Trading System Reviewed
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Luis Fernando Molina committed
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@@ -40,8 +40,10 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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const MAX_TAKE_PROFIT_VALUE = Number.MAX_SAFE_INTEGER
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/* Variables to know when we need to open or close a position. */
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let takePositionNow = false
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let closePositionNow = false
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let triggeringOn
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let triggeringOff
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let takingPosition
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let closingPosition
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/* These are the Modules we will need to run the Simulation */
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@@ -79,7 +81,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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/* Variables needed for heartbeat functionality */
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let heartBeatDate
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let previousheartBeatDate
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let previousHeartBeatDate
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initializeLoop()
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@@ -154,28 +156,27 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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tradingSystemModule.reset(chart)
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tradingEngineModule.updateEpisodeCountersAndStatistics()
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/*
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The next step is about evaluationg Conditions and Formulas of the Trading System.
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*/
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tradingSystemModule.evalConditions()
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tradingSystemModule.evalFormulas()
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tradingSystemModule.checkTriggerOn()
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tradingSystemModule.checkTriggerOff()
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takePositionNow = tradingSystemModule.checkTakePosition()
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/*
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Next we check if we will be triggering on, off or taking position.
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*/
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triggeringOn = tradingSystemModule.checkTriggerOn()
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triggeringOff = tradingSystemModule.checkTriggerOff()
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takingPosition = tradingSystemModule.checkTakePosition()
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/* Stop Loss Management */
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if (
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(tradingEngine.current.strategy.stageType.value === 'Open Stage' || tradingEngine.current.strategy.stageType.value === 'Manage Stage') &&
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takePositionNow !== true
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) {
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tradingSystemModule.checkStopPhases()
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if (takingPosition !== true) {
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tradingSystemModule.checkStopPhasesEvents()
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tradingSystemModule.calculateStopLoss()
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}
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/* Take Profit Management */
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if (
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(tradingEngine.current.strategy.stageType.value === 'Open Stage' || tradingEngine.current.strategy.stageType.value === 'Manage Stage') &&
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takePositionNow !== true
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) {
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tradingSystemModule.checkTakeProfitPhases()
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if (takingPosition !== true) {
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tradingSystemModule.checkTakeProfitPhaseEvents()
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tradingSystemModule.calculateTakeProfit()
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}
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@@ -183,51 +184,28 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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tradingEngineModule.updateDistanceToEventsCounters()
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/* Checking if Stop or Take Profit were hit */
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if (
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(tradingEngine.current.strategy.stageType.value === 'Open Stage' || tradingEngine.current.strategy.stageType.value === 'Manage Stage') &&
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takePositionNow !== true
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) {
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closePositionNow = tradingSystemModule.checkStopLossOrTakeProfitWasHit()
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if (takingPosition !== true) {
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closingPosition = tradingSystemModule.checkStopLossOrTakeProfitWasHit()
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}
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/* Taking a Position */
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if (
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takePositionNow === true
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) {
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takePositionNow = false
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if (takingPosition === true) {
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tradingEngineModule.getReadyToTakePosition(candle)
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tradingExecutionModule.takePosition()
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tradingEngineModule.takePosition()
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takingPosition = false
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}
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/* Closing a Position */
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if (
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closePositionNow === true
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) {
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closePositionNow = false
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if (closingPosition === true) {
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tradingEngineModule.getReadyToClosePosition(candle)
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tradingExecutionModule.closePosition()
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tradingEngineModule.closePosition()
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closingPosition = false
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}
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/* Closing the Closing Stage TODO This should die once we have execution working. */
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if (tradingEngine.current.strategy.stageType.value === 'Close Stage') {
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if (candle.begin - 5 * 60 * 1000 > timerToCloseStage) {
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tradingEngine.current.strategy.end.value = candle.end
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tradingEngine.current.strategy.endRate.value = candle.min
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tradingEngine.current.strategy.status.value = 'Closed'
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tradingEngine.current.strategy.index.value = -1
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tradingEngine.current.strategy.stageType.value = 'No Stage'
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timerToCloseStage = 0
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tradingEngine.current.distanceToEvent.triggerOff.value = 1
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Closing the Closing Stage -> Exiting Close Stage.') }
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} else {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Closing the Closing Stage -> Waiting for timer.') }
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}
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}
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/* After a position was closed, we need to close the strategy. */
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tradingSystem.exitStrategyAfterPosition()
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snapshotsModule.manageSnapshots()
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tradingRecordsModule.appendRecords()
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@@ -274,7 +252,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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function heartBeat() {
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/* We will produce a simulation level heartbeat in order to inform the user this is running. */
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heartBeatDate = new Date(Math.trunc(tradingEngine.current.candle.begin.value / global.ONE_DAY_IN_MILISECONDS) * global.ONE_DAY_IN_MILISECONDS)
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if (heartBeatDate.valueOf() !== previousheartBeatDate) {
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if (heartBeatDate.valueOf() !== previousHeartBeatDate) {
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let processingDate = heartBeatDate.getUTCFullYear() + '-' + utilities.pad(heartBeatDate.getUTCMonth() + 1, 2) + '-' + utilities.pad(heartBeatDate.getUTCDate(), 2)
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Simulation ' + bot.sessionKey + ' Loop # ' + tradingEngine.current.candle.index.value + ' @ ' + processingDate) }
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@@ -292,7 +270,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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logger.newInternalLoop(bot.codeName, bot.process, currentDate, percentage)
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}
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}
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previousheartBeatDate = heartBeatDate.valueOf()
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previousHeartBeatDate = heartBeatDate.valueOf()
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}
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function positionChartAtCurrentCandle() {
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@@ -10,11 +10,12 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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checkTriggerOn: checkTriggerOn,
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checkTriggerOff: checkTriggerOff,
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checkTakePosition: checkTakePosition,
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checkStopPhases: checkStopPhases,
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checkStopPhasesEvents: checkStopPhasesEvents,
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calculateStopLoss: calculateStopLoss,
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checkTakeProfitPhases: checkTakeProfitPhases,
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checkTakeProfitPhaseEvents: checkTakeProfitPhaseEvents,
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calculateTakeProfit: calculateTakeProfit,
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checkStopLossOrTakeProfitWasHit: checkStopLossOrTakeProfitWasHit,
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exitStrategyAfterPosition: exitStrategyAfterPosition,
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getPositionSize: getPositionSize,
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getPositionRate: getPositionRate,
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initialize: initialize,
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@@ -152,7 +153,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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conditions.set(node.id, value)
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if (value === true) {
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tradingSystem.highlights.push([node.id, ''])
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tradingSystem.highlights.push(node.id)
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tradingSystem.errors.push([node.id, 'La concha del mono'])
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tradingSystem.progress.push([node.id, 85])
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tradingSystem.status.push([node.id, 'Waiting for la concha del mono'])
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@@ -208,26 +209,19 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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}
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function checkTriggerOn() {
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/* Trigger On Conditions */
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if (
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tradingEngine.current.strategy.stageType.value === 'No Stage' &&
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tradingEngine.current.strategy.index.value === -1
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tradingEngine.current.strategy.index.value === tradingEngine.current.strategy.index.config.initialValue
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) {
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/*
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Here we need to pick a strategy, or if there is not suitable strategy for the current
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market conditions, we pass until the next period.
