Beta 6 without Execution
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exports.newTradingPosition = function newTradingPosition(bot, logger) {
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/*
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This module packages all functions related to Positions.
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*/
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const MODULE_NAME = 'Trading Position'
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let thisObject = {
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openPosition: openPosition,
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closePosition: closePosition,
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applyStopLossFormula: applyStopLossFormula,
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applyTakeProfitFormula: applyTakeProfitFormula,
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preventStopLossDistortion: preventStopLossDistortion,
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applySlippageToStopLoss: applySlippageToStopLoss,
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preventTakeProfitDistortion: preventTakeProfitDistortion,
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applySlippageToTakeProfit: applySlippageToTakeProfit,
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updateStopLoss: updateStopLoss,
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updateTakeProfit: updateTakeProfit,
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updateSizeAndRate: updateSizeAndRate,
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applySlippageToRate: applySlippageToRate,
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updateEnds: updateEnds,
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updateStatus: updateStatus,
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updateCounters: updateCounters,
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updateStatistics: updateStatistics,
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resetPosition: resetPosition,
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initialize: initialize,
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finalize: finalize
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}
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let tradingEngine
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let sessionParameters
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return thisObject
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function initialize() {
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tradingEngine = bot.simulationState.tradingEngine
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sessionParameters = bot.SESSION.parameters
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}
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function finalize() {
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tradingEngine = undefined
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sessionParameters = undefined
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}
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function openPosition(situationName) {
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tradingEngine.current.position.status.value = 'Open'
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tradingEngine.current.position.begin.value = tradingEngine.current.candle.begin.value
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tradingEngine.current.position.end.value = tradingEngine.current.candle.end.value
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tradingEngine.current.position.situationName.value = situationName
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tradingEngine.current.position.stopLoss.stopLossStage.value = 'Open Stage'
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tradingEngine.current.position.takeProfit.takeProfitStage.value = 'Open Stage'
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tradingEngine.current.position.stopLoss.stopLossPhase.value = 0
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tradingEngine.current.position.takeProfit.takeProfitPhase.value = 0
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}
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function closePosition(exitType) {
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tradingEngine.current.position.status.value = 'Closed'
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tradingEngine.current.position.end.value = tradingEngine.current.candle.end.value
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tradingEngine.current.position.exitType.value = exitType
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/*
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Now that the position is closed, it is the right time to move this position from current to last at the Trading Engine data structure.
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*/
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const TRADING_ENGINE_MODULE = require('./TradingEngine.js')
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let tradingEngineModule = TRADING_ENGINE_MODULE.newTradingEngine(bot, logger)
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tradingEngineModule.cloneValues(tradingEngine.current.position, tradingEngine.last.position)
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}
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function resetPosition() {
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tradingEngine.current.position.initialize(tradingEngine.current.position)
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}
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function applyStopLossFormula(formulas, formulaId) {
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tradingEngine.current.position.stopLoss.value = formulas.get(formulaId)
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}
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function applyTakeProfitFormula(formulas, formulaId) {
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tradingEngine.current.position.takeProfit.value = formulas.get(formulaId)
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}
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function updateStopLoss(phase, stage) {
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tradingEngine.current.position.stopLoss.stopLossPhase.value = phase
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tradingEngine.current.position.stopLoss.stopLossStage.value = stage
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}
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function updateTakeProfit(phase, stage) {
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tradingEngine.current.position.takeProfit.takeProfitPhase.value = phase
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tradingEngine.current.position.takeProfit.takeProfitStage.value = stage
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}
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function updateSizeAndRate(size, rate) {
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tradingEngine.current.position.size.value = size
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tradingEngine.current.position.rate.value = rate
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}
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function applySlippageToRate() {
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let slippageAmount = tradingEngine.current.position.rate.value * bot.SESSION.parameters.slippage.config.positionRate / 100
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if (bot.sessionAndMarketBaseAssetsAreEqual) {
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tradingEngine.current.position.beginRate.value = tradingEngine.current.position.rate.value - slippageAmount
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} else {
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tradingEngine.current.position.beginRate.value = tradingEngine.current.position.rate.value + slippageAmount
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}
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}
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function preventStopLossDistortion() {
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/*
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Hit Point Validation
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This prevents misscalculations when a formula places the stop loss in this case way beyond the market price.
