||||
}
|
||||
|
||||
writeConditionsFile();
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> onFileCreated -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
function writeConditionsFile() {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeConditionsFile -> Entering function."); }
|
||||
|
||||
let separator = "";
|
||||
let fileRecordCounter = 0;
|
||||
|
||||
let fileContent = "";
|
||||
|
||||
for (let i = 0; i < conditionsArray.length; i++) {
|
||||
|
||||
let record = conditionsArray[i];
|
||||
|
||||
/* Will only add to the file the records of the current day */
|
||||
|
||||
if (record.begin < currentDay.valueOf()) { continue; }
|
||||
|
||||
let conditions = "";
|
||||
let conditionsSeparator = "";
|
||||
|
||||
/* Will only add to the file the records of the current day */
|
||||
|
||||
if (record.begin < currentDay.valueOf()) { continue; }
|
||||
|
||||
for (let j = 0; j < record.length - 3; j++) {
|
||||
conditions = conditions + conditionsSeparator + record[j];
|
||||
if (conditionsSeparator === "") { conditionsSeparator = ","; }
|
||||
}
|
||||
|
||||
conditions = conditions + conditionsSeparator + '[' + record[record.length - 3] + ']'; // The last item contains an Array of condition values.
|
||||
conditions = conditions + conditionsSeparator + '[' + record[record.length - 2] + ']'; // The last item contains an Array of formulaErrors.
|
||||
conditions = conditions + conditionsSeparator + '[' + record[record.length - 1] + ']'; // The last item contains an Array of formulaValues.
|
||||
|
||||
fileContent = fileContent + separator + '[' + conditions + ']';
|
||||
|
||||
if (separator === "") { separator = ","; }
|
||||
|
||||
fileRecordCounter++;
|
||||
|
||||
}
|
||||
|
||||
fileContent = "[" + fileContent + "]";
|
||||
fileContent = "[" + JSON.stringify(tradingSystem) + "," + JSON.stringify(lastObjectsArray) + "," + fileContent + "]";
|
||||
|
||||
let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
|
||||
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
||||
|
||||
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
||||
let filePath = filePathRoot + "/Output/" + CONDITIONS_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath;
|
||||
filePath += '/' + fileName
|
||||
|
||||
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
|
||||
|
||||
function onFileCreated(err) {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeConditionsFile -> onFileCreated -> Entering function."); }
|
||||
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeConditionsFile -> onFileCreated -> fileContent = " + fileContent); }
|
||||
|
||||
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
||||
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> onFileCreated -> err = " + err.stack);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> onFileCreated -> filePath = " + filePath);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
||||
|
||||
callBackFunction(err);
|
||||
return;
|
||||
|
||||
}
|
||||
|
||||
writeStrategiesFile();
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> onFileCreated -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
function writeStrategiesFile() {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> Entering function."); }
|
||||
|
||||
let separator = "";
|
||||
let fileRecordCounter = 0;
|
||||
|
||||
let fileContent = "";
|
||||
|
||||
for (let i = 0; i < strategiesArray.length; i++) {
|
||||
let record = strategiesArray[i];
|
||||
|
||||
/* Will only add to the file the records of the current day. In this case since objects can span more than one day, we add all of the objects that ends
|
||||
at the current date. */
|
||||
|
||||
if (record.end < currentDay.valueOf()) { continue; }
|
||||
|
||||
fileContent = fileContent + separator + '[' +
|
||||
record.begin + "," +
|
||||
record.end + "," +
|
||||
record.status + "," +
|
||||
record.number + "," +
|
||||
record.beginRate + "," +
|
||||
record.endRate + "]";
|
||||
|
||||
if (separator === "") { separator = ","; }
|
||||
|
||||
fileRecordCounter++;
|
||||
|
||||
}
|
||||
|
||||
fileContent = "[" + fileContent + "]";
|
||||
|
||||
let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