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To pick a new strategy we will evaluate what we call the trigger on. Once we enter
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into one strategy, we will ignore market conditions for others. However there is also
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To pick a new strategy we will check that any of the situations of the trigger on is true.
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Once we enter into one strategy, we will ignore market conditions for others. However there is also
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a strategy trigger off which can be hit before taking a position. If hit, we would
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be outside a strategy again and looking for the condition to enter all over again.
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be outside a strategy again and looking for the conditions to enter all over again.
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*/
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for (let j = 0; j < tradingSystem.strategies.length; j++) {
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if ( // If a strategy was already picked during the loop, we exit it
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tradingEngine.current.strategy.stageType.value !== 'No Stage' ||
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tradingEngine.current.strategy.index.value !== -1
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if ( // If a strategy was already picked during the loop, we exit the loop
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tradingEngine.current.strategy.index.value !== tradingEngine.current.strategy.index.config.initialValue
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) { continue }
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let strategy = tradingSystem.strategies[j]
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@@ -243,45 +237,50 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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}
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for (let m = 0; m < situation.conditions.length; m++) {
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let condition = situation.conditions[m]
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let value = false
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if (conditions.get(condition.id) !== undefined) {
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value = conditions.get(condition.id).value
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}
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if (value === false) { passed = false }
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}
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tradingSystem.values.push([situation.id, passed])
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if (passed) {
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tradingSystem.highlights.push(situation.id)
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tradingSystem.highlights.push(triggerStage.triggerOn.id)
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tradingSystem.highlights.push(triggerStage.id)
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tradingEngine.current.strategy.stageType.value = 'Trigger Stage'
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checkAnnouncements(triggerStage)
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tradingEngine.current.strategy.status.value = 'Open'
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tradingEngine.current.strategy.index.value = j
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tradingEngine.current.strategy.begin.value = tradingEngine.current.candle.begin.value
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tradingEngine.current.strategy.end.value = tradingEngine.current.candle.end.value // TODO: overrride with the node Formula
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tradingEngine.current.strategy.beginRate.value = tradingEngine.current.candle.min.value
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tradingEngine.current.strategy.endRate.value = tradingEngine.current.candle.min.value // In case the strategy does not get exited
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tradingEngine.current.strategy.endRate.value = tradingEngine.current.candle.min.value // TODO: overrride with the node Formula
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tradingEngine.current.strategy.situationName.value = situation.name
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tradingEngine.current.strategy.strategyName.value = strategy.name
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tradingEngine.current.distanceToEvent.triggerOn.value = 1
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/* TODO See what to do with this:
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checkAnnouncements(triggerStage.triggerOn)
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checkAnnouncements(triggerStage)
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saveAsLastTriggerOnSnapshot = true
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*/
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Entering into Strategy: ' + strategy.name) }
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break
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] checkTriggerOn -> Entering into Strategy: ' + strategy.name) }
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return true // This Means that we have just met the conditions to trigger on.
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}
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}
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}
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}
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}
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}
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return false // This Means that we have not met the conditions to trigger on.
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}
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function checkTriggerOff() {
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/* Trigger Off Condition */
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if (tradingEngine.current.strategy.stageType.value === 'Trigger Stage') {
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let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
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let triggerStage = strategy.triggerStage
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@@ -301,36 +300,41 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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if (conditions.get(condition.id) !== undefined) {
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value = conditions.get(condition.id).value
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}
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if (value === false) { passed = false }
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}
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tradingSystem.values.push([situation.id, passed])
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if (passed) {
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tradingSystem.highlights.push(situation.id)
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tradingSystem.highlights.push(triggerStage.triggerOff.id)
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tradingSystem.highlights.push(triggerStage.id)
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tradingEngine.current.strategy.end.value = tradingEngine.current.candle.end.value
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tradingEngine.current.strategy.endRate.value = tradingEngine.current.candle.min.value
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tradingEngine.current.strategy.status.value = 'Closed'
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tradingEngine.current.strategy.stageType.value = 'No Stage'
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tradingEngine.current.strategy.index.value = -1
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tradingEngine.current.strategy.index.value = tradingEngine.current.strategy.index.config.initialValue
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tradingEngine.current.distanceToEvent.triggerOff.value = 1
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/* TODO See what to do with this:
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checkAnnouncements(triggerStage.triggerOff)
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*/
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Exiting Strategy: ' + strategy.name) }
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break
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] checkTriggerOff -> Closing Strategy: ' + strategy.name) }
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return true // This Means that we have just met the conditions to trigger off.
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}
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}
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}
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}
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}
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return false // This Means that we have not met the conditions to trigger off.
