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|
||||
{"type":"Workspace","name":"Beta 6 - Testing WHB","rootNodes":[{"type":"Network","name":"Superalgos","networkNodes":[{"type":"Network Node","name":"My Computer","config":"{ \n\"host\": \"localhost\", \n\"webPort\": \"34248\", \n\"webSocketsPort\": \"8081\"\n}","dataStorage":{"type":"Data Storage","name":"New Data Storage","sessionIndependentData":{"type":"Session Independent Data","name":"New Session Independent Data","exchangeDataProducts":[{"type":"Exchange Data Products","name":"Binance","singleMarketData":[{"type":"Single Market Data","name":"Binance BTC/USDT","dataProducts":[{"type":"Data 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{"type":"Workspace","name":"Beta 6 - Testing WHB","rootNodes":[{"type":"Network","name":"Superalgos","networkNodes":[{"type":"Network Node","name":"My Computer","config":"{ \n\"host\": \"localhost\", \n\"webPort\": \"34248\", \n\"webSocketsPort\": \"8081\"\n}","dataStorage":{"type":"Data Storage","name":"New Data Storage","sessionIndependentData":{"type":"Session Independent Data","name":"New Session Independent Data","exchangeDataProducts":[{"type":"Exchange Data Products","name":"Binance","singleMarketData":[{"type":"Single Market Data","name":"Binance BTC/USDT","dataProducts":[{"type":"Data 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Objects","id":"ba5dbb67-2030-42a0-9ff8-1ee80874f047"}}},{"type":"Data Product","name":"Bollinger Bands","id":"6929ebe7-6486-4299-add5-ed0282500d91","savedPayload":{"position":{"x":23135.872351370694,"y":29400.352192197388},"targetPosition":{"x":24208.69903024272,"y":28943.27543890267},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":true,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{"isRunning":false},"referenceParent":{"type":"Product Definition","name":"Bollinger Bands","id":"29088877-8d63-4217-8d34-8742afc262f4"}}},{"type":"Data Product","name":"Percentage Bandwidth","id":"4a3ed8eb-a73e-4fb4-835a-681cf47d7373","savedPayload":{"position":{"x":23099.965969252025,"y":29305.112951112584},"targetPosition":{"x":24208.69903024272,"y":28943.27543890267},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":true,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{"isRunning":false},"referenceParent":{"type":"Product 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Objects","id":"48f7953c-f62d-4292-b042-d1ac05f8f80f","savedPayload":{"position":{"x":23053.683458829226,"y":29106.890611883788},"targetPosition":{"x":24208.69903024272,"y":28943.27543890267},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":true,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{"isRunning":false},"referenceParent":{"type":"Product Definition","name":"Bollinger Sub-Channels Objects","id":"080c87fc-4546-4482-ab11-180a33f6d9ab"}}},{"type":"Data Product","name":"Popular SMAs","id":"3b9a3c93-6d41-440e-89a2-2fd1b2dde603","savedPayload":{"position":{"x":23043.701100505998,"y":29005.50001492274},"targetPosition":{"x":24208.69903024272,"y":28943.27543890267},"floatingObject":{"isPinned":false,"isFrozen"Line truncated
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@@ -1,10 +1,11 @@
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exports.newTradingExecution = function newTradingExecution(bot, logger, tradingEngineModule) {
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/*
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The Trading Execution modules manages the execution of orders against the exchanges.
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The Trading Execution modules manages the execution nodes and execution algoritms.
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*/
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const MODULE_NAME = 'Trading Execution'
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let thisObject = {
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mantain: mantain,
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runExecution: runExecution,
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initialize: initialize,
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finalize: finalize
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@@ -14,11 +15,8 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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let tradingSystem
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let sessionParameters
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const EXCHANGE_API_MODULE = require('./ExchangeAPI.js')
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let exchangeAPIModule = EXCHANGE_API_MODULE.newExchangeAPI(bot, logger)
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const ANNOUNCEMENTS_MODULE = require('./Announcements.js')
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let announcementsModule = ANNOUNCEMENTS_MODULE.newAnnouncements(bot, logger)
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const TRADING_ORDERS_MODULE = require('./TradingOrders.js')
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let tradingOrdersModule = TRADING_ORDERS_MODULE.newTradingOrders(bot, logger, tradingEngineModule)
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return thisObject
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@@ -27,8 +25,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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tradingEngine = bot.simulationState.tradingEngine
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sessionParameters = bot.SESSION.parameters
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exchangeAPIModule.initialize()
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announcementsModule.initialize()
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tradingOrdersModule.initialize()
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}
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function finalize() {
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@@ -36,19 +33,18 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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tradingEngine = undefined
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sessionParameters = undefined
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exchangeAPIModule.finalize()
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exchangeAPIModule = undefined
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tradingOrdersModule.finalize()
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tradingOrdersModule = undefined
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}
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announcementsModule.finalize()
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announcementsModule = undefined
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function mantain() {
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tradingOrdersModule.mantain()
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}
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async function runExecution(
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executionNode,
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stageIsClosing,
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tradingEngineStage
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) {
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try {
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/* Trading Engine Stage Validations */
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if (tradingEngineStage.stageBaseAsset === undefined) { badDefinitionUnhandledException(undefined, 'stageBaseAsset === undefined', tradingEngineStage) }
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@@ -67,774 +63,13 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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async function checkExecutionAlgorithms(executionNode) {
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for (let i = 0; i < executionNode.executionAlgorithms.length; i++) {
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let executionAlgorithm = executionNode.executionAlgorithms[i]
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await checkOrders(executionAlgorithm.marketBuyOrders, executionAlgorithm, executionNode)
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await checkOrders(executionAlgorithm.marketSellOrders, executionAlgorithm, executionNode)
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await checkOrders(executionAlgorithm.limitBuyOrders, executionAlgorithm, executionNode)
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await checkOrders(executionAlgorithm.limitSellOrders, executionAlgorithm, executionNode)
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await tradingOrdersModule.checkOrders(tradingEngineStage, executionAlgorithm.marketBuyOrders, executionAlgorithm, executionNode)
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await tradingOrdersModule.checkOrders(tradingEngineStage, executionAlgorithm.marketSellOrders, executionAlgorithm, executionNode)
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await tradingOrdersModule.checkOrders(tradingEngineStage, executionAlgorithm.limitBuyOrders, executionAlgorithm, executionNode)
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await tradingOrdersModule.checkOrders(tradingEngineStage, executionAlgorithm.limitSellOrders, executionAlgorithm, executionNode)
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}
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}
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async function checkOrders(orders, executionAlgorithm, executionNode) {
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for (let i = 0; i < orders.length; i++) {
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let tradingSystemOrder = orders[i]
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/* Trading System Validations */
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if (tradingSystemOrder.config.percentageOfAlgorithmSize === undefined) { badDefinitionUnhandledException(undefined, 'tradingSystemOrder.config.percentageOfAlgorithmSize === undefined', tradingSystemOrder) }
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if (tradingSystemOrder.referenceParent === undefined) { badDefinitionUnhandledException(undefined, 'tradingSystemOrder.referenceParent === undefined', tradingSystemOrder) }
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let tradingEngineOrder = tradingEngineModule.getNodeById(tradingSystemOrder.referenceParent.id)
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/* Trading Engine Order Validations */
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if (tradingEngineOrder.serialNumber === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.serialNumber === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.identifier === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.identifier === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.exchangeId === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.exchangeId === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.begin === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.begin === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.end === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.end === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.rate === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.rate === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.status === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.status === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.algorithmName === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.algorithmName === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderCounters === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderCounters === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderCounters.periods === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderCounters.periods === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderStatistics.days === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderStatistics.days === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderStatistics.percentageFilled === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderStatistics.percentageFilled === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderStatistics.actualRate === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderStatistics.actualRate === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderBaseAsset.size === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderBaseAsset.size === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderBaseAsset.sizeFilled === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderBaseAsset.sizeFilled === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderBaseAsset.feesPaid === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderBaseAsset.feesPaid === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderQuotedAsset.size === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderQuotedAsset.size === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderQuotedAsset.sizeFilled === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderQuotedAsset.sizeFilled === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderQuotedAsset.feesPaid === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderQuotedAsset.feesPaid === undefined', tradingEngineOrder) }
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switch (tradingEngineOrder.status.value) {
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case 'Not Open': {
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{
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/* When the stage is closing we can not create new orders */
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if (stageIsClosing === true) { continue }
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/*
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Check if we can create an order based on the config value for spawnMultipleOrders.
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Trading System Orders that cannot spawn more than one Trading Engine Order needs to check if
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at the Trading Engine Order the lock is Open or Closed.
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*/
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if (tradingSystemOrder.config.spawnMultipleOrders !== true) {
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if (tradingEngineOrder.identifier.value === 'Closed') {
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continue
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}
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}
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/* Check if we need to Create this Order */
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let situationName = checkOrderEvent(tradingSystemOrder.createOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
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if (situationName !== undefined) {
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/* Open a new order */
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await tryToOpenOrder(executionAlgorithm, tradingSystemOrder, tradingEngineOrder, situationName)
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}
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}
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break
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}
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case 'Open': {
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/* Update this order properties */
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tradingEngineOrder.end.value = tradingEngine.current.episode.candle.end.value
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tradingEngineOrder.orderCounters.periods.value++
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tradingEngineOrder.orderStatistics.days.value = tradingEngineOrder.orderCounters.periods.value * sessionParameters.timeFrame.config.value / global.ONE_DAY_IN_MILISECONDS
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/* Simulate Events that happens at the Exchange, if needed. */
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simulateExchangeEvents(tradingSystemOrder, tradingEngineOrder)
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/* Check Events that happens at the Exchange, if needed. */
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await checkExchangeEvents(tradingSystemOrder, tradingEngineOrder)
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/*
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In the previous steps, we might have discovered that the order was cancelled
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at the exchange, or filled, so the order might still not be Open.
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If the stage is closing or the order is not Open, we wont be cancelling orders
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based on defined events.
