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Including several changes.
This commit is contained in:
Matias Benitez committed 2018-06-04 18:26:53 -03:00
1 parent 31889e5b5a
commit efa5470188
8 files changed
+409 -989
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Multi-Period-Daily/LRCIndicator.js
-112
View File
@@ -1,112 +0,0 @@
/*
* Linear regression curve. SRC: Gekko
*/
//var log = require('../../core/log');
var LRCIndicator = function(settings) {
this.input = 'price';
this.depth = settings;
this.result = false;
this.age = 0;
this.history = [];
this.x = [];
/*
* Do not use array(depth) as it might not be implemented
*/
for (var i = 0; i < this.depth; i++) {
this.history.push(0.0);
this.x.push(i);
}
// log.debug("Created LRC indicator with h: ", this.depth);
}
LRCIndicator.prototype.update = function(price) {
// We need sufficient history to get the right result.
if(this.result === false && this.age < this.depth) {
this.history[this.age] = price;
this.age++;
this.result = false;
// log.debug("Waiting for sufficient age: ", this.age, " out of ", this.depth);
return;
}
this.age++;
// shift history
for (var i = 0; i < (this.depth - 1); i++) {
this.history[i] = this.history[i+1];
}
this.history[this.depth-1] = price;
this.calculate(price);
// log.debug("Checking LRC: ", this.result.toFixed(8), "\tH: ", this.age);
return;
}
/*
* Least squares linear regression fitting.
*/
function linreg(values_x, values_y) {
var sum_x = 0;
var sum_y = 0;
var sum_xy = 0;
var sum_xx = 0;
var count = 0;
/*
* We'll use those variables for faster read/write access.
*/
var x = 0;
var y = 0;
var values_length = values_x.length;
if (values_length != values_y.length) {
throw new Error('The parameters values_x and values_y need to have same size!');
}
/*
* Nothing to do.
*/
if (values_length === 0) {
return [ [], [] ];
}
/*
* Calculate the sum for each of the parts necessary.
*/
for (var v = 0; v < values_length; v++) {
x = values_x[v];
y = values_y[v];
sum_x += x;
sum_y += y;
sum_xx += x*x;
sum_xy += x*y;
count++;
}
/*
* Calculate m and b for the formula: y = x * m + b
*
*/
var m = (count*sum_xy - sum_x*sum_y) / (count*sum_xx - sum_x*sum_x);
var b = (sum_y/count) - (m*sum_x)/count;
return [m, b];
}
/*
* Handle calculations
*/
LRCIndicator.prototype.calculate = function(price) {
// get the reg
var reg = linreg(this.x, this.history);
// y = a * x + b
this.result = ((this.depth-1) * reg[0]) + reg[1];
}
module.exports = LRCIndicator;
Multi-Period-Daily/User.bot.js
+254 -66
View File
@@ -1,7 +1,110 @@
var LRCIndicator = require('./LRCIndicator');
var LRCIndicator = function (settings) {
this.input = 'price';
this.depth = settings;
this.result = false;
this.age = 0;
this.history = [];
this.x = [];
/*
* Do not use array(depth) as it might not be implemented
*/
for (var i = 0; i < this.depth; i++) {
this.history.push(0.0);
this.x.push(i);
}
exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE, BLOB_STORAGE, FILE_STORAGE) {
const FULL_LOG = true;
// log.debug("Created LRC indicator with h: ", this.depth);
}
LRCIndicator.prototype.update = function (price) {
// We need sufficient history to get the right result.
if (this.result === false && this.age < this.depth) {
this.history[this.age] = price;
this.age++;
this.result = false;
// log.debug("Waiting for sufficient age: ", this.age, " out of ", this.depth);
return;
}
this.age++;
// shift history
for (var i = 0; i < (this.depth - 1); i++) {
this.history[i] = this.history[i + 1];
}
this.history[this.depth - 1] = price;
this.calculate(price);
// log.debug("Checking LRC: ", this.result.toFixed(8), "\tH: ", this.age);
return;
}
/*
* Least squares linear regression fitting.
