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More utility functions

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Luis Fernando Molina committed 2020-11-27 17:54:02 +01:00
1 parent 23903024d1
commit e40a394e6f
10 files changed
+99 -84
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TaskServer/Globals.js
-11
View File
@@ -16,17 +16,6 @@ exports.newGlobals = function newGlobals() {
global.LOGGER_MAP = new Map() // We will put all the loggers in a map, so that we can eventually finalize them.
global.SESSION_MAP = new Map() // We will put all the sessions in a map, so that we can eventually finalize them.
global.UNIQUE_ID = function () {
return 'xxxxxxxx-xxxx-4xxx-yxxx-xxxxxxxxxxxx'.replace(/[xy]/g, function (c) {
var r = Math.random() * 16 | 0, v = c == 'x' ? r : (r & 0x3 | 0x8)
return v.toString(16)
})
}
global.PRECISE = function (floatNumber, precision) {
return this.parseFloat(floatNumber.toFixed(precision))
}
global.FINALIZE_LOGGERS = function () {
global.LOGGER_MAP.forEach(forEachLogger)
TaskServer/LowFrequencyTrading/OrdersCalculations.js
+10 -10
View File
@@ -70,8 +70,8 @@ exports.newOrdersCalculations = function newOrdersCalculations(bot, logger) {
*/
tradingEngineOrder.orderQuotedAsset.actualSize.value = tradingEngineOrder.orderBaseAsset.actualSize.value * tradingEngineOrder.rate.value
tradingEngineOrder.orderBaseAsset.actualSize.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.actualSize.value, 10)
tradingEngineOrder.orderQuotedAsset.actualSize.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.actualSize.value, 10)
tradingEngineOrder.orderBaseAsset.actualSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderBaseAsset.actualSize.value, 10)
tradingEngineOrder.orderQuotedAsset.actualSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderQuotedAsset.actualSize.value, 10)
}
function recalculateSizePlaced() {
@@ -98,8 +98,8 @@ exports.newOrdersCalculations = function newOrdersCalculations(bot, logger) {
tradingEngineStage.stageQuotedAsset.sizePlaced.value +
tradingEngineOrder.orderQuotedAsset.actualSize.value
tradingEngineStage.stageBaseAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageBaseAsset.sizePlaced.value, 10)
tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
tradingEngineStage.stageBaseAsset.sizePlaced.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageBaseAsset.sizePlaced.value, 10)
tradingEngineStage.stageQuotedAsset.sizePlaced.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
}
}
@@ -129,7 +129,7 @@ exports.newOrdersCalculations = function newOrdersCalculations(bot, logger) {
tradingEngineOrder.orderStatistics.actualRate.value = order.price
}
tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
tradingEngineOrder.orderStatistics.actualRate.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderStatistics.actualRate.value, 10)
/*
If the Actual Rate happens to be exctly the same than the order rate, then there is
@@ -160,7 +160,7 @@ exports.newOrdersCalculations = function newOrdersCalculations(bot, logger) {
tradingEngineOrder.orderBaseAsset.actualSize.value *
tradingEngineOrder.orderStatistics.actualRate.value
tradingEngineOrder.orderQuotedAsset.actualSize.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.actualSize.value, 10)
tradingEngineOrder.orderQuotedAsset.actualSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderQuotedAsset.actualSize.value, 10)
tradingSystem.warnings.push(
[
@@ -184,7 +184,7 @@ exports.newOrdersCalculations = function newOrdersCalculations(bot, logger) {
tradingEngineStage.stageQuotedAsset.sizePlaced.value +
tradingEngineOrder.orderQuotedAsset.actualSize.value
tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
tradingEngineStage.stageQuotedAsset.sizePlaced.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
tradingSystem.warnings.push(
[
@@ -230,7 +230,7 @@ exports.newOrdersCalculations = function newOrdersCalculations(bot, logger) {
the order will be 100% filled.
