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

Corrections in Commongs related to muti days trades

Browse Source
This commit is contained in:
Luis Fernando Molina committed 2019-08-18 16:14:41 +02:00
1 parent c153f24046
commit e7e9714f85
1 file changed
+464 -98
Download Patch File Download Diff File Expand all files Collapse all files
Commons.js
+464 -98
View File
@@ -5,9 +5,9 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
const { orderMessage } = require("@superalgos/mqservice")
const {
MESSAGE_ENTITY, MESSAGE_TYPE, ORDER_CREATOR, ORDER_TYPE,
ORDER_OWNER, ORDER_DIRECTION, ORDER_STATUS, ORDER_EXIT_OUTCOME,
createMessage, getMessage, getExpandedMessage
MESSAGE_ENTITY, MESSAGE_TYPE, ORDER_CREATOR, ORDER_TYPE,
ORDER_OWNER, ORDER_DIRECTION, ORDER_STATUS, ORDER_EXIT_OUTCOME,
createMessage, getMessage, getExpandedMessage
} = orderMessage.newOrderMessage()
const FULL_LOG = true;
@@ -65,6 +65,8 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> Entering function."); }
let processingDailyFiles = (currentDay !== undefined)
let executionArray = [];
let recordsArray = [];
let conditionsArray = [];
@@ -97,7 +99,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
if (tradingSystem.parameters !== undefined) {
if (tradingSystem.parameters.baseAsset !== undefined) {
if (tradingSystem.parameters.baseAsset.formula !== undefined) {
let receivedParameters
let receivedParameters
try {
receivedParameters = JSON.parse(tradingSystem.parameters.baseAsset.formula.code);
@@ -161,18 +163,11 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
}
}
/* Strategy and Phases */
let currentStrategyIndex = -1;
let strategyStage = 'No Stage';
/* 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.
const MAX_STOP_LOSS_VALUE = Number.MAX_SAFE_INTEGER
let stopLoss = 0;
let stopLossPhase = 0;
let stopLossStage = 'No Stage';
/* Take Profit Management */
@@ -180,17 +175,9 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
const MAX_TAKE_PROFIT_VALUE = Number.MAX_SAFE_INTEGER
let previousTakeProfit = 0;
let takeProfit = 0;
let takeProfitPhase = 0;
let takeProfitStage = 'No Stage';
/* Simulation Records */
let tradePositionRate = 0;
let tradePositionSize = 0;
let positionInstant;
let previousBalanceAssetA = 0;
let previousBalanceAssetB = 0;
let hitRatio = 0;
let ROI = 0;
let days = 0;
@@ -200,34 +187,11 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
let marketRate = 0;
let takePositionNow = false
/* Assistant Info */
let ticker = assistant.getTicker();
/* In some cases we need to know if we are positioned at the last candle of the calendar day, for that we need thse variables. */
/* 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. */
let lastInstantOfTheDay = currentDay.valueOf() + ONE_DAY_IN_MILISECONDS - 1;
let lastCandle = candles[candles.length - 1];
/* These 2 objects will allow us to create separate files for each one of them. */
let currentStrategy = {
begin: 0,
end: 0,
status: 0,
number: 0
}
let currentTrade = {
begin: 0,
end: 0,
status: 0,
profit: 0,
exitType: 0,
beginRate: 0,
endRate: 0
}
/*
The following counters need to survive multiple executions of the similator and keep themselves reliable.
This is challenging when the simulation is executed using Daily Files, since each execution means a new
@@ -246,6 +210,45 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
interExecutionMemory.