*/
function linreg(values_x, values_y) {
var sum_x = 0;
var sum_y = 0;
var sum_xy = 0;
var sum_xx = 0;
var count = 0;
/*
* We'll use those variables for faster read/write access.
*/
var x = 0;
var y = 0;
var values_length = values_x.length;
if (values_length != values_y.length) {
throw new Error('The parameters values_x and values_y need to have same size!');
}
/*
* Nothing to do.
*/
if (values_length === 0) {
return [[], []];
}
/*
* Calculate the sum for each of the parts necessary.
*/
for (var v = 0; v < values_length; v++) {
x = values_x[v];
y = values_y[v];
sum_x += x;
sum_y += y;
sum_xx += x * x;
sum_xy += x * y;
count++;
}
/*
* Calculate m and b for the formula: y = x * m + b
*
*/
var m = (count * sum_xy - sum_x * sum_y) / (count * sum_xx - sum_x * sum_x);
var b = (sum_y / count) - (m * sum_x) / count;
return [m, b];
}
/*
* Handle calculations
*/
LRCIndicator.prototype.calculate = function (price) {
// get the reg
var reg = linreg(this.x, this.history);
// y = a * x + b
this.result = ((this.depth - 1) * reg[0]) + reg[1];
}
exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE, BLOB_STORAGE) {
const FULL_LOG = false;
const LOG_FILE_CONTENT = false;
const USE_PARTIAL_LAST_CANDLE = true; // When running live the last candle generated is a partial candle.
@@ -23,8 +126,9 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
};
let gaussStorage = BLOB_STORAGE.newBlobStorage(bot);
let oliviaStorage = BLOB_STORAGE.newBlobStorage(bot);
let utilities = UTILITIES.newUtilities(bot);
let utilities = UTILITIES.newCloudUtilities(bot);
let statusDependencies;
@@ -40,14 +144,14 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
statusDependencies = pStatusDependencies;
gaussStorage.initialize({ bot: "AAGauss", devTeam: "AAMasters" }, onGaussInizialized);
gaussStorage.initialize(bot.devTeam, onGaussInizialized);
function onGaussInizialized(err) {
if (err.result === global.DEFAULT_OK_RESPONSE.result) {
if (FULL_LOG === true) { logger.write("[INFO] initialize -> onGaussInizialized -> Initialization Succeed."); }
callBackFunction(global.DEFAULT_OK_RESPONSE);
oliviaStorage.initialize("AAMasters", onOliviaInizialized);
} else {
logger.write("[ERROR] initialize -> onGaussInizialized -> err = " + err.message);
@@ -55,6 +159,19 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
}
}
function onOliviaInizialized(err) {
if (err.result === global.DEFAULT_OK_RESPONSE.result) {
if (FULL_LOG === true) { logger.write("[INFO] initialize -> onOliviaInizialized -> Initialization Succeed."); }
callBackFunction(global.DEFAULT_OK_RESPONSE);
} else {
logger.write("[ERROR] initialize -> onOliviaInizialized -> err = " + err.message);
callBackFunction(err);
}
}
} catch (err) {
logger.write("[ERROR] initialize -> err = " + err.message);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
@@ -62,7 +179,15 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
}
/*
TODO Create Description
This process will do the following:
For every period on the market:
a. Get olivia files for the current execution time
i. If the file exist, validate we can get 63 candles
1) 63 candles exist, proceed
2) 63 candles doesn't exist, call for previous execution day until have 63
ii. File doesn't exist, wait until get the files
b. Once we have the 63 candles, calculate LRC
c. Save LRC points
*/
function start(callBackFunction) {
@@ -108,9 +233,9 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
return;
}
maxCandleTime = new Date(Date.UTC(thisReport.lastFile.year, thisReport.lastFile.month - 1, thisReport.lastFile.days, thisReport.lastFile.hours, thisReport.lastFile.minutes));