|
||||
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
||||
|
||||
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
||||
let filePath = filePathRoot + "/Output/" + STRATEGIES_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath;
|
||||
filePath += '/' + fileName
|
||||
|
||||
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
|
||||
|
||||
function onFileCreated(err) {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> onFileCreated -> Entering function."); }
|
||||
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> onFileCreated -> fileContent = " + fileContent); }
|
||||
|
||||
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
||||
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> err = " + err.stack);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> filePath = " + filePath);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
||||
|
||||
callBackFunction(err);
|
||||
return;
|
||||
|
||||
}
|
||||
|
||||
writeTradesFile();
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
function writeTradesFile() {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> Entering function."); }
|
||||
|
||||
let separator = "";
|
||||
let fileRecordCounter = 0;
|
||||
|
||||
let fileContent = "";
|
||||
|
||||
for (let i = 0; i < tradesArray.length; i++) {
|
||||
|
||||
let record = tradesArray[i];
|
||||
|
||||
/* Will only add to the file the records of the current day. In this case since objects can span more than one day, we add all of the objects that ends
|
||||
at the current date. */
|
||||
|
||||
if (record.end < currentDay.valueOf()) { continue; }
|
||||
if (record.stopRate === undefined) { record.stopRate = 0}
|
||||
|
||||
fileContent = fileContent + separator + '[' +
|
||||
record.begin + "," +
|
||||
record.end + "," +
|
||||
record.status + "," +
|
||||
record.lastTradeROI + "," +
|
||||
record.beginRate + "," +
|
||||
record.endRate + "," +
|
||||
record.exitType + "]";
|
||||
|
||||
if (separator === "") { separator = ","; }
|
||||
|
||||
fileRecordCounter++;
|
||||
|
||||
}
|
||||
|
||||
fileContent = "[" + fileContent + "]";
|
||||
|
||||
let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
|
||||
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
||||
|
||||
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
||||
let filePath = filePathRoot + "/Output/" + TRADES_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath;
|
||||
filePath += '/' + fileName
|
||||
|
||||
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
|
||||
|
||||
function onFileCreated(err) {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> onFileCreated -> Entering function."); }
|
||||
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> onFileCreated -> fileContent = " + fileContent); }
|
||||
|
||||
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
||||
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> err = " + err.stack);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> filePath = " + filePath);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
||||
|
||||
callBackFunction(err);
|
||||
return;
|
||||
|
||||
}
|
||||
|
||||
callBackFunction(global.DEFAULT_OK_RESPONSE);
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
};
|
||||
@@ -1,523 +0,0 @@
|
||||
exports.newUserBot = function newUserBot(bot, logger, COMMONS, UTILITIES, fileStorage) {
|
||||
|
||||
const FULL_LOG = true;
|
||||
const LOG_FILE_CONTENT = false;
|
||||
|
||||
const MODULE_NAME = "User Bot";
|
||||
|
||||
const EXECUTION_FOLDER_NAME = "Trading-Execution";
|
||||
const SIMULATED_RECORDS_FOLDER_NAME = "Trading-Simulation";
|
||||
const CONDITIONS_FOLDER_NAME = "Simulation-Conditions";
|
||||
const STRATEGIES_FOLDER_NAME = "Simulation-Strategies";
|
||||
const TRADES_FOLDER_NAME = "Simulation-Trades";
|
||||
|
||||
const commons = COMMONS.newCommons(bot, logger, UTILITIES);
|
||||
|
||||
thisObject = {
|
||||
initialize: initialize,
|
||||
start: start
|
||||
};
|
||||
|
||||
let dataDependencies;
|
||||
let assistant;
|
||||
|
||||
return thisObject;
|
||||
|
||||
function initialize(pDataDependencies, callBackFunction, pAssistant) {
|