*/
/*Needed for statistics */
let previousBalanceAssetA = 0;
let previousBalanceAssetB = 0;
/* Position Management */
let tradePositionRate = 0;
let tradePositionSize = 0;
/* Strategy and Phase Management */
let currentStrategyIndex = -1;
let strategyStage = 'No Stage';
let stopLossPhase = 0;
let stopLossStage = 'No Stage';
let takeProfitPhase = 0;
let takeProfitStage = 'No Stage';
/* These 2 objects will allow us to create separate files for each one of them. */
let currentStrategy = {
begin: 0,
end: 0,
status: 0,
number: 0,
beginRate: 0,
endRate: 0
}
let currentTrade = {
begin: 0,
end: 0,
status: 0,
profit: 0,
exitType: 0,
beginRate: 0,
endRate: 0
}
let balanceAssetA = initialBalanceA;
let balanceAssetB = initialBalanceB;
@@ -266,6 +269,42 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
let yesterday = {};
/* Initialization */
yesterday.previousBalanceAssetA = previousBalanceAssetA
yesterday.previousBalanceAssetB = previousBalanceAssetB
yesterday.tradePositionRate = tradePositionRate
yesterday.tradePositionSize = tradePositionSize
yesterday.currentStrategyIndex = currentStrategyIndex
yesterday.strategyStage = strategyStage
yesterday.stopLossPhase = stopLossPhase
yesterday.stopLossStage = stopLossStage
yesterday.takeProfitPhase = takeProfitPhase
yesterday.takeProfitStage = takeProfitStage
yesterday.currentStrategy = {
begin: 0,
end: 0,
status: 0,
number: 0,
beginRate: 0,
endRate: 0
}
yesterday.currentTrade = {
begin: 0,
end: 0,
status: 0,
profit: 0,
exitType: 0,
beginRate: 0,
endRate: 0
}
yesterday.balanceAssetA = balanceAssetA;
yesterday.balanceAssetB = balanceAssetB;
@@ -273,10 +312,10 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
yesterday.profit = 0;
yesterday.lastTradeROI = 0;
yesterday.Roundtrips = 0;
yesterday.roundtrips = 0;
yesterday.fails = 0;
yesterday.hits = 0;
yesterday.Periods = 0;
yesterday.periods = 0;
yesterday.positionPeriods = 0;
yesterday.orderId = 0;
@@ -290,6 +329,40 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
/* Initialize the data structure we will use inter execution. */
interExecutionMemory.previousBalanceAssetA = previousBalanceAssetA
interExecutionMemory.previousBalanceAssetB = previousBalanceAssetB
interExecutionMemory.tradePositionRate = tradePositionRate
interExecutionMemory.tradePositionSize = tradePositionSize
interExecutionMemory.currentStrategyIndex = currentStrategyIndex
interExecutionMemory.strategyStage = strategyStage
interExecutionMemory.stopLossPhase = stopLossPhase
interExecutionMemory.stopLossStage = stopLossStage
interExecutionMemory.takeProfitPhase = takeProfitPhase
interExecutionMemory.takeProfitStage = takeProfitStage
interExecutionMemory.currentStrategy = {
begin: 0,
end: 0,
status: 0,
number: 0,
beginRate: 0,
endRate: 0
}
interExecutionMemory.currentTrade = {
begin: 0,
end: 0,
status: 0,
profit: 0,
exitType: 0,
beginRate: 0,
endRate: 0
}
interExecutionMemory.balanceAssetA = balanceAssetA;
interExecutionMemory.balanceAssetB = balanceAssetB;
@@ -314,6 +387,40 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
/* We get the initial values from the day previous to the candles we receive at the current execution */
previousBalanceAssetA = interExecutionMemory.previousBalanceAssetA
previousBalanceAssetB = interExecutionMemory.previousBalanceAssetB
tradePositionRate = interExecutionMemory.tradePositionRate
tradePositionSize = interExecutionMemory.tradePositionSize
currentStrategyIndex = interExecutionMemory.currentStrategyIndex
strategyStage = interExecutionMemory.strategyStage
stopLossPhase = interExecutionMemory.stopLossPhase
stopLossStage = interExecutionMemory.stopLossStage
takeProfitPhase = interExecutionMemory.takeProfitPhase
takeProfitStage = interExecutionMemory.takeProfitStage
currentStrategy = {
begin: interExecutionMemory.currentStrategy.begin,
end: interExecutionMemory.currentStrategy.end,
status: interExecutionMemory.currentStrategy.status,
number: interExecutionMemory.currentStrategy.number,
beginRate: interExecutionMemory.currentStrategy.beginRate,
endRate: interExecutionMemory.currentStrategy.endRate
}
currentTrade = {
begin: interExecutionMemory.currentTrade.begin,
end: interExecutionMemory.currentTrade.end,
status: interExecutionMemory.currentTrade.status,
profit: interExecutionMemory.currentTrade.profit,
exitType: interExecutionMemory.currentTrade.exitType,
beginRate: interExecutionMemory.currentTrade.beginRate,
endRate: interExecutionMemory.currentTrade.endRate
}
if (currentDay.valueOf() >= startDate.valueOf() + ONE_DAY_IN_MILISECONDS) { // Only after the first day we start grabbing the balance from this memory.