*/
tradingEngineOrder.orderStatistics.percentageFilled.value = order.filled * 100 / tradingEngineOrder.orderBaseAsset.actualSize.value
tradingEngineOrder.orderStatistics.percentageFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
tradingEngineOrder.orderStatistics.percentageFilled.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
}
async function feesPaidCalculation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order, applyFeePercentage) {
@@ -273,7 +273,7 @@ exports.newOrdersCalculations = function newOrdersCalculations(bot, logger) {
not reflect the Fees Paid, even if we are paying the fees in Base Asset.
*/
tradingEngineOrder.orderBaseAsset.sizeFilled.value = order.filled
tradingEngineOrder.orderBaseAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.sizeFilled.value, 10)
tradingEngineOrder.orderBaseAsset.sizeFilled.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderBaseAsset.sizeFilled.value, 10)
/*
For Quoted Asset, CCXT does not return any field with the size filled, so we
need to calculate that by ourselves.
@@ -281,7 +281,7 @@ exports.newOrdersCalculations = function newOrdersCalculations(bot, logger) {
tradingEngineOrder.orderQuotedAsset.sizeFilled.value =
tradingEngineOrder.orderQuotedAsset.actualSize.value * tradingEngineOrder.orderStatistics.percentageFilled.value / 100
tradingEngineOrder.orderQuotedAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.sizeFilled.value, 10)
tradingEngineOrder.orderQuotedAsset.sizeFilled.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderQuotedAsset.sizeFilled.value, 10)
}
async function amountReceivedCalculation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order, applyFeePercentage) {
TaskServer/LowFrequencyTrading/OrdersSimulations.js
+9 -9
View File
@@ -88,7 +88,7 @@ exports.newOrdersSimulations = function newOrdersSimulations(bot, logger) {
switch (tradingSystemOrder.type) {
case 'Market Sell Order': {
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value - slippageAmount
tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
tradingEngineOrder.orderStatistics.actualRate.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderStatistics.actualRate.value, 10)
tradingSystem.warnings.push(
[
@@ -100,7 +100,7 @@ exports.newOrdersSimulations = function newOrdersSimulations(bot, logger) {
}
case 'Market Buy Order': {
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value + slippageAmount
tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
tradingEngineOrder.orderStatistics.actualRate.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderStatistics.actualRate.value, 10)
tradingSystem.warnings.push(
[
@@ -134,7 +134,7 @@ exports.newOrdersSimulations = function newOrdersSimulations(bot, logger) {
/* Calculate this only once for this order */
if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.orderStatistics.actualRate.config.initialValue) {
let newValue = tradingSystem.formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
newValue = global.PRECISE(newValue, 10)
newValue = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(newValue, 10)
tradingSystem.warnings.push(
[
@@ -187,7 +187,7 @@ exports.newOrdersSimulations = function newOrdersSimulations(bot, logger) {
break
}
}
tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
tradingEngineOrder.orderStatistics.actualRate.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderStatistics.actualRate.value, 10)
}
function recalculateActualSize() {
@@ -200,7 +200,7 @@ exports.newOrdersSimulations = function newOrdersSimulations(bot, logger) {
tradingEngineOrder.orderBaseAsset.actualSize.value *
tradingEngineOrder.orderStatistics.actualRate.value
tradingEngineOrder.orderQuotedAsset.actualSize.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.actualSize.value, 10)
tradingEngineOrder.orderQuotedAsset.actualSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderQuotedAsset.actualSize.value, 10)
tradingSystem.warnings.push(
[
@@ -229,7 +229,7 @@ exports.newOrdersSimulations = function newOrdersSimulations(bot, logger) {
tradingEngineStage.stageQuotedAsset.sizePlaced.value +
tradingEngineOrder.orderQuotedAsset.actualSize.value
tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
tradingEngineStage.stageQuotedAsset.sizePlaced.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
tradingSystem.warnings.push(
[
@@ -323,7 +323,7 @@ exports.newOrdersSimulations = function newOrdersSimulations(bot, logger) {
percentageFilled = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
}
tradingEngineOrder.orderStatistics.percentageFilled.value = tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled
tradingEngineOrder.orderStatistics.percentageFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
tradingEngineOrder.orderStatistics.percentageFilled.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
}
}
}
@@ -397,8 +397,8 @@ exports.newOrdersSimulations = function newOrdersSimulations(bot, logger) {
tradingEngineOrder.orderQuotedAsset.actualSize.value *
tradingEngineOrder.orderStatistics.percentageFilled.value / 100
tradingEngineOrder.orderBaseAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.sizeFilled.value, 10)
tradingEngineOrder.orderQuotedAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.sizeFilled.value, 10)
tradingEngineOrder.orderBaseAsset.sizeFilled.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderBaseAsset.sizeFilled.value, 10)
tradingEngineOrder.orderQuotedAsset.sizeFilled.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderQuotedAsset.sizeFilled.value, 10)
}
async function amountReceivedSimulation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order, applyFeePercentage) {
TaskServer/LowFrequencyTrading/TradingEpisode.js
+12 -12
View File
@@ -66,7 +66,7 @@ exports.newTradingEpisode = function newTradingEpisode(bot, logger, tradingEngin
/* Recording the opening at the Trading Engine Data Structure */
tradingEngine.current.episode.status.value = 'Open'
tradingEngine.current.episode.serialNumber.value = 1
tradingEngine.current.episode.identifier.value = global.UNIQUE_ID()
tradingEngine.current.episode.identifier.value = TS.projects.superalgos.utilities.miscellaneousFunctions.genereteUniqueId()
tradingEngine.current.episode.beginRate.value = tradingEngine.current.episode.candle.close.value
}
@@ -131,8 +131,8 @@ exports.newTradingEpisode = function newTradingEpisode(bot, logger, tradingEngin
tradingEngine.current.episode.episodeQuotedAsset.balance.value -
sessionParameters.sessionQuotedAsset.config.initialBalance
tradingEngine.current.episode.episodeBaseAsset.profitLoss.value = global.PRECISE(tradingEngine.current.episode.episodeBaseAsset.profitLoss.value, 10)
tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value = global.PRECISE(tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value, 10)
tradingEngine.current.episode.episodeBaseAsset.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeBaseAsset.profitLoss.value, 10)
tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value, 10)
/*
Updating ROI
@@ -147,8 +147,8 @@ exports.newTradingEpisode = function newTradingEpisode(bot, logger, tradingEngin
tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value /
tradingEngine.current.episode.episodeQuotedAsset.beginBalance.value * 100
tradingEngine.current.episode.episodeBaseAsset.ROI.value = global.PRECISE(tradingEngine.current.episode.episodeBaseAsset.ROI.value, 10)
tradingEngine.current.episode.episodeQuotedAsset.ROI.value = global.PRECISE(tradingEngine.current.episode.episodeQuotedAsset.ROI.value, 10)
tradingEngine.current.episode.episodeBaseAsset.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeBaseAsset.ROI.value, 10)
tradingEngine.current.episode.episodeQuotedAsset.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeQuotedAsset.ROI.value, 10)
/* Updating Hit Ratio */
if (tradingEngine.current.episode.episodeCounters.positions.value > 0) {
@@ -160,8 +160,8 @@ exports.newTradingEpisode = function newTradingEpisode(bot, logger, tradingEngin
tradingEngine.current.episode.episodeQuotedAsset.hits.value /
tradingEngine.current.episode.episodeCounters.positions.value
tradingEngine.current.episode.episodeBaseAsset.hitRatio.value = global.PRECISE(tradingEngine.current.episode.episodeBaseAsset.hitRatio.value, 10)