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*/
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if (stageIsClosing !== true && tradingEngineOrder.status.value === 'Open') {
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/* Check if we need to Cancel this Order */
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let situationName = checkOrderEvent(tradingSystemOrder.cancelOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
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if (situationName !== undefined) {
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/* Simulate Order Cancelation, if needed. */
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simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
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/* Cancel the order at the Exchange, if needed. */
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await exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
|
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}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
async function tryToOpenOrder(executionAlgorithm, tradingSystemOrder, tradingEngineOrder, situationName) {
|
||||
|
||||
calculateOrderRate()
|
||||
calculateOrderSize()
|
||||
|
||||
/* Check Size: We are not going to create Orders which size is equal or less to zero. */
|
||||
if (tradingEngineOrder.orderBaseAsset.size.value <= 0 || tradingEngineOrder.orderQuotedAsset.size.value <= 0) { return }
|
||||
|
||||
/* Place Order at the Exchange, if needed. */
|
||||
let result = await createOrderAtExchange(tradingSystemOrder, tradingEngineOrder)
|
||||
if (result !== true) { return }
|
||||
|
||||
/* Update Stage Placed Size */
|
||||
tradingEngineStage.stageBaseAsset.sizePlaced.value = tradingEngineStage.stageBaseAsset.sizePlaced.value + tradingEngineOrder.orderBaseAsset.size.value
|
||||
tradingEngineStage.stageBaseAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageBaseAsset.sizePlaced.value, 10)
|
||||
tradingEngineStage.stageQuotedAsset.sizePlaced.value = tradingEngineStage.stageQuotedAsset.sizePlaced.value + tradingEngineOrder.orderQuotedAsset.size.value
|
||||
tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
|
||||
|
||||
/* Updating Episode Counters */
|
||||
tradingEngine.current.episode.episodeCounters.orders.value++
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.episode.distanceToEvent.createOrder.value = 1
|
||||
|
||||
/* Create Order Procedure */
|
||||
tradingEngineOrder.status.value = 'Open'
|
||||
tradingEngineOrder.identifier.value = global.UNIQUE_ID()
|
||||
tradingEngineOrder.begin.value = tradingEngine.current.episode.candle.begin.value
|
||||
tradingEngineOrder.end.value = tradingEngine.current.episode.candle.end.value
|
||||
tradingEngineOrder.serialNumber.value = tradingEngine.current.episode.episodeCounters.orders.value
|
||||
tradingEngineOrder.orderName.value = tradingSystemOrder.name
|
||||
tradingEngineOrder.algorithmName.value = executionAlgorithm.name
|
||||
tradingEngineOrder.situationName.value = situationName
|
||||
|
||||
function calculateOrderRate() {
|
||||
/* By default this is the order rate and it is the rate that applies to Market Orders */
|
||||
tradingEngineOrder.rate.value = tradingEngine.current.episode.candle.close.value
|
||||
|
||||
/* Optional Rate Definition */
|
||||
if (tradingSystemOrder.orderRate !== undefined) {
|
||||
if (tradingSystemOrder.orderRate.formula !== undefined) {
|
||||
tradingEngineOrder.rate.value = tradingSystem.formulas.get(tradingSystemOrder.orderRate.formula.id)
|
||||
|
||||
if (tradingEngineOrder.rate.value === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.rate.value === undefined', tradingEngineOrder) }
|
||||
if (isNaN(tradingEngineOrder.rate.value) === true) { badDefinitionUnhandledException(undefined, 'isNaN(tradingEngineOrder.rate.value) === true', tradingEngineOrder) }
|
||||
if (tradingEngineOrder.rate.value <= 0) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.rate.value <= 0', tradingEngineOrder) }
|
||||
|
||||
tradingEngineOrder.rate.value = global.PRECISE(tradingEngineOrder.rate.value, 10)
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function calculateOrderSize() {
|
||||
/* Validate that this config exists */
|
||||
if (executionAlgorithm.config.percentageOfStageTargetSize === undefined) { badDefinitionUnhandledException(undefined, 'executionAlgorithm.config.percentageOfStageTargetSize === undefined', executionAlgorithm) }
|
||||
if (isNaN(executionAlgorithm.config.percentageOfStageTargetSize) === true) { badDefinitionUnhandledException(undefined, 'isNaN(executionAlgorithm.config.percentageOfStageTargetSize) === true', executionAlgorithm) }
|
||||
|
||||
let algorithmSizeInBaseAsset = tradingEngineStage.stageBaseAsset.targetSize.value * executionAlgorithm.config.percentageOfStageTargetSize / 100
|
||||
let algorithmSizeInQuotedAsset = tradingEngineStage.stageQuotedAsset.targetSize.value * executionAlgorithm.config.percentageOfStageTargetSize / 100
|
||||
|
||||
/* Validate that this config exists */
|
||||
if (tradingSystemOrder.config.percentageOfAlgorithmSize === undefined) { badDefinitionUnhandledException(undefined, 'tradingSystemOrder.config.percentageOfAlgorithmSize === undefined', tradingSystemOrder) }
|
||||
if (isNaN(tradingSystemOrder.config.percentageOfAlgorithmSize) === true) { badDefinitionUnhandledException(undefined, 'isNaN(tradingSystemOrder.config.percentageOfAlgorithmSize) === true', tradingSystemOrder) }
|
||||
|
||||
/* Size in Base Asset */
|
||||
tradingEngineOrder.orderBaseAsset.size.value = algorithmSizeInBaseAsset * tradingSystemOrder.config.percentageOfAlgorithmSize / 100
|
||||
|
||||
/* Size in Quoted Asset */
|
||||
tradingEngineOrder.orderQuotedAsset.size.value = algorithmSizeInQuotedAsset * tradingSystemOrder.config.percentageOfAlgorithmSize / 100
|
||||
|
||||
/* Check that the Size calculated would not surpass Stage Target Size */
|
||||
if (
|
||||
tradingEngineOrder.orderBaseAsset.size.value + tradingEngineStage.stageBaseAsset.sizePlaced.value >
|
||||
tradingEngineStage.stageBaseAsset.targetSize.value
|
||||
) {
|
||||
tradingEngineOrder.orderBaseAsset.size.value = tradingEngineStage.stageBaseAsset.targetSize.value - tradingEngineStage.stageBaseAsset.sizePlaced.value
|
||||
}
|
||||
if (
|
||||
tradingEngineOrder.orderQuotedAsset.size.value + tradingEngineStage.stageQuotedAsset.sizePlaced.value >
|
||||
tradingEngineStage.stageQuotedAsset.targetSize.value
|
||||
) {
|
||||
tradingEngineOrder.orderQuotedAsset.size.value = tradingEngineStage.stageQuotedAsset.targetSize.value - tradingEngineStage.stageQuotedAsset.sizePlaced.value
|
||||
}
|
||||
|
||||
tradingEngineOrder.orderBaseAsset.size.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.size.value, 10)
|
||||
tradingEngineOrder.orderQuotedAsset.size.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.size.value, 10)
|
||||
}
|
||||
|
||||
async function createOrderAtExchange(tradingSystemOrder, tradingEngineOrder) {
|
||||
|
||||
/* Filter by Session Type */
|
||||
switch (bot.SESSION.type) {
|
||||
case 'Backtesting Session': {
|
||||
return true
|
||||
}
|
||||
case 'Live Trading Session': {
|
||||
break
|
||||
}
|
||||
case 'Fordward Testing Session': {
|
||||
break
|
||||
}
|
||||
case 'Paper Trading Session': {
|
||||
return true
|
||||
}
|
||||
}
|
||||
|
||||
let orderId = await exchangeAPIModule.createOrder(tradingSystemOrder, tradingEngineOrder)
|
||||
|
||||
if (orderId !== undefined) {
|
||||
tradingEngineOrder.exchangeId.value = orderId
|
||||
return true
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function simulateExchangeEvents(tradingSystemOrder, tradingEngineOrder) {
|
||||
|
||||
/* Filter by Session Type */
|
||||
switch (bot.SESSION.type) {
|
||||
case 'Backtesting Session': {
|
||||
break
|
||||
}
|
||||
case 'Live Trading Session': {
|
||||
return
|
||||
}
|
||||
case 'Fordward Testing Session': {
|
||||
return
|
||||
}
|
||||
case 'Paper Trading Session': {
|
||||
break
|
||||
}
|
||||
}
|
||||
|
||||
/* Filter by what is defined at the Strategy */
|
||||
if (tradingSystemOrder.simulatedExchangeEvents === undefined) {
|
||||
badDefinitionUnhandledException(undefined, 'tradingSystemOrder.simulatedExchangeEvents === undefined', tradingSystemOrder)
|
||||
}
|
||||
|
||||
let previousBaseAssetSizeFilled = tradingEngineOrder.orderBaseAsset.sizeFilled.value
|
||||
let previousQuotedAssetSizeFilled = tradingEngineOrder.orderQuotedAsset.sizeFilled.value
|
||||
let previousBaseAssetFeesPaid = tradingEngineOrder.orderBaseAsset.feesPaid.value
|
||||
let previousQuotedAssetFeesPaid = tradingEngineOrder.orderQuotedAsset.feesPaid.value
|
||||
|
||||
actualRateSimulation()
|
||||
feesPaidSimulation()
|
||||
percentageFilledSimulation()
|
||||
sizeFilledSimulation()
|
||||
|
||||
doTheAccounting(
|
||||
tradingSystemOrder,
|
||||
tradingEngineOrder,
|
||||
previousBaseAssetSizeFilled,
|
||||
previousQuotedAssetSizeFilled,
|
||||
previousBaseAssetFeesPaid,
|
||||
previousQuotedAssetFeesPaid
|
||||
)
|
||||
|
||||
/* If the Stage is Closing and this order is still open, we need to cancel it now */
|
||||
if (stageIsClosing === true && tradingEngineOrder.status.value !== 'Closed') {
|
||||
simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Closing Stage')
|
||||
}
|
||||
|
||||
function actualRateSimulation() {
|
||||
/* Actual Rate Simulation */
|
||||
let calculatedBasedOnTradingSystem = false
|
||||
|
||||
/* Based on the Trading System Definition */
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
|
||||
/* Calculate this only once for this order */
|
||||
if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.orderStatistics.actualRate.config.initialValue) {
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = tradingSystem.formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
|
||||
if (tradingEngineOrder.orderStatistics.actualRate.value !== undefined) {
|
||||
calculatedBasedOnTradingSystem = true
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/* Based on the Session Parameters Definition */
|
||||
if (calculatedBasedOnTradingSystem === false) {
|
||||
switch (tradingEngineOrder.type) {
|
||||
case 'Market Order': {
|
||||
/* Actual Rate is simulated based on the Session Paremeters */
|
||||
let slippageAmount = tradingEngineOrder.rate.value * bot.SESSION.parameters.slippage.config.positionRate / 100
|
||||
switch (tradingSystemOrder.type) {
|
||||
case 'Market Sell Order': {
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value - slippageAmount
|
||||
break
|
||||
}
|
||||
case 'Market Buy Order': {
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value + slippageAmount
|
||||
break
|
||||
}
|
||||
}
|
||||
break
|
||||
}
|
||||
case 'Limit Order': {
|
||||
/* In Limit Orders the actual rate is the rate of the order, there is no slippage */
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value
|
||||
break
|
||||
}
|
||||
}
|
||||
}
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
|
||||
}
|
||||
|
||||
function feesPaidSimulation() {
|
||||
/* Fees Paid Simulation */
|
||||
let calculatedBasedOnTradingSystem = false
|
||||
|
||||
/* Based on the Trading System Definition */
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid !== undefined) {
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage !== undefined) {
|
||||
if (tradingEngineOrder.orderBaseAsset.feesPaid.value === tradingEngineOrder.orderBaseAsset.feesPaid.config.initialValue) {