balanceAssetA = interExecutionMemory.balanceAssetA;
@@ -322,8 +429,8 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
yesterday.balanceAssetA = balanceAssetA;
yesterday.balanceAssetB = balanceAssetB;
}
}
lastTradeProfitLoss = interExecutionMemory.lastTradeProfitLoss;
profit = interExecutionMemory.profit;
lastTradeROI = interExecutionMemory.lastTradeROI;
@@ -334,19 +441,64 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
periods = interExecutionMemory.periods;
positionPeriods = interExecutionMemory.positionPeriods;
orderId = interExecutionMemory.orderId;
messageId = interExecutionMemory.messageId;
orderId = interExecutionMemory.orderId; // to be deprecated
messageId = interExecutionMemory.messageId; // to be deprecated
hitRatio = interExecutionMemory.hitRatio;
ROI = interExecutionMemory.ROI;
anualizedRateOfReturn = interExecutionMemory.anualizedRateOfReturn;
/* For the case that any of these variables are not updated during the main loop, we need to store their value at the yesterday structure, otherwise it would be lost. */
yesterday.previousBalanceAssetA = previousBalanceAssetA
yesterday.previousBalanceAssetB = previousBalanceAssetB
yesterday.tradePositionRate = tradePositionRate
yesterday.tradePositionSize = tradePositionSize
yesterday.currentStrategyIndex = currentStrategyIndex;
yesterday.strategyStage = strategyStage;
yesterday.stopLossPhase = stopLossPhase;
yesterday.stopLossStage = stopLossStage;
yesterday.takeProfitPhase = takeProfitPhase;
yesterday.takeProfitStage = takeProfitStage;
yesterday.currentStrategy = {
begin: currentStrategy.begin,
end: currentStrategy.end,
status: currentStrategy.status,
number: currentStrategy.number,
beginRate: currentStrategy.beginRate,
endRate: currentStrategy.endRate
}
yesterday.currentTrade = {
begin: currentTrade.begin,
end: currentTrade.end,
status: currentTrade.status,
profit: currentTrade.profit,
exitType: currentTrade.exitType,
beginRate: currentTrade.beginRate,
endRate: currentTrade.endRate
}
yesterday.lastTradeProfitLoss = lastTradeProfitLoss;
yesterday.profit = profit;
yesterday.lastTradeROI = lastTradeROI;
yesterday.roundtrips = roundtrips;
yesterday.fails = fails;
yesterday.hits = hits;
yesterday.periods = periods;
yesterday.positionPeriods = positionPeriods;
yesterday.hitRatio = hitRatio;
yesterday.ROI = ROI;
yesterday.anualizedRateOfReturn = anualizedRateOfReturn;
}
/* Main Simulation Loop: We go thourgh all the candles at this time period. */
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> Main Simulation Loop -> candles.length = " + candles.length); }
@@ -359,7 +511,8 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
loop()
}
function loop() {
function loop() {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Entering function."); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> i = " + i); }
@@ -368,6 +521,21 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
let bollingerBand = bollingerBandsMap.get(candle.begin);
let bollingerChannel = getElement(bollingerChannelsArray, candle.begin, candle.end);
let bollingerSubChannel = getElement(bollingerSubChannelsArray, candle.begin, candle.end);
let positionedAtYesterday = (candle.end < currentDay.valueOf())
/* Assistant Info */
let ticker
if (process.env.START_MODE === "live") {
ticker = assistant.getTicker()
} else {
ticker = {
bid: candle.close,
ask: candle.close,
last: candle.close
}
}
//let LRC = LRCMap.get(candle.begin);
@@ -404,9 +572,9 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
periods++;
days = periods * timePeriod / ONE_DAY_IN_MILISECONDS;
if (currentDay !== undefined) { // This means that we are processing Daily Files
if (candle.end < currentDay.valueOf()) {
yesterday.Periods++;
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.periods = periods
}
/* We skip the candle at the head of the market because i has not closed yet. */
@@ -962,6 +1130,16 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
currentStrategy.beginRate = candle.min;
currentStrategy.endRate = candle.min; // In case the strategy does not get exited
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.strategyStage = strategyStage;
yesterday.currentStrategyIndex = currentStrategyIndex;
yesterday.currentStrategy.begin = currentStrategy.begin;
yesterday.currentStrategy.beginRate = currentStrategy.beginRate;
yesterday.currentStrategy.endRate = currentStrategy.endRate;
}
}
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Switching to Trigger Stage because conditions at Trigger On Event were met."); }
break;
}
@@ -1018,6 +1196,17 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
strategyStage = 'No Stage';
