diff --git a/Trading/TradingSimulation.js b/Trading/TradingSimulation.js index 0f78d4c25..db10a804c 100644 --- a/Trading/TradingSimulation.js +++ b/Trading/TradingSimulation.js @@ -84,127 +84,8 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT let tradingEngineModule = TRADING_ENGINE_MODULE.newTradingEngine(bot, logger) tradingEngineModule.initialize() - if (variable.isInitialized !== true || bot.RESUME === false) { - variable.isInitialized = true - - variable.episode = {} // An Episode represents each execution of the Simulation - variable.episode.count = {} // Everything in here means the total count since the begining of the episode. - variable.episode.stat = {} // Everything in here means the statistics calculated since the begining of the episode. - - variable.current = {} // Everything in here means that is happening right now. - variable.current.balance = {} // Balances at the current candle of the Simulation. - variable.current.distance = {} // Everything in here means the distance, measured in periods to whatever happened in the past, usually events. - variable.current.distance.toEvent = {} // Distance to Events that already happened. - variable.current.strategy = {} // Everything in here are variables related to the current strategy being executed. - variable.current.position = {} // Everything in here are variables related to the current position being executed. - - variable.current.balance.baseAsset = bot.VALUES_TO_USE.initialBalanceA - variable.current.balance.quotedAsset = bot.VALUES_TO_USE.initialBalanceB - variable.current.distance.toEvent.triggerOn = 0 - variable.current.distance.toEvent.triggerOff = 0 - variable.current.distance.toEvent.takePosition = 0 - variable.current.distance.toEvent.closePosition = 0 - - variable.last = {} // Everything in here means that it already happened. - variable.last.position = {} // Las values of variables at the last position. - - variable.last.position.profitLoss = 0 - variable.last.position.ROI = 0 - - variable.previous = {} // Everything in here means the the value that was current before a new current value was set. - variable.previous.balance = {} // Balances values previous to the current ones. - - variable.previous.balance.baseAsset = 0 - variable.previous.balance.quotedAsset = 0 - - variable.episode.parameters = {} // Parameters give you access to information received by the Simulation as parameters. - variable.episode.parameters.initial = {} // Everything in here means the status at the begining of the episode received as a parameter of the Sumulation. - variable.episode.parameters.minimum = {} // Everything in here means the minimum in the whole episode received as a parameter of the Sumulation. - variable.episode.parameters.maximum = {} // Everything in here means the maximum in the whole episode received as a parameter of the Sumulation. - variable.episode.parameters.initial.balance = {} - variable.episode.parameters.minimum.balance = {} - variable.episode.parameters.maximum.balance = {} - - variable.episode.parameters.baseAsset = bot.VALUES_TO_USE.baseAsset - variable.episode.parameters.quotedAsset = bot.VALUES_TO_USE.quotedAsset - variable.episode.parameters.marketBaseAsset = bot.market.baseAsset - variable.episode.parameters.marketQuotedAsset = bot.market.quotedAsset - variable.episode.parameters.timeFrame = timeFrame // The numeric value of the time frame, in milliseconds - variable.episode.parameters.timeFrameLabel = timeFrameLabel // The alpha-numeric value of the time frame - - variable.episode.parameters.initial.balance.baseAsset = bot.VALUES_TO_USE.initialBalanceA - variable.episode.parameters.minimum.balance.baseAsset = bot.VALUES_TO_USE.minimumBalanceA - variable.episode.parameters.maximum.balance.baseAsset = bot.VALUES_TO_USE.maximumBalanceA - - variable.episode.parameters.initial.balance.quotedAsset = bot.VALUES_TO_USE.initialBalanceB - variable.episode.parameters.minimum.balance.quotedAsset = bot.VALUES_TO_USE.minimumBalanceB - variable.episode.parameters.maximum.balance.quotedAsset = bot.VALUES_TO_USE.maximumBalanceB - - variable.episode.count.positions = 0 - variable.episode.count.fails = 0 - variable.episode.count.hits = 0 - variable.episode.count.periods = 0 - - variable.episode.stat.profitLoss = 0 - variable.episode.stat.hitRatio = 0 - variable.episode.stat.days = 0 - variable.episode.stat.ROI = 0 - variable.episode.stat.anualizedRateOfReturn = 0 - - inializeCurrentStrategy() - initializeCurrentPosition() - - variable.announcements = [] - } - - function inializeCurrentStrategy() { - - variable.current.strategy.name = '' - variable.current.strategy.index = -1 - variable.current.strategy.stage = 'No Stage' - variable.current.strategy.begin = 0 - variable.current.strategy.end = 0 - variable.current.strategy.status = 0 - variable.current.strategy.number = 0 - variable.current.strategy.beginRate = 0 - variable.current.strategy.endRate = 0 - variable.current.strategy.situationName = '' - - } - - function initializeCurrentPosition() { - - variable.current.position.begin = 0 - variable.current.position.end = 0 - variable.current.position.rate = 0 - variable.current.position.size = 0 - variable.current.position.status = 0 - variable.current.position.exitType = 0 - variable.current.position.beginRate = 0 - variable.current.position.endRate = 0 - variable.current.position.situationName = '' - - variable.current.position.stat = {} - variable.current.position.stat.ROI = 0 - variable.current.position.stat.days = 0 - - variable.current.position.count = {} - variable.current.position.count.periods = 0 - - variable.current.position.stopLoss = {} - variable.current.position.stopLoss.value = 0 - variable.current.position.stopLoss.phase = -1 - variable.current.position.stopLoss.stage = 'No Stage' - - variable.current.position.takeProfit = {} - variable.current.position.takeProfit.value = 0 - variable.current.position.takeProfit.phase = -1 - variable.current.position.takeProfit.stage = 'No Stage' - - } - /* Main Array and Maps */ - let propertyName = 'at' + variable.episode.parameters.timeFrameLabel.replace('-', '') + let propertyName = 'at' + sessionParameters.timeFrame.config.label.replace('-', '') let candles = chart[propertyName].candles let currentChart = chart[propertyName] @@ -223,12 +104,12 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT function initializeLoop() { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> initializeLoop -> Entering function.') } - if (bot.RESUME === true && variable.last.candle !== undefined) { - /* Estimate the Initial Candle based on the last candle saved at variable */ + if (bot.RESUME === true && tradingEngine.last.candle !== undefined) { + /* Estimate the Initial Candle based on the last candle saved at tradingEngine */ let firstBegin = candles[0].begin - let lastBegin = variable.last.candle.begin + let lastBegin = tradingEngine.last.candle.begin let diff = lastBegin - firstBegin - let amount = diff / variable.episode.parameters.timeFrame + let amount = diff / sessionParameters.timeFrame.config.value currentCandleIndex = Math.trunc(amount) + 1 // Because we need to start from the next candle if (currentCandleIndex < 0 || currentCandleIndex > candles.length - 1) { @@ -247,7 +128,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT let firstEnd = candles[0].end let targetEnd = sessionParameters.timeRange.config.initialDatetime.valueOf() let diff = targetEnd - firstEnd - let amount = diff / variable.episode.parameters.timeFrame + let amount = diff / sessionParameters.timeFrame.config.value currentCandleIndex = Math.trunc(amount) if (currentCandleIndex < 0) { currentCandleIndex = 0 } @@ -387,12 +268,12 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT } previousLoopingDay = loopingDay.valueOf() - variable.episode.count.periods++ - variable.episode.stat.days = variable.episode.count.periods * variable.episode.parameters.timeFrame / ONE_DAY_IN_MILISECONDS + tradingEngine.episode.episodeCounters.periods++ + tradingEngine.episode.episodeStatistics.days = tradingEngine.episode.episodeCounters.periods * sessionParameters.timeFrame.config.value / ONE_DAY_IN_MILISECONDS if (processingDailyFiles) { /* We skip the candle at the head of the market because currentCandleIndex has not closed yet. */ - let candlesPerDay = ONE_DAY_IN_MILISECONDS / variable.episode.parameters.timeFrame + let candlesPerDay = ONE_DAY_IN_MILISECONDS / sessionParameters.timeFrame.config.value if (currentCandleIndex === 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. */ @@ -400,7 +281,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT 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. - if we skip these two variable.episode.count.periods, then there will be a hole in the file since the last period will be missing. */ + if we skip these two tradingEngine.episode.episodeCounters.periods, then there will be a hole in the file since the last period will be missing. */ } } } else { // We are processing Market Files @@ -411,9 +292,13 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT } } - let conditions = new Map() // Here we store the conditions values that will be use in the simulator for decision making. + const TRADING_SYSTEM_MODULE = require('./TradingSystem.js') + let tradingSystemModule = TRADING_SYSTEM_MODULE.newTradingSystem(bot, logger) + tradingEngineModule.initialize(chart) + tradingEngineModule.evalConditions() + tradingEngineModule.finalize() + let formulas = new Map() - let conditionsValues = [] // Here we store the conditions values that will be written on file for the plotter. let formulasErrors = [] // Here we store the errors produced by all phase formulas. let formulasValues = [] // Here we store the values produced by all phase formulas. @@ -1489,7 +1374,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT } variable.current.position.count.periods++ - variable.current.position.stat.days = variable.current.position.count.periods * variable.episode.parameters.timeFrame / ONE_DAY_IN_MILISECONDS + variable.current.position.stat.days = variable.current.position.count.periods * sessionParameters.timeFrame.config.value / ONE_DAY_IN_MILISECONDS } else { variable.current.position.count.periods = 0 variable.current.position.stat.days = 0 @@ -1740,7 +1625,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT /* Mechanism to avoid putting the same order over and over again at different executions of the simulation engine. */ if (variable.executionContext !