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}
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function checkTakePosition() {
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/* Take Position Condition */
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if (tradingEngine.current.strategy.stageType.value === 'Trigger Stage') {
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let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
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let triggerStage = strategy.triggerStage
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if (triggerStage !== undefined) {
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@@ -352,10 +356,13 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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if (value === false) { passed = false }
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}
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tradingSystem.values.push([situation.id, passed])
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if (passed) {
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tradingEngine.current.strategy.stageType.value = 'Open Stage'
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checkAnnouncements(strategy.openStage)
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tradingSystem.highlights.push(situation.id)
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tradingSystem.highlights.push(triggerStage.takePosition.id)
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tradingSystem.highlights.push(triggerStage.id)
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tradingEngine.current.strategy.stageType.value = 'Open Stage'
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tradingEngine.current.position.stopLossStage.value = 'Open Stage'
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tradingEngine.current.position.takeProfitStage.value = 'Open Stage'
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tradingEngine.current.position.stopLossPhase.value = 0
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@@ -363,125 +370,138 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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tradingEngine.current.position.situationName.value = situation.name
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/* TODO See what to do with this:
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checkAnnouncements(triggerStage.takePosition)
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checkAnnouncements(strategy.openStage)
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saveAsLastTakePositionSnapshot = true
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*/
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Conditions at the Take Position Event were met.') }
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return true
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] checkTakePosition -> Conditions at the Take Position Event were met.') }
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return true // This Means that we have just met the conditions to take position.
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}
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}
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}
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}
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}
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return false
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return false // This Means that we have not met the conditions to take position.
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}
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function checkStopPhases() {
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let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
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function checkStopPhasesEvents() {
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if (tradingEngine.current.strategy.stageType.value === 'Open Stage' || tradingEngine.current.strategy.stageType.value === 'Manage Stage') {
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let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
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let openStage = strategy.openStage
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let manageStage = strategy.manageStage
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let parentNode
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let p
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let openStage = strategy.openStage
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let manageStage = strategy.manageStage
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let parentNode
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let j = tradingEngine.current.strategy.index.value
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let p
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if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Open Stage' && openStage !== undefined) {
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if (openStage.initialDefinition !== undefined) {
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if (openStage.initialDefinition.stopLoss !== undefined) {
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parentNode = openStage.initialDefinition
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p = tradingEngine.current.position.stopLoss.stopLossPhase.value
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}
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}
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}
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if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Manage Stage' && manageStage !== undefined) {
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if (manageStage.stopLoss !== undefined) {
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parentNode = manageStage
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p = tradingEngine.current.position.stopLoss.stopLossPhase.value - 1
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}
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}
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if (parentNode !== undefined) {
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let phase = parentNode.stopLoss.phases[p]
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/* Check the next Phase Event. */
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let nextPhaseEvent = phase.nextPhaseEvent
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if (nextPhaseEvent !== undefined) {
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for (let k = 0; k < nextPhaseEvent.situations.length; k++) {
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let situation = nextPhaseEvent.situations[k]
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let passed
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if (situation.conditions.length > 0) {
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passed = true
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}
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for (let m = 0; m < situation.conditions.length; m++) {
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let condition = situation.conditions[m]
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let value = false
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if (conditions.get(condition.id) !== undefined) {
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value = conditions.get(condition.id).value
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}
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if (value === false) { passed = false }
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}
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if (passed) {
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tradingEngine.current.position.stopLoss.stopLossPhase.value++
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tradingEngine.current.position.stopLoss.stopLossStage.value = 'Manage Stage'
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if (tradingEngine.current.position.takeProfit.takeProfitPhase.value > 0) {
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tradingEngine.current.strategy.stageType.value = 'Manage Stage'
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checkAnnouncements(manageStage, 'Take Profit')
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}
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checkAnnouncements(nextPhaseEvent)
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return
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if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Open Stage' && openStage !== undefined) {
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if (openStage.initialDefinition !== undefined) {
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if (openStage.initialDefinition.stopLoss !== undefined) {
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parentNode = openStage.initialDefinition
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p = tradingEngine.current.position.stopLoss.stopLossPhase.value
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}
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}
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}
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/* Check the Move to Phase Events. */
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for (let n = 0; n < phase.moveToPhaseEvents.length; n++) {
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let moveToPhaseEvent = phase.moveToPhaseEvents[n]
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if (moveToPhaseEvent !== undefined) {
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for (let k = 0; k < moveToPhaseEvent.situations.length; k++) {
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let situation = moveToPhaseEvent.situations[k]
|
||||
if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Manage Stage' && manageStage !== undefined) {
|
||||
if (manageStage.stopLoss !== undefined) {
|
||||
parentNode = manageStage
|
||||
p = tradingEngine.current.position.stopLoss.stopLossPhase.value - 1
|
||||
}
|
||||
}
|
||||
|
||||
if (parentNode !== undefined) {
|
||||
let phase = parentNode.stopLoss.phases[p]
|
||||
|
||||
/* Check the next Phase Event. */
|
||||
let nextPhaseEvent = phase.nextPhaseEvent
|
||||
if (nextPhaseEvent !== undefined) {
|
||||
for (let k = 0; k < nextPhaseEvent.situations.length; k++) {
|
||||
let situation = nextPhaseEvent.situations[k]
|
||||
let passed
|
||||
if (situation.conditions.length > 0) {
|
||||
passed = true
|
||||
}
|
||||
|
||||
for (let m = 0; m < situation.conditions.length; m++) {
|
||||
|
||||
let condition = situation.conditions[m]
|
||||
let value = false
|
||||
if (conditions.get(condition.id) !== undefined) {
|
||||
value = conditions.get(condition.id).value
|
||||
}
|
||||
|
||||
if (value === false) { passed = false }
|
||||
}
|
||||
|
||||
tradingSystem.values.push([situation.id, passed])
|
||||
if (passed) {
|
||||
tradingSystem.highlights.push(situation.id)
|
||||
tradingSystem.highlights.push(nextPhaseEvent.id)
|
||||
tradingSystem.highlights.push(phase.id)
|
||||
tradingSystem.highlights.push(parentNode.stopLoss.id)
|
||||
tradingSystem.highlights.push(parentNode.id)
|
||||
|
||||
let moveToPhase = moveToPhaseEvent.referenceParent
|
||||
if (moveToPhase !== undefined) {
|
||||
for (let q = 0; q < parentNode.stopLoss.phases.length; q++) {
|
||||
if (parentNode.stopLoss.phases[q].id === moveToPhase.id) {
|
||||
tradingEngine.current.position.stopLoss.stopLossPhase.value = q + 1
|
||||
}
|
||||
}
|
||||
} else {
|
||||
moveToPhaseEvent.error = 'This Node needs to reference a Phase.'