currentStrategyIndex = -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;
yesterday.strategyStage = strategyStage;
yesterday.currentStrategyIndex = currentStrategyIndex;
}
}
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Switching to No Stage because conditions at the Trigger Off Event were met."); }
break;
}
@@ -1065,7 +1254,20 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
stopLossPhase = 1;
takeProfitPhase = 1;
currentTrade.begin = candle.begin;
currentTrade.beginRate = candle.close;
currentTrade.beginRate = strategy.positionRate;
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.strategyStage = strategyStage;
yesterday.stopLossStage = stopLossStage;
yesterday.takeProfitStage = takeProfitStage;
yesterday.stopLossPhase = stopLossPhase;
yesterday.takeProfitPhase = takeProfitPhase;
yesterday.currentTrade.begin = currentTrade.begin;
yesterday.currentTrade.beginRate = currentTrade.beginRate;
}
}
takePositionNow = true
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Conditions at the Take Position Event were met."); }
@@ -1146,6 +1348,14 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
stopLossPhase++;
stopLossStage = 'Manage Stage'
if (takeProfitPhase > 1) { strategyStage = 'Manage Stage' }
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.stopLossPhase = stopLossPhase;
yesterday.stopLossStage = stopLossStage;
yesterday.strategyStage = strategyStage;
}
}
return;
}
}
@@ -1253,6 +1463,14 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
takeProfitPhase++;
takeProfitStage = 'Manage Stage'
if (stopLossPhase > 1) { strategyStage = 'Manage Stage' }
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.takeProfitPhase = takeProfitPhase;
yesterday.takeProfitStage = takeProfitStage;
yesterday.strategyStage = strategyStage;
}
}
return;
}
}
@@ -1292,20 +1510,34 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
/* Keeping Position Counters Up-to-date */
if (
(strategyStage === 'Open Stage' || strategyStage === 'Manage Stage')
(strategyStage === 'Open Stage' || strategyStage === 'Manage Stage')
) {
if (takePositionNow === true) {
positionPeriods = 0
yesterday.positionPeriods = 0
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.positionPeriods = 0
}
}
}
positionPeriods++;
positionDays = positionPeriods * timePeriod / ONE_DAY_IN_MILISECONDS;
if (currentDay !== undefined) { // This means that we are processing Daily Files
if (candle.end < currentDay.valueOf()) {
yesterday.positionPeriods++;
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.positionPeriods = positionPeriods
}
}
} else {
positionPeriods = 0
positionDays = 0
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.positionPeriods = 0
}
}
}
@@ -1338,8 +1570,8 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
balanceAssetA = 0;
}
if (currentDay !== undefined) {
if (positionInstant < currentDay.valueOf()) {
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.balanceAssetA = balanceAssetA;
yesterday.balanceAssetB = balanceAssetB;
}
@@ -1359,9 +1591,25 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
currentStrategy.end = candle.end;
currentStrategy.endRate = candle.min;
currentStrategy.status = 1;
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.strategyStage = strategyStage;
yesterday.stopLossStage = stopLossStage;
yesterday.takeProfitStage = takeProfitStage;
yesterday.currentTrade.end = currentTrade.end;
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;
}
}
}
/* Take Profit condition: Here we verify if the Take Profit was filled or not. */
/* Take Profit condition: Here we verify if the Take Profit was hit or not. */
if ((baseAsset === 'BTC' && candle.min <= takeProfit) || (baseAsset !== 'BTC' && candle.max >= takeProfit)) {
@@ -1379,8 +1627,8 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
balanceAssetA = 0;
}
if (currentDay !== undefined) {
if (positionInstant < currentDay.valueOf()) {
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.balanceAssetA = balanceAssetA;
yesterday.balanceAssetB = balanceAssetB;
@@ -1392,6 +1640,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
strategyStage = 'Close Stage';
stopLossStage = 'No Stage';
takeProfitStage = 'No Stage';
currentTrade.end = candle.end;
currentTrade.status = 1;
currentTrade.exitType = 2;
@@ -1401,6 +1650,24 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
currentStrategy.end = candle.end;
currentStrategy.endRate = candle.min;
currentStrategy.status = 1;
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.strategyStage = strategyStage;
yesterday.stopLossStage = stopLossStage;
yesterday.takeProfitStage = takeProfitStage;