== undefined) { if (variable.executionContext.periods !== undefined) { - if (variable.episode.count.periods <= variable.executionContext.periods) { + if (tradingEngine.episode.episodeCounters.periods <= variable.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.') } takePositionAtSimulation() return @@ -1784,7 +1669,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT variable.executionContext = { status: 'Taking Position', - periods: variable.episode.count.periods + periods: tradingEngine.episode.episodeCounters.periods } if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> Ready to create order.') } @@ -1799,7 +1684,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> DEFAULT_OK_RESPONSE ') } variable.executionContext = { status: 'In a Position', - periods: variable.episode.count.periods, + periods: tradingEngine.episode.episodeCounters.periods, amountA: amountA, amountB: amountB, orderId: order.id @@ -1927,7 +1812,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT /* Mechanism to avoid putting the same order over and over again at different executions of the simulation engine. */ if (variable.executionContext !== undefined) { if (variable.executionContext.periods !== undefined) { - if (variable.episode.count.periods <= variable.executionContext.periods) { + if (tradingEngine.episode.episodeCounters.periods <= variable.executionContext.periods) { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putClosingOrder -> Exiting function because this closing was already submited at a previous execution.') } closePositionAtSimulation() return @@ -1958,7 +1843,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT variable.executionContext = { status: 'Closing Position', - periods: variable.episode.count.periods + periods: tradingEngine.episode.episodeCounters.periods } if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putClosingOrder -> About to close position at the exchange.') } @@ -1973,7 +1858,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putClosingOrder -> onOrderCreated -> DEFAULT_OK_RESPONSE ') } variable.executionContext = { status: 'Position Closed', - periods: variable.episode.count.periods, + periods: tradingEngine.episode.episodeCounters.periods, amountA: amountA, amountB: amountB, orderId: order.id @@ -2054,11 +1939,11 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) { variable.episode.stat.ROI = (variable.episode.parameters.initial.balance.baseAsset + variable.episode.stat.profitLoss) / variable.episode.parameters.initial.balance.baseAsset - 1 variable.episode.stat.hitRatio = variable.episode.count.hits / variable.episode.count.positions - variable.episode.stat.anualizedRateOfReturn = variable.episode.stat.ROI / variable.episode.stat.days * 365 + variable.episode.stat.anualizedRateOfReturn = variable.episode.stat.ROI / tradingEngine.episode.episodeStatistics.days * 365 } else { variable.episode.stat.ROI = (variable.episode.parameters.initial.balance.quotedAsset + variable.episode.stat.profitLoss) / variable.episode.parameters.initial.balance.quotedAsset - 1 variable.episode.stat.hitRatio = variable.episode.count.hits / variable.episode.count.positions - variable.episode.stat.anualizedRateOfReturn = variable.episode.stat.ROI / variable.episode.stat.days * 365 + variable.episode.stat.anualizedRateOfReturn = variable.episode.stat.ROI / tradingEngine.episode.episodeStatistics.days * 365 } addRecords() @@ -2202,8 +2087,8 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT variable.episode.count.fails, variable.episode.stat.hitRatio, variable.episode.stat.ROI, - variable.episode.count.periods, - variable.episode.stat.days, + tradingEngine.episode.episodeCounters.periods, + tradingEngine.episode.episodeStatistics.days, variable.episode.stat.anualizedRateOfReturn, variable.current.position.rate, variable.last.position.ROI, @@ -2340,7 +2225,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT } } - if (variable.episode.count.periods > lastPeriodAnnounced) { + if (tradingEngine.episode.episodeCounters.periods > lastPeriodAnnounced) { if (isNaN(value) === false) { /* The Value Variation is what tells us how much the value already announced must change in order to annouce it again. */ let valueVariation @@ -2367,12 +2252,12 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT /* Next, we will remmeber this announcement was already done, so that it is not announced again in further processing of the same day. */ if (newAnnouncementRecord.periods !