fez5587/Superalgos
1
0 Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Merge pull request #2113 from ssplatt/announce-enter-exit

Browse Source 
Add option to have announcement run on Stage Enter or Exit
This commit is contained in:
Luis Fernando Molina authored and GitHub committed 2021-10-12 03:14:15 -04:00
2 parents fc02d648f2 55516b32ca
commit e37ad93b49
3 files changed
+109 -86
Download Patch File Download Diff File Expand all files Collapse all files

No files matched your search

Projects/Algorithmic-Trading/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingOrders.js
+1 -1
View File
@@ -1262,7 +1262,7 @@ exports.newAlgorithmicTradingBotModulesTradingOrders = function (processIndex) {
tradingSystem.highlights.push(executionAlgorithm.id)
tradingSystem.highlights.push(executionNode.id)
announcementsModuleObject.makeAnnoucements(event)
announcementsModuleObject.makeAnnouncements(event)
return situation.name // if the event is triggered, we return the name of the situation that passed
}
}
Projects/Algorithmic-Trading/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingStages.js
+85 -82
View File
@@ -147,8 +147,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
/* Initialize this */
tradingEngine.tradingCurrent.tradingEpisode.distanceToTradingEvent.triggerOn.value = 1
announcementsModuleObject.makeAnnoucements(triggerStage.triggerOn)
announcementsModuleObject.makeAnnoucements(triggerStage)
announcementsModuleObject.makeAnnouncements(triggerStage.triggerOn)
if (TS.projects.foundations.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.type === 'Backtesting Session') {
if (sessionParameters.snapshots !== undefined) {
@@ -159,6 +158,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
}
changeStageStatus('Trigger Stage', 'Open')
}
}
}
@@ -194,7 +194,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingSystem.highlights.push(triggerStage.id)
tradingEngine.tradingCurrent.tradingEpisode.distanceToTradingEvent.triggerOff.value = 1
announcementsModuleObject.makeAnnoucements(triggerStage.triggerOff)
announcementsModuleObject.makeAnnouncements(triggerStage.triggerOff)
changeStageStatus('Trigger Stage', 'Closed', 'Trigger Off Event')
tradingStrategyModuleObject.closeStrategy('Trigger Off')
}
@@ -233,8 +233,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingPositionModuleObject.openPosition(situation.name)
announcementsModuleObject.makeAnnoucements(triggerStage.takePosition)
announcementsModuleObject.makeAnnoucements(strategy.openStage)
announcementsModuleObject.makeAnnouncements(triggerStage.takePosition)
if (TS.projects.foundations.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.type === 'Backtesting Session') {
if (sessionParameters.snapshots !== undefined) {
@@ -436,7 +435,6 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
/* Now we switch to the Open status. */
changeStageStatus('Manage Stage', 'Open')
announcementsModuleObject.makeAnnoucements(manageStage)
}
}
@@ -487,7 +485,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingPositionModuleObject.applyStopLossFormula(tradingSystem.formulas, phase.formula.id)
if (tradingEngine.tradingCurrent.position.stopLoss.value !== previousValue) {
announcementsModuleObject.makeAnnoucements(phase)
announcementsModuleObject.makeAnnouncements(phase)
}
}
}
@@ -510,7 +508,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingPositionModuleObject.applyTakeProfitFormula(tradingSystem.formulas, phase.formula.id)
if (tradingEngine.tradingCurrent.position.takeProfit.value !== previousValue) {
announcementsModuleObject.makeAnnoucements(phase)
announcementsModuleObject.makeAnnouncements(phase)
}
}
}
@@ -591,7 +589,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingPositionModuleObject.updateStopLoss(tradingEngine.tradingCurrent.position.stopLoss.stopLossPhase.value + 1)
announcementsModuleObject.makeAnnoucements(nextPhaseEvent)
announcementsModuleObject.makeAnnouncements(nextPhaseEvent)
/* Reset this counter */
tradingEngine.tradingCurrent.tradingEpisode.distanceToTradingEvent.nextPhase.value = 1
@@ -642,7 +640,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
continue
}
announcementsModuleObject.makeAnnoucements(moveToPhaseEvent)
announcementsModuleObject.makeAnnouncements(moveToPhaseEvent)
/* Reset this counter */
tradingEngine.tradingCurrent.tradingEpisode.distanceToTradingEvent.moveToPhase.value = 1
@@ -698,7 +696,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingPositionModuleObject.updateTakeProfit(tradingEngine.tradingCurrent.position.takeProfit.takeProfitPhase.value + 1)
announcementsModuleObject.makeAnnoucements(nextPhaseEvent)
announcementsModuleObject.makeAnnouncements(nextPhaseEvent)
/* Reset this counter */
tradingEngine.tradingCurrent.tradingEpisode.distanceToTradingEvent.nextPhase.value = 1
@@ -749,7 +747,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
continue
}
announcementsModuleObject.makeAnnoucements(moveToPhaseEvent)
announcementsModuleObject.makeAnnouncements(moveToPhaseEvent)
/* Reset this counter */
tradingEngine.tradingCurrent.tradingEpisode.distanceToTradingEvent.moveToPhase.value = 1
@@ -762,54 +760,50 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
}
function checkStopLossOrTakeProfitWasHit() {
{
let strategy = tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value]
/*
Checking what happened since the last execution. We need to know if the Stop Loss
or our Take Profit were hit.