maxCandleTime = new Date(thisReport.lastFile);
reportKey = "AAMasters" + "-" + "AAGauss" + "-" + "Multi-Period-Daily" + "-" + "dataSet.V1";
reportKey = "AAVikings" + "-" + "AAGauss" + "-" + "Multi-Period-Daily" + "-" + "dataSet.V1";
if (FULL_LOG === true) { logger.write("[INFO] start -> getContextVariables -> reportKey = " + reportKey); }
if (statusDependencies.statusReports.get(reportKey).status === "Status Report is corrupt.") {
@@ -121,9 +246,9 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
thisReport = statusDependencies.statusReports.get(reportKey).file;
if (thisReport.lastCandles !== undefined) {
logger.write("[INFO] start -> getContextVariables -> thisReport.lastCandles: " + JSON.stringify(thisReport.lastCandles));
lastCandles = thisReport.lastCandles;
if (FULL_LOG === true) { logger.write("[INFO] start -> getContextVariables -> thisReport.lastCandles: " + JSON.stringify(thisReport.lastCandles)) };
lastCandles = thisReport.lastCandles;
buildLRCPoints();
} else {
@@ -136,7 +261,7 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
lastCandles.push(0);
}
lastCandles[10] = new Date(Date.UTC(2018, 3).valueOf());
lastCandles[10] = new Date(Date.UTC(2018, 3)).valueOf();
if (FULL_LOG === true) { logger.write("[INFO] start -> getContextVariables -> Starting at: " + new Date(lastCandles[10]).toISOString()); }
@@ -164,7 +289,7 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
if (FULL_LOG === true) { logger.write("[INFO] start -> buildLRCPoints -> advanceTime -> Entering function."); }
executionTime = new Date(lastCandles[10].valueOf() + ONE_MIN_IN_MILISECONDS);
executionTime = new Date(lastCandles[10] + ONE_MIN_IN_MILISECONDS);
if (FULL_LOG === true) { logger.write("[INFO] start -> buildLRCPoints -> advanceTime -> New processing time @ " + executionTime.toISOString()); }
@@ -191,7 +316,7 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
function loopBody() {
if (FULL_LOG === true) { logger.write("[INFO] start -> buildLRCChannels -> periodsLoop -> loopBody -> Entering function. Time: " + executionTime.toISOString() + ". Loop: "+n); }
if (FULL_LOG === true) { logger.write("[INFO] start -> buildLRCPoints -> periodsLoop -> loopBody -> Entering function. Time: " + executionTime.toISOString() + ". Loop: "+n); }
const outputPeriod = global.dailyFilePeriods[n][0];
const folderName = global.dailyFilePeriods[n][1];
@@ -199,11 +324,10 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
isTimeToRun();
function isTimeToRun() {
let nextExecution = lastCandles[n].valueOf() + outputPeriod;
let nextExecution = lastCandles[n] + outputPeriod;
if (executionTime.valueOf() >= nextExecution) {
getLRCPoints();
} else {
if (FULL_LOG === true) logger.write("[INFO] start -> periodsLoop -> loopBody -> It's not time to run this period. Next Execution: " + new Date(nextExecution).toISOString());
controlLoop();
@@ -248,8 +372,10 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
if (LOG_FILE_CONTENT === true) { logger.write("[INFO] Candle Date: " + new Date(candle.begin).toISOString() + ". Process Date: " + executionTime.toISOString()); }
if (candleArray.length < maxLRCDepth && candle.begin <= executionTime.valueOf()) {
candleArray.push(candleFile[i]);
let lastCandle = executionTime.valueOf() - (outputPeriod * maxLRCDepth);
if (candleArray.length < maxLRCDepth && candle.begin > lastCandle && candle.begin <= executionTime.valueOf()) {
candleArray.push(candle);
}
}
@@ -258,17 +384,17 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
