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Limits validations, profits calculations, all ready to debug.

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Luis Fernando Molina committed 2018-03-10 13:57:09 +01:00
1 parent 7b33ee1406
commit d7a4715aeb
5 files changed
+92 -20
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.vs/AACloudPlatform/v15/.suo
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Assistant.js
+56 -2
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@@ -18,7 +18,8 @@
getBalance: getBalance,
getAvailableBalance: getAvailableBalance,
getInvestment: getInvestment,
getProfits: getProfits
getProfits: getProfits,
getMarketRate: getMarketRate
};
let bot = BOT;
@@ -32,10 +33,13 @@
let context;
let exchangeAPI;
let datasource;
let marketRate;
return thisObject;
function initialize(pContext, pExchangeAPI, callBackFunction) {
function initialize(pContext, pExchangeAPI, pDatasource, callBackFunction) {
try {
@@ -45,6 +49,28 @@
context = pContext;
exchangeAPI = pExchangeAPI;
datasource = pDatasource;
/* Procedure to get the current market rate. */
let candleArray = datasource.candlesMap.get("01-min"); // In this version of the platform, this array will contain the las 10 candles.
let candle = candleArray[candleArray.length - 1]; // The last candle of the 10 candles array for the 1 min Time Period.
let marketRate = candle.close;
/*
Now we verify that this candle is not too old. Lets say no more than 2 minutes old. This could happen if the datasets for
any reason stops being updated.
*/
if (candle.begin < global.processDatetime.valueOf() - 2 * 60 * 1000) {
logger.write("[ERROR] initialize -> Candles more than two minutes old. Retrying later.");
callBack(global.DEFAULT_RETRY_RESPONSE);
return;
}
/* Procedure to validate we are in sync with the exchange. */
getPositionsAtExchange(onDone);
@@ -432,6 +458,8 @@
function applyTradesToContext(pTrades) {
/* Here we apply the trades that already happened at the exchange to the balance and available balance of the bot. We also calculate its profits. */
for (k = 0; k < pTrades.length; k++) {
position.pTrades.push(pTrades[k]);
@@ -468,6 +496,28 @@
context.executionContext.profits.assetB = (context.executionContext.balance.assetB - context.executionContext.investment.assetB) / context.executionContext.investment.assetB;
}
context.newHistoryRecord.profitsAssetA = context.executionContext.profits.assetA;
context.newHistoryRecord.profitsAssetB = context.executionContext.profits.assetB;
/* Calculate Combined Profits */
if (context.executionContext.investment.assetA > 0) {
let convertedAssetsB = (context.executionContext.balance.assetB - context.executionContext.investment.assetB) / marketRate;
context.executionContext.combinedProfits.assetA = (context.executionContext.balance.assetA + convertedAssetsB - context.executionContext.investment.assetA) / context.executionContext.investment.assetA;
}
if (context.executionContext.investment.assetB > 0) {
let convertedAssetsA = (context.executionContext.balance.assetA - context.executionContext.investment.assetA) * marketRate;
context.executionContext.combinedProfits.assetB = (context.executionContext.balance.assetB + convertedAssetsA - context.executionContext.investment.assetB) / context.executionContext.investment.assetB;
}
context.newHistoryRecord.combinedProfitsA = context.executionContext.combinedProfits.assetA;
context.newHistoryRecord.combinedProfitsB = context.executionContext.combinedProfits.assetB;
}
} catch (err) {
@@ -754,4 +804,8 @@
function getProfits() {
return JSON.parse(JSON.stringify(context.executionContext.profits));
}
function getMarketRate() {
return thisObject.marketRate;
}
};
Context.js
+35 -9
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@@ -40,13 +40,14 @@
date: undefined,
buyAvgRate: 0,
sellAvgRate: 0,
marketRate: 0,
newPositions: 0,
newTrades: 0,
movedPositions: 0,
profitsAssetA: 0,
profitsAssetB: 0,
profitsCombinedInA: 0,
profitsCombinedInB: 0
combinedProfitsA: 0,
combinedProfitsB: 0
},
initialize: initialize,
saveThemAll: saveThemAll
@@ -226,6 +227,12 @@
try {
thisObject.executionHistory = JSON.parse(text);
/* Move some values to the new record, in case there are no transactions that re-calculate them. */
thisObject.newHistoryRecord.buyAvgRate = thisObject.executionHistory[1];
thisObject.newHistoryRecord.sellAvgRate = thisObject.executionHistory[2];
getExecutionContext(callBack);
} catch (err) {
@@ -282,6 +289,15 @@
thisObject.executionContext = JSON.parse(text);
thisObject.executionContext.transactions = []; // We record here the transactions that happened duting this execution.