|
||||
|
||||
tradingEngineOrder.orderBaseAsset.feesPaid.value =
|
||||
tradingEngineOrder.orderBaseAsset.size.value *
|
||||
tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100
|
||||
|
||||
calculatedBasedOnTradingSystem = true
|
||||
}
|
||||
|
||||
if (tradingEngineOrder.orderQuotedAsset.feesPaid.value === tradingEngineOrder.orderQuotedAsset.feesPaid.config.initialValue) {
|
||||
|
||||
tradingEngineOrder.orderQuotedAsset.feesPaid.value =
|
||||
tradingEngineOrder.orderQuotedAsset.size.value *
|
||||
tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100
|
||||
|
||||
calculatedBasedOnTradingSystem = true
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/* Based on the Session Parameters Definition */
|
||||
if (calculatedBasedOnTradingSystem === false) {
|
||||
/* Fees are simulated based on the Session Paremeters */
|
||||
switch (tradingEngineOrder.type) {
|
||||
case 'Market Order': {
|
||||
|
||||
tradingEngineOrder.orderBaseAsset.feesPaid.value =
|
||||
tradingEngineOrder.orderBaseAsset.size.value *
|
||||
bot.SESSION.parameters.feeStructure.config.taker / 100
|
||||
|
||||
tradingEngineOrder.orderQuotedAsset.feesPaid.value =
|
||||
tradingEngineOrder.orderQuotedAsset.size.value *
|
||||
bot.SESSION.parameters.feeStructure.config.taker / 100
|
||||
|
||||
break
|
||||
}
|
||||
case 'Limit Order': {
|
||||
|
||||
tradingEngineOrder.orderBaseAsset.feesPaid.value =
|
||||
tradingEngineOrder.orderBaseAsset.size.value *
|
||||
bot.SESSION.parameters.feeStructure.config.maker / 100
|
||||
|
||||
tradingEngineOrder.orderQuotedAsset.feesPaid.value =
|
||||
tradingEngineOrder.orderQuotedAsset.size.value *
|
||||
bot.SESSION.parameters.feeStructure.config.maker / 100
|
||||
|
||||
break
|
||||
}
|
||||
}
|
||||
}
|
||||
tradingEngineOrder.orderBaseAsset.feesPaid.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.feesPaid.value, 10)
|
||||
tradingEngineOrder.orderQuotedAsset.feesPaid.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.feesPaid.value, 10)
|
||||
}
|
||||
|
||||
function percentageFilledSimulation() {
|
||||
/* Order Filling Simulation */
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill !== undefined) {
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability !== undefined) {
|
||||
|
||||
/* Percentage Filled */
|
||||
let percentageFilled = tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability * 100
|
||||
if (tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled > 100) {
|
||||
percentageFilled = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
|
||||
}
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value = tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
|
||||
|
||||
/* Check if we need to close */
|
||||
if (tradingEngineOrder.orderStatistics.percentageFilled.value === 100) {
|
||||
|
||||
/* Close this Order */
|
||||
tradingEngineOrder.status.value = 'Closed'
|
||||
tradingEngineOrder.exitType.value = 'Filled'
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function sizeFilledSimulation() {
|
||||
/* Size Filled */
|
||||
tradingEngineOrder.orderBaseAsset.sizeFilled.value =
|
||||
(tradingEngineOrder.orderBaseAsset.size.value - tradingEngineOrder.orderBaseAsset.feesPaid.value) *
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value / 100
|
||||
|
||||
tradingEngineOrder.orderQuotedAsset.sizeFilled.value =
|
||||
(tradingEngineOrder.orderQuotedAsset.size.value - tradingEngineOrder.orderQuotedAsset.feesPaid.value) *
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value / 100
|
||||
|
||||
tradingEngineOrder.orderBaseAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.sizeFilled.value, 10)
|
||||
tradingEngineOrder.orderQuotedAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.sizeFilled.value, 10)
|
||||
}
|
||||
}
|
||||
|
||||
async function checkExchangeEvents(tradingSystemOrder, tradingEngineOrder) {
|
||||
|
||||
/* Filter by Session Type */
|
||||
switch (bot.SESSION.type) {
|
||||
case 'Backtesting Session': {
|
||||
return true
|
||||
}
|
||||
case 'Live Trading Session': {
|
||||
break
|
||||
}
|
||||
case 'Fordward Testing Session': {
|
||||
break
|
||||
}
|
||||
case 'Paper Trading Session': {
|
||||
return true
|
||||
}
|
||||
}
|
||||
|
||||
let order = await exchangeAPIModule.getOrder(tradingSystemOrder, tradingEngineOrder)
|
||||
|
||||
if (order === undefined) { return }
|
||||
|
||||
const AT_EXCHANGE_STATUS = {
|
||||
OPEN: 'open',
|
||||
CLOSED: 'closed',
|
||||
CANCELLED: 'canceled'
|
||||
}
|
||||
|
||||
/* Status Checks */
|
||||
if (order.remaining === 0 && order.status === AT_EXCHANGE_STATUS.CLOSED) {
|
||||
|
||||
/* Close this Order */
|
||||
tradingEngineOrder.status.value = 'Closed'
|
||||
tradingEngineOrder.exitType.value = 'Filled'
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
||||
}
|
||||
if (order.remaining > 0 && order.status === AT_EXCHANGE_STATUS.CLOSED) {
|
||||
|
||||
/* Close this Order */
|
||||
tradingEngineOrder.status.value = 'Closed'
|
||||
tradingEngineOrder.exitType.value = 'Closed at the Exchange'
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
||||
}
|
||||
if (order.status === AT_EXCHANGE_STATUS.CANCELLED) {
|
||||
|
||||
/* Close this Order */
|
||||
tradingEngineOrder.status.value = 'Closed'
|
||||
tradingEngineOrder.exitType.value = 'Cancelled at the Exchange'
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
||||
}
|
||||
|
||||
syncWithExchange(tradingSystemOrder, tradingEngineOrder, order)
|
||||
|
||||
/* Forced Cancellation Check */
|
||||
if (stageIsClosing === true && tradingEngineOrder.status.value !== 'Closed') {
|
||||
await exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Closing Stage')
|
||||
}
|
||||
}
|
||||
|
||||
function syncWithExchange(tradingSystemOrder, tradingEngineOrder, order) {
|
||||
|
||||
let previousBaseAssetSizeFilled = tradingEngineOrder.orderBaseAsset.sizeFilled.value
|
||||
let previousQuotedAssetSizeFilled = tradingEngineOrder.orderQuotedAsset.sizeFilled.value
|
||||
let previousBaseAssetFeesPaid = tradingEngineOrder.orderBaseAsset.feesPaid.value
|
||||
let previousQuotedAssetFeesPaid = tradingEngineOrder.orderQuotedAsset.feesPaid.value
|
||||
|
||||
/* Actual Rate Calculation */
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = order.price
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
|
||||
|
||||
/* Fees Paid Calculation */
|
||||
/*
|
||||
As a response from the exchange we can not always get the fees.
|
||||
For that reason we need to estimate them base of the information that we do have.
|
||||
CCXT provides order.amount which represents the size we set for the order minus the
|
||||
fees taken by the exchange, all denominated in Base Asset.
|
||||
In this way if we substract to the order size this order.amount
|
||||
we can get the fees. All this is denominated in base asset because that is how CCXT works.
|
||||
The fees then can be estimated in Quoted Asset using the Actual Rate.
|
||||
*/
|
||||
tradingEngineOrder.orderBaseAsset.feesPaid.value = tradingEngineOrder.orderBaseAsset.size.value - order.amount
|
||||
tradingEngineOrder.orderBaseAsset.feesPaid.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.feesPaid.value, 10)
|
||||
tradingEngineOrder.orderQuotedAsset.feesPaid.value = tradingEngineOrder.orderBaseAsset.feesPaid.value * tradingEngineOrder.orderStatistics.actualRate.value
|
||||
tradingEngineOrder.orderQuotedAsset.feesPaid.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.feesPaid.value, 10)
|
||||
|
||||
/* Percentage Filled Calculation */
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value = order.filled * 100 / (order.filled + order.remaining)
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
|
||||
|
||||
/* Size Filled Calculation */
|
||||
/*
|
||||
CCXT returns order.filled with an amount denominated in Base Asset. We will
|
||||
take it from there for our Order Base Asset. For our Order Quoted Asset we
|
||||
will use the field order.cost.
|
||||
*/
|
||||
tradingEngineOrder.orderBaseAsset.sizeFilled.value = order.filled
|
||||
tradingEngineOrder.orderBaseAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.sizeFilled.value, 10)
|
||||
tradingEngineOrder.orderQuotedAsset.sizeFilled.value = order.cost
|
||||
tradingEngineOrder.orderQuotedAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.sizeFilled.value, 10)
|
||||
|
||||
doTheAccounting(
|
||||
tradingSystemOrder,
|
||||
tradingEngineOrder,
|
||||
previousBaseAssetSizeFilled,
|
||||
previousQuotedAssetSizeFilled,
|
||||
previousBaseAssetFeesPaid,
|
||||
previousQuotedAssetFeesPaid
|
||||
)
|
||||
}
|
||||
|
||||
function doTheAccounting(
|
||||
tradingSystemOrder,
|
||||
tradingEngineOrder,
|
||||
previousBaseAssetSizeFilled,
|
||||
previousQuotedAssetSizeFilled,
|
||||
previousBaseAssetFeesPaid,
|
||||
previousQuotedAssetFeesPaid
|
||||
) {
|
||||
|
||||
updateStageAssets()
|
||||
updateBalances()
|
||||
|
||||
function updateStageAssets() {
|
||||
/* Stage Base Asset: Undo the previous accounting */
|
||||
tradingEngineStage.stageBaseAsset.sizeFilled.value =
|
||||
tradingEngineStage.stageBaseAsset.sizeFilled.value -
|
||||
previousBaseAssetSizeFilled
|
||||
|
||||
tradingEngineStage.stageBaseAsset.feesPaid.value =
|
||||
tradingEngineStage.stageBaseAsset.feesPaid.value -
|
||||
previousBaseAssetFeesPaid
|
||||
|
||||
/* Stage Base Asset: Account the current filling and fees */
|
||||
tradingEngineStage.stageBaseAsset.sizeFilled.value =
|
||||
tradingEngineStage.stageBaseAsset.sizeFilled.value +
|
||||
tradingEngineOrder.orderBaseAsset.sizeFilled.value
|
||||
|
||||
tradingEngineStage.stageBaseAsset.feesPaid.value =
|
||||
tradingEngineStage.stageBaseAsset.feesPaid.value +
|
||||
tradingEngineOrder.orderBaseAsset.feesPaid.value
|
||||
|
||||
/* Stage Quote Asset: Undo the previous accounting */
|
||||
tradingEngineStage.stageQuotedAsset.sizeFilled.value =
|
||||
tradingEngineStage.stageQuotedAsset.sizeFilled.value -
|
||||
previousQuotedAssetSizeFilled
|
||||
|
||||
tradingEngineStage.stageQuotedAsset.feesPaid.value =
|
||||
tradingEngineStage.stageQuotedAsset.feesPaid.value -
|
||||
previousQuotedAssetFeesPaid
|
||||
|
||||
/* Stage Quote Asset: Account the current filling and fees */
|
||||
tradingEngineStage.stageQuotedAsset.sizeFilled.value =
|
||||
tradingEngineStage.stageQuotedAsset.sizeFilled.value +
|
||||
tradingEngineOrder.orderQuotedAsset.sizeFilled.value
|
||||
|
||||
tradingEngineStage.stageQuotedAsset.feesPaid.value =
|
||||
tradingEngineStage.stageQuotedAsset.feesPaid.value +
|
||||
tradingEngineOrder.orderQuotedAsset.feesPaid.value
|
||||
|
||||
tradingEngineStage.stageBaseAsset.sizeFilled.value = global.PRECISE(tradingEngineStage.stageBaseAsset.sizeFilled.value, 10)
|
||||
tradingEngineStage.stageBaseAsset.feesPaid.value = global.PRECISE(tradingEngineStage.stageBaseAsset.feesPaid.value, 10)
|
||||
|
||||
tradingEngineStage.stageQuotedAsset.sizeFilled.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizeFilled.value, 10)
|
||||
tradingEngineStage.stageQuotedAsset.feesPaid.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.feesPaid.value, 10)
|
||||
}
|
||||
|
||||
function updateBalances() {
|
||||
/* Balances Update */
|
||||
switch (true) {
|
||||
case tradingSystemOrder.type === 'Market Buy Order' || tradingSystemOrder.type === 'Limit Buy Order': {
|
||||
|
||||
/* Balance Base Asset: Undo the previous accounting */
|
||||
tradingEngine.current.episode.episodeBaseAsset.balance.value =
