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Fixing Many problems with live execution

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This commit is contained in:
Luis Fernando Molina committed 2019-08-20 21:54:36 +02:00
1 parent 26088087c0
commit d7ac972312
1 file changed
+234 -109
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Commons.js
+234 -109
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@@ -163,6 +163,26 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
}
}
/* Slippage */
let slippage = 0
if (definition.tradingSystem !== undefined) {
if (definition.tradingSystem.parameters !== undefined) {
if (definition.tradingSystem.parameters.baseAsset !== undefined) {
if (definition.tradingSystem.parameters.baseAsset.formula !== undefined) {
if (definition.tradingSystem.parameters.baseAsset.formula.code !== undefined) {
let code = JSON.parse(definition.tradingSystem.parameters.baseAsset.formula.code)
if (code.initialDatetime !== undefined) {
slippage = code.slippage
}
}
}
}
}
}
let timerToCloseStage = 0
/* Stop Loss Management */
const MIN_STOP_LOSS_VALUE = 1 // We can not let the stop be zero to avoid division by 0 error or infinity numbers as a result.
@@ -186,6 +206,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
let type = '""';
let marketRate = 0;
let takePositionNow = false
let closePositionNow = false
/* In some cases we need to know if we are positioned at the last candle of the calendar day, for that we need these variables. */
@@ -531,7 +552,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
let ticker
if (process.env.START_MODE === "live") {
if (process.env.START_MODE === "live" && i === candles.length - 2) {
ticker = assistant.getTicker()
} else {
ticker = {
@@ -546,27 +567,27 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
/* If any of the needed indicators is missing, then that period is not calculated */
if (candle.end < initialDate.valueOf()) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Skipping Record before the initialDate."); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Skipping Candle before the initialDate."); }
controlLoop();
return
}
if (bollingerBand === undefined) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Skipping Record because Bollinger Band is undefined."); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Skipping Candle because Bollinger Band is undefined."); }
controlLoop();
return
}
if (percentageBandwidth === undefined) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Skipping Record because %B is undefined."); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Skipping Candle because %B is undefined."); }
controlLoop();
return
} // percentageBandwidth might start after the first few candles.
if (bollingerChannel === undefined) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Skipping Record because Bollingeer Channel is undefined."); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Skipping Candle because Bollingeer Channel is undefined."); }
controlLoop();
return
}
if (bollingerSubChannel === undefined) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Skipping Record because Bollingeer Sub Channel is undefined."); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Skipping Candle because Bollingeer Sub Channel is undefined."); }
controlLoop();
return
}
@@ -586,6 +607,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
if (i === candles.length - 1) {
if ((candles.length < candlesPerDay) || (candles.length > candlesPerDay && candles.length < candlesPerDay * 2)) {
/*We are at the head of the market, thus we skip the last candle because it has not close yet. */
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Skipping Candle because it is the last one and has not been closed yet."); }
controlLoop();
return
/* Note here that in the last candle of the first day or the second day it will use an incomplete candle and partially calculated indicators.
@@ -595,6 +617,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
} else { // We are processing Market Files
if (i === candles.length - 1) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Skipping Candle because it is the last one and has not been closed yet."); }
controlLoop();
return
}
@@ -1560,17 +1583,38 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
if ((baseAsset === 'BTC' && candle.max >= stopLoss) || (baseAsset !== 'BTC' && candle.min <= stopLoss)) {
if (baseAsset === 'BTC') {
strategy.positionSize = balanceAssetB / stopLoss;
strategy.positionRate = stopLoss;
/* Check the Slipagge */
balanceAssetA = balanceAssetA + balanceAssetB / stopLoss;
let stopLossHitPoint = stopLoss
if (baseAsset === 'BTC') {
if (stopLossHitPoint < candle.open) { stopLossHitPoint = candle.open}
if (stopLossHitPoint < candle.close) { stopLossHitPoint = candle.close }
} else {
if (stopLossHitPoint > candle.open) { stopLossHitPoint = candle.open }
if (stopLossHitPoint > candle.close) { stopLossHitPoint = candle.close }
}
let slippedStopLoss = stopLossHitPoint
let slippageAmount = stopLossHitPoint * slippage / 100
if (baseAsset === 'BTC') {
slippedStopLoss = slippedStopLoss + slippageAmount
} else {
slippedStopLoss = slippedStopLoss - slippageAmount
}
if (baseAsset === 'BTC') {
strategy.positionSize = balanceAssetB / slippedStopLoss;
strategy.positionRate = slippedStopLoss;
balanceAssetA = balanceAssetA + balanceAssetB / slippedStopLoss;
balanceAssetB = 0;