/* Update the new History Record, in case there are no trades during this execution that updates it. */
thisObject.newHistoryRecord.profitsAssetA = thisObject.executionContext.profits.assetA;
thisObject.newHistoryRecord.profitsAssetB = thisObject.executionContext.profits.assetB;
thisObject.newHistoryRecord.combinedProfitsA = thisObject.executionContext.combinedProfits.assetA;
thisObject.newHistoryRecord.combinedProfitsB = thisObject.executionContext.combinedProfits.assetB;
callBack(global.DEFAULT_OK_RESPONSE);
} catch (err) {
@@ -312,7 +328,7 @@
/*
When the bot is executed for the very first time, there are a few files that do not exist and need to be created, and that
is what we are going to do now.
content is what we are going to set up now.
*/
@@ -320,24 +336,34 @@
thisObject.executionHistory = [];
/*
In the current release, the platform is going to be used for the first competition, so we have a few parameters just for that. They will be removed later
once we advance into multiple competitions scheme.
*/
const INITIAL_INVESTMENT = 0.0001; // This is just for this release of the platform.
thisObject.executionContext = {
investment: { // This is used to calculate profits.
assetA: 0,
assetB: global.INITIAL_INVESTMENT
assetB: INITIAL_INVESTMENT
},
balance: { // This is the total balance that includes positions at the order book + funds available to be traded.
assetA: 0,
assetB: global.INITIAL_INVESTMENT // It starts with the initial investment.
assetB: INITIAL_INVESTMENT // It starts with the initial investment.
},
availableBalance: { // This is the balance the bot has at any moment in time available to be traded (not in positions at the order book).
assetA: 0,
assetB: global.INITIAL_INVESTMENT // It starts with the initial investment.
assetB: INITIAL_INVESTMENT // It starts with the initial investment.
},
profitsAsset: global.PROFIT_BASE_ASSET,
profits: {
assetA: 0,
assetB: 0
},
combinedProfits: {
assetA: 0,
assetB: 0
},
positions: [],
transactions: []
};
@@ -489,8 +515,8 @@
thisObject.newHistoryRecord.movedPositions,
thisObject.newHistoryRecord.profitsAssetA,
thisObject.newHistoryRecord.profitsAssetB,
thisObject.newHistoryRecord.profitsCombinedInA,
thisObject.newHistoryRecord.profitsCombinedInB
thisObject.newHistoryRecord.combinedProfitsA,
thisObject.newHistoryRecord.combinedProfitsB
];
thisObject.executionHistory.push(newRecord);
Run.js
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@@ -127,14 +127,6 @@ global.dailyFilePeriods =
global.dailyFilePeriods = JSON.parse(global.dailyFilePeriods);
/*
In the current release, the platform is going to be used for the first competition, so we have a few parameters just for that. They will be removed later
once we advance into multiple competitions scheme.
*/
global.INITIAL_INVESTMENT = 0.0001;
global.PROFIT_BASE_ASSET = 'BTC';
/* Some LAGACY code starts here. Pending for clean up. */
Trading Bot Main Loop.js
+1 -1
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@@ -182,7 +182,7 @@
if (FULL_LOG === true) { logger.write("[INFO] run -> loop -> initializeAssistant -> Entering function."); }
assistant = ASSISTANT.newAssistant(bot, DEBUG_MODULE);
assistant.initialize(context, exchangeAPI, onInizialized);
assistant.initialize(context, exchangeAPI, datasource, onInizialized);
function onInizialized(err) {