tradingEngine.current.episode.episodeQuotedAsset.hitRatio.value = global.PRECISE(tradingEngine.current.episode.episodeQuotedAsset.hitRatio.value, 10)
tradingEngine.current.episode.episodeBaseAsset.hitRatio.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeBaseAsset.hitRatio.value, 10)
tradingEngine.current.episode.episodeQuotedAsset.hitRatio.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeQuotedAsset.hitRatio.value, 10)
}
/*
@@ -189,8 +189,8 @@ exports.newTradingEpisode = function newTradingEpisode(bot, logger, tradingEngin
(365 / tradingEngine.current.episode.episodeStatistics.days.value)
) - 1
tradingEngine.current.episode.episodeBaseAsset.annualizedRateOfReturn.value = global.PRECISE(tradingEngine.current.episode.episodeBaseAsset.annualizedRateOfReturn.value, 10)
tradingEngine.current.episode.episodeQuotedAsset.annualizedRateOfReturn.value = global.PRECISE(tradingEngine.current.episode.episodeQuotedAsset.annualizedRateOfReturn.value, 10)
tradingEngine.current.episode.episodeBaseAsset.annualizedRateOfReturn.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeBaseAsset.annualizedRateOfReturn.value, 10)
tradingEngine.current.episode.episodeQuotedAsset.annualizedRateOfReturn.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeQuotedAsset.annualizedRateOfReturn.value, 10)
/* Updating Hit or Fail */
if (tradingEngine.current.episode.episodeBaseAsset.profitLoss.value > 0) {
@@ -211,7 +211,7 @@ exports.newTradingEpisode = function newTradingEpisode(bot, logger, tradingEngin
tradingEngine.current.episode.episodeBaseAsset.profitLoss.value * tradingEngine.current.episode.candle.close.value +
tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value
tradingEngine.current.episode.episodeStatistics.profitLoss.value = global.PRECISE(tradingEngine.current.episode.episodeStatistics.profitLoss.value, 10)
tradingEngine.current.episode.episodeStatistics.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeStatistics.profitLoss.value, 10)
/*
Updating ROI
@@ -227,7 +227,7 @@ exports.newTradingEpisode = function newTradingEpisode(bot, logger, tradingEngin
tradingEngine.current.episode.episodeQuotedAsset.beginBalance.value
) * 100
tradingEngine.current.episode.episodeStatistics.ROI.value = global.PRECISE(tradingEngine.current.episode.episodeStatistics.ROI.value, 10)
tradingEngine.current.episode.episodeStatistics.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeStatistics.ROI.value, 10)
/*
Updating Annualized Rate Of Return
@@ -250,7 +250,7 @@ exports.newTradingEpisode = function newTradingEpisode(bot, logger, tradingEngin
(365 / tradingEngine.current.episode.episodeStatistics.days.value)
) - 1
tradingEngine.current.episode.episodeStatistics.annualizedRateOfReturn.value = global.PRECISE(tradingEngine.current.episode.episodeStatistics.annualizedRateOfReturn.value, 10)
tradingEngine.current.episode.episodeStatistics.annualizedRateOfReturn.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeStatistics.annualizedRateOfReturn.value, 10)
/* Updating Hit or Fail */
if (tradingEngine.current.episode.episodeStatistics.profitLoss.value > 0) {
TaskServer/LowFrequencyTrading/TradingOrders.js
+19 -19
View File
@@ -293,9 +293,9 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
/* Update Stage Placed Size */
tradingEngineStage.stageBaseAsset.sizePlaced.value = tradingEngineStage.stageBaseAsset.sizePlaced.value + tradingEngineOrder.orderBaseAsset.size.value
tradingEngineStage.stageBaseAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageBaseAsset.sizePlaced.value, 10)
tradingEngineStage.stageBaseAsset.sizePlaced.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageBaseAsset.sizePlaced.value, 10)
tradingEngineStage.stageQuotedAsset.sizePlaced.value = tradingEngineStage.stageQuotedAsset.sizePlaced.value + tradingEngineOrder.orderQuotedAsset.size.value
tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
tradingEngineStage.stageQuotedAsset.sizePlaced.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
/* Updating Episode Counters */
tradingEngine.current.episode.episodeCounters.orders.value++
@@ -305,7 +305,7 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
/* Create Order Procedure */