|
||||
continue
|
||||
}
|
||||
|
||||
tradingEngine.current.position.stopLoss.stopLossPhase.value++
|
||||
tradingEngine.current.position.stopLoss.stopLossStage.value = 'Manage Stage'
|
||||
if (tradingEngine.current.position.takeProfit.takeProfitPhase.value > 0) {
|
||||
tradingEngine.current.strategy.stageType.value = 'Manage Stage'
|
||||
checkAnnouncements(manageStage, 'Take Profit')
|
||||
}
|
||||
|
||||
checkAnnouncements(moveToPhaseEvent)
|
||||
return
|
||||
checkAnnouncements(nextPhaseEvent)
|
||||
return // only one event can pass at the time
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/* Check the Move to Phase Events. */
|
||||
for (let n = 0; n < phase.moveToPhaseEvents.length; n++) {
|
||||
let moveToPhaseEvent = phase.moveToPhaseEvents[n]
|
||||
if (moveToPhaseEvent !== undefined) {
|
||||
for (let k = 0; k < moveToPhaseEvent.situations.length; k++) {
|
||||
let situation = moveToPhaseEvent.situations[k]
|
||||
let passed
|
||||
if (situation.conditions.length > 0) {
|
||||
passed = true
|
||||
}
|
||||
|
||||
for (let m = 0; m < situation.conditions.length; m++) {
|
||||
|
||||
let condition = situation.conditions[m]
|
||||
let value = false
|
||||
if (conditions.get(condition.id) !== undefined) {
|
||||
value = conditions.get(condition.id).value
|
||||
}
|
||||
if (value === false) { passed = false }
|
||||
}
|
||||
|
||||
tradingSystem.values.push([situation.id, passed])
|
||||
if (passed) {
|
||||
tradingSystem.highlights.push(situation.id)
|
||||
tradingSystem.highlights.push(moveToPhaseEvent.id)
|
||||
tradingSystem.highlights.push(phase.id)
|
||||
tradingSystem.highlights.push(parentNode.stopLoss.id)
|
||||
tradingSystem.highlights.push(parentNode.id)
|
||||
|
||||
let moveToPhase = moveToPhaseEvent.referenceParent
|
||||
if (moveToPhase !== undefined) {
|
||||
for (let q = 0; q < parentNode.stopLoss.phases.length; q++) {
|
||||
if (parentNode.stopLoss.phases[q].id === moveToPhase.id) {
|
||||
tradingEngine.current.position.stopLoss.stopLossPhase.value = q + 1
|
||||
}
|
||||
}
|
||||
} else {
|
||||
tradingSystem.errors.push([moveToPhaseEvent.id, 'This Node needs to reference a Phase.'])
|
||||
continue
|
||||
}
|
||||
|
||||
tradingEngine.current.position.stopLoss.stopLossStage.value = 'Manage Stage'
|
||||
if (tradingEngine.current.position.takeProfit.takeProfitPhase.value > 0) {
|
||||
tradingEngine.current.strategy.stageType.value = 'Manage Stage'
|
||||
checkAnnouncements(manageStage, 'Take Profit')
|
||||
}
|
||||
checkAnnouncements(moveToPhaseEvent)
|
||||
return // only one event can pass at the time
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -490,148 +510,160 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
|
||||
}
|
||||
|
||||
function calculateStopLoss() {
|
||||
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
|
||||
let openStage = strategy.openStage
|
||||
let manageStage = strategy.manageStage
|
||||
let phase
|
||||
let key
|
||||
if (tradingEngine.current.strategy.stageType.value === 'Open Stage' || tradingEngine.current.strategy.stageType.value === 'Manage Stage') {
|
||||
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
|
||||
let openStage = strategy.openStage
|
||||
let manageStage = strategy.manageStage
|
||||
let phase
|
||||
let key
|
||||
|
||||
if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Open Stage' && openStage !== undefined) {
|
||||
if (openStage.initialDefinition !== undefined) {
|
||||
if (openStage.initialDefinition.stopLoss !== undefined) {
|
||||
phase = openStage.initialDefinition.stopLoss.phases[tradingEngine.current.position.stopLoss.stopLossPhase.value]
|
||||
key = tradingEngine.current.strategy.index.value + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'stopLoss' + '-' + (tradingEngine.current.position.stopLoss.stopLossPhase.value)
|
||||
if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Open Stage' && openStage !== undefined) {
|
||||
if (openStage.initialDefinition !== undefined) {
|
||||
if (openStage.initialDefinition.stopLoss !== undefined) {
|
||||
phase = openStage.initialDefinition.stopLoss.phases[tradingEngine.current.position.stopLoss.stopLossPhase.value]
|
||||
key = tradingEngine.current.strategy.index.value + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'stopLoss' + '-' + (tradingEngine.current.position.stopLoss.stopLossPhase.value)
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Manage Stage' && manageStage !== undefined) {
|
||||
if (manageStage.stopLoss !== undefined) {
|
||||
phase = manageStage.stopLoss.phases[tradingEngine.current.position.stopLoss.stopLossPhase.value - 1]
|
||||
key = tradingEngine.current.strategy.index.value + '-' + 'manageStage' + '-' + 'stopLoss' + '-' + (tradingEngine.current.position.stopLoss.stopLossPhase.value - 1)
|
||||
if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Manage Stage' && manageStage !== undefined) {
|
||||
if (manageStage.stopLoss !== undefined) {
|
||||
phase = manageStage.stopLoss.phases[tradingEngine.current.position.stopLoss.stopLossPhase.value - 1]
|
||||
key = tradingEngine.current.strategy.index.value + '-' + 'manageStage' + '-' + 'stopLoss' + '-' + (tradingEngine.current.position.stopLoss.stopLossPhase.value - 1)
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
if (phase !== undefined) {
|
||||
if (phase.formula !== undefined) {
|
||||
let previousValue = tradingEngine.current.position.stopLoss.value
|
||||
if (phase !== undefined) {
|
||||
if (phase.formula !== undefined) {
|
||||
let previousValue = tradingEngine.current.position.stopLoss.value
|
||||
tradingEngine.current.position.stopLoss.value = formulas.get(key)
|
||||
|
||||