yesterday.currentTrade.end = currentTrade.end;
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;
}
}
}
}
@@ -1417,6 +1684,13 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
tradePositionSize = strategy.positionSize;
tradePositionRate = strategy.positionRate;
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.tradePositionSize = tradePositionSize;
yesterday.tradePositionRate = tradePositionRate;
}
}
/* 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. */
@@ -1501,7 +1775,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
if (interExecutionMemory.executionContext !== undefined) {
if (interExecutionMemory.executionContext.periods !== undefined) {
if (periods <= interExecutionMemory.executionContext.periods) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because it was already placed at a previous execution." ); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because it was already placed at a previous execution."); }
takePositionAtSimulation()
return;
}
@@ -1509,7 +1783,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
}
/* We are not going to place orders based on outdated information. The next filter prevents firing orders when backtesting. */
let today = new Date(Math.trunc((new Date().valueOf()) / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS)
let today = new Date(Math.trunc((new Date().valueOf()) / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS)
let processDay = new Date(Math.trunc(currentDay.valueOf() / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS)
if (today.valueOf() !== processDay.valueOf()) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because the current candle belongs to the previous day and that is considered simulation and not live trading."); }
@@ -1527,7 +1801,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
if (baseAsset === 'BTC') {
positionDirection = "sell"
openPositionRate = tradePositionRate
openPositionRate = tradePositionRate
amountA = tradePositionSize * openPositionRate
amountB = tradePositionSize
@@ -1536,7 +1810,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
openPositionRate = tradePositionRate
amountA = tradePositionSize
amountA = tradePositionSize
amountB = tradePositionSize / openPositionRate
}
@@ -1602,6 +1876,13 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
previousBalanceAssetA = balanceAssetA;
previousBalanceAssetB = balanceAssetB;
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.previousBalanceAssetA = previousBalanceAssetA;
yesterday.previousBalanceAssetB = previousBalanceAssetB;
}
}
lastTradeProfitLoss = 0;
lastTradeROI = 0;
@@ -1613,10 +1894,8 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
balanceAssetB = balanceAssetB - tradePositionSize;
}
positionInstant = candle.end;
if (currentDay !== undefined) {
if (positionInstant < currentDay.valueOf()) {
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.balanceAssetA = balanceAssetA;
yesterday.balanceAssetB = balanceAssetB;
@@ -1677,7 +1956,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
}
closePositionAtSimulation()
return
return
function putClosingOrder() {
@@ -1781,9 +2060,9 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
roundtrips++;
if (currentDay !== undefined) {
if (positionInstant < currentDay.valueOf()) {
yesterday.Roundtrips++;
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.roundtrips = roundtrips
}
}
@@ -1799,8 +2078,8 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
profit = balanceAssetB - initialBalanceB;
}
if (currentDay !== undefined) {
if (positionInstant < currentDay.valueOf()) {
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.lastTradeProfitLoss = lastTradeProfitLoss;
yesterday.profit = profit;
yesterday.lastTradeROI = lastTradeROI;
@@ -1810,21 +2089,28 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
currentTrade.lastTradeROI = lastTradeROI;
currentTrade.stopRate = stopLoss;
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.currentTrade.lastTradeROI = currentTrade.lastTradeROI;
yesterday.currentTrade.stopRate = currentTrade.stopRate;
}
}
if (lastTradeProfitLoss > 0) {
hits++;
if (currentDay !== undefined) {
if (positionInstant < currentDay.valueOf()) {
yesterday.hits++;
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.hits = hits
}
}
} else {
fails++;
if (currentDay !== undefined) {
if (positionInstant < currentDay.valueOf()) {
yesterday.fails++;
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.fails = fails
}
}
}
@@ -1839,8 +2125,8 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
anualizedRateOfReturn = ROI / days * 365;
}
if (currentDay !== undefined) {