tradingEngineOrder.status.value = 'Open'
tradingEngineOrder.identifier.value = global.UNIQUE_ID()
tradingEngineOrder.identifier.value = TS.projects.superalgos.utilities.miscellaneousFunctions.genereteUniqueId()
tradingEngineOrder.begin.value = tradingEngine.current.episode.cycle.begin.value
tradingEngineOrder.end.value = tradingEngine.current.episode.cycle.end.value
tradingEngineOrder.serialNumber.value = tradingEngine.current.episode.episodeCounters.orders.value
@@ -328,7 +328,7 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
if (isNaN(tradingEngineOrder.rate.value) === true) { badDefinitionUnhandledException(undefined, 'isNaN(tradingEngineOrder.rate.value) === true', tradingSystemOrder) }
if (tradingEngineOrder.rate.value <= 0) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.rate.value <= 0', tradingSystemOrder) }
tradingEngineOrder.rate.value = global.PRECISE(tradingEngineOrder.rate.value, 10)
tradingEngineOrder.rate.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.rate.value, 10)
} else {
/*
For Market Orders, the rate is irrelevant, since it is not sent to the Exchange.
@@ -376,7 +376,7 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
case 'Base Asset': {
/* Size in Base Asset */
tradingEngineOrder.orderBaseAsset.size.value = algorithmSizeInBaseAsset * tradingSystemOrder.config.percentageOfAlgorithmSize / 100
tradingEngineOrder.orderBaseAsset.size.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.size.value, 10)
tradingEngineOrder.orderBaseAsset.size.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderBaseAsset.size.value, 10)
/* Check that the Size calculated would not surpass Stage Target Size */
if (
@@ -403,7 +403,7 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
case 'Quoted Asset': {
/* Size in Quoted Asset */
tradingEngineOrder.orderQuotedAsset.size.value = algorithmSizeInQuotedAsset * tradingSystemOrder.config.percentageOfAlgorithmSize / 100
tradingEngineOrder.orderQuotedAsset.size.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.size.value, 10)
tradingEngineOrder.orderQuotedAsset.size.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderQuotedAsset.size.value, 10)
/* Check that the Size calculated would not surpass Stage Target Size */
if (
@@ -469,8 +469,8 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
}
}
tradingEngineOrder.orderBaseAsset.size.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.size.value, 10)
tradingEngineOrder.orderQuotedAsset.size.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.size.value, 10)
tradingEngineOrder.orderBaseAsset.size.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderBaseAsset.size.value, 10)
tradingEngineOrder.orderQuotedAsset.size.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderQuotedAsset.size.value, 10)
}
async function createOrderAtExchange(tradingSystemOrder, tradingEngineOrder) {
@@ -764,11 +764,11 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
tradingEngineStage.stageQuotedAsset.feesPaid.value +
tradingEngineOrder.orderQuotedAsset.feesPaid.value
tradingEngineStage.stageBaseAsset.sizeFilled.value = global.PRECISE(tradingEngineStage.stageBaseAsset.sizeFilled.value, 10)
tradingEngineStage.stageBaseAsset.feesPaid.value = global.PRECISE(tradingEngineStage.stageBaseAsset.feesPaid.value, 10)
tradingEngineStage.stageBaseAsset.sizeFilled.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageBaseAsset.sizeFilled.value, 10)
tradingEngineStage.stageBaseAsset.feesPaid.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageBaseAsset.feesPaid.value, 10)
tradingEngineStage.stageQuotedAsset.sizeFilled.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizeFilled.value, 10)
tradingEngineStage.stageQuotedAsset.feesPaid.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.feesPaid.value, 10)
tradingEngineStage.stageQuotedAsset.sizeFilled.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageQuotedAsset.sizeFilled.value, 10)
tradingEngineStage.stageQuotedAsset.feesPaid.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageQuotedAsset.feesPaid.value, 10)
}
async function updateBalances() {
@@ -831,8 +831,8 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