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If we take the stop loss value at those situation would be a huge distortion of facts.
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*/
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if (bot.sessionAndMarketBaseAssetsAreEqual) {
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if (tradingEngine.current.position.stopLoss.value < tradingEngine.current.candle.min.value) {
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tradingEngine.current.position.stopLoss.value = tradingEngine.current.candle.min.value
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}
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} else {
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if (tradingEngine.current.position.stopLoss.value > tradingEngine.current.candle.max.value) {
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tradingEngine.current.position.stopLoss.value = tradingEngine.current.candle.max.value
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}
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}
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}
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function applySlippageToStopLoss() {
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let slippedStopLoss = tradingEngine.current.position.stopLoss.value
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/* Apply the Slippage */
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let slippageAmount = slippedStopLoss * bot.SESSION.parameters.slippage.config.stopLoss / 100
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if (bot.sessionAndMarketBaseAssetsAreEqual) {
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slippedStopLoss = slippedStopLoss + slippageAmount
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} else {
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slippedStopLoss = slippedStopLoss - slippageAmount
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}
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tradingEngine.current.position.endRate.value = slippedStopLoss
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}
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function preventTakeProfitDistortion() {
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/*
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Hit Point Validation:
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This prevents misscalculations when a formula places the take profit in this case way beyond the market price.
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If we take the stop loss value at those situation would be a huge distortion of facts.
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*/
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if (bot.sessionAndMarketBaseAssetsAreEqual) {
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if (tradingEngine.current.position.takeProfit.value > tradingEngine.current.candle.max.value) {
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tradingEngine.current.position.takeProfit.value = tradingEngine.current.candle.max.value
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}
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} else {
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if (tradingEngine.current.position.takeProfit.value < tradingEngine.current.candle.min.value) {
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tradingEngine.current.position.takeProfit.value = tradingEngine.current.candle.min.value
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}
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}
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}
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function applySlippageToTakeProfit() {
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let slippedTakeProfit = tradingEngine.current.position.takeProfit.value
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/* Apply the Slippage */
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let slippageAmount = slippedTakeProfit * bot.SESSION.parameters.slippage.config.takeProfit / 100
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if (bot.sessionAndMarketBaseAssetsAreEqual) {
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slippedTakeProfit = slippedTakeProfit + slippageAmount
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} else {
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slippedTakeProfit = slippedTakeProfit - slippageAmount
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}
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tradingEngine.current.position.endRate.value = slippedTakeProfit
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}
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function updateEnds() {
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if (tradingEngine.current.position.status.value === 'Open') {
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tradingEngine.current.position.end.value = tradingEngine.current.candle.end.value
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}
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}
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function updateStatus() {
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if (tradingEngine.current.position.status.value === 'Closed') {
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resetPosition()
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}
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}
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function updateCounters() {
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if (tradingEngine.current.position.status.value === 'Open') {
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tradingEngine.current.position.positionCounters.periods.value++
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}
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}
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function updateStatistics() {
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if (bot.sessionAndMarketBaseAssetsAreEqual) {
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tradingEngine.current.position.positionStatistics.profitLoss.value = tradingEngine.current.balance.baseAsset.value - tradingEngine.previous.balance.baseAsset.value
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tradingEngine.current.position.positionStatistics.ROI.value = tradingEngine.current.position.positionStatistics.profitLoss.value * 100 / tradingEngine.current.position.size.value
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} else {
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tradingEngine.current.position.positionStatistics.profitLoss.value = tradingEngine.current.balance.quotedAsset.value - tradingEngine.previous.balance.quotedAsset.value
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tradingEngine.current.position.positionStatistics.ROI.value = tradingEngine.current.position.positionStatistics.profitLoss.value * 100 / tradingEngine.current.position.size.value
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}
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tradingEngine.current.position.positionStatistics.days.value = tradingEngine.current.position.positionCounters.periods.value * sessionParameters.timeFrame.config.value / global.ONE_DAY_IN_MILISECONDS
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if (tradingEngine.current.position.positionStatistics.ROI.value > 0) {
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tradingEngine.current.position.positionStatistics.hitFail.value = 'HIT'
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} else {
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tradingEngine.current.position.positionStatistics.hitFail.value = 'FAIL'
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}
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}
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}
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