||||
|
||||
try {
|
||||
|
||||
logger.fileName = MODULE_NAME;
|
||||
logger.initialize();
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] initialize -> Entering function."); }
|
||||
|
||||
dataDependencies = pDataDependencies;
|
||||
assistant = pAssistant;
|
||||
|
||||
callBackFunction(global.DEFAULT_OK_RESPONSE);
|
||||
|
||||
} catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] initialize -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
function start(dataFiles, timePeriod, outputPeriodLabel, startDate, endDate, callBackFunction) {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> Entering function."); }
|
||||
|
||||
let market = global.MARKET;
|
||||
let dataFile;
|
||||
|
||||
let recordsArray
|
||||
let conditionsArray
|
||||
let strategiesArray
|
||||
let tradesArray
|
||||
let lastObjectsArray
|
||||
|
||||
let tradingSystem = {};
|
||||
let interExecutionMemory = {};
|
||||
let currentDay = bot.processDatetime;
|
||||
|
||||
commons.initializeData();
|
||||
|
||||
for (let i = 0; i < dataDependencies.config.length; i++) {
|
||||
|
||||
let dependency = dataDependencies.config[i];
|
||||
dataFile = dataFiles[i];
|
||||
|
||||
switch (i) {
|
||||
|
||||
/*
|
||||
case 0: {
|
||||
commons.buildLRC(dataFile, callBackFunction);
|
||||
break;
|
||||
}*/
|
||||
case 0: {
|
||||
commons.buildPercentageBandwidthMap(dataFile, callBackFunction);
|
||||
break;
|
||||
}
|
||||
case 1: {
|
||||
commons.buildBollingerBandsMap(dataFile, callBackFunction);
|
||||
break;
|
||||
}
|
||||
case 2: {
|
||||
commons.buildBollingerChannelsArray(dataFile, callBackFunction);
|
||||
break;
|
||||
}
|
||||
case 3: {
|
||||
commons.buildBollingerSubChannelsArray(dataFile, callBackFunction);
|
||||
break;
|
||||
}
|
||||
case 4: {
|
||||
commons.buildCandles(dataFile, callBackFunction);
|
||||
break;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
commons.runSimulation(
|
||||
timePeriod,
|
||||
currentDay,
|
||||
startDate,
|
||||
endDate,
|
||||
interExecutionMemory,
|
||||
assistant,
|
||||
writeFiles,
|
||||
callBackFunction)
|
||||
|
||||
function writeFiles(pTradingSystem, pExecutionArray, pRecordsArray, pConditionsArray, pStrategiesArray, pTradesArray, pLastObjectsArray) {
|
||||
|
||||
tradingSystem = pTradingSystem
|
||||
executionArray = pExecutionArray
|
||||
recordsArray = pRecordsArray
|
||||
conditionsArray = pConditionsArray
|
||||
strategiesArray = pStrategiesArray
|
||||
tradesArray = pTradesArray
|
||||
lastObjectsArray = pLastObjectsArray
|
||||
|
||||
writeExecutionFile()
|
||||
}
|
||||
|
||||
function writeExecutionFile() {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> Entering function."); }
|
||||
|
||||
let separator = "";
|
||||
let fileRecordCounter = 0;
|
||||
|
||||
let fileContent = "";
|
||||
|
||||
for (let i = 0; i < executionArray.length; i++) {
|
||||
|
||||
let record = executionArray[i];
|
||||
|
||||
fileContent = fileContent + separator + '[' +
|
||||
record.begin + "," +
|
||||
record.end + "," +
|
||||
JSON.stringify(record.executionRecord) + "]";
|
||||
|
||||
if (separator === "") { separator = ","; }
|
||||
|
||||
fileRecordCounter++;
|
||||
|
||||
}
|
||||
|
||||
fileContent = "[" + fileContent + "]";
|
||||
|
||||
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
||||
|
||||
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
||||
let filePath = filePathRoot + "/Output/" + EXECUTION_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + outputPeriodLabel;
|
||||
filePath += '/' + fileName
|
||||
|
||||
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
|
||||
|
||||
function onFileCreated(err) {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> onFileCreated -> Entering function."); }
|
||||
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> onFileCreated -> fileContent = " + fileContent); }
|
||||
|
||||
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
||||
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> err = " + err.stack);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> filePath = " + filePath);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
||||
|
||||
callBackFunction(err);
|
