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Luis Fernando Molina committed 2020-07-19 17:00:40 +02:00
1 parent 07e099ae67
commit da78ec2bba
2 files changed
+14 -8
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LowFrequencyTrading/TradingPosition.js
+2 -2
View File
@@ -92,8 +92,8 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
}
function updateSizeAndRate(size, rate) {
tradingEngine.current.position.size.value = size
tradingEngine.current.position.rate.value = rate
tradingEngine.current.position.size.value = global.PRECISE(size, 10)
tradingEngine.current.position.rate.value = global.PRECISE(rate, 10)
}
function applySlippageToRate() {
LowFrequencyTrading/TradingSystem.js
+12 -6
View File
@@ -517,7 +517,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
evalConditions(stageNode, 'Open Execution')
evalFormulas(stageNode, 'Open Execution')
checkExecution(executionNode, true, false, tradingEngine.current.position.size.value, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
checkExecution(executionNode, true, false, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
/* From here on, the state is officially Open */
tradingStrategyModule.updateStageStatus('Open Stage', 'Open')
@@ -537,7 +537,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
evalConditions(stageNode, 'Open Execution')
evalFormulas(stageNode, 'Open Execution')
checkExecution(executionNode, false, false, tradingEngine.current.position.size.value, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
checkExecution(executionNode, false, false, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
/*
The Open is finished when the fillSize reaches the Position Size.
@@ -565,7 +565,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
evalConditions(stageNode, 'Open Execution')
evalFormulas(stageNode, 'Open Execution')
checkExecution(executionNode, false, true, tradingEngine.current.position.size.value, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
checkExecution(executionNode, false, true, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
}
/*
@@ -951,7 +951,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
evalConditions(stageNode, 'Close Execution')
evalFormulas(stageNode, 'Close Execution')
checkExecution(executionNode, false, false, tradingEngine.current.position.openStageFilledSize.value, tradingEngine.current.position.closeStageOrdersSize, tradingEngine.current.position.closeStageFilledSize)
checkExecution(executionNode, false, false, tradingEngine.current.position.openStageFilledSize, tradingEngine.current.position.closeStageOrdersSize, tradingEngine.current.position.closeStageFilledSize)
/* Close the Stage Validation */
if (tradingEngine.current.position.closeStageFilledSize.value === tradingEngine.current.position.openStageFilledSize.value) {
@@ -1107,6 +1107,11 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
function checkExecution(executionNode, stageIsOpening, stageIsClosing, stageSizeLimit, stageOrdersSize, stageFilledSize) {
/* Enforcing Precision Limit */
stageSizeLimit.value = global.PRECISE(stageSizeLimit.value, 10)
stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
stageFilledSize.value = global.PRECISE(stageFilledSize.value, 10)
checkExecutionAlgorithms(executionNode)
function checkExecutionAlgorithms(executionNode) {
@@ -1153,9 +1158,10 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
/* Order Size Calculation */
tradingEngineOrder.size.value = formulas.get(executionAlgorithm.positionSize.formula.id) * tradingSystemOrder.config.positionSizePercentage / 100
if (stageOrdersSize.value + tradingEngineOrder.size.value > stageSizeLimit) {
if (stageOrdersSize.value + tradingEngineOrder.size.value > stageSizeLimit.value) {
/* We reduce the size to the remaining size of the position. */
tradingEngineOrder.size.value = stageSizeLimit - stageOrdersSize.value
tradingEngineOrder.size.value = stageSizeLimit.value - stageOrdersSize.value
tradingEngineOrder.size.value = global.PRECISE(tradingEngineOrder.size.value, 10)
}
if (tradingEngineOrder.size.value <= 0) { continue }