if (candleArray.length >= maxLRCDepth) {
if (FULL_LOG === true) { logger.write("[INFO] start -> getLRCPoints -> All candles available proceed with LRC calculations."); }
let lrcChannel = performLRCCalculations(candleArray);
saveChannel(lrcChannel);
let lrcPoint = performLRCCalculations(candleArray);
savePoint(lrcPoint);
} else if (backwardsCount <= maxBackwardsCount) {
if (FULL_LOG === true) { logger.write("[INFO] start -> getChannelTilt -> Getting file for day before."); }
if (FULL_LOG === true) { logger.write("[INFO] start -> getLRCPoints -> Getting file for day before."); }
queryDate.setDate(queryDate.getDate() - 1);
getDailyFile(queryDate, onDailyFileReceived);
backwardsCount++;
} else {
logger.write("[ERROR] start -> getChannelTilt -> Not enough history to calculate LRC.");
logger.write("[ERROR] start -> getLRCPoints -> Not enough history to calculate LRC.");
callBack(global.DEFAULT_RETRY_RESPONSE);
}
}
@@ -282,7 +408,7 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
let filePath = "AAMasters/AAOlivia.1.0/AACloud.1.1/Poloniex/dataSet.V1/Output/Candles/Multi-Period-Daily/" + folderName + "/" + datePath;
let fileName = market.assetA + '_' + market.assetB + ".json"
gaussStorage.getTextFile(filePath, fileName, onFileReceived);
oliviaStorage.getTextFile(filePath, fileName, onFileReceived);
function onFileReceived(err, text) {
if (err.result === global.DEFAULT_OK_RESPONSE.result) {
@@ -310,7 +436,7 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
* It's needed to order since it's possible that we need to get another file and it will put an older candle at the end of the array.
*/
candleArray.sort(function (a, b) {
return a[4] - b[4];
return a.begin - b.begin;
});
if (USE_PARTIAL_LAST_CANDLE === false) candleArray = candleArray.slice(0, candleArray.length - 1);
@@ -318,33 +444,29 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
let lrcPoints = [];
lrcPoints.push(0); //firstCandleBeginTime 0
lrcPoints.push(0); //firstCandleEndTime 1
lrcPoints.push(0); //lastCandleBeginTime 2
lrcPoints.push(0); //lastCandleEndTime 3
lrcPoints.push(0); //minimumChannelValue 4
lrcPoints.push(0); //middleChannelValue 5
lrcPoints.push(0); //maximumChannelValue 6
lrcPoints.push(0); //minimumPointValue 2
lrcPoints.push(0); //middlePointValue 3
lrcPoints.push(0); //maximumPointValue 4
if (LOG_FILE_CONTENT === true)
lrcPoints.push(candleArray); //Entire candle array 7
lrcPoints.push(candleArray); //Entire candle array 5
calculateLRC(candleArray, lrcPoints);
let lastCandle = candleArray[0];
let firstCandle = candleArray[candleArray.length - 1];
lrcPoints[0] = firstCandle[4];
lrcPoints[1] = firstCandle[5];
lrcPoints[2] = lastCandle[4];
lrcPoints[3] = lastCandle[5];
lrcPoints[0] = firstCandle.begin;
lrcPoints[1] = firstCandle.end;
if (FULL_LOG === true) {
logger.write("[INFO] start -> getChannelTilt -> performLRCCalculations -> LRC Points calculation results: " + JSON.stringify(lrcPoints)); }
logger.write("[INFO] start -> getLRCPoints -> performLRCCalculations -> LRC Points calculation results: " + JSON.stringify(lrcPoints)); }
return lrcPoints;
}
function calculateLRC(candlesArray, lrcPoints) {
if (FULL_LOG === true) { logger.write("[INFO] start -> getChannelTilt -> calculateLRC -> Entering function."); }
if (FULL_LOG === true) { logger.write("[INFO] start -> getLRCPoints -> calculateLRC -> Entering function."); }
let lrcMinIndicator = new LRCIndicator(15);
let lrcMidIndicator = new LRCIndicator(30);
@@ -352,7 +474,7 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
for (let i = 0; i < candlesArray.length; i++) {