|
||||
tradingEngine.current.episode.episodeBaseAsset.balance.value -
|
||||
previousBaseAssetSizeFilled
|
||||
|
||||
/* Balance Base Asset: Account the current filling and fees */
|
||||
tradingEngine.current.episode.episodeBaseAsset.balance.value =
|
||||
tradingEngine.current.episode.episodeBaseAsset.balance.value +
|
||||
tradingEngineOrder.orderBaseAsset.sizeFilled.value
|
||||
|
||||
/* Balance Quoted Asset: Undo the previous accounting */
|
||||
tradingEngine.current.episode.episodeQuotedAsset.balance.value =
|
||||
tradingEngine.current.episode.episodeQuotedAsset.balance.value +
|
||||
previousQuotedAssetSizeFilled +
|
||||
previousQuotedAssetFeesPaid
|
||||
|
||||
/* Balance Quoted Asset: Account the current filling and fees */
|
||||
tradingEngine.current.episode.episodeQuotedAsset.balance.value =
|
||||
tradingEngine.current.episode.episodeQuotedAsset.balance.value -
|
||||
tradingEngineOrder.orderQuotedAsset.sizeFilled.value -
|
||||
tradingEngineOrder.orderQuotedAsset.feesPaid.value
|
||||
break
|
||||
}
|
||||
case tradingSystemOrder.type === 'Market Sell Order' || tradingSystemOrder.type === 'Limit Sell Order': {
|
||||
|
||||
/* Balance Base Asset: Undo the previous accounting */
|
||||
tradingEngine.current.episode.episodeBaseAsset.balance.value =
|
||||
tradingEngine.current.episode.episodeBaseAsset.balance.value +
|
||||
previousBaseAssetSizeFilled +
|
||||
previousBaseAssetFeesPaid
|
||||
|
||||
/* Balance Base Asset: Account the current filling and fees */
|
||||
tradingEngine.current.episode.episodeBaseAsset.balance.value =
|
||||
tradingEngine.current.episode.episodeBaseAsset.balance.value -
|
||||
tradingEngineOrder.orderBaseAsset.sizeFilled.value -
|
||||
tradingEngineOrder.orderBaseAsset.feesPaid.value
|
||||
|
||||
/* Balance Quoted Asset: Undo the previous accounting */
|
||||
tradingEngine.current.episode.episodeQuotedAsset.balance.value =
|
||||
tradingEngine.current.episode.episodeQuotedAsset.balance.value -
|
||||
previousQuotedAssetSizeFilled
|
||||
|
||||
/* Balance Quoted Asset: Account the current filling and fees */
|
||||
tradingEngine.current.episode.episodeQuotedAsset.balance.value =
|
||||
tradingEngine.current.episode.episodeQuotedAsset.balance.value +
|
||||
tradingEngineOrder.orderQuotedAsset.sizeFilled.value
|
||||
break
|
||||
}
|
||||
}
|
||||
tradingEngine.current.episode.episodeBaseAsset.balance.value = global.PRECISE(tradingEngine.current.episode.episodeBaseAsset.balance.value, 10)
|
||||
tradingEngine.current.episode.episodeQuotedAsset.balance.value = global.PRECISE(tradingEngine.current.episode.episodeQuotedAsset.balance.value, 10)
|
||||
}
|
||||
|
||||
}
|
||||
|
||||
function simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, exitType) {
|
||||
|
||||
/* Filter by Session Type */
|
||||
switch (bot.SESSION.type) {
|
||||
case 'Backtesting Session': {
|
||||
break
|
||||
}
|
||||
case 'Live Trading Session': {
|
||||
return
|
||||
}
|
||||
case 'Fordward Testing Session': {
|
||||
return
|
||||
}
|
||||
case 'Paper Trading Session': {
|
||||
break
|
||||
}
|
||||
}
|
||||
|
||||
/* Close this Order */
|
||||
tradingEngineOrder.status.value = 'Closed'
|
||||
tradingEngineOrder.exitType.value = exitType
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
||||
|
||||
recalculateStageSize(tradingEngineOrder)
|
||||
}
|
||||
|
||||
async function exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder, exitType) {
|
||||
|
||||
/* Filter by Session Type */
|
||||
switch (bot.SESSION.type) {
|
||||
case 'Backtesting Session': {
|
||||
return
|
||||
}
|
||||
case 'Live Trading Session': {
|
||||
break
|
||||
}
|
||||
case 'Fordward Testing Session': {
|
||||
break
|
||||
}
|
||||
case 'Paper Trading Session': {
|
||||
return
|
||||
}
|
||||
}
|
||||
|
||||
/* Check if we can cancel the order at the Exchange. */
|
||||
let result = await exchangeAPIModule.cancelOrder(tradingSystemOrder, tradingEngineOrder)
|
||||
if (result === true) {
|
||||
/* Close this Order */
|
||||
tradingEngineOrder.status.value = 'Closed'
|
||||
tradingEngineOrder.exitType.value = exitType
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
||||
|
||||
/*
|
||||
Perhaps the order was filled a bit more between the last time we checked and when it was cancelled.
|
||||
To sync our accounting, we need to check the order one last time and if it changed, fix it.
|
||||
*/
|
||||
|
||||
let order = await exchangeAPIModule.getOrder(tradingSystemOrder, tradingEngineOrder)
|
||||
|
||||
if (order === undefined) { return }
|
||||
|
||||
syncWithExchange(tradingSystemOrder, tradingEngineOrder, order)
|
||||
|
||||
recalculateStageSize()
|
||||
}
|
||||
}
|
||||
|
||||
function recalculateStageSize(tradingEngineOrder) {
|
||||
/*
|
||||
Since the order is Cancelled, we need to adjust the stage size. Remember that the Stage Size
|
||||
accumulates for each asset, the order size placed at the exchange. A cancelation means that
|
||||
only the part filled can be considered placed, so we need to substract from the stage size
|
||||
the remainder. To achieve this with the information we currently have, we are going first
|
||||
to unaccount the order size, and the account only the sizeFilled + the feesPaid.
|
||||
*/
|
||||
tradingEngineStage.stageBaseAsset.size.value =
|
||||
tradingEngineStage.stageBaseAsset.size.value -
|
||||
tradingEngineOrder.orderBaseAsset.size.value
|
||||
tradingEngineStage.stageQuotedAsset.size.value =
|
||||
tradingEngineStage.stageQuotedAsset.size.value -
|
||||
tradingEngineOrder.orderQuotedAsset.size.value
|
||||
|
||||
tradingEngineStage.stageBaseAsset.size.value =
|
||||
tradingEngineStage.stageBaseAsset.size.value +
|
||||
tradingEngineOrder.orderBaseAsset.sizeFilled.value +
|
||||
tradingEngineOrder.orderBaseAsset.feesPaid.value
|
||||
tradingEngineStage.stageQuotedAsset.size.value =
|
||||
tradingEngineStage.stageQuotedAsset.size.value +
|
||||
tradingEngineOrder.orderQuotedAsset.sizeFilled.value +
|
||||
tradingEngineOrder.orderQuotedAsset.feesPaid.value
|
||||
|
||||
tradingEngineStage.stageBaseAsset.size.value = global.PRECISE(tradingEngineStage.stageBaseAsset.size.value, 10)
|
||||
tradingEngineStage.stageQuotedAsset.size.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.size.value, 10)
|
||||
}
|
||||
|
||||
function checkOrderEvent(event, order, executionAlgorithm, executionNode) {
|
||||
if (event !== undefined) {
|
||||
for (let k = 0; k < event.situations.length; k++) {
|
||||
let situation = event.situations[k]
|
||||
let passed
|
||||
if (situation.conditions.length > 0) {
|
||||
passed = true
|
||||
}
|
||||
|
||||
passed = tradingSystem.checkConditions(situation, passed)
|
||||
|
||||
tradingSystem.values.push([situation.id, passed])
|
||||
if (passed) {
|
||||
tradingSystem.highlights.push(situation.id)
|
||||
tradingSystem.highlights.push(event.id)
|
||||
tradingSystem.highlights.push(order.id)
|
||||
tradingSystem.highlights.push(executionAlgorithm.id)
|
||||
tradingSystem.highlights.push(executionNode.id)
|
||||
|
||||
announcementsModule.makeAnnoucements(event)
|
||||
return situation.name // if the event is triggered, we return the name of the situation that passed
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
} catch (err) {
|
||||
if (typeof err === 'string' || err instanceof String) {
|
||||
logger.write(MODULE_NAME, '[ERROR] runExecution -> err = ' + err)
|
||||
|
||||
@@ -0,0 +1,901 @@
|
||||
exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineModule) {
|
||||
/*
|
||||
The Trading Orders modules manages the execution of orders against the exchanges.
|
||||
*/
|
||||
const MODULE_NAME = 'Trading Orders'
|
||||
|
||||
let thisObject = {
|
||||
mantain: mantain,
|
||||
checkOrders: checkOrders,
|
||||
initialize: initialize,
|
||||
finalize: finalize
|
||||
}
|
||||
|
||||
let tradingEngine
|
||||
let tradingSystem
|
||||
let sessionParameters
|
||||
|
||||
const EXCHANGE_API_MODULE = require('./ExchangeAPI.js')
|
||||
let exchangeAPIModule = EXCHANGE_API_MODULE.newExchangeAPI(bot, logger)
|
||||
|
||||
const ANNOUNCEMENTS_MODULE = require('./Announcements.js')
|
||||
let announcementsModule = ANNOUNCEMENTS_MODULE.newAnnouncements(bot, logger)
|
||||
|
||||
return thisObject
|
||||
|
||||
function initialize() {
|
||||
tradingSystem = bot.simulationState.tradingSystem
|
||||
tradingEngine = bot.simulationState.tradingEngine
|
||||
sessionParameters = bot.SESSION.parameters
|
||||
|
||||
exchangeAPIModule.initialize()
|
||||
announcementsModule.initialize()
|
||||
}
|
||||
|
||||
function finalize() {
|
||||
tradingSystem = undefined
|
||||
tradingEngine = undefined
|
||||
sessionParameters = undefined
|
||||
|
||||
exchangeAPIModule.finalize()
|
||||
exchangeAPIModule = undefined
|
||||
|
||||
announcementsModule.finalize()
|
||||
announcementsModule = undefined
|
||||
}
|
||||
|
||||
function mantain() {
|
||||
|
||||
if (tradingEngine.current.strategy.index.value === tradingEngine.current.strategy.index.config.initialValue) { return }
|
||||
|
||||
let stageNode
|
||||
let executionNode
|
||||
|
||||
stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
|
||||
executionNode = stageNode.openExecution
|
||||
mantainExecutionNode(executionNode, tradingEngine.current.strategyOpenStage.status.value)
|
||||
|
||||
stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].closeStage
|
||||
executionNode = stageNode.closeExecution
|
||||
mantainExecutionNode(executionNode, tradingEngine.current.strategyCloseStage.status.value)
|
||||
|
||||
function mantainExecutionNode(executionNode, stageStatus) {
|
||||
|
||||
mantainExecutionAlgorithms(executionNode)
|
||||
|
||||
function mantainExecutionAlgorithms(executionNode) {
|
||||
for (let i = 0; i < executionNode.executionAlgorithms.length; i++) {
|
||||
let executionAlgorithm = executionNode.executionAlgorithms[i]
|
||||
mantainOrders(executionAlgorithm.marketBuyOrders)
|
||||
mantainOrders(executionAlgorithm.marketSellOrders)
|
||||
mantainOrders(executionAlgorithm.limitBuyOrders)
|
||||
mantainOrders(executionAlgorithm.limitSellOrders)
|
||||
}
|
||||
}
|
||||
|
||||
function mantainOrders(orders) {
|
||||
for (let i = 0; i < orders.length; i++) {
|
||||
let tradingSystemOrder = orders[i]
|
||||
if (tradingSystemOrder.referenceParent === undefined) { continue }
|
||||
let tradingEngineOrder = tradingEngineModule.getNodeById(tradingSystemOrder.referenceParent.id)
|
||||
if (tradingEngineOrder.status === undefined) { continue }
|
||||
|
||||
updateCounters(tradingEngineOrder)
|
||||
updateEnds(tradingEngineOrder)
|
||||
updateStatistics(tradingEngineOrder)
|
||||
resetTradingEngineDataStructure(tradingEngineOrder, tradingSystemOrder, stageStatus)
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
async function checkOrders(tradingEngineStage, orders, executionAlgorithm, executionNode) {
|
||||
for (let i = 0; i < orders.length; i++) {
|
||||
|
||||
let tradingSystemOrder = orders[i]
|
||||
let tradingEngineOrder = tradingEngineModule.getNodeById(tradingSystemOrder.referenceParent.id)
|
||||
|
||||
definitionValidations(tradingSystemOrder, tradingEngineOrder)
|
||||
|
||||
switch (tradingEngineOrder.status.value) {
|
||||
case 'Not Open': {
|
||||
{
|
||||
/* When the stage is closing we can not create new orders */
|
||||
if (tradingEngineStage.status.value === 'Closing') { continue }
|
||||
/*
|
||||
Check if we can create an order based on the config value for spawnMultipleOrders.