||||
return;
|
||||
|
||||
}
|
||||
|
||||
writeRecordsFile();
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
function writeRecordsFile() {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeRecordsFile -> Entering function."); }
|
||||
|
||||
let separator = "";
|
||||
let fileRecordCounter = 0;
|
||||
|
||||
let fileContent = "";
|
||||
|
||||
for (let i = 0; i < recordsArray.length; i++) {
|
||||
|
||||
let record = recordsArray[i];
|
||||
|
||||
fileContent = fileContent + separator + '[' +
|
||||
record.begin + "," +
|
||||
record.end + "," +
|
||||
record.type + "," +
|
||||
record.marketRate + "," +
|
||||
record.amount + "," +
|
||||
record.balanceA + "," +
|
||||
record.balanceB + "," +
|
||||
record.profit + "," +
|
||||
record.lastTradeProfitLoss + "," +
|
||||
record.stopLoss + "," +
|
||||
record.roundtrips + "," +
|
||||
record.hits + "," +
|
||||
record.fails + "," +
|
||||
record.hitRatio + "," +
|
||||
record.ROI + "," +
|
||||
record.periods + "," +
|
||||
record.days + "," +
|
||||
record.anualizedRateOfReturn + "," +
|
||||
record.positionRate + "," +
|
||||
record.lastTradeROI + "," +
|
||||
record.strategy + "," +
|
||||
record.strategyStageNumber + "," +
|
||||
record.takeProfit + "," +
|
||||
record.stopLossPhase + "," +
|
||||
record.takeProfitPhase + "," +
|
||||
JSON.stringify(record.executionRecord) + "," +
|
||||
record.positionSize + "," +
|
||||
record.initialBalanceA + "," +
|
||||
record.minimumBalanceA + "," +
|
||||
record.maximumBalanceA + "," +
|
||||
record.initialBalanceB + "," +
|
||||
record.minimumBalanceB + "," +
|
||||
record.maximumBalanceB + "," +
|
||||
record.baseAsset + "," +
|
||||
record.positionPeriods + "," +
|
||||
record.positionDays + "]";
|
||||
|
||||
if (separator === "") { separator = ","; }
|
||||
|
||||
fileRecordCounter++;
|
||||
|
||||
}
|
||||
|
||||
fileContent = "[" + fileContent + "]";
|
||||
|
||||
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
||||
|
||||
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
||||
let filePath = filePathRoot + "/Output/" + SIMULATED_RECORDS_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + outputPeriodLabel;
|
||||
filePath += '/' + fileName
|
||||
|
||||
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
|
||||
|
||||
function onFileCreated(err) {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeRecordsFile -> onFileCreated -> Entering function."); }
|
||||
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeRecordsFile -> onFileCreated -> fileContent = " + fileContent); }
|
||||
|
||||
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
||||
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> onFileCreated -> err = " + err.stack);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> onFileCreated -> filePath = " + filePath);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
||||
|
||||
callBackFunction(err);
|
||||
return;
|
||||
|
||||
}
|
||||
|
||||
writeConditionsFile();
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> onFileCreated -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
function writeConditionsFile() {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeConditionsFile -> Entering function."); }
|
||||
|
||||
let separator = "";
|
||||
let fileRecordCounter = 0;
|
||||
|
||||
let fileContent = "";
|
||||
|
||||
for (let i = 0; i < conditionsArray.length; i++) {
|
||||
|
||||
let record = conditionsArray[i];
|
||||
|
||||
let conditions = "";
|
||||
let conditionsSeparator = "";
|
||||
|
||||
for (let j = 0; j < record.length - 3; j++) {
|
||||
conditions = conditions + conditionsSeparator + record[j];
|
||||
if (conditionsSeparator === "") { conditionsSeparator = ","; }
|
||||
}
|
||||
|
||||
conditions = conditions + conditionsSeparator + '[' + record[record.length - 3] + ']'; // The last item contains an Array of condition values.
|
||||
conditions = conditions + conditionsSeparator + '[' + record[record.length - 2] + ']'; // The last item contains an Array of formulaErrors.
|
||||
conditions = conditions + conditionsSeparator + '[' + record[record.length - 1] + ']'; // The last item contains an Array of formulaValues.