let tempCandle = candlesArray[i];
let averagePrice = (tempCandle[0] + tempCandle[1] + tempCandle[2] + tempCandle[3]) / 4; // TODO Check which price should be take to get the LRC
let averagePrice = (tempCandle.min + tempCandle.max + tempCandle.open + tempCandle.close) / 4; // TODO Check which price should be take to get the LRC
lrcMinIndicator.update(averagePrice);
lrcMidIndicator.update(averagePrice);
@@ -363,29 +485,28 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
* Only if there is enough history the result will be calculated
*/
if (lrcMinIndicator.result != false && lrcMidIndicator.result != false && lrcMaxIndicator.result != false) {
lrcPoints[4] = lrcMinIndicator.result;
lrcPoints[5] = lrcMidIndicator.result;
lrcPoints[6] = lrcMaxIndicator.result;
lrcPoints[2] = lrcMinIndicator.result;
lrcPoints[3] = lrcMidIndicator.result;
lrcPoints[4] = lrcMaxIndicator.result;
return lrcPoints;
} else {
logger.write("[ERROR] start -> getChannelTilt -> calculateLRC -> There is not enough history to calculate the LRC.");
logger.write("[ERROR] start -> getLRCPoints -> calculateLRC -> There is not enough history to calculate the LRC.");
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
function saveChannel(lrcChannel) {
function savePoint(lrcPoint) {
try {
if (FULL_LOG === true) { logger.write("[INFO] start -> saveChannel -> Entering function."); }
let fileContent;
if (FULL_LOG === true) { logger.write("[INFO] start -> savePoint -> Entering function."); }
let datePath = executionTime.getUTCFullYear() + "/" + utilities.pad(executionTime.getUTCMonth() + 1, 2) + "/" + utilities.pad(executionTime.getUTCDate(), 2);
let filePath = bot.filePathRoot + "/Output/LRC-Channel/Multi-Period-Daily/" + folderName + "/" + datePath;
let filePath = bot.filePathRoot + "/Output/LRC-Points/Multi-Period-Daily/" + folderName + "/" + datePath;
let fileName = market.assetA + '_' + market.assetB + ".json"
if (FULL_LOG === true) { logger.write("[INFO] start -> buildLRCChannels -> periodsLoop -> loopBody -> getCurrentContent -> fileName = " + fileName); }
if (FULL_LOG === true) { logger.write("[INFO] start -> buildLRCChannels -> periodsLoop -> loopBody -> getCurrentContent -> filePath = " + filePath); }
if (FULL_LOG === true) { logger.write("[INFO] start -> buildLRCPoints -> periodsLoop -> loopBody -> getCurrentContent -> fileName = " + fileName); }
if (FULL_LOG === true) { logger.write("[INFO] start -> buildLRCPoints -> periodsLoop -> loopBody -> getCurrentContent -> filePath = " + filePath); }
gaussStorage.getTextFile(filePath, fileName, onFileRetrieved);
@@ -409,11 +530,10 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
if (FULL_LOG === true) { logger.write("[INFO] start -> onFileRetrieved -> Daily file exist, appending content."); }
fileContent = JSON.parse(text);
let fileContent = JSON.parse(text);
appendToFile(fileContent);
}
function createFolders(filePath) {
try {
@@ -455,29 +575,29 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
function createFile() {
if (FULL_LOG === true) { logger.write("[INFO] start -> saveChannel -> createFile -> Entering function."); }
if (FULL_LOG === true) { logger.write("[INFO] start -> savePoint -> createFile -> Entering function."); }
let existingContent = [];
existingContent.push(lrcChannel);
existingContent.push(lrcPoint);
gaussStorage.createTextFile(filePath, fileName, JSON.stringify(existingContent), onFileCreated);
function onFileCreated(err) {
if (FULL_LOG === true) { logger.write("[INFO] start -> saveChannel -> onFileCreated -> Entering function."); }