break
}
}
tradingEngine.current.episode.episodeBaseAsset.balance.value = global.PRECISE(tradingEngine.current.episode.episodeBaseAsset.balance.value, 10)
tradingEngine.current.episode.episodeQuotedAsset.balance.value = global.PRECISE(tradingEngine.current.episode.episodeQuotedAsset.balance.value, 10)
tradingEngine.current.episode.episodeBaseAsset.balance.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeBaseAsset.balance.value, 10)
tradingEngine.current.episode.episodeQuotedAsset.balance.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeQuotedAsset.balance.value, 10)
}
}
@@ -953,8 +953,8 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
tradingEngineStage.stageQuotedAsset.sizePlaced.value +
tradingEngineOrder.orderQuotedAsset.sizeFilled.value
tradingEngineStage.stageBaseAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageBaseAsset.sizePlaced.value, 10)
tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
tradingEngineStage.stageBaseAsset.sizePlaced.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageBaseAsset.sizePlaced.value, 10)
tradingEngineStage.stageQuotedAsset.sizePlaced.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
}
async function applyFeePercentage(feesNodePropertyName, tradingEngineOrder, tradingSystemOrder, feePercentage, percentageFilled) {
@@ -989,8 +989,8 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
}
}
feesNode.value = global.PRECISE(feesNode.value, 10)
feesNode.value = global.PRECISE(feesNode.value, 10)
feesNode.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(feesNode.value, 10)
feesNode.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(feesNode.value, 10)
}
async function checkOrderEvent(event, order, executionAlgorithm, executionNode) {
@@ -1037,7 +1037,7 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
function updateStatistics(tradingEngineOrder) {
tradingEngineOrder.orderStatistics.days.value = tradingEngineOrder.orderCounters.periods.value * sessionParameters.timeFrame.config.value / TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS
tradingEngineOrder.orderStatistics.days.value = global.PRECISE(tradingEngineOrder.orderStatistics.days.value, 10)
tradingEngineOrder.orderStatistics.days.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderStatistics.days.value, 10)
}
function resetTradingEngineDataStructure(tradingEngineOrder, tradingSystemOrder, stageStatus) {
TaskServer/LowFrequencyTrading/TradingPosition.js
+18 -18
View File
@@ -58,7 +58,7 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
/* Recording the opening at the Trading Engine Data Structure */
tradingEngine.current.position.status.value = 'Open'
tradingEngine.current.position.serialNumber.value = tradingEngine.current.episode.episodeCounters.positions.value + 1
tradingEngine.current.position.identifier.value = global.UNIQUE_ID()
tradingEngine.current.position.identifier.value = TS.projects.superalgos.utilities.miscellaneousFunctions.genereteUniqueId()
tradingEngine.current.position.beginRate.value = tradingEngine.current.episode.candle.close.value
tradingEngine.current.position.positionBaseAsset.beginBalance.value = tradingEngine.current.episode.episodeBaseAsset.balance.value
tradingEngine.current.position.positionQuotedAsset.beginBalance.value = tradingEngine.current.episode.episodeQuotedAsset.balance.value
@@ -210,11 +210,11 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
switch (tradingSystemStageNode.type) {
case 'Open Stage': {
tradingEngine.current.position.entryTargetRate.value = global.PRECISE(value, 10)
tradingEngine.current.position.entryTargetRate.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
break
}
case 'Close Stage': {
tradingEngine.current.position.exitTargetRate.value = global.PRECISE(value, 10)
tradingEngine.current.position.exitTargetRate.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
break
}
}
@@ -245,15 +245,15 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
switch (tradingSystemStageNode.type) {
case 'Open Stage': {
tradingEngine.current.position.positionBaseAsset.entryTargetSize.value = global.PRECISE(value, 10)
tradingEngine.current.position.positionBaseAsset.entryTargetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