|
||||
|
||||
fileContent = fileContent + separator + '[' + conditions + ']';
|
||||
|
||||
if (separator === "") { separator = ","; }
|
||||
|
||||
fileRecordCounter++;
|
||||
|
||||
}
|
||||
|
||||
fileContent = "[" + fileContent + "]";
|
||||
fileContent = "[" + JSON.stringify(tradingSystem) + "," + JSON.stringify(lastObjectsArray) + "," + fileContent + "]";
|
||||
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
||||
|
||||
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
||||
let filePath = filePathRoot + "/Output/" + CONDITIONS_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + outputPeriodLabel;
|
||||
filePath += '/' + fileName
|
||||
|
||||
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
|
||||
|
||||
function onFileCreated(err) {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeConditionsFile -> onFileCreated -> Entering function."); }
|
||||
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeConditionsFile -> onFileCreated -> fileContent = " + fileContent); }
|
||||
|
||||
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
||||
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> onFileCreated -> err = " + err.stack);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> onFileCreated -> filePath = " + filePath);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
||||
|
||||
callBackFunction(err);
|
||||
return;
|
||||
|
||||
}
|
||||
|
||||
writeStrategiesFile();
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> onFileCreated -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
function writeStrategiesFile() {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> Entering function."); }
|
||||
|
||||
let separator = "";
|
||||
let fileRecordCounter = 0;
|
||||
|
||||
let fileContent = "";
|
||||
|
||||
for (let i = 0; i < strategiesArray.length; i++) {
|
||||
let record = strategiesArray[i];
|
||||
|
||||
fileContent = fileContent + separator + '[' +
|
||||
record.begin + "," +
|
||||
record.end + "," +
|
||||
record.status + "," +
|
||||
record.number + "," +
|
||||
record.beginRate + "," +
|
||||
record.endRate + "]";
|
||||
|
||||
if (separator === "") { separator = ","; }
|
||||
|
||||
fileRecordCounter++;
|
||||
|
||||
}
|
||||
|
||||
fileContent = "[" + fileContent + "]";
|
||||
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
||||
|
||||
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
||||
let filePath = filePathRoot + "/Output/" + STRATEGIES_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + outputPeriodLabel;
|
||||
filePath += '/' + fileName
|
||||
|
||||
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
|
||||
|
||||
function onFileCreated(err) {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> onFileCreated -> Entering function."); }
|
||||
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> onFileCreated -> fileContent = " + fileContent); }
|
||||
|
||||
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
||||
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> err = " + err.stack);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> filePath = " + filePath);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
||||
|
||||
callBackFunction(err);
|
||||
return;
|
||||
|
||||
}
|
||||
|
||||
writeTradesFile();
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
function writeTradesFile() {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> Entering function."); }
|
||||
|
||||
let separator = "";
|
||||
let fileRecordCounter = 0;
|
||||
|
||||
let fileContent = "";
|
||||
|
||||
for (let i = 0; i < tradesArray.length; i++) {
|
||||
|
||||
let record = tradesArray[i];
|
||||
if (record.stopRate === undefined) { record.stopRate = 0 }
|
||||
|
||||
fileContent = fileContent + separator + '[' +
|
||||
record.begin + "," +
|
||||
record.end + "," +
|
||||
record.status + "," +
|
||||
record.lastTradeROI + "," +
|
||||
record.beginRate + "," +
|
||||
record.endRate + "," +
|
||||
record.exitType + "]";
|
||||
|
||||
if (separator === "") { separator = ","; }
|
||||
|
||||
fileRecordCounter++;
|
||||
|
||||
}
|
||||
|
||||
fileContent = "[" + fileContent + "]";
|
||||
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
||||
|
||||
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
||||
let filePath = filePathRoot + "/Output/" + TRADES_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + outputPeriodLabel;
|
||||
filePath += '/' + fileName
|
||||
|
||||
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
|
||||
|
||||
function onFileCreated(err) {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> onFileCreated -> Entering function."); }
|
||||
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> onFileCreated -> fileContent = " + fileContent); }
|
||||
|
||||
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
||||
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> err = " + err.stack);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> filePath = " + filePath);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
||||
|
||||
callBackFunction(err);
|
||||
return;
|
||||
|
||||
}
|
||||
|
||||
callBackFunction(global.DEFAULT_OK_RESPONSE);
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> err = " + err.stack);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
};
|
||||
+740
-441
File diff suppressed because it is too large.