if (FULL_LOG === true) { logger.write("[INFO] start -> savePoint -> onFileCreated -> Entering function."); }
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
logger.write("[ERROR] start -> saveChannel -> onFileCreated -> err = " + err.message);
logger.write("[ERROR] start -> savePoint -> onFileCreated -> err = " + err.message);
callBackFunction(err);
return;
}
if (LOG_FILE_CONTENT === true) {
logger.write("[INFO] start -> saveChannel -> onFileCreated -> Content written = " + JSON.stringify(existingContent));
logger.write("[INFO] start -> savePoint -> onFileCreated -> Content written = " + JSON.stringify(existingContent));
}
// We keep a record of the last candle used for the time period
lastCandles[n] = lrcChannel[0];
lastCandles[n] = lrcPoint[0];
controlLoop();
}
@@ -485,34 +605,34 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
function appendToFile(fileContent) {
if (FULL_LOG === true) { logger.write("[INFO] start -> saveChannel -> appendToFile -> Entering function."); }
if (FULL_LOG === true) { logger.write("[INFO] start -> savePoint -> appendToFile -> Entering function."); }
fileContent.push(lrcChannel);
fileContent.push(lrcPoint);
gaussStorage.createTextFile(filePath, fileName, JSON.stringify(fileContent), onExistingFileUpdated);
function onExistingFileUpdated(err) {
if (FULL_LOG === true) { logger.write("[INFO] start -> saveChannel -> onExistingFileUpdated -> Entering function."); }
if (FULL_LOG === true) { logger.write("[INFO] start -> savePoint -> onExistingFileUpdated -> Entering function."); }
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
logger.write("[ERROR] start -> saveChannel -> onExistingFileUpdated -> err = " + err.message);
logger.write("[ERROR] start -> savePoint -> onExistingFileUpdated -> err = " + err.message);
callBackFunction(err);
return;
}
if (LOG_FILE_CONTENT === true) {
logger.write("[INFO] start -> saveChannel -> onExistingFileUpdated -> Content written = " + JSON.stringify(fileContent));
logger.write("[INFO] start -> savePoint -> onExistingFileUpdated -> Content written = " + JSON.stringify(fileContent));
}
// We keep a record of the last candle used for the time period
lastCandles[n] = lrcChannel[0];
lastCandles[n] = lrcPoint[0];
controlLoop();
}
}
} catch (err) {
logger.write("[ERROR] start -> saveChannel -> err = " + err.message);
logger.write("[ERROR] start -> savePoint -> err = " + err.message);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
@@ -521,7 +641,7 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
function controlLoop() {
if (FULL_LOG === true) { logger.write("[INFO] start -> buildLRCChannels -> periodsLoop -> controlLoop -> Entering function."); }
if (FULL_LOG === true) { logger.write("[INFO] start -> buildLRCPoints -> periodsLoop -> controlLoop -> Entering function."); }
n++;
@@ -530,12 +650,80 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
loopBody();
} else {
writeStatusReport();
let lastOneMinuteCandle = lastCandles[10];
writeDataRange(lastOneMinuteCandle, onWritten);
function onWritten(err) {
if (FULL_LOG === true) { logger.write("[INFO] start -> buildLRCPoints -> periodsLoop -> controlLoop -> onWritten -> Entering function."); }
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
logger.write("[ERROR] writeDataRanges -> writeDataRanges -> onWritten -> err = " + err.message);
callBack(err);
return;
}
writeStatusReport();
}
}
}
}
function writeDataRange(lastOneMinuteCandle, callBack) {
try {
if (FULL_LOG === true) { logger.write("[INFO] start -> writeDataRange -> Entering function."); }