*/
let strategy = tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.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 hit or not. */
if (
(
tradingEngine.tradingCurrent.position.stopLoss.stopLossPosition.value === 'Above' &&
tradingEngine.tradingCurrent.tradingEpisode.candle.max.value >= tradingEngine.tradingCurrent.position.stopLoss.value
) ||
(
tradingEngine.tradingCurrent.position.stopLoss.stopLossPosition.value === 'Below' &&
tradingEngine.tradingCurrent.tradingEpisode.candle.min.value <= tradingEngine.tradingCurrent.position.stopLoss.value
)
) {
TS.projects.foundations.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Stop Loss was hit.')
/* Stop Loss condition: Here we verify if the Stop Loss was hit or not. */
if (
(
tradingEngine.tradingCurrent.position.stopLoss.stopLossPosition.value === 'Above' &&
tradingEngine.tradingCurrent.tradingEpisode.candle.max.value >= tradingEngine.tradingCurrent.position.stopLoss.value
) ||
(
tradingEngine.tradingCurrent.position.stopLoss.stopLossPosition.value === 'Below' &&
tradingEngine.tradingCurrent.tradingEpisode.candle.min.value <= tradingEngine.tradingCurrent.position.stopLoss.value
)
) {
TS.projects.foundations.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Stop Loss was hit.')
tradingPositionModuleObject.closingPosition('Stop Loss')
changeStageStatus('Close Stage', 'Opening')
changeStageStatus('Manage Stage', 'Closed', 'Stop Loss Hit')
announcementsModuleObject.makeAnnoucements(strategy.closeStage)
return
}
/* Take Profit condition: Here we verify if the Take Profit was hit or not. */
if (
(
tradingEngine.tradingCurrent.position.takeProfit.takeProfitPosition.value === 'Below' &&
tradingEngine.tradingCurrent.tradingEpisode.candle.min.value <= tradingEngine.tradingCurrent.position.takeProfit.value
) ||
(
tradingEngine.tradingCurrent.position.takeProfit.takeProfitPosition.value === 'Above' &&
tradingEngine.tradingCurrent.tradingEpisode.candle.max.value >= tradingEngine.tradingCurrent.position.takeProfit.value
)
) {
TS.projects.foundations.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Take Profit was hit.')
tradingPositionModuleObject.closingPosition('Take Profit')
changeStageStatus('Close Stage', 'Opening')
changeStageStatus('Manage Stage', 'Closed', 'Take Profit Hit')
announcementsModuleObject.makeAnnoucements(strategy.closeStage)
return
}
tradingPositionModuleObject.closingPosition('Stop Loss')
changeStageStatus('Close Stage', 'Opening')
changeStageStatus('Manage Stage', 'Closed', 'Stop Loss Hit')
return
}
/* Take Profit condition: Here we verify if the Take Profit was hit or not. */
if (
(
tradingEngine.tradingCurrent.position.takeProfit.takeProfitPosition.value === 'Below' &&
tradingEngine.tradingCurrent.tradingEpisode.candle.min.value <= tradingEngine.tradingCurrent.position.takeProfit.value
) ||
(
tradingEngine.tradingCurrent.position.takeProfit.takeProfitPosition.value === 'Above' &&
tradingEngine.tradingCurrent.tradingEpisode.candle.max.value >= tradingEngine.tradingCurrent.position.takeProfit.value
)
) {
TS.projects.foundations.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Take Profit was hit.')