tradingEngine.current.position.stopLoss.value = formulas.get(key)
|
||||
|
||||
if (tradingEngine.current.position.stopLoss.value !== previousValue) {
|
||||
checkAnnouncements(phase, tradingEngine.current.position.stopLoss.value)
|
||||
if (tradingEngine.current.position.stopLoss.value !== previousValue) {
|
||||
checkAnnouncements(phase, tradingEngine.current.position.stopLoss.value)
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function checkTakeProfitPhases() {
|
||||
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
|
||||
function checkTakeProfitPhaseEvents() {
|
||||
if (tradingEngine.current.strategy.stageType.value === 'Open Stage' || tradingEngine.current.strategy.stageType.value === 'Manage Stage') {
|
||||
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
|
||||
let openStage = strategy.openStage
|
||||
let manageStage = strategy.manageStage
|
||||
let parentNode
|
||||
let p
|
||||
|
||||
let openStage = strategy.openStage
|
||||
let manageStage = strategy.manageStage
|
||||
let parentNode
|
||||
let j = tradingEngine.current.strategy.index.value
|
||||
let p
|
||||
|
||||
if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Open Stage' && openStage !== undefined) {
|
||||
if (openStage.initialDefinition !== undefined) {
|
||||
if (openStage.initialDefinition.takeProfit !== undefined) {
|
||||
parentNode = openStage.initialDefinition
|
||||
p = tradingEngine.current.position.takeProfit.takeProfitPhase.value
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Manage Stage' && manageStage !== undefined) {
|
||||
if (manageStage.takeProfit !== undefined) {
|
||||
parentNode = manageStage
|
||||
p = tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1
|
||||
}
|
||||
}
|
||||
|
||||
if (parentNode !== undefined) {
|
||||
let phase = parentNode.takeProfit.phases[p]
|
||||
if (phase === undefined) { return } // trying to jump to a phase that does not exists.
|
||||
|
||||
/* Check the next Phase Event. */
|
||||
let nextPhaseEvent = phase.nextPhaseEvent
|
||||
if (nextPhaseEvent !== undefined) {
|
||||
for (let k = 0; k < nextPhaseEvent.situations.length; k++) {
|
||||
let situation = nextPhaseEvent.situations[k]
|
||||
let passed
|
||||
if (situation.conditions.length > 0) {
|
||||
passed = true
|
||||
}
|
||||
|
||||
for (let m = 0; m < situation.conditions.length; m++) {
|
||||
let condition = situation.conditions[m]
|
||||
let value = false
|
||||
if (conditions.get(condition.id) !== undefined) {
|
||||
value = conditions.get(condition.id).value
|
||||
}
|
||||
|
||||
if (value === false) { passed = false }
|
||||
}
|
||||
|
||||
if (passed) {
|
||||
tradingEngine.current.position.takeProfit.takeProfitPhase.value++
|
||||
tradingEngine.current.position.takeProfit.takeProfitStage.value = 'Manage Stage'
|
||||
if (tradingEngine.current.position.stopLoss.stopLossPhase.value > 0) {
|
||||
tradingEngine.current.strategy.stageType.value = 'Manage Stage'
|
||||
checkAnnouncements(manageStage, 'Stop')
|
||||
}
|
||||
|
||||
checkAnnouncements(nextPhaseEvent)
|
||||
return
|
||||
if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Open Stage' && openStage !== undefined) {
|
||||
if (openStage.initialDefinition !== undefined) {
|
||||
if (openStage.initialDefinition.takeProfit !== undefined) {
|
||||
parentNode = openStage.initialDefinition
|
||||
p = tradingEngine.current.position.takeProfit.takeProfitPhase.value
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/* Check the Move to Phase Events. */
|
||||
for (let n = 0; n < phase.moveToPhaseEvents.length; n++) {
|
||||
let moveToPhaseEvent = phase.moveToPhaseEvents[n]
|
||||
if (moveToPhaseEvent !== undefined) {
|
||||
for (let k = 0; k < moveToPhaseEvent.situations.length; k++) {
|
||||
let situation = moveToPhaseEvent.situations[k]
|
||||
if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Manage Stage' && manageStage !== undefined) {
|
||||
if (manageStage.takeProfit !== undefined) {
|
||||
parentNode = manageStage
|
||||
p = tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1
|
||||
}
|
||||
}
|
||||
|
||||
if (parentNode !== undefined) {
|
||||
let phase = parentNode.takeProfit.phases[p]
|
||||
if (phase === undefined) { return } // trying to jump to a phase that does not exists.
|
||||
|
||||
/* Check the next Phase Event. */
|
||||
let nextPhaseEvent = phase.nextPhaseEvent
|
||||
if (nextPhaseEvent !== undefined) {
|
||||
for (let k = 0; k < nextPhaseEvent.situations.length; k++) {
|
||||
let situation = nextPhaseEvent.situations[k]
|
||||
let passed
|
||||
if (situation.conditions.length > 0) {
|
||||
passed = true
|
||||
}
|
||||
|
||||
for (let m = 0; m < situation.conditions.length; m++) {
|
||||
|
||||
let condition = situation.conditions[m]
|
||||
let value = false
|
||||
if (conditions.get(condition.id) !== undefined) {
|
||||
value = conditions.get(condition.id).value
|
||||
}
|
||||
|
||||
if (value === false) { passed = false }
|
||||
}
|
||||
|
||||
tradingSystem.values.push([situation.id, passed])
|
||||
if (passed) {
|
||||
tradingSystem.highlights.push(situation.id)
|
||||
tradingSystem.highlights.push(nextPhaseEvent.id)
|
||||
tradingSystem.highlights.push(phase.id)
|
||||
tradingSystem.highlights.push(parentNode.takeProfit.id)
|
||||
tradingSystem.highlights.push(parentNode.id)
|
||||
|
||||
let moveToPhase = moveToPhaseEvent.referenceParent
|
||||
if (moveToPhase !== undefined) {
|
||||
for (let q = 0; q < parentNode.takeProfit.phases.length; q++) {
|
||||
if (parentNode.takeProfit.phases[q].id === moveToPhase.id) {
|
||||
tradingEngine.current.position.takeProfit.takeProfitPhase.value = q + 1
|
||||
}
|
||||
}
|
||||
} else {
|
||||
moveToPhaseEvent.error = 'This Node needs to reference a Phase.'