} else {
strategy.positionSize = balanceAssetA * stopLoss;
strategy.positionRate = stopLoss;
strategy.positionSize = balanceAssetA * slippedStopLoss;
strategy.positionRate = slippedStopLoss;
balanceAssetB = balanceAssetB + balanceAssetA * stopLoss;
balanceAssetB = balanceAssetB + balanceAssetA * slippedStopLoss;
balanceAssetA = 0;
}
@@ -1581,7 +1625,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
}
}
marketRate = stopLoss;
marketRate = slippedStopLoss;
type = '"Close@StopLoss"';
strategyStage = 'Close Stage';
stopLossStage = 'No Stage';
@@ -1589,12 +1633,9 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
currentTrade.end = candle.end;
currentTrade.status = 1;
currentTrade.exitType = 1;
currentTrade.endRate = stopLoss;
currentTrade.endRate = slippedStopLoss;
currentStrategy.number = currentStrategyIndex
currentStrategy.end = candle.end;
currentStrategy.endRate = candle.min;
currentStrategy.status = 1;
closePositionNow = true;
if (processingDailyFiles) {
if (positionedAtYesterday) {
@@ -1605,10 +1646,6 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
yesterday.currentTrade.status = currentTrade.status;
yesterday.currentTrade.exitType = currentTrade.exitType;
yesterday.currentTrade.endRate = currentTrade.endRate;
yesterday.currentStrategy.number = currentStrategy.number;
yesterday.currentStrategy.end = currentStrategy.end;
yesterday.currentStrategy.endRate = currentStrategy.endRate;
yesterday.currentStrategy.status = currentStrategy.status;
}
}
}
@@ -1617,17 +1654,38 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
if ((baseAsset === 'BTC' && candle.min <= takeProfit) || (baseAsset !== 'BTC' && candle.max >= takeProfit)) {
if (baseAsset === 'BTC') {
strategy.positionSize = balanceAssetB / takeProfit;
strategy.positionRate = takeProfit;
/* Check the Slipagge */
balanceAssetA = balanceAssetA + balanceAssetB / takeProfit;
let takeProfitHitPoint = stopLoss
if (baseAsset === 'BTC') {
if (takeProfitHitPoint > candle.open) { takeProfitHitPoint = candle.open }
if (takeProfitHitPoint > candle.close) { takeProfitHitPoint = candle.close }
} else {
if (takeProfitHitPoint < candle.open) { takeProfitHitPoint = candle.open }
if (takeProfitHitPoint < candle.close) { takeProfitHitPoint = candle.close }
}
let slippedTakeProfit = takeProfit
let slippageAmount = stopLoss * slippage / 100
if (baseAsset === 'BTC') {
slippedTakeProfit = slippedTakeProfit - slippageAmount
} else {
slippedTakeProfit = slippedTakeProfit + slippageAmount
}
if (baseAsset === 'BTC') {
strategy.positionSize = balanceAssetB / slippedTakeProfit;
strategy.positionRate = slippedTakeProfit;
balanceAssetA = balanceAssetA + balanceAssetB / slippedTakeProfit;
balanceAssetB = 0;
} else {
strategy.positionSize = balanceAssetA * takeProfit;
strategy.positionRate = takeProfit;
strategy.positionSize = balanceAssetA * slippedTakeProfit;
strategy.positionRate = slippedTakeProfit;
balanceAssetB = balanceAssetB + balanceAssetA * takeProfit;
balanceAssetB = balanceAssetB + balanceAssetA * slippedTakeProfit;
balanceAssetA = 0;
}
@@ -1639,7 +1697,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
}
}
marketRate = takeProfit;
marketRate = slippedTakeProfit;
type = '"Close@TakeProfit"';
strategyStage = 'Close Stage';
stopLossStage = 'No Stage';
@@ -1648,12 +1706,9 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
currentTrade.end = candle.end;
currentTrade.status = 1;
currentTrade.exitType = 2;
currentTrade.endRate = takeProfit;
currentTrade.endRate = slippedTakeProfit;
currentStrategy.number = currentStrategyIndex
currentStrategy.end = candle.end;
currentStrategy.endRate = candle.min;
currentStrategy.status = 1;
closePositionNow = true;
if (processingDailyFiles) {
if (positionedAtYesterday) {
@@ -1665,11 +1720,6 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
yesterday.currentTrade.status = currentTrade.status;
yesterday.currentTrade.exitType = currentTrade.exitType;
yesterday.currentTrade.endRate = currentTrade.endRate;
yesterday.currentStrategy.number = currentStrategy.number;
yesterday.currentStrategy.end = currentStrategy.end;
yesterday.currentStrategy.endRate = currentStrategy.endRate;
yesterday.currentStrategy.status = currentStrategy.status;
}
}
}
@@ -1686,7 +1736,23 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
let strategy = tradingSystem.strategies[currentStrategyIndex];
tradePositionSize = strategy.positionSize;
tradePositionRate = strategy.positionRate;
if (i === candles.length - 2) { /* Only at the last closed candle I can take the value from the formula, since the use of ticker could alter the value at previous candles.*/
tradePositionRate = strategy.positionRate;
} else {
/* Check the Slipagge */
tradePositionRate = candle.close;
let slippageAmount = tradePositionRate * slippage / 100
if (baseAsset === 'BTC') {
tradePositionRate = tradePositionRate - slippageAmount
} else {
tradePositionRate = tradePositionRate + slippageAmount
}
}
if (processingDailyFiles) {
if (positionedAtYesterday) {
@@ -1695,46 +1761,52 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
}
}
/* Check that we are in LIVE MODE */
if (process.env.START_MODE === "live") {
/* We see if we need to put the actual order at the exchange. */
if (interExecutionMemory.executionContext !== undefined) {
switch (interExecutionMemory.executionContext.status) {
case "Without a Position": { // We need to put the order because It was not put yet.