|
||||
Trading System Orders that cannot spawn more than one Trading Engine Order needs to check if
|
||||
at the Trading Engine Order the lock is Open or Closed.
|
||||
*/
|
||||
if (tradingSystemOrder.config.spawnMultipleOrders !== true) {
|
||||
if (tradingEngineOrder.identifier.value === 'Closed') {
|
||||
continue
|
||||
}
|
||||
}
|
||||
/* Check if we need to Create this Order */
|
||||
let situationName = checkOrderEvent(tradingSystemOrder.createOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
|
||||
if (situationName !== undefined) {
|
||||
|
||||
/* Open a new order */
|
||||
await tryToOpenOrder(tradingEngineStage, executionAlgorithm, tradingSystemOrder, tradingEngineOrder, situationName)
|
||||
}
|
||||
}
|
||||
break
|
||||
}
|
||||
case 'Open': {
|
||||
/* Simulate Events that happens at the Exchange, if needed. */
|
||||
simulateExchangeEvents(tradingEngineStage, tradingSystemOrder, tradingEngineOrder)
|
||||
|
||||
/* Check Events that happens at the Exchange, if needed. */
|
||||
await checkExchangeEvents(tradingEngineStage, tradingSystemOrder, tradingEngineOrder)
|
||||
|
||||
/*
|
||||
In the previous steps, we might have discovered that the order was cancelled
|
||||
at the exchange, or filled, so the order might still not be Open.
|
||||
If the stage is closing or the order is not Open, we wont be cancelling orders
|
||||
based on defined events.
|
||||
*/
|
||||
if (tradingEngineStage.status.value !== 'Closing' && tradingEngineOrder.status.value === 'Open') {
|
||||
|
||||
/* Check if we need to Cancel this Order */
|
||||
let situationName = checkOrderEvent(tradingSystemOrder.cancelOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
|
||||
if (situationName !== undefined) {
|
||||
|
||||
/* Simulate Order Cancelation, if needed. */
|
||||
simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
|
||||
|
||||
/* Cancel the order at the Exchange, if needed. */
|
||||
await exchangeCancelOrder(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function definitionValidations(tradingSystemOrder, tradingEngineOrder) {
|
||||
/* Trading System Validations */
|
||||
if (tradingSystemOrder.config.percentageOfAlgorithmSize === undefined) { badDefinitionUnhandledException(undefined, 'tradingSystemOrder.config.percentageOfAlgorithmSize === undefined', tradingSystemOrder) }
|
||||
if (tradingSystemOrder.referenceParent === undefined) { badDefinitionUnhandledException(undefined, 'tradingSystemOrder.referenceParent === undefined', tradingSystemOrder) }
|
||||
|
||||
/* Trading Engine Order Validations */
|
||||
if (tradingEngineOrder.serialNumber === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.serialNumber === undefined', tradingEngineOrder) }
|
||||
if (tradingEngineOrder.identifier === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.identifier === undefined', tradingEngineOrder) }
|
||||
if (tradingEngineOrder.exchangeId === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.exchangeId === undefined', tradingEngineOrder) }
|
||||
if (tradingEngineOrder.begin === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.begin === undefined', tradingEngineOrder) }
|
||||
if (tradingEngineOrder.end === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.end === undefined', tradingEngineOrder) }
|
||||
if (tradingEngineOrder.rate === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.rate === undefined', tradingEngineOrder) }
|
||||
if (tradingEngineOrder.status === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.status === undefined', tradingEngineOrder) }
|
||||
if (tradingEngineOrder.algorithmName === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.algorithmName === undefined', tradingEngineOrder) }
|
||||
if (tradingEngineOrder.orderCounters === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderCounters === undefined', tradingEngineOrder) }
|
||||
if (tradingEngineOrder.orderCounters.periods === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderCounters.periods === undefined', tradingEngineOrder) }
|
||||
if (tradingEngineOrder.orderStatistics.days === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderStatistics.days === undefined', tradingEngineOrder) }
|
||||
if (tradingEngineOrder.orderStatistics.percentageFilled === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderStatistics.percentageFilled === undefined', tradingEngineOrder) }
|
||||
if (tradingEngineOrder.orderStatistics.actualRate === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderStatistics.actualRate === undefined', tradingEngineOrder) }
|
||||
|
||||
if (tradingEngineOrder.orderBaseAsset.size === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderBaseAsset.size === undefined', tradingEngineOrder) }
|
||||
if (tradingEngineOrder.orderBaseAsset.sizeFilled === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderBaseAsset.sizeFilled === undefined', tradingEngineOrder) }
|
||||
if (tradingEngineOrder.orderBaseAsset.feesPaid === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderBaseAsset.feesPaid === undefined', tradingEngineOrder) }
|
||||
|
||||
if (tradingEngineOrder.orderQuotedAsset.size === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderQuotedAsset.size === undefined', tradingEngineOrder) }
|
||||
if (tradingEngineOrder.orderQuotedAsset.sizeFilled === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderQuotedAsset.sizeFilled === undefined', tradingEngineOrder) }
|
||||
if (tradingEngineOrder.orderQuotedAsset.feesPaid === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderQuotedAsset.feesPaid === undefined', tradingEngineOrder) }
|
||||
|
||||
}
|
||||
|
||||
async function tryToOpenOrder(tradingEngineStage, executionAlgorithm, tradingSystemOrder, tradingEngineOrder, situationName) {
|
||||
|
||||
calculateOrderRate()
|
||||
calculateOrderSize()
|
||||
|
||||
/* Check Size: We are not going to create Orders which size is equal or less to zero. */
|
||||
if (tradingEngineOrder.orderBaseAsset.size.value <= 0 || tradingEngineOrder.orderQuotedAsset.size.value <= 0) { return }
|
||||
|
||||
/* Place Order at the Exchange, if needed. */
|
||||
let result = await createOrderAtExchange(tradingSystemOrder, tradingEngineOrder)
|
||||
if (result !== true) { return }
|
||||
|
||||
/* Update Stage Placed Size */
|
||||
tradingEngineStage.stageBaseAsset.sizePlaced.value = tradingEngineStage.stageBaseAsset.sizePlaced.value + tradingEngineOrder.orderBaseAsset.size.value
|
||||
tradingEngineStage.stageBaseAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageBaseAsset.sizePlaced.value, 10)
|
||||
tradingEngineStage.stageQuotedAsset.sizePlaced.value = tradingEngineStage.stageQuotedAsset.sizePlaced.value + tradingEngineOrder.orderQuotedAsset.size.value
|
||||
tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
|
||||
|
||||
/* Updating Episode Counters */
|
||||
tradingEngine.current.episode.episodeCounters.orders.value++
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.episode.distanceToEvent.createOrder.value = 1
|
||||
|
||||
/* Create Order Procedure */
|
||||
tradingEngineOrder.status.value = 'Open'
|
||||
tradingEngineOrder.identifier.value = global.UNIQUE_ID()
|
||||
tradingEngineOrder.begin.value = tradingEngine.current.episode.candle.begin.value
|
||||
tradingEngineOrder.end.value = tradingEngine.current.episode.candle.end.value
|
||||
tradingEngineOrder.serialNumber.value = tradingEngine.current.episode.episodeCounters.orders.value
|
||||
tradingEngineOrder.orderName.value = tradingSystemOrder.name
|
||||
tradingEngineOrder.algorithmName.value = executionAlgorithm.name
|
||||
tradingEngineOrder.situationName.value = situationName
|
||||
|
||||
function calculateOrderRate() {
|
||||
/* By default this is the order rate and it is the rate that applies to Market Orders */
|
||||
tradingEngineOrder.rate.value = tradingEngine.current.episode.candle.close.value
|
||||
|
||||
/* Optional Rate Definition */
|
||||
if (tradingSystemOrder.orderRate !== undefined) {
|
||||
if (tradingSystemOrder.orderRate.formula !== undefined) {
|
||||
tradingEngineOrder.rate.value = tradingSystem.formulas.get(tradingSystemOrder.orderRate.formula.id)
|
||||
|
||||
if (tradingEngineOrder.rate.value === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.rate.value === undefined', tradingEngineOrder) }
|
||||
if (isNaN(tradingEngineOrder.rate.value) === true) { badDefinitionUnhandledException(undefined, 'isNaN(tradingEngineOrder.rate.value) === true', tradingEngineOrder) }
|
||||
if (tradingEngineOrder.rate.value <= 0) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.rate.value <= 0', tradingEngineOrder) }
|
||||
|
||||
tradingEngineOrder.rate.value = global.PRECISE(tradingEngineOrder.rate.value, 10)
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function calculateOrderSize() {
|
||||
/* Validate that this config exists */
|
||||
if (executionAlgorithm.config.percentageOfStageTargetSize === undefined) { badDefinitionUnhandledException(undefined, 'executionAlgorithm.config.percentageOfStageTargetSize === undefined', executionAlgorithm) }
|
||||
if (isNaN(executionAlgorithm.config.percentageOfStageTargetSize) === true) { badDefinitionUnhandledException(undefined, 'isNaN(executionAlgorithm.config.percentageOfStageTargetSize) === true', executionAlgorithm) }
|
||||
|
||||
let algorithmSizeInBaseAsset = tradingEngineStage.stageBaseAsset.targetSize.value * executionAlgorithm.config.percentageOfStageTargetSize / 100
|
||||
let algorithmSizeInQuotedAsset = tradingEngineStage.stageQuotedAsset.targetSize.value * executionAlgorithm.config.percentageOfStageTargetSize / 100
|
||||
|
||||
/* Validate that this config exists */
|
||||
if (tradingSystemOrder.config.percentageOfAlgorithmSize === undefined) { badDefinitionUnhandledException(undefined, 'tradingSystemOrder.config.percentageOfAlgorithmSize === undefined', tradingSystemOrder) }
|
||||
if (isNaN(tradingSystemOrder.config.percentageOfAlgorithmSize) === true) { badDefinitionUnhandledException(undefined, 'isNaN(tradingSystemOrder.config.percentageOfAlgorithmSize) === true', tradingSystemOrder) }
|
||||
|
||||
/* Size in Base Asset */
|
||||
tradingEngineOrder.orderBaseAsset.size.value = algorithmSizeInBaseAsset * tradingSystemOrder.config.percentageOfAlgorithmSize / 100
|
||||
|
||||
/* Size in Quoted Asset */
|
||||
tradingEngineOrder.orderQuotedAsset.size.value = algorithmSizeInQuotedAsset * tradingSystemOrder.config.percentageOfAlgorithmSize / 100
|
||||
|
||||
/* Check that the Size calculated would not surpass Stage Target Size */
|
||||
if (
|
||||
tradingEngineOrder.orderBaseAsset.size.value + tradingEngineStage.stageBaseAsset.sizePlaced.value >
|
||||
tradingEngineStage.stageBaseAsset.targetSize.value
|
||||
) {
|
||||
tradingEngineOrder.orderBaseAsset.size.value = tradingEngineStage.stageBaseAsset.targetSize.value - tradingEngineStage.stageBaseAsset.sizePlaced.value
|
||||
}
|
||||
if (
|
||||
tradingEngineOrder.orderQuotedAsset.size.value + tradingEngineStage.stageQuotedAsset.sizePlaced.value >
|
||||
tradingEngineStage.stageQuotedAsset.targetSize.value
|
||||
) {
|
||||
tradingEngineOrder.orderQuotedAsset.size.value = tradingEngineStage.stageQuotedAsset.targetSize.value - tradingEngineStage.stageQuotedAsset.sizePlaced.value
|
||||
}
|
||||
|
||||
tradingEngineOrder.orderBaseAsset.size.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.size.value, 10)