let dataRange = {
begin: 1522540800000,//TODO: 1424373300000,
end: lastOneMinuteCandle.valueOf()
};
let fileContentDataRange = JSON.stringify(dataRange);
let fileName = 'Data.Range.' + market.assetA + '_' + market.assetB + '.json';
let filePath = bot.filePathRoot + "/Output/LRC-Points/" + bot.process;
if (FULL_LOG === true) { logger.write("[INFO] start -> writeDataRange -> fileName = " + fileName); }
if (FULL_LOG === true) { logger.write("[INFO] start -> writeDataRange -> filePath = " + filePath); }
utilities.createFolderIfNeeded(filePath, gaussStorage, onFolderCreated);
function onFolderCreated(err) {
if (FULL_LOG === true) { logger.write("[INFO] start -> writeDataRange -> onFolderCreated -> Entering function."); }
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
logger.write("[ERROR] start -> writeDataRange -> onFolderCreated -> err = " + err.message);
callBack(err);
return;
}
gaussStorage.createTextFile(filePath, fileName, fileContentDataRange + '\n', onFileCreated);
function onFileCreated(err) {
if (FULL_LOG === true) { logger.write("[INFO] start -> writeDataRange -> onFolderCreated -> onFileCreated -> Entering function."); }
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
logger.write("[ERROR] start -> writeDataRange -> onFolderCreated -> onFileCreated -> err = " + err.message);
callBack(err);
return;
}
if (LOG_FILE_CONTENT === true) {
logger.write("[INFO] start -> writeDataRange -> onFolderCreated -> onFileCreated -> Content written = " + fileContentDataRange);
}
callBack(global.DEFAULT_OK_RESPONSE);
}
}
}
catch (err) {
logger.write("[ERROR] start -> writeDataRange -> err = " + err.message);
callBack(global.DEFAULT_FAIL_RESPONSE);
}
}
function writeStatusReport() {
@@ -571,10 +759,10 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
}
}
} catch (err) {
logger.write("[ERROR] start -> err = " + err.message);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
};
Multi-Period-Market/LRCIndicator.js
-112
View File
@@ -1,112 +0,0 @@
/*
* Linear regression curve. SRC: Gekko
*/
//var log = require('../../core/log');
var LRCIndicator = function(settings) {
this.input = 'price';
this.depth = settings;
this.result = false;
this.age = 0;
this.history = [];
this.x = [];
/*
* Do not use array(depth) as it might not be implemented
*/
for (var i = 0; i < this.depth; i++) {
this.history.push(0.0);
this.x.push(i);
}
// log.debug("Created LRC indicator with h: ", this.depth);
}
LRCIndicator.prototype.update = function(price) {
// We need sufficient history to get the right result.
if(this.result === false && this.age < this.depth) {
this.history[this.age] = price;
this.age++;
this.result = false;
// log.debug("Waiting for sufficient age: ", this.age, " out of ", this.depth);
return;
}
this.age++;
// shift history
for (var i = 0; i < (this.depth - 1); i++) {
this.history[i] = this.history[i+1];
}
this.history[this.depth-1] = price;
this.calculate(price);
// log.debug("Checking LRC: ", this.result.toFixed(8), "\tH: ", this.age);
return;
}
/*
* Least squares linear regression fitting.
*/
function linreg(values_x, values_y) {
var sum_x = 0;
var sum_y = 0;
var sum_xy = 0;
var sum_xx = 0;
var count = 0;
/*
* We'll use those variables for faster read/write access.
*/
var x = 0;
var y = 0;
var values_length = values_x.length;
if (values_length != values_y.length) {
throw new Error('The parameters values_x and values_y need to have same size!');
}
/*
* Nothing to do.
*/
if (values_length === 0) {
return [ [], [] ];
}
/*
* Calculate the sum for each of the parts necessary.