|
||||
continue
|
||||
}
|
||||
|
||||
tradingEngine.current.position.takeProfit.takeProfitPhase.value++
|
||||
tradingEngine.current.position.takeProfit.takeProfitStage.value = 'Manage Stage'
|
||||
if (tradingEngine.current.position.stopLoss.stopLossPhase.value > 0) {
|
||||
tradingEngine.current.strategy.stageType.value = 'Manage Stage'
|
||||
checkAnnouncements(manageStage, 'Stop')
|
||||
}
|
||||
|
||||
checkAnnouncements(moveToPhaseEvent)
|
||||
return
|
||||
checkAnnouncements(nextPhaseEvent)
|
||||
return // only one event can pass at the time
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/* Check the Move to Phase Events. */
|
||||
for (let n = 0; n < phase.moveToPhaseEvents.length; n++) {
|
||||
let moveToPhaseEvent = phase.moveToPhaseEvents[n]
|
||||
if (moveToPhaseEvent !== undefined) {
|
||||
for (let k = 0; k < moveToPhaseEvent.situations.length; k++) {
|
||||
let situation = moveToPhaseEvent.situations[k]
|
||||
let passed
|
||||
if (situation.conditions.length > 0) {
|
||||
passed = true
|
||||
}
|
||||
|
||||
for (let m = 0; m < situation.conditions.length; m++) {
|
||||
|
||||
let condition = situation.conditions[m]
|
||||
let value = false
|
||||
if (conditions.get(condition.id) !== undefined) {
|
||||
value = conditions.get(condition.id).value
|
||||
}
|
||||
if (value === false) { passed = false }
|
||||
}
|
||||
|
||||
tradingSystem.values.push([situation.id, passed])
|
||||
if (passed) {
|
||||
tradingSystem.highlights.push(situation.id)
|
||||
tradingSystem.highlights.push(nextPhaseEvent.id)
|
||||
tradingSystem.highlights.push(phase.id)
|
||||
tradingSystem.highlights.push(parentNode.takeProfit.id)
|
||||
tradingSystem.highlights.push(parentNode.id)
|
||||
|
||||
let moveToPhase = moveToPhaseEvent.referenceParent
|
||||
if (moveToPhase !== undefined) {
|
||||
for (let q = 0; q < parentNode.takeProfit.phases.length; q++) {
|
||||
if (parentNode.takeProfit.phases[q].id === moveToPhase.id) {
|
||||
tradingEngine.current.position.takeProfit.takeProfitPhase.value = q + 1
|
||||
}
|
||||
}
|
||||
} else {
|
||||
tradingSystem.errors.push([moveToPhaseEvent.id, 'This Node needs to reference a Phase.'])
|
||||
continue
|
||||
}
|
||||
|
||||
tradingEngine.current.position.takeProfit.takeProfitStage.value = 'Manage Stage'
|
||||
if (tradingEngine.current.position.stopLoss.stopLossPhase.value > 0) {
|
||||
tradingEngine.current.strategy.stageType.value = 'Manage Stage'
|
||||
checkAnnouncements(manageStage, 'Stop')
|
||||
}
|
||||
|
||||
checkAnnouncements(moveToPhaseEvent)
|
||||
return // only one event can pass at the time
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -640,36 +672,37 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
|
||||
}
|
||||
|
||||
function calculateTakeProfit() {
|
||||
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
|
||||
let openStage = strategy.openStage
|
||||
let manageStage = strategy.manageStage
|
||||
let phase
|
||||
let key
|
||||
if (tradingEngine.current.strategy.stageType.value === 'Open Stage' || tradingEngine.current.strategy.stageType.value === 'Manage Stage') {
|
||||
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
|
||||
let openStage = strategy.openStage
|
||||
let manageStage = strategy.manageStage
|
||||
let phase
|
||||
let key
|
||||
|
||||
if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Open Stage' && openStage !== undefined) {
|
||||
if (openStage.initialDefinition !== undefined) {
|
||||
if (openStage.initialDefinition.takeProfit !== undefined) {
|
||||
phase = openStage.initialDefinition.takeProfit.phases[tradingEngine.current.position.takeProfit.takeProfitPhase.value]
|
||||
key = tradingEngine.current.strategy.index.value + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'takeProfit' + '-' + (tradingEngine.current.position.takeProfit.takeProfitPhase.value)
|
||||
if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Open Stage' && openStage !== undefined) {
|
||||
if (openStage.initialDefinition !== undefined) {
|
||||
if (openStage.initialDefinition.takeProfit !== undefined) {
|
||||
phase = openStage.initialDefinition.takeProfit.phases[tradingEngine.current.position.takeProfit.takeProfitPhase.value]
|
||||
key = tradingEngine.current.strategy.index.value + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'takeProfit' + '-' + (tradingEngine.current.position.takeProfit.takeProfitPhase.value)
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Manage Stage' && manageStage !== undefined) {
|
||||
if (manageStage.takeProfit !== undefined) {
|
||||
phase = manageStage.takeProfit.phases[tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1]
|
||||
key = tradingEngine.current.strategy.index.value + '-' + 'manageStage' + '-' + 'takeProfit' + '-' + (tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1)
|
||||
if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Manage Stage' && manageStage !== undefined) {
|
||||
if (manageStage.takeProfit !== undefined) {
|
||||
phase = manageStage.takeProfit.phases[tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1]
|
||||
key = tradingEngine.current.strategy.index.value + '-' + 'manageStage' + '-' + 'takeProfit' + '-' + (tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1)
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
if (phase !== undefined) {
|
||||
if (phase.formula !== undefined) {
|
||||
let previousValue = tradingEngine.current.position.stopLoss.value
|
||||
if (phase !== undefined) {
|
||||
if (phase.formula !== undefined) {
|
||||
let previousValue = tradingEngine.current.position.stopLoss.value
|
||||
tradingEngine.current.position.takeProfit.value = formulas.get(key)
|
||||
|
||||
tradingEngine.current.position.takeProfit.value = formulas.get(key)
|
||||
|
||||
if (tradingEngine.current.position.takeProfit.value !== previousValue) {
|
||||
checkAnnouncements(phase, tradingEngine.current.position.takeProfit.value)
|
||||
if (tradingEngine.current.position.takeProfit.value !== previousValue) {
|
||||
checkAnnouncements(phase, tradingEngine.current.position.takeProfit.value)
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -677,111 +710,130 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
|
||||
|
||||
function checkStopLossOrTakeProfitWasHit() {
|
||||
{
|
||||
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
|
||||
|
||||
/* Checking what happened since the last execution. We need to know if the Stop Loss
|
||||
or our Take Profit were hit. */
|
||||
|
||||
/* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */
|
||||
|
||||
if (
|
||||
(sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset && tradingEngine.current.candle.max.value >= tradingEngine.current.position.stopLoss.value) ||
|
||||
(sessionParameters.sessionBaseAsset.name !== bot.market.marketBaseAsset && tradingEngine.current.candle.min.value <= tradingEngine.current.position.stopLoss.value)
|
||||
) {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Stop Loss was hit.') }
|
||||
/*
|
||||
Hit Point Validation
|
||||
|
||||
This prevents misscalculations when a formula places the stop loss in this case way beyond the market price.