|
||||
tradingEngineOrder.orderQuotedAsset.size.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.size.value, 10)
|
||||
}
|
||||
|
||||
async function createOrderAtExchange(tradingSystemOrder, tradingEngineOrder) {
|
||||
|
||||
/* Filter by Session Type */
|
||||
switch (bot.SESSION.type) {
|
||||
case 'Backtesting Session': {
|
||||
return true
|
||||
}
|
||||
case 'Live Trading Session': {
|
||||
break
|
||||
}
|
||||
case 'Fordward Testing Session': {
|
||||
break
|
||||
}
|
||||
case 'Paper Trading Session': {
|
||||
return true
|
||||
}
|
||||
}
|
||||
|
||||
let orderId = await exchangeAPIModule.createOrder(tradingSystemOrder, tradingEngineOrder)
|
||||
|
||||
if (orderId !== undefined) {
|
||||
tradingEngineOrder.exchangeId.value = orderId
|
||||
return true
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function simulateExchangeEvents(tradingEngineStage, tradingSystemOrder, tradingEngineOrder) {
|
||||
|
||||
/* Filter by Session Type */
|
||||
switch (bot.SESSION.type) {
|
||||
case 'Backtesting Session': {
|
||||
break
|
||||
}
|
||||
case 'Live Trading Session': {
|
||||
return
|
||||
}
|
||||
case 'Fordward Testing Session': {
|
||||
return
|
||||
}
|
||||
case 'Paper Trading Session': {
|
||||
break
|
||||
}
|
||||
}
|
||||
|
||||
/* Filter by what is defined at the Strategy */
|
||||
if (tradingSystemOrder.simulatedExchangeEvents === undefined) {
|
||||
badDefinitionUnhandledException(undefined, 'tradingSystemOrder.simulatedExchangeEvents === undefined', tradingSystemOrder)
|
||||
}
|
||||
|
||||
let previousBaseAssetSizeFilled = tradingEngineOrder.orderBaseAsset.sizeFilled.value
|
||||
let previousQuotedAssetSizeFilled = tradingEngineOrder.orderQuotedAsset.sizeFilled.value
|
||||
let previousBaseAssetFeesPaid = tradingEngineOrder.orderBaseAsset.feesPaid.value
|
||||
let previousQuotedAssetFeesPaid = tradingEngineOrder.orderQuotedAsset.feesPaid.value
|
||||
|
||||
actualRateSimulation()
|
||||
feesPaidSimulation()
|
||||
percentageFilledSimulation()
|
||||
sizeFilledSimulation()
|
||||
|
||||
doTheAccounting(
|
||||
tradingEngineStage,
|
||||
tradingSystemOrder,
|
||||
tradingEngineOrder,
|
||||
previousBaseAssetSizeFilled,
|
||||
previousQuotedAssetSizeFilled,
|
||||
previousBaseAssetFeesPaid,
|
||||
previousQuotedAssetFeesPaid
|
||||
)
|
||||
|
||||
/* If the Stage is Closing and this order is still open, we need to cancel it now */
|
||||
if (tradingEngineStage.status.value === 'Closing' && tradingEngineOrder.status.value !== 'Closed') {
|
||||
simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Closing Stage')
|
||||
}
|
||||
|
||||
function actualRateSimulation() {
|
||||
/* Actual Rate Simulation */
|
||||
let calculatedBasedOnTradingSystem = false
|
||||
|
||||
/* Based on the Trading System Definition */
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
|
||||
/* Calculate this only once for this order */
|
||||
if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.orderStatistics.actualRate.config.initialValue) {
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = tradingSystem.formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
|
||||
if (tradingEngineOrder.orderStatistics.actualRate.value !== undefined) {
|
||||
calculatedBasedOnTradingSystem = true
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/* Based on the Session Parameters Definition */
|
||||
if (calculatedBasedOnTradingSystem === false) {
|
||||
switch (tradingEngineOrder.type) {
|
||||
case 'Market Order': {
|
||||
/* Actual Rate is simulated based on the Session Paremeters */
|
||||
let slippageAmount = tradingEngineOrder.rate.value * bot.SESSION.parameters.slippage.config.positionRate / 100
|
||||
switch (tradingSystemOrder.type) {
|
||||
case 'Market Sell Order': {
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value - slippageAmount
|
||||
break
|
||||
}
|
||||
case 'Market Buy Order': {
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value + slippageAmount
|
||||
break
|
||||
}
|
||||
}
|
||||
break
|
||||
}
|
||||
case 'Limit Order': {
|
||||
/* In Limit Orders the actual rate is the rate of the order, there is no slippage */
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value
|
||||
break
|
||||
}
|
||||
}
|
||||
}
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
|
||||
}
|
||||
|
||||
function feesPaidSimulation() {
|
||||
/* Fees Paid Simulation */
|
||||
let calculatedBasedOnTradingSystem = false
|
||||
|
||||
/* Based on the Trading System Definition */
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid !== undefined) {
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage !== undefined) {
|
||||
if (tradingEngineOrder.orderBaseAsset.feesPaid.value === tradingEngineOrder.orderBaseAsset.feesPaid.config.initialValue) {
|
||||
|
||||
tradingEngineOrder.orderBaseAsset.feesPaid.value =
|
||||
tradingEngineOrder.orderBaseAsset.size.value *
|
||||
tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100
|
||||
|
||||
calculatedBasedOnTradingSystem = true
|
||||
}
|
||||
|
||||
if (tradingEngineOrder.orderQuotedAsset.feesPaid.value === tradingEngineOrder.orderQuotedAsset.feesPaid.config.initialValue) {
|
||||
|
||||
tradingEngineOrder.orderQuotedAsset.feesPaid.value =
|
||||
tradingEngineOrder.orderQuotedAsset.size.value *
|
||||
tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100
|
||||
|
||||
calculatedBasedOnTradingSystem = true
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/* Based on the Session Parameters Definition */
|
||||
if (calculatedBasedOnTradingSystem === false) {
|
||||
/* Fees are simulated based on the Session Paremeters */
|
||||
switch (tradingEngineOrder.type) {
|
||||
case 'Market Order': {
|
||||
|
||||
tradingEngineOrder.orderBaseAsset.feesPaid.value =
|
||||
tradingEngineOrder.orderBaseAsset.size.value *
|
||||
bot.SESSION.parameters.feeStructure.config.taker / 100
|
||||
|
||||
tradingEngineOrder.orderQuotedAsset.feesPaid.value =
|
||||
tradingEngineOrder.orderQuotedAsset.size.value *
|
||||
bot.SESSION.parameters.feeStructure.config.taker / 100
|
||||
|
||||
break
|
||||
}
|
||||
case 'Limit Order': {
|
||||
|
||||
tradingEngineOrder.orderBaseAsset.feesPaid.value =
|
||||
tradingEngineOrder.orderBaseAsset.size.value *
|
||||
bot.SESSION.parameters.feeStructure.config.maker / 100
|
||||
|
||||
tradingEngineOrder.orderQuotedAsset.feesPaid.value =
|
||||
tradingEngineOrder.orderQuotedAsset.size.value *
|
||||
bot.SESSION.parameters.feeStructure.config.maker / 100
|
||||
|
||||
break
|
||||
}
|
||||
}
|
||||
}
|
||||
tradingEngineOrder.orderBaseAsset.feesPaid.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.feesPaid.value, 10)
|
||||
tradingEngineOrder.orderQuotedAsset.feesPaid.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.feesPaid.value, 10)
|
||||
}
|
||||
|
||||
function percentageFilledSimulation() {
|
||||
/* Order Filling Simulation */
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill !== undefined) {
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability !== undefined) {
|
||||
|
||||
/* Percentage Filled */
|
||||
let percentageFilled = tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability * 100
|
||||
if (tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled > 100) {
|
||||
percentageFilled = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
|
||||
}
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value = tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
|
||||
|
||||
/* Check if we need to close */
|
||||
if (tradingEngineOrder.orderStatistics.percentageFilled.value === 100) {
|
||||
|
||||
/* Close this Order */
|
||||
tradingEngineOrder.status.value = 'Closed'
|
||||
tradingEngineOrder.exitType.value = 'Filled'
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function sizeFilledSimulation() {
|
||||
/* Size Filled */
|
||||
tradingEngineOrder.orderBaseAsset.sizeFilled.value =
|
||||
(tradingEngineOrder.orderBaseAsset.size.value - tradingEngineOrder.orderBaseAsset.feesPaid.value) *
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value / 100
|
||||
|
||||
tradingEngineOrder.orderQuotedAsset.sizeFilled.value =
|
||||
(tradingEngineOrder.orderQuotedAsset.size.value - tradingEngineOrder.orderQuotedAsset.feesPaid.value) *
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value / 100
|
||||
|
||||
tradingEngineOrder.orderBaseAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.sizeFilled.value, 10)
|
||||
tradingEngineOrder.orderQuotedAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.sizeFilled.value, 10)
|
||||
}
|
||||
}
|
||||
|
||||
async function checkExchangeEvents(tradingEngineStage, tradingSystemOrder, tradingEngineOrder) {
|
||||
|
||||
/* Filter by Session Type */
|
||||
switch (bot.SESSION.type) {
|
||||
case 'Backtesting Session': {
|
||||
return true
|
||||
}
|
||||
case 'Live Trading Session': {
|
||||
break
|
||||
}
|
||||
case 'Fordward Testing Session': {
|
||||
break
|
||||
}
|
||||
case 'Paper Trading Session': {
|
||||
return true
|
||||
}
|
||||
}
|
||||
|
||||
let order = await exchangeAPIModule.getOrder(tradingSystemOrder, tradingEngineOrder)
|
||||
|
||||
if (order === undefined) { return }
|
||||
|
||||
const AT_EXCHANGE_STATUS = {
|
||||
OPEN: 'open',
|
||||
CLOSED: 'closed',
|
||||
CANCELLED: 'canceled'
|
||||
}
|
||||
|
||||
/* Status Checks */
|
||||
if (order.remaining === 0 && order.status === AT_EXCHANGE_STATUS.CLOSED) {
|
||||
|
||||
/* Close this Order */
|
||||
tradingEngineOrder.status.value = 'Closed'
|
||||
tradingEngineOrder.exitType.value = 'Filled'
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
||||
}
|
||||
if (order.remaining > 0 && order.status === AT_EXCHANGE_STATUS.CLOSED) {
|
||||
|
||||
/* Close this Order */
|
||||
tradingEngineOrder.status.value = 'Closed'
|
||||
tradingEngineOrder.exitType.value = 'Closed at the Exchange'
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
||||
}
|
||||
if (order.status === AT_EXCHANGE_STATUS.CANCELLED) {
|
||||
|
||||
/* Close this Order */
|
||||
tradingEngineOrder.status.value = 'Closed'
|
||||
tradingEngineOrder.exitType.value = 'Cancelled at the Exchange'
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
||||
}
|
||||
|
||||
syncWithExchange(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order)
|
||||
|
||||
/* Forced Cancellation Check */
|
||||
if (tradingEngineStage.status.value === 'Closing' && tradingEngineOrder.status.value !== 'Closed') {
|
||||
await exchangeCancelOrder(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, 'Closing Stage')
|
||||
}
|
||||
}
|
||||
|
||||
function syncWithExchange(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order) {
|
||||
|
||||
let previousBaseAssetSizeFilled = tradingEngineOrder.orderBaseAsset.sizeFilled.value
|
||||
let previousQuotedAssetSizeFilled = tradingEngineOrder.orderQuotedAsset.sizeFilled.value
|
||||
let previousBaseAssetFeesPaid = tradingEngineOrder.orderBaseAsset.feesPaid.value
|
||||
let previousQuotedAssetFeesPaid = tradingEngineOrder.orderQuotedAsset.feesPaid.value
|
||||
|
||||
/* Actual Rate Calculation */
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = order.price
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
|
||||
|
||||
/* Fees Paid Calculation */
|
||||
/*
|
||||
As a response from the exchange we can not always get the fees.