tradingEngine.current.position.positionQuotedAsset.entryTargetSize.value =
global.PRECISE(value * tradingEngine.current.position.entryTargetRate.value, 10)
TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value * tradingEngine.current.position.entryTargetRate.value, 10)
break
}
case 'Close Stage': {
tradingEngine.current.position.positionBaseAsset.exitTargetSize.value = global.PRECISE(value, 10)
tradingEngine.current.position.positionBaseAsset.exitTargetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
tradingEngine.current.position.positionQuotedAsset.exitTargetSize.value =
global.PRECISE(value * tradingEngine.current.position.exitTargetRate.value, 10)
TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value * tradingEngine.current.position.exitTargetRate.value, 10)
break
}
}
@@ -280,15 +280,15 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
}
switch (tradingSystemStageNode.type) {
case 'Open Stage': {
tradingEngine.current.position.positionQuotedAsset.entryTargetSize.value = global.PRECISE(value, 10)
tradingEngine.current.position.positionQuotedAsset.entryTargetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
tradingEngine.current.position.positionBaseAsset.entryTargetSize.value =
global.PRECISE(value / tradingEngine.current.position.entryTargetRate.value, 10)
TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value / tradingEngine.current.position.entryTargetRate.value, 10)
break
}
case 'Close Stage': {
tradingEngine.current.position.positionQuotedAsset.exitTargetSize.value = global.PRECISE(value, 10)
tradingEngine.current.position.positionQuotedAsset.exitTargetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
tradingEngine.current.position.positionBaseAsset.exitTargetSize.value =
global.PRECISE(value / tradingEngine.current.position.exitTargetRate.value, 10)
TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value / tradingEngine.current.position.exitTargetRate.value, 10)
break
}
}
@@ -339,8 +339,8 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
tradingEngine.current.episode.episodeQuotedAsset.balance.value -
tradingEngine.current.position.positionQuotedAsset.beginBalance
tradingEngine.current.position.positionBaseAsset.profitLoss.value = global.PRECISE(tradingEngine.current.position.positionBaseAsset.profitLoss.value, 10)
tradingEngine.current.position.positionQuotedAsset.profitLoss.value = global.PRECISE(tradingEngine.current.position.positionQuotedAsset.profitLoss.value, 10)
tradingEngine.current.position.positionBaseAsset.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionBaseAsset.profitLoss.value, 10)
tradingEngine.current.position.positionQuotedAsset.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionQuotedAsset.profitLoss.value, 10)
/* ROI Calculation */
tradingEngine.current.position.positionBaseAsset.ROI.value =
@@ -351,8 +351,8 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
tradingEngine.current.position.positionQuotedAsset.profitLoss.value * 100 /
tradingEngine.current.strategyOpenStage.stageQuotedAsset.targetSize.value
tradingEngine.current.position.positionBaseAsset.ROI.value = global.PRECISE(tradingEngine.current.position.positionBaseAsset.ROI.value, 10)
tradingEngine.current.position.positionQuotedAsset.ROI.value = global.PRECISE(tradingEngine.current.position.positionQuotedAsset.ROI.value, 10)
tradingEngine.current.position.positionBaseAsset.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionBaseAsset.ROI.value, 10)
tradingEngine.current.position.positionQuotedAsset.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionQuotedAsset.ROI.value, 10)
/* Hit Fail Calculation */
if (tradingEngine.current.position.positionBaseAsset.ROI.value > 0) {
@@ -383,7 +383,7 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value
)
tradingEngine.current.position.positionStatistics.profitLoss.value = global.PRECISE(tradingEngine.current.position.positionStatistics.profitLoss.value, 10)
tradingEngine.current.position.positionStatistics.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionStatistics.profitLoss.value, 10)
/* ROI Calculation */