|
||||
If we take the stop loss value at those situation would be a huge distortion of facts.
|
||||
if (tradingEngine.current.strategy.stageType.value === 'Open Stage' || tradingEngine.current.strategy.stageType.value === 'Manage Stage') {
|
||||
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
|
||||
/*
|
||||
Checking what happened since the last execution. We need to know if the Stop Loss
|
||||
or our Take Profit were hit.
|
||||
*/
|
||||
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
if (tradingEngine.current.position.stopLoss.value < tradingEngine.current.candle.min.value) {
|
||||
tradingEngine.current.position.stopLoss.value = tradingEngine.current.candle.min.value
|
||||
/* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */
|
||||
if (
|
||||
(sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset && tradingEngine.current.candle.max.value >= tradingEngine.current.position.stopLoss.value) ||
|
||||
(sessionParameters.sessionBaseAsset.name !== bot.market.marketBaseAsset && tradingEngine.current.candle.min.value <= tradingEngine.current.position.stopLoss.value)
|
||||
) {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Stop Loss was hit.') }
|
||||
/*
|
||||
Hit Point Validation
|
||||
|
||||
This prevents misscalculations when a formula places the stop loss in this case way beyond the market price.
|
||||
If we take the stop loss value at those situation would be a huge distortion of facts.
|
||||
*/
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
if (tradingEngine.current.position.stopLoss.value < tradingEngine.current.candle.min.value) {
|
||||
tradingEngine.current.position.stopLoss.value = tradingEngine.current.candle.min.value
|
||||
}
|
||||
} else {
|
||||
if (tradingEngine.current.position.stopLoss.value > tradingEngine.current.candle.max.value) {
|
||||
tradingEngine.current.position.stopLoss.value = tradingEngine.current.candle.max.value
|
||||
}
|
||||
}
|
||||
} else {
|
||||
if (tradingEngine.current.position.stopLoss.value > tradingEngine.current.candle.max.value) {
|
||||
tradingEngine.current.position.stopLoss.value = tradingEngine.current.candle.max.value
|
||||
|
||||
let slippedStopLoss = tradingEngine.current.position.stopLoss.value
|
||||
|
||||
/* Apply the Slippage */
|
||||
let slippageAmount = slippedStopLoss * bot.SESSION.parameters.slippage.config.stopLoss / 100
|
||||
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
slippedStopLoss = slippedStopLoss + slippageAmount
|
||||
} else {
|
||||
slippedStopLoss = slippedStopLoss - slippageAmount
|
||||
}
|
||||
|
||||
tradingEngine.current.position.endRate.value = slippedStopLoss
|
||||
|
||||
tradingEngine.current.strategy.stageType.value = 'Close Stage'
|
||||
checkAnnouncements(strategy.closeStage, 'Stop')
|
||||
|
||||
tradingEngine.current.position.stopLoss.stopLossStage.value = 'No Stage'
|
||||
tradingEngine.current.position.takeProfit.takeProfitStage.value = 'No Stage'
|
||||
tradingEngine.current.position.end.value = tradingEngine.current.candle.end.value
|
||||
tradingEngine.current.position.status.value = 1
|
||||
tradingEngine.current.position.exitType.value = 1
|
||||
|
||||
return true // This means that the STOP was hit.
|
||||
}
|
||||
|
||||
let slippedStopLoss = tradingEngine.current.position.stopLoss.value
|
||||
/* Take Profit condition: Here we verify if the Take Profit was hit or not. */
|
||||
if (
|
||||
(sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset && tradingEngine.current.candle.min.value <= tradingEngine.current.position.takeProfit.value) ||
|
||||
(sessionParameters.sessionBaseAsset.name !== bot.market.marketBaseAsset && tradingEngine.current.candle.max.value >= tradingEngine.current.position.takeProfit.value)
|
||||
) {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Take Profit was hit.') }
|
||||
/*
|
||||
Hit Point Validation:
|
||||
|
||||
This prevents misscalculations when a formula places the take profit in this case way beyond the market price.
|
||||
If we take the stop loss value at those situation would be a huge distortion of facts.