== undefined) { - newAnnouncementRecord.periods = variable.episode.count.periods + newAnnouncementRecord.periods = tradingEngine.episode.episodeCounters.periods newAnnouncementRecord.value = value } else { newAnnouncementRecord = { key: key, - periods: variable.episode.count.periods, + periods: tradingEngine.episode.episodeCounters.periods, value: value } variable.announcements.push(newAnnouncementRecord) diff --git a/Trading/TradingSystem.js b/Trading/TradingSystem.js new file mode 100644 index 000000000..3378f7cf0 --- /dev/null +++ b/Trading/TradingSystem.js @@ -0,0 +1,165 @@ +exports.newTradingSystem = function newTradingSystem(bot, logger) { + + const MODULE_NAME = 'Trading System' + + let thisObject = { + evalConditions: evalConditions, + evalFormulas: evalFormulas, + initialize: initialize, + finalize: finalize + } + + let chart + + let conditions = new Map() + let conditionsValues = [] + let conditionsErrors = [] + + let formulas = new Map() + let formulasValues = [] + let formulasErrors = [] + + return thisObject + + function initialize(pChart) { + chart = pChart + } + + function finalize() { + chart = undefined + + conditions = undefined + conditionsValues = undefined + conditionsErrors = undefined + + formulas = undefined + formulasValues = undefined + formulasErrors = undefined + } + + function evalConditions() { + evalNode(bot.TRADING_SYSTEM, 'Conditions') + } + + function evalFormulas() { + evalNode(bot.TRADING_SYSTEM, 'Formulas') + } + + function evalNode(node, evaluating) { + if (node === undefined) { return } + + /* Here we check if there is a codition to be evaluated */ + if (node.type === 'Condition' && evaluating === 'Conditions') { + if (node.code !== undefined) { + /* We will eval this condition */ + evalCondition(node) + } + } + + /* Here we check if there is a formula to be evaluated */ + if (node.type === 'Formula' && evaluating === 'Formulas') { + if (node.code !== undefined) { + /* We will eval this condition */ + evalFormula(node) + } + } + + /* Now we go down through all this node children */ + let nodeDefinition = bot.APP_SCHEMA_MAP.get(node.type) + if (nodeDefinition === undefined) { return } + + if (nodeDefinition.properties !== undefined) { + let previousPropertyName // Since there are cases where there are many properties with the same name,because they can hold nodes of different types but only one at the time, we have to avoind counting each property of those as individual children. + for (let i = 0; i < nodeDefinition.properties.length; i++) { + let property = nodeDefinition.properties[i] + + switch (property.type) { + case 'node': { + if (property.name !== previousPropertyName) { + if (node[property.name] !== undefined) { + evalNode(node[property.name]) + } + previousPropertyName = property.name + } + break + } + case 'array': { + if (node[property.name] !== undefined) { + let nodePropertyArray = node[property.name] + object[property.name] = [] + for (let m = 0; m < nodePropertyArray.length; m++) { + evalNode(nodePropertyArray[m]) + } + } + break + } + } + } + } + } + + function evalCondition(node) { + let value + + try { + value = eval(node.code) + } catch (err) { + /* + One possible error is that the conditions references a .previous that is undefined. For this + reason and others, we will simply set the value to false. + */ + value = false + + if (node.code.indexOf('previous') > -1 && err.message.indexOf('of undefined') > -1 || + node.code.indexOf('chart') > -1 && err.message.indexOf('of undefined') > -1 + ) { + /* + We are not going to set an error for the casess we are using previous and the error is that the indicator is undefined. + */ + } else { + node.error = err.message + ' @ ' + (new Date(candle.begin)).toLocaleString() + } + } + + conditions.set(node.id, value) + + if (value === true) { + conditionsValues.push(1) + } else { + conditionsValues.push(0) + } + } + + function evalFormula(node) { + let value + + try { + value = eval(node.code) + } catch (err) { + /* + One possible error is that the conditions references a .previous that is undefined. For this + reason and others, we will simply set the value to false. + */ + value = false + + if (node.code.indexOf('previous') > -1 && err.message.indexOf('of undefined') > -1 || + node.code.indexOf('chart') > -1 && err.message.indexOf('of undefined') > -1 + ) { + /* + We are not going to set an error for the casess we are using previous and the error is that the indicator is undefined. + */ + } else { + node.error = err.message + ' @ ' + (new Date(candle.begin)).toLocaleString() + } + } + + formulas.set(node.id, value) + + if (value === true) { + formulaValues.push(1) + } else { + formulaValues.push(0) + } + } +} +