Load diff
@@ -28,8 +28,6 @@
|
||||
<Content Include="this.bot.config.json" />
|
||||
</ItemGroup>
|
||||
<ItemGroup>
|
||||
<Folder Include="Multi-Period-Daily\" />
|
||||
<Folder Include="Multi-Period-Market\" />
|
||||
<Folder Include="bin" />
|
||||
<Folder Include="logs" />
|
||||
<Folder Include="logs\AA Masters" />
|
||||
@@ -44,8 +42,6 @@
|
||||
</ItemGroup>
|
||||
<ItemGroup>
|
||||
<Compile Include="Commons.js" />
|
||||
<Compile Include="Multi-Period-Daily\User.Bot.js" />
|
||||
<Compile Include="Multi-Period-Market\User.Bot.js" />
|
||||
<Compile Include="Multi-Period\User.Bot.js">
|
||||
<SubType>Code</SubType>
|
||||
</Compile>
|
||||
|
||||
+55
-245
@@ -11,251 +11,6 @@
|
||||
"profilePicture": "Jason.png",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"processes": [
|
||||
{
|
||||
"name": "Multi-Period-Market",
|
||||
"description": "Produces a single file for each time period covering all the market.",
|
||||
"normalWaitTime": 60000,
|
||||
"retryWaitTime": 10000,
|
||||
"sleepWaitTime": 3600000,
|
||||
"comaWaitTime": 86400000,
|
||||
"framework": {
|
||||
"name": "Multi-Period-Market",
|
||||
"startDate": {
|
||||
"fixedDate": "2018-07-01"
|
||||
},
|
||||
"endDate": {}
|
||||
},
|
||||
"statusDependencies": [
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAJason",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"process": "Multi-Period-Market",
|
||||
"dataSetVersion": "dataSet.V1"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAJason",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"process": "Context",
|
||||
"dataSetVersion": "dataSet.V1"
|
||||
}
|
||||
],
|
||||
"dataDependencies": [
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAChris",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "Percentage-Bandwidth",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "Multi-Period-Market"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAChris",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "Bollinger-Bands",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "Multi-Period-Market"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAPaula",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "Bollinger-Standard-Channels",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "Multi-Period-Market"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAPaula",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "Bollinger-Standard-Sub-Channels",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "Multi-Period-Market"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAOlivia",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "Candles",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "Multi-Period-Market"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AABruce",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "Candles",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "One-Min"
|
||||
}
|
||||
]
|
||||
},
|
||||
{
|
||||
"name": "Multi-Period-Daily",
|
||||
"description": "Produces a Daily File at each time period.",
|
||||
"normalWaitTime": 60000,
|
||||
"retryWaitTime": 10000,
|
||||
"sleepWaitTime": 3600000,
|
||||
"comaWaitTime": 86400000,
|
||||
"framework": {
|
||||
"name": "Multi-Period-Daily",
|
||||
"validPeriods": [
|
||||
"45-min",
|
||||
"40-min",
|
||||
"30-min",
|
||||
"20-min",
|
||||
"15-min",
|
||||
"10-min",
|
||||
"05-min",
|
||||
"04-min",
|
||||
"03-min",
|
||||
"02-min",
|
||||
"01-min"
|
||||
],
|
||||
"startDate": {
|
||||
"fixedDate": "2018-07-01"
|
||||
},
|
||||
"endDate": {
|
||||
"takeItFromStatusDependency": 1
|
||||
}
|
||||
},
|
||||
"statusDependencies": [
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AACharly",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"process": "Historic-Trades",
|
||||
"dataSetVersion": "dataSet.V1"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAOlivia",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"process": "Multi-Period-Daily",
|
||||
"dataSetVersion": "dataSet.V1"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAJason",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"process": "Multi-Period-Daily",
|
||||
"dataSetVersion": "dataSet.V1"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAJason",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"process": "Context",
|
||||
"dataSetVersion": "dataSet.V1"
|
||||
}
|
||||
],
|
||||
"dataDependencies": [
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAChris",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "Percentage-Bandwidth",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "Multi-Period-Daily"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAChris",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "Bollinger-Bands",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "Multi-Period-Daily"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAPaula",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "Bollinger-Standard-Channels",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "Multi-Period-Daily"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAPaula",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "Bollinger-Standard-Sub-Channels",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "Multi-Period-Daily"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAOlivia",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "Candles",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "Multi-Period-Daily"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AABruce",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "Candles",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "One-Min"
|
||||
}
|
||||
]
|
||||
},
|
||||
{
|
||||
"name": "Multi-Period",
|
||||
"description": "Produces a Daily or Market files depending on the current timePeriod.",
|
||||
@@ -328,6 +83,61 @@
|
||||
}
|
||||
],
|
||||
"dataDependencies": [
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAChris",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "Percentage-Bandwidth",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "Multi-Period-Market"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAChris",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "Bollinger-Bands",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "Multi-Period-Market"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAPaula",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "Bollinger-Standard-Channels",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "Multi-Period-Market"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAPaula",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "Bollinger-Standard-Sub-Channels",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "Multi-Period-Market"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAOlivia",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "Candles",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "Multi-Period-Market"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAChris",
|
||||
|
||||
Reference in new issue
Block a user