|
||||
*/
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
if (tradingEngine.current.position.takeProfit.value > tradingEngine.current.candle.max.value) {
|
||||
tradingEngine.current.position.takeProfit.value = tradingEngine.current.candle.max.value
|
||||
}
|
||||
} else {
|
||||
if (tradingEngine.current.position.takeProfit.value < tradingEngine.current.candle.min.value) {
|
||||
tradingEngine.current.position.takeProfit.value = tradingEngine.current.candle.min.value
|
||||
}
|
||||
}
|
||||
|
||||
/* Apply the Slippage */
|
||||
let slippageAmount = slippedStopLoss * bot.SESSION.parameters.slippage.config.stopLoss / 100
|
||||
let slippedTakeProfit = tradingEngine.current.position.takeProfit.value
|
||||
/* Apply the Slippage */
|
||||
let slippageAmount = slippedTakeProfit * bot.SESSION.parameters.slippage.config.takeProfit / 100
|
||||
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
slippedStopLoss = slippedStopLoss + slippageAmount
|
||||
} else {
|
||||
slippedStopLoss = slippedStopLoss - slippageAmount
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
slippedTakeProfit = slippedTakeProfit + slippageAmount
|
||||
} else {
|
||||
slippedTakeProfit = slippedTakeProfit - slippageAmount
|
||||
}
|
||||
|
||||
tradingEngine.current.position.endRate.value = slippedTakeProfit
|
||||
|
||||
tradingEngine.current.strategy.stageType.value = 'Close Stage'
|
||||
checkAnnouncements(strategy.closeStage, 'Take Profit')
|
||||
|
||||
tradingEngine.current.position.stopLoss.stopLossStage.value = 'No Stage'
|
||||
tradingEngine.current.position.takeProfit.takeProfitStage.value = 'No Stage'
|
||||
|
||||
tradingEngine.current.position.end.value = tradingEngine.current.candle.end.value
|
||||
tradingEngine.current.position.status.value = 1
|
||||
tradingEngine.current.position.exitType.value = 2
|
||||
|
||||
addToSnapshots = true
|
||||
return true // This means that the Take Profit was hit.
|
||||
}
|
||||
|
||||
tradingEngine.current.position.endRate.value = slippedStopLoss
|
||||
|
||||
tradingEngine.current.strategy.stageType.value = 'Close Stage'
|
||||
checkAnnouncements(strategy.closeStage, 'Stop')
|
||||
|
||||
tradingEngine.current.position.stopLoss.stopLossStage.value = 'No Stage'
|
||||
tradingEngine.current.position.takeProfit.takeProfitStage.value = 'No Stage'
|
||||
tradingEngine.current.position.end.value = tradingEngine.current.candle.end.value
|
||||
tradingEngine.current.position.status.value = 1
|
||||
tradingEngine.current.position.exitType.value = 1
|
||||
|
||||
return true
|
||||
}
|
||||
return false // This means that the neither the STOP nor the Take Profit were hit.
|
||||
}
|
||||
}
|
||||
|
||||
/* Take Profit condition: Here we verify if the Take Profit was hit or not. */
|
||||
function exitStrategyAfterPosition() {
|
||||
if (tradingEngine.current.strategy.stageType.value === 'Close Stage') {
|
||||
if (candle.begin - 5 * 60 * 1000 > timerToCloseStage) {
|
||||
tradingEngine.current.strategy.end.value = candle.end
|
||||
tradingEngine.current.strategy.endRate.value = candle.min
|
||||
tradingEngine.current.strategy.status.value = 'Closed'
|
||||
|
||||
if (
|
||||
(sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset && tradingEngine.current.candle.min.value <= tradingEngine.current.position.takeProfit.value) ||
|
||||
(sessionParameters.sessionBaseAsset.name !== bot.market.marketBaseAsset && tradingEngine.current.candle.max.value >= tradingEngine.current.position.takeProfit.value)
|
||||
) {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Take Profit was hit.') }
|
||||
/*
|
||||
Hit Point Validation:
|
||||
tradingEngine.current.strategy.index.value = -1
|
||||
tradingEngine.current.strategy.stageType.value = 'No Stage'
|
||||
|
||||
This prevents misscalculations when a formula places the take profit in this case way beyond the market price.
|
||||
If we take the stop loss value at those situation would be a huge distortion of facts.
|
||||
*/
|
||||
timerToCloseStage = 0
|
||||
tradingEngine.current.distanceToEvent.triggerOff.value = 1
|
||||
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
if (tradingEngine.current.position.takeProfit.value > tradingEngine.current.candle.max.value) {
|
||||
tradingEngine.current.position.takeProfit.value = tradingEngine.current.candle.max.value
|
||||
}
|
||||
} else {
|
||||
if (tradingEngine.current.position.takeProfit.value < tradingEngine.current.candle.min.value) {
|
||||
tradingEngine.current.position.takeProfit.value = tradingEngine.current.candle.min.value
|
||||
}
|
||||
}
|
||||
|
||||
let slippedTakeProfit = tradingEngine.current.position.takeProfit.value
|
||||
/* Apply the Slippage */
|
||||
let slippageAmount = slippedTakeProfit * bot.SESSION.parameters.slippage.config.takeProfit / 100
|
||||
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
slippedTakeProfit = slippedTakeProfit + slippageAmount
|
||||
} else {
|
||||
slippedTakeProfit = slippedTakeProfit - slippageAmount
|
||||
}
|
||||
|
||||
tradingEngine.current.position.endRate.value = slippedTakeProfit
|
||||
|
||||
tradingEngine.current.strategy.stageType.value = 'Close Stage'
|
||||
checkAnnouncements(strategy.closeStage, 'Take Profit')
|
||||
|
||||
tradingEngine.current.position.stopLoss.stopLossStage.value = 'No Stage'
|
||||
tradingEngine.current.position.takeProfit.takeProfitStage.value = 'No Stage'
|
||||
|
||||
tradingEngine.current.position.end.value = tradingEngine.current.candle.end.value
|
||||
tradingEngine.current.position.status.value = 1
|
||||
tradingEngine.current.position.exitType.value = 2
|
||||
|
||||
addToSnapshots = true
|
||||
return true
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] exitStrategyAfterPosition -> Exiting the Strategy.') }
|
||||
} else {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] exitStrategyAfterPosition -> Waiting for timer.') }
|
||||
}
|
||||
}
|
||||
return false
|
||||
}
|
||||
|
||||
function getPositionSize() {
|
||||
|
||||
Reference in new issue
Block a user