|
||||
For that reason we need to estimate them base of the information that we do have.
|
||||
CCXT provides order.amount which represents the size we set for the order minus the
|
||||
fees taken by the exchange, all denominated in Base Asset.
|
||||
In this way if we substract to the order size this order.amount
|
||||
we can get the fees. All this is denominated in base asset because that is how CCXT works.
|
||||
The fees then can be estimated in Quoted Asset using the Actual Rate.
|
||||
*/
|
||||
tradingEngineOrder.orderBaseAsset.feesPaid.value = tradingEngineOrder.orderBaseAsset.size.value - order.amount
|
||||
tradingEngineOrder.orderBaseAsset.feesPaid.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.feesPaid.value, 10)
|
||||
tradingEngineOrder.orderQuotedAsset.feesPaid.value = tradingEngineOrder.orderBaseAsset.feesPaid.value * tradingEngineOrder.orderStatistics.actualRate.value
|
||||
tradingEngineOrder.orderQuotedAsset.feesPaid.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.feesPaid.value, 10)
|
||||
|
||||
/* Percentage Filled Calculation */
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value = order.filled * 100 / (order.filled + order.remaining)
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
|
||||
|
||||
/* Size Filled Calculation */
|
||||
/*
|
||||
CCXT returns order.filled with an amount denominated in Base Asset. We will
|
||||
take it from there for our Order Base Asset. For our Order Quoted Asset we
|
||||
will use the field order.cost.
|
||||
*/
|
||||
tradingEngineOrder.orderBaseAsset.sizeFilled.value = order.filled
|
||||
tradingEngineOrder.orderBaseAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.sizeFilled.value, 10)
|
||||
tradingEngineOrder.orderQuotedAsset.sizeFilled.value = order.cost
|
||||
tradingEngineOrder.orderQuotedAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.sizeFilled.value, 10)
|
||||
|
||||
doTheAccounting(
|
||||
tradingEngineStage,
|
||||
tradingSystemOrder,
|
||||
tradingEngineOrder,
|
||||
previousBaseAssetSizeFilled,
|
||||
previousQuotedAssetSizeFilled,
|
||||
previousBaseAssetFeesPaid,
|
||||
previousQuotedAssetFeesPaid
|
||||
)
|
||||
}
|
||||
|
||||
function doTheAccounting(
|
||||
tradingEngineStage,
|
||||
tradingSystemOrder,
|
||||
tradingEngineOrder,
|
||||
previousBaseAssetSizeFilled,
|
||||
previousQuotedAssetSizeFilled,
|
||||
previousBaseAssetFeesPaid,
|
||||
previousQuotedAssetFeesPaid
|
||||
) {
|
||||
|
||||
updateStageAssets()
|
||||
updateBalances()
|
||||
|
||||
function updateStageAssets() {
|
||||
/* Stage Base Asset: Undo the previous accounting */
|
||||
tradingEngineStage.stageBaseAsset.sizeFilled.value =
|
||||
tradingEngineStage.stageBaseAsset.sizeFilled.value -
|
||||
previousBaseAssetSizeFilled
|
||||
|
||||
tradingEngineStage.stageBaseAsset.feesPaid.value =
|
||||
tradingEngineStage.stageBaseAsset.feesPaid.value -
|
||||
previousBaseAssetFeesPaid
|
||||
|
||||
/* Stage Base Asset: Account the current filling and fees */
|
||||
tradingEngineStage.stageBaseAsset.sizeFilled.value =
|
||||
tradingEngineStage.stageBaseAsset.sizeFilled.value +
|
||||
tradingEngineOrder.orderBaseAsset.sizeFilled.value
|
||||
|
||||
tradingEngineStage.stageBaseAsset.feesPaid.value =
|
||||
tradingEngineStage.stageBaseAsset.feesPaid.value +
|
||||
tradingEngineOrder.orderBaseAsset.feesPaid.value
|
||||
|
||||
/* Stage Quote Asset: Undo the previous accounting */
|
||||
tradingEngineStage.stageQuotedAsset.sizeFilled.value =
|
||||
tradingEngineStage.stageQuotedAsset.sizeFilled.value -
|
||||
previousQuotedAssetSizeFilled
|
||||
|
||||
tradingEngineStage.stageQuotedAsset.feesPaid.value =
|
||||
tradingEngineStage.stageQuotedAsset.feesPaid.value -
|
||||
previousQuotedAssetFeesPaid
|
||||
|
||||
/* Stage Quote Asset: Account the current filling and fees */
|
||||
tradingEngineStage.stageQuotedAsset.sizeFilled.value =
|
||||
tradingEngineStage.stageQuotedAsset.sizeFilled.value +
|
||||
tradingEngineOrder.orderQuotedAsset.sizeFilled.value
|
||||
|
||||
tradingEngineStage.stageQuotedAsset.feesPaid.value =
|
||||
tradingEngineStage.stageQuotedAsset.feesPaid.value +
|
||||
tradingEngineOrder.orderQuotedAsset.feesPaid.value
|
||||
|
||||
tradingEngineStage.stageBaseAsset.sizeFilled.value = global.PRECISE(tradingEngineStage.stageBaseAsset.sizeFilled.value, 10)
|
||||
tradingEngineStage.stageBaseAsset.feesPaid.value = global.PRECISE(tradingEngineStage.stageBaseAsset.feesPaid.value, 10)
|
||||
|
||||
tradingEngineStage.stageQuotedAsset.sizeFilled.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizeFilled.value, 10)
|
||||
tradingEngineStage.stageQuotedAsset.feesPaid.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.feesPaid.value, 10)
|
||||
}
|
||||
|
||||
function updateBalances() {
|
||||
/* Balances Update */
|
||||
switch (true) {
|
||||
case tradingSystemOrder.type === 'Market Buy Order' || tradingSystemOrder.type === 'Limit Buy Order': {
|
||||
|
||||
/* Balance Base Asset: Undo the previous accounting */
|
||||
tradingEngine.current.episode.episodeBaseAsset.balance.value =
|
||||
tradingEngine.current.episode.episodeBaseAsset.balance.value -
|
||||
previousBaseAssetSizeFilled
|
||||
|
||||
/* Balance Base Asset: Account the current filling and fees */
|
||||
tradingEngine.current.episode.episodeBaseAsset.balance.value =
|
||||
tradingEngine.current.episode.episodeBaseAsset.balance.value +
|
||||
tradingEngineOrder.orderBaseAsset.sizeFilled.value
|
||||
|
||||
/* Balance Quoted Asset: Undo the previous accounting */
|
||||
tradingEngine.current.episode.episodeQuotedAsset.balance.value =
|
||||
tradingEngine.current.episode.episodeQuotedAsset.balance.value +
|
||||
previousQuotedAssetSizeFilled +
|
||||
previousQuotedAssetFeesPaid
|
||||
|
||||
/* Balance Quoted Asset: Account the current filling and fees */
|
||||
tradingEngine.current.episode.episodeQuotedAsset.balance.value =
|
||||
tradingEngine.current.episode.episodeQuotedAsset.balance.value -
|
||||
tradingEngineOrder.orderQuotedAsset.sizeFilled.value -
|
||||
tradingEngineOrder.orderQuotedAsset.feesPaid.value
|
||||
break
|
||||
}
|
||||
case tradingSystemOrder.type === 'Market Sell Order' || tradingSystemOrder.type === 'Limit Sell Order': {
|
||||
|
||||
/* Balance Base Asset: Undo the previous accounting */
|
||||
tradingEngine.current.episode.episodeBaseAsset.balance.value =
|
||||
tradingEngine.current.episode.episodeBaseAsset.balance.value +
|
||||
previousBaseAssetSizeFilled +
|
||||
previousBaseAssetFeesPaid
|
||||
|
||||
/* Balance Base Asset: Account the current filling and fees */
|
||||
tradingEngine.current.episode.episodeBaseAsset.balance.value =
|
||||
tradingEngine.current.episode.episodeBaseAsset.balance.value -
|
||||
tradingEngineOrder.orderBaseAsset.sizeFilled.value -
|
||||
tradingEngineOrder.orderBaseAsset.feesPaid.value
|
||||
|
||||
/* Balance Quoted Asset: Undo the previous accounting */
|
||||
tradingEngine.current.episode.episodeQuotedAsset.balance.value =
|
||||
tradingEngine.current.episode.episodeQuotedAsset.balance.value -
|
||||
previousQuotedAssetSizeFilled
|
||||
|
||||
/* Balance Quoted Asset: Account the current filling and fees */
|
||||
tradingEngine.current.episode.episodeQuotedAsset.balance.value =
|
||||
tradingEngine.current.episode.episodeQuotedAsset.balance.value +
|
||||
tradingEngineOrder.orderQuotedAsset.sizeFilled.value
|
||||
break
|
||||
}
|
||||
}
|
||||
tradingEngine.current.episode.episodeBaseAsset.balance.value = global.PRECISE(tradingEngine.current.episode.episodeBaseAsset.balance.value, 10)
|
||||
tradingEngine.current.episode.episodeQuotedAsset.balance.value = global.PRECISE(tradingEngine.current.episode.episodeQuotedAsset.balance.value, 10)
|
||||
}
|
||||
|
||||
}
|
||||
|
||||
function simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, exitType) {
|
||||
|
||||
/* Filter by Session Type */
|
||||
switch (bot.SESSION.type) {
|
||||
case 'Backtesting Session': {
|
||||
break
|
||||
}
|
||||
case 'Live Trading Session': {
|
||||
return
|
||||
}
|
||||
case 'Fordward Testing Session': {
|
||||
return
|
||||
}
|
||||
case 'Paper Trading Session': {
|
||||
break
|
||||
}
|
||||
}
|
||||
|
||||
/* Close this Order */
|
||||
tradingEngineOrder.status.value = 'Closed'
|
||||
tradingEngineOrder.exitType.value = exitType
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
||||
|
||||
recalculateStageSize(tradingEngineStage, tradingEngineOrder)
|
||||
}
|
||||
|
||||
async function exchangeCancelOrder(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, exitType) {
|
||||
|
||||
/* Filter by Session Type */
|
||||
switch (bot.SESSION.type) {
|
||||
case 'Backtesting Session': {
|
||||
return
|
||||
}
|
||||
case 'Live Trading Session': {
|
||||
break
|
||||
}
|
||||
case 'Fordward Testing Session': {
|
||||
break
|
||||
}
|
||||
case 'Paper Trading Session': {
|
||||
return
|
||||
}
|
||||
}
|
||||
|
||||
/* Check if we can cancel the order at the Exchange. */
|
||||
let result = await exchangeAPIModule.cancelOrder(tradingSystemOrder, tradingEngineOrder)
|
||||
if (result === true) {
|
||||
/* Close this Order */
|
||||
tradingEngineOrder.status.value = 'Closed'
|
||||
tradingEngineOrder.exitType.value = exitType
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
||||
|
||||
/*
|
||||
Perhaps the order was filled a bit more between the last time we checked and when it was cancelled.