if (strategy.openStage !== undefined) {
if (strategy.openStage.openExecution !== undefined) {
putOpeningOrder()
return
if (i > candles.length - 10) { /* Only at the last candles makes sense to check if we are in live mode or not.*/
/* Check that we are in LIVE MODE */
if (process.env.START_MODE === "live") {
/* We see if we need to put the actual order at the exchange. */
if (interExecutionMemory.executionContext !== undefined) {
switch (interExecutionMemory.executionContext.status) {
case "Without a Position": { // We need to put the order because It was not put yet.
if (strategy.openStage !== undefined) {
if (strategy.openStage.openExecution !== undefined) {
putOpeningOrder()
return
}
}
break
}
break
}
case "Position Closed": { // Waiting for a confirmation that the position was closed.
if (strategy.openStage !== undefined) {
if (strategy.openStage.openExecution !== undefined) {
putOpeningOrder()
return
case "Position Closed": { // Waiting for a confirmation that the position was closed.
if (strategy.openStage !== undefined) {
if (strategy.openStage.openExecution !== undefined) {
putOpeningOrder()
return
}
}
break
}
case "Taking Position": { // Waiting for a confirmation that the position was taken.
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> takePositionNow -> Exiting code block because status is Taking Position."); }
break
}
case "In a Position": { // This should mean that we already put the order at the exchange.
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> takePositionNow -> Exiting code block because status is In a Position."); }
break
}
break
}
case "Taking Position": { // Waiting for a confirmation that the position was taken.
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> takePositionNow -> Exiting code block because status is Taking Position."); }
break
}
case "In a Position": { // This should mean that we already put the order at the exchange.
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> takePositionNow -> Exiting code block because status is In a Position."); }
break
}
}
} else { // The context does not exist so it means we are not in a position.
if (strategy.openStage !== undefined) {
if (strategy.openStage.openExecution !== undefined) {
putOpeningOrder()
return
} else { // The context does not exist so it means we are not in a position.
if (strategy.openStage !== undefined) {
if (strategy.openStage.openExecution !== undefined) {
putOpeningOrder()
return
}
}
}
} else {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> takePositionNow -> Not trading live."); }
}
} else {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> takePositionNow -> Not the last closed candle."); }
}
takePositionAtSimulation()
@@ -1801,25 +1873,35 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
let amountA
let amountB
let positionDirection
let availableBalance = assistant.getAvailableBalance()
if (baseAsset === 'BTC') {
positionDirection = "sell"
openPositionRate = tradePositionRate
openPositionRate = tradePositionRate - 100 // 100 is Provisional since we do have management of orders yet
amountA = tradePositionSize * openPositionRate
amountB = tradePositionSize
if (amountB > availableBalance.assetB) { // The assistant know what fees were paid.
amountB = availableBalance.assetB
}
} else {
positionDirection = "buy"
openPositionRate = tradePositionRate
openPositionRate = tradePositionRate + 100 // 100 is Provisional since we do have management of orders yet
amountA = tradePositionSize
amountB = tradePositionSize / openPositionRate
if (amountA > availableBalance.assetA) { // The assistant know what fees were paid.
amountA = availableBalance.assetA
}
}
interExecutionMemory.executionContext = {
status: "Taking Position"
status: "Taking Position",
periods: periods,
}
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> Ready to put order."); }
@@ -1915,48 +1997,53 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
}
}
/* Closing a Position */
if (strategyStage === 'Close Stage') {
if (closePositionNow === true) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Closing a Position -> Entering code block."); }
closePositionNow = false
/* Position size and rate */
let strategy = tradingSystem.strategies[currentStrategyIndex];
/* Check that we are in LIVE MODE */
if (process.env.START_MODE === "live") {
/* We see if we need to put the actual order at the exchange. */
if (interExecutionMemory.executionContext !== undefined) {
switch (interExecutionMemory.executionContext.status) {
case "Without a Position": { // No way to close anything at the exchange.