if (positionInstant < currentDay.valueOf()) {
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.ROI = ROI;
yesterday.hitRatio = hitRatio;
yesterday.anualizedRateOfReturn = anualizedRateOfReturn;
@@ -1849,18 +2135,37 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
addRecord();
currentStrategyIndex = -1;
stopLoss = 0;
takeProfit = 0;
tradePositionRate = 0;
tradePositionSize = 0;
positionInstant = undefined;
takeProfit = 0;
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.tradePositionSize = tradePositionSize;
yesterday.tradePositionRate = tradePositionRate;
}
}
currentStrategyIndex = -1;
strategyStage = 'No Stage';
stopLossStage = 'No Stage';
takeProfitStage = 'No Stage';
stopLossPhase = 0;
takeProfitPhase = 0;
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.currentStrategyIndex = currentStrategyIndex;
yesterday.strategyStage = strategyStage;
yesterday.stopLossStage = stopLossStage;
yesterday.takeProfitStage = takeProfitStage;
yesterday.stopLossPhase = stopLossPhase;
yesterday.takeProfitPhase = takeProfitPhase;
}
}
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> closePositionAtSimulation -> Exiting Loop Body after closing position at simulation."); }
controlLoop();
return
@@ -2080,6 +2385,19 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
beginRate: 0,
endRate: 0
}
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.currentStrategy = {
begin: 0,
end: 0,
status: 0,
number: 0,
beginRate: 0,
endRate: 0
}
}
}
}
/* Prepare the information for the Trades File */
@@ -2102,6 +2420,20 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
beginRate: 0,
endRate: 0
}
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.currentTrade = {
begin: 0,
end: 0,
status: 0,
lastTradeROI: 0,
exitType: 0,
beginRate: 0,
endRate: 0
}
}
}
}
}
}
@@ -2124,21 +2456,55 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
To do that, the condition to be met is that this execution must include all candles of the currentDay.
*/
if (currentDay !== undefined) {
if (processingDailyFiles) {
if (lastCandle.end === lastInstantOfTheDay) {
interExecutionMemory.previousBalanceAssetA = yesterday.previousBalanceAssetA
interExecutionMemory.previousBalanceAssetB = yesterday.previousBalanceAssetB
interExecutionMemory.tradePositionRate = yesterday.tradePositionRate
interExecutionMemory.tradePositionSize = yesterday.tradePositionSize
interExecutionMemory.currentStrategyIndex = yesterday.currentStrategyIndex
interExecutionMemory.strategyStage = yesterday.strategyStage
interExecutionMemory.stopLossPhase = yesterday.stopLossPhase
interExecutionMemory.stopLossStage = yesterday.stopLossStage
interExecutionMemory.takeProfitPhase = yesterday.takeProfitPhase
interExecutionMemory.takeProfitStage = yesterday.takeProfitStage
interExecutionMemory.currentStrategy = {
begin: yesterday.currentStrategy.begin,
end: yesterday.currentStrategy.end,
status: yesterday.currentStrategy.status,
number: yesterday.currentStrategy.number,
beginRate: yesterday.currentStrategy.beginRate,
endRate: yesterday.currentStrategy.endRate
}
interExecutionMemory.currentTrade = {
begin: yesterday.currentTrade.begin,
end: yesterday.currentTrade.end,
status: yesterday.currentTrade.status,
profit: yesterday.currentTrade.profit,
exitType: yesterday.currentTrade.exitType,
beginRate: yesterday.currentTrade.beginRate,
endRate: yesterday.currentTrade.endRate
}
interExecutionMemory.balanceAssetA = yesterday.balanceAssetA;
interExecutionMemory.balanceAssetB = yesterday.balanceAssetB;
interExecutionMemory.lastTradeProfitLoss = yesterday.lastTradeProfitLoss;
interExecutionMemory.profit = yesterday.profit;
interExecutionMemory.lastTradeROI = yesterday.lastTradeROI;
interExecutionMemory.roundtrips = interExecutionMemory.roundtrips + yesterday.Roundtrips;
interExecutionMemory.fails = interExecutionMemory.fails + yesterday.fails;
interExecutionMemory.hits = interExecutionMemory.hits + yesterday.hits;
interExecutionMemory.periods = interExecutionMemory.periods + yesterday.Periods;
interExecutionMemory.positionPeriods = interExecutionMemory.positionPeriods + yesterday.positionPeriods;
interExecutionMemory.roundtrips = yesterday.roundtrips;
interExecutionMemory.fails = yesterday.fails;
interExecutionMemory.hits = yesterday.hits;
interExecutionMemory.periods = yesterday.periods;
interExecutionMemory.positionPeriods = yesterday.positionPeriods;
interExecutionMemory.messageId = interExecutionMemory.messageId + yesterday.messageId;
interExecutionMemory.orderId = interExecutionMemory.orderId + yesterday.orderId;
@@ -2168,7 +2534,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
}
}
return
return
}
}
catch (err) {