tradingEngine.current.position.positionStatistics.ROI.value =
@@ -395,7 +395,7 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
tradingEngine.current.position.positionBaseAsset.beginBalance * tradingEngine.current.position.beginRate.value +
tradingEngine.current.position.positionQuotedAsset.beginBalance
)
tradingEngine.current.position.positionStatistics.ROI.value = global.PRECISE(tradingEngine.current.position.positionStatistics.ROI.value, 10)
tradingEngine.current.position.positionStatistics.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionStatistics.ROI.value, 10)
/* Hit Fail Calculation */
if (tradingEngine.current.position.positionStatistics.ROI.value > 0) {
@@ -413,7 +413,7 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
tradingEngine.current.position.positionCounters.periods.value *
sessionParameters.timeFrame.config.value / TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS
tradingEngine.current.position.positionStatistics.days.value = global.PRECISE(tradingEngine.current.position.positionStatistics.days.value, 10)
tradingEngine.current.position.positionStatistics.days.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionStatistics.days.value, 10)
}
}
TaskServer/LowFrequencyTrading/TradingStages.js
+4 -4
View File
@@ -386,8 +386,8 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
tradingEngine.current.strategyOpenStage.stageBaseAsset.targetSize.value = tradingEngine.current.position.positionBaseAsset.entryTargetSize.value
tradingEngine.current.strategyOpenStage.stageQuotedAsset.targetSize.value = tradingEngine.current.position.positionQuotedAsset.entryTargetSize.value
tradingEngine.current.strategyOpenStage.stageBaseAsset.targetSize.value = global.PRECISE(tradingEngine.current.strategyOpenStage.stageBaseAsset.targetSize.value, 10)
tradingEngine.current.strategyOpenStage.stageQuotedAsset.targetSize.value = global.PRECISE(tradingEngine.current.strategyOpenStage.stageQuotedAsset.targetSize.value, 10)
tradingEngine.current.strategyOpenStage.stageBaseAsset.targetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.strategyOpenStage.stageBaseAsset.targetSize.value, 10)
tradingEngine.current.strategyOpenStage.stageQuotedAsset.targetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.strategyOpenStage.stageQuotedAsset.targetSize.value, 10)
}
}
@@ -850,8 +850,8 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
tradingEngine.current.strategyCloseStage.stageBaseAsset.targetSize.value = tradingEngine.current.position.positionBaseAsset.exitTargetSize.value
tradingEngine.current.strategyCloseStage.stageQuotedAsset.targetSize.value = tradingEngine.current.position.positionQuotedAsset.exitTargetSize.value
tradingEngine.current.strategyCloseStage.stageBaseAsset.targetSize.value = global.PRECISE(tradingEngine.current.strategyCloseStage.stageBaseAsset.targetSize.value, 10)
tradingEngine.current.strategyCloseStage.stageQuotedAsset.targetSize.value = global.PRECISE(tradingEngine.current.strategyCloseStage.stageQuotedAsset.targetSize.value, 10)
tradingEngine.current.strategyCloseStage.stageBaseAsset.targetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.strategyCloseStage.stageBaseAsset.targetSize.value, 10)
tradingEngine.current.strategyCloseStage.stageQuotedAsset.targetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.strategyCloseStage.stageQuotedAsset.targetSize.value, 10)
}
function closePositionAndStrategy() {
TaskServer/LowFrequencyTrading/TradingStrategy.js
+1 -1
View File
@@ -44,7 +44,7 @@ exports.newTradingStrategy = function newTradingStrategy(bot, logger, tradingEng
/* Recording the opening at the Trading Engine Data Structure */
tradingEngine.current.strategy.status.value = 'Open'
tradingEngine.current.strategy.serialNumber.value = tradingEngine.current.episode.episodeCounters.strategies.value
tradingEngine.current.strategy.identifier.value = global.UNIQUE_ID()
tradingEngine.current.strategy.identifier.value = TS.projects.superalgos.utilities.miscellaneousFunctions.genereteUniqueId()
tradingEngine.current.strategy.beginRate.value = tradingEngine.current.episode.candle.min.value
tradingEngine.current.strategy.index.value = index