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Closing a Position -> Exiting code block because status is Without a Position."); }
break
}
case "In a Position": { // This should mean that we already put the order at the exchange.
if (strategy.closeStage !== undefined) {
if (strategy.closeStage.closeExecution !== undefined) {
putClosingOrder()
return
}
if (i > candles.length - 10) { /* Only at the last candles makes sense to check if we are in live mode or not.*/
/* Check that we are in LIVE MODE */
if (process.env.START_MODE === "live") {
/* We see if we need to put the actual order at the exchange. */
if (interExecutionMemory.executionContext !== undefined) {
switch (interExecutionMemory.executionContext.status) {
case "Without a Position": { // No way to close anything at the exchange.
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Closing a Position -> Exiting code block because status is Without a Position."); }
break
}
break
}
case "Closing Position": { // Waiting for a confirmation that the position was taken.
if (strategy.closeStage !== undefined) {
if (strategy.closeStage.closeExecution !== undefined) {
putClosingOrder()
return
case "In a Position": { // This should mean that we already put the order at the exchange.
if (strategy.closeStage !== undefined) {
if (strategy.closeStage.closeExecution !== undefined) {
putClosingOrder()
return
}
}
break
}
case "Closing Position": { // Waiting for a confirmation that the position was taken.
if (strategy.closeStage !== undefined) {
if (strategy.closeStage.closeExecution !== undefined) {
putClosingOrder()
return
}
}
break
}
break
}
case "Position Closed": { //
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Closing a Position -> Exiting code block because status is Position Closed."); }
break
case "Position Closed": { //
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Closing a Position -> Exiting code block because status is Position Closed."); }
break
}
}
}
}
} else {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Closing a Position -> Not within the last 10 candles."); }
}
closePositionAtSimulation()
@@ -1993,6 +2080,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
let amountA
let amountB
let positionDirection
let availableBalance = assistant.getAvailableBalance()
if (baseAsset === 'BTC') {
positionDirection = "buy"
@@ -2001,6 +2089,10 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
amountA = interExecutionMemory.executionContext.amountA
amountB = interExecutionMemory.executionContext.amountA / closePositionRate
if (amountA > availableBalance.assetA) { // The assistant know what fees were paid.
amountA = availableBalance.assetA
}
} else {
positionDirection = "sell"
@@ -2008,10 +2100,15 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
amountA = interExecutionMemory.executionContext.amountB * closePositionRate
amountB = interExecutionMemory.executionContext.amountB
if (amountB > availableBalance.assetB) { // The assistant know what fees were paid.
amountB = availableBalance.assetB
}
}
interExecutionMemory.executionContext = {
status: "Closing Position"
status: "Closing Position",
periods: periods,
}
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> About to close position at the exchange."); }
@@ -2152,8 +2249,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
}
}
currentStrategyIndex = -1;
strategyStage = 'No Stage';
timerToCloseStage = candle.begin
stopLossStage = 'No Stage';
takeProfitStage = 'No Stage';
stopLossPhase = 0;
@@ -2176,6 +2272,35 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
}
}
/* Closing the Closing Stage */
if (strategyStage === 'Close Stage') {
if (candle.begin - 5 * 60 * 1000 > timerToCloseStage) {
currentStrategy.number = currentStrategyIndex
currentStrategy.end = candle.end;
currentStrategy.endRate = candle.min;
currentStrategy.status = 1;
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.currentStrategy.number = currentStrategy.number;
yesterday.currentStrategy.end = currentStrategy.end;
yesterday.currentStrategy.endRate = currentStrategy.endRate;
yesterday.currentStrategy.status = currentStrategy.status;
}
}
currentStrategyIndex = -1;
strategyStage = 'No Stage';
timerToCloseStage = 0
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Closing the Closing Stage -> Exiting Close Stage."); }
} else {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Closing the Closing Stage -> Waiting for timer."); }
}
}
/* Not a buy or sell condition */
marketRate = candle.close;