tradingPositionModuleObject.closingPosition('Take Profit')
changeStageStatus('Close Stage', 'Opening')
changeStageStatus('Manage Stage', 'Closed', 'Take Profit Hit')
return
}
return
}
}
}
@@ -1114,7 +1108,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingSystem.highlights.push(closeStageEvent.id)
tradingSystem.highlights.push(stage.id)
announcementsModuleObject.makeAnnoucements(closeStageEvent)
announcementsModuleObject.makeAnnouncements(closeStageEvent)
return true
}
}
@@ -1148,9 +1142,11 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
if (stage.status.value === 'Open') {
openStage(stage)
checkUserDefinedCode(stageName, 'Open')
checkAnnounce(stageName, 'Open')
}
if (stage.status.value === 'Closed') {
checkUserDefinedCode(stageName, 'Closed')
checkAnnounce(stageName, 'Closed')
closeStage(stage, stageName)
}
@@ -1186,7 +1182,6 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
if (stageName === 'Close Stage') {
if (tradingEngine.tradingCurrent.position.status.value === 'Open') {
tradingPositionModuleObject.closingPosition('Close Stage Closed')
/* NOTE:TODO: Announcement May need added Here */
}
}
}
@@ -1271,33 +1266,41 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
/* checkUserDefinedCode(): Checks if User Defined Code exists and processes if applicable. */
function checkUserDefinedCode(stage, status, when) {
let tradingSystemStage = getTradingSystemStage(stage);
let tradingSystemStage = getTradingSystemStage(stage);
if (tradingSystemStage !== undefined &&
tradingSystemStage.userDefinedCode !== undefined) {
if (status === 'Running' && when !== tradingSystemStage.userDefinedCode.config.whileAtStageWhenToRun) { return; }
if (tradingSystemStage !== undefined &&
tradingSystemStage.userDefinedCode !== undefined) {
if (status === 'Running' && when !== tradingSystemStage.userDefinedCode.config.whileAtStageWhenToRun) { return; }
switch(status) {
case 'Open' : {
if (tradingSystemStage.userDefinedCode.config.runWhenEnteringStage) {
tradingSystem.evalUserCode(tradingSystemStage, 'User Defined Code');
switch(status) {
case 'Open' : {
if (tradingSystemStage.userDefinedCode.config.runWhenEnteringStage) {
tradingSystem.evalUserCode(tradingSystemStage, 'User Defined Code');
}
break;
}
case 'Running' : {
if (tradingSystemStage.userDefinedCode.config.runWhileAtStage) {
tradingSystem.evalUserCode(tradingSystemStage, 'User Defined Code');
}
break;
}
case 'Closed' : {
if (tradingSystemStage.userDefinedCode.config.runWhenExitingStage) {
tradingSystem.evalUserCode(tradingSystemStage, 'User Defined Code');
}
break;
}
}
break;
}
case 'Running' : {
if (tradingSystemStage.userDefinedCode.config.runWhileAtStage) {
tradingSystem.evalUserCode(tradingSystemStage, 'User Defined Code');
}
break;
}
case 'Closed' : {
if (tradingSystemStage.userDefinedCode.config.runWhenExitingStage) {
tradingSystem.evalUserCode(tradingSystemStage, 'User Defined Code');
}
break;
}
}
}
}
// checkAnnounce(): Check if stage announcement should be made
function checkAnnounce(stage, status) {
let tradingSystemStage = getTradingSystemStage(stage);
if (status === 'Open' || status === 'Closed') {
announcementsModuleObject.makeAnnouncements(tradingSystemStage, status)
}
}
/* getTradingSystemStage(): takes stage name returns stage object. */
@@ -1321,4 +1324,4 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
}
}
}
}
}
Projects/Social-Bots/TS/Bot-Modules/Announcements.js
+23 -3
View File
@@ -3,7 +3,7 @@ exports.newSocialBotsBotModulesAnnouncements = function (processIndex) {
const MODULE_NAME = 'Announcements'
let thisObject = {
makeAnnoucements: makeAnnoucements,
makeAnnouncements: makeAnnouncements,
initialize: initialize,
finalize: finalize
}
@@ -20,7 +20,7 @@ exports.newSocialBotsBotModulesAnnouncements = function (processIndex) {
tradingEngine = TS.projects.foundations.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
sessionParameters = TS.projects.foundations.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
let taskParameters = {
taskParameters = {
exchange: TS.projects.foundations.globals.taskConstants.TASK_NODE.parentNode.parentNode.parentNode.referenceParent.parentNode.parentNode.name,
market: TS.projects.foundations.globals.taskConstants.TASK_NODE.parentNode.parentNode.parentNode.referenceParent.baseAsset.referenceParent.config.codeName +
'/' +
@@ -36,13 +36,33 @@ exports.newSocialBotsBotModulesAnnouncements = function (processIndex) {
TS.projects.foundations.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.messagesSent = undefined
}
function makeAnnoucements(node) {
function makeAnnouncements(node, status='Open') {
if (node === undefined) { return }
if (node.announcements === undefined) { return }
for (let i = 0; i < node.announcements.length; i++) {
let announcement = node.announcements[i]
let canAnnounce = true
// Check configuration to see if Announcement should be run at Enter or Exit of Node
// set defaults, protect against empty configurations or missing values
let onEnter = true
let onExit = false
if (announcement.config.onEnter !== undefined) {
onEnter = announcement.config.onEnter
}
if (announcement.config.onExit !== undefined) {
onExit = announcement.config.onExit
if (announcement.config.onEnter === undefined) {
onEnter = false
}
}
if ((status === 'Open' && onEnter) || (status === 'Closed' && onExit)) {
canAnnounce = true
} else {
canAnnounce = false
}
if (announcement.announcementCondition !== undefined) {
let conditionValue
try {