|
||||
To sync our accounting, we need to check the order one last time and if it changed, fix it.
|
||||
*/
|
||||
|
||||
let order = await exchangeAPIModule.getOrder(tradingSystemOrder, tradingEngineOrder)
|
||||
|
||||
if (order === undefined) { return }
|
||||
|
||||
syncWithExchange(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order)
|
||||
|
||||
recalculateStageSize(tradingEngineStage)
|
||||
}
|
||||
}
|
||||
|
||||
function recalculateStageSize(tradingEngineStage, tradingEngineOrder) {
|
||||
/*
|
||||
Since the order is Cancelled, we need to adjust the stage size. Remember that the Stage Size
|
||||
accumulates for each asset, the order size placed at the exchange. A cancelation means that
|
||||
only the part filled can be considered placed, so we need to substract from the stage size
|
||||
the remainder. To achieve this with the information we currently have, we are going first
|
||||
to unaccount the order size, and the account only the sizeFilled + the feesPaid.
|
||||
*/
|
||||
tradingEngineStage.stageBaseAsset.size.value =
|
||||
tradingEngineStage.stageBaseAsset.size.value -
|
||||
tradingEngineOrder.orderBaseAsset.size.value
|
||||
tradingEngineStage.stageQuotedAsset.size.value =
|
||||
tradingEngineStage.stageQuotedAsset.size.value -
|
||||
tradingEngineOrder.orderQuotedAsset.size.value
|
||||
|
||||
tradingEngineStage.stageBaseAsset.size.value =
|
||||
tradingEngineStage.stageBaseAsset.size.value +
|
||||
tradingEngineOrder.orderBaseAsset.sizeFilled.value +
|
||||
tradingEngineOrder.orderBaseAsset.feesPaid.value
|
||||
tradingEngineStage.stageQuotedAsset.size.value =
|
||||
tradingEngineStage.stageQuotedAsset.size.value +
|
||||
tradingEngineOrder.orderQuotedAsset.sizeFilled.value +
|
||||
tradingEngineOrder.orderQuotedAsset.feesPaid.value
|
||||
|
||||
tradingEngineStage.stageBaseAsset.size.value = global.PRECISE(tradingEngineStage.stageBaseAsset.size.value, 10)
|
||||
tradingEngineStage.stageQuotedAsset.size.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.size.value, 10)
|
||||
}
|
||||
|
||||
function checkOrderEvent(event, order, executionAlgorithm, executionNode) {
|
||||
if (event !== undefined) {
|
||||
for (let k = 0; k < event.situations.length; k++) {
|
||||
let situation = event.situations[k]
|
||||
let passed
|
||||
if (situation.conditions.length > 0) {
|
||||
passed = true
|
||||
}
|
||||
|
||||
passed = tradingSystem.checkConditions(situation, passed)
|
||||
|
||||
tradingSystem.values.push([situation.id, passed])
|
||||
if (passed) {
|
||||
tradingSystem.highlights.push(situation.id)
|
||||
tradingSystem.highlights.push(event.id)
|
||||
tradingSystem.highlights.push(order.id)
|
||||
tradingSystem.highlights.push(executionAlgorithm.id)
|
||||
tradingSystem.highlights.push(executionNode.id)
|
||||
|
||||
announcementsModule.makeAnnoucements(event)
|
||||
return situation.name // if the event is triggered, we return the name of the situation that passed
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function updateEnds(tradingEngineOrder) {
|
||||
if (tradingEngineOrder.status.value === 'Open') {
|
||||
tradingEngineOrder.end.value = tradingEngine.current.episode.candle.end.value
|
||||
}
|
||||
}
|
||||
|
||||
function updateCounters(tradingEngineOrder) {
|
||||
if (tradingEngineOrder.status.value === 'Open') {
|
||||
tradingEngineOrder.orderCounters.periods.value++
|
||||
}
|
||||
}
|
||||
|
||||
function updateStatistics(tradingEngineOrder) {
|
||||
tradingEngineOrder.orderStatistics.days.value = tradingEngineOrder.orderCounters.periods.value * sessionParameters.timeFrame.config.value / global.ONE_DAY_IN_MILISECONDS
|
||||
tradingEngineOrder.orderStatistics.days.value = global.PRECISE(tradingEngineOrder.orderStatistics.days.value, 10)
|
||||
}
|
||||
|
||||
function resetTradingEngineDataStructure(tradingEngineOrder, tradingSystemOrder, stageStatus) {
|
||||
if (tradingEngineOrder.status.value === 'Closed') {
|
||||
/* We reset the order data structure inside the Trading Engine to its initial value */
|
||||
tradingEngineOrder.initialize(tradingEngineOrder)
|
||||
if (tradingSystemOrder.config.spawnMultipleOrders !== true) {
|
||||
/*
|
||||
We close the lock so as to prevent this data structure to be used again during this same stage execution.
|
||||
*/
|
||||
if (stageStatus === 'Open') {
|
||||
tradingEngineOrder.lock.value = 'Closed'
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function badDefinitionUnhandledException(err, message, node) {
|
||||
tradingSystem.errors.push([node.id, message])
|
||||
|
||||
logger.write(MODULE_NAME, "[ERROR] -> " + message);
|
||||
logger.write(MODULE_NAME, "[ERROR] -> node.name = " + node.name);
|
||||
logger.write(MODULE_NAME, "[ERROR] -> node.type = " + node.type);
|
||||
logger.write(MODULE_NAME, "[ERROR] -> node.config = " + JSON.stringify(node.config));
|
||||
if (err !== undefined) {
|
||||
logger.write(MODULE_NAME, "[ERROR] -> err.stack = " + err.stack);
|
||||
}
|
||||
throw 'It is not safe to continue with a Definition Error like this. Please fix the problem and try again.'
|
||||
}
|
||||
}
|
||||
|
||||
@@ -86,66 +86,11 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
function mantain() {
|
||||
tradingPositionModule.mantain()
|
||||
tradingStrategyModule.mantain()
|
||||
mantainStages()
|
||||
mantainOrders()
|
||||
tradingExecutionModule.mantain()
|
||||
|
||||
function mantainStages() {
|
||||
resetTradingEngineDataStructure()
|
||||
updateCounters()
|
||||
updateEnds()
|
||||
}
|
||||
|
||||
function mantainOrders() {
|
||||
/* Reset All Exchange Orders that are on Closed status, to their initial value */
|
||||
if (tradingEngine.current.strategy.index.value === tradingEngine.current.strategy.index.config.initialValue) { return }
|
||||
|
||||
let stageNode
|
||||
let executionNode
|
||||
|
||||
stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
|
||||
executionNode = stageNode.openExecution
|
||||
resetExecution(executionNode, tradingEngine.current.strategyOpenStage.status.value)
|
||||
|
||||
stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].closeStage
|
||||
executionNode = stageNode.closeExecution
|
||||
resetExecution(executionNode, tradingEngine.current.strategyCloseStage.status.value)
|
||||
|
||||
function resetExecution(executionNode, stageStatus) {
|
||||
|
||||
resetExecutionAlgorithms(executionNode)
|
||||
|
||||
function resetExecutionAlgorithms(executionNode) {
|
||||
for (let i = 0; i < executionNode.executionAlgorithms.length; i++) {
|
||||
let executionAlgorithm = executionNode.executionAlgorithms[i]
|
||||
resetOrders(executionAlgorithm.marketBuyOrders)
|
||||
resetOrders(executionAlgorithm.marketSellOrders)
|
||||
resetOrders(executionAlgorithm.limitBuyOrders)
|
||||
resetOrders(executionAlgorithm.limitSellOrders)
|
||||
}
|
||||
}
|
||||
|
||||
function resetOrders(orders) {
|
||||
for (let i = 0; i < orders.length; i++) {
|
||||
let tradingSystemOrder = orders[i]
|
||||
if (tradingSystemOrder.referenceParent === undefined) { continue }
|
||||
let tradingEngineOrder = tradingEngineModule.getNodeById(tradingSystemOrder.referenceParent.id)
|
||||
if (tradingEngineOrder.status === undefined) { continue }
|
||||
if (tradingEngineOrder.status.value === 'Closed') {
|
||||
/* We reset the order data structure inside the Trading Engine to its initial value */
|
||||
tradingEngineOrder.initialize(tradingEngineOrder)
|
||||
if (tradingSystemOrder.config.spawnMultipleOrders !== true) {
|
||||
/*
|
||||
We close the lock so as to prevent this data structure to be used again during this same stage execution.
|
||||
*/
|
||||
if (stageStatus === 'Open') {
|
||||
tradingEngineOrder.lock.value = 'Closed'
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
resetTradingEngineDataStructure()
|
||||
updateCounters()
|
||||
updateEnds()
|
||||
}
|
||||
|
||||
function runTriggerStage() {
|
||||
@@ -344,7 +289,6 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
|
||||
await tradingExecutionModule.runExecution(
|
||||
executionNode,
|
||||
false,
|
||||
tradingEngine.current.strategyOpenStage
|
||||
)
|
||||
|
||||
@@ -368,7 +312,6 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
|
||||
await tradingExecutionModule.runExecution(
|
||||
executionNode,
|
||||
false,
|
||||
tradingEngine.current.strategyOpenStage
|
||||
)
|
||||
/*
|
||||
@@ -429,7 +372,6 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
|
||||
await tradingExecutionModule.runExecution(
|
||||
executionNode,
|
||||
true,
|
||||
tradingEngine.current.strategyOpenStage
|
||||
)
|
||||
|
||||
@@ -899,7 +841,6 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
|
||||
await tradingExecutionModule.runExecution(
|
||||
executionNode,
|
||||
false,
|
||||
tradingEngine.current.strategyCloseStage
|
||||
)
|
||||
|
||||
|
||||
Reference in new issue
Block a user