*/
for (var v = 0; v < values_length; v++) {
x = values_x[v];
y = values_y[v];
sum_x += x;
sum_y += y;
sum_xx += x*x;
sum_xy += x*y;
count++;
}
/*
* Calculate m and b for the formula: y = x * m + b
*
*/
var m = (count*sum_xy - sum_x*sum_y) / (count*sum_xx - sum_x*sum_x);
var b = (sum_y/count) - (m*sum_x)/count;
return [m, b];
}
/*
* Handle calculations
*/
LRCIndicator.prototype.calculate = function(price) {
// get the reg
var reg = linreg(this.x, this.history);
// y = a * x + b
this.result = ((this.depth-1) * reg[0]) + reg[1];
}
module.exports = LRCIndicator;
Multi-Period-Market/User.bot.js
+113 -4
View File
@@ -1,6 +1,4 @@
var LRCIndicator = require('./LRCIndicator');
exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE, BLOB_STORAGE, FILE_STORAGE) {
exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE, BLOB_STORAGE) {
const FULL_LOG = true;
const LOG_FILE_CONTENT = false;
const USE_PARTIAL_LAST_CANDLE = true; // When running live the last candle generated is a partial candle.
@@ -381,7 +379,7 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
if (FULL_LOG === true) { logger.write("[INFO] start -> saveChannel -> Entering function."); }
let fileContent;
let datePath = executionTime.getUTCFullYear() + "/" + utilities.pad(executionTime.getUTCMonth() + 1, 2) + "/" + utilities.pad(executionTime.getUTCDate(), 2);
let filePath = bot.filePathRoot + "/Output/LRC-Channel/Multi-Period-Daily/" + folderName + "/" + datePath;
let filePath = bot.filePathRoot + "/Output/LRC-Points/Multi-Period-Daily/" + folderName + "/" + datePath;
let fileName = market.assetA + '_' + market.assetB + ".json"
if (FULL_LOG === true) { logger.write("[INFO] start -> buildLRCChannels -> periodsLoop -> loopBody -> getCurrentContent -> fileName = " + fileName); }
@@ -578,3 +576,114 @@ exports.newUserBot = function newUserBot(BOT, COMMONS, UTILITIES, DEBUG_MODULE,
}
}
};
/*
* Linear regression curve. SRC: Gekko
*/
//var log = require('../../core/log');
var LRCIndicator = function (settings) {
this.input = 'price';
this.depth = settings;
this.result = false;
this.age = 0;
this.history = [];
this.x = [];
/*
* Do not use array(depth) as it might not be implemented
*/
for (var i = 0; i < this.depth; i++) {
this.history.push(0.0);
this.x.push(i);
}
// log.debug("Created LRC indicator with h: ", this.depth);
}
LRCIndicator.prototype.update = function (price) {
// We need sufficient history to get the right result.
if (this.result === false && this.age < this.depth) {
this.history[this.age] = price;
this.age++;
this.result = false;
// log.debug("Waiting for sufficient age: ", this.age, " out of ", this.depth);
return;
}
this.age++;
// shift history
for (var i = 0; i < (this.depth - 1); i++) {
this.history[i] = this.history[i + 1];
}
this.history[this.depth - 1] = price;
this.calculate(price);
// log.debug("Checking LRC: ", this.result.toFixed(8), "\tH: ", this.age);
return;
}
/*
* Least squares linear regression fitting.
*/
function linreg(values_x, values_y) {
var sum_x = 0;
var sum_y = 0;
var sum_xy = 0;
var sum_xx = 0;
var count = 0;
/*
* We'll use those variables for faster read/write access.
*/
var x = 0;
var y = 0;
var values_length = values_x.length;
if (values_length != values_y.length) {
throw new Error('The parameters values_x and values_y need to have same size!');
}
/*
* Nothing to do.
*/
if (values_length === 0) {
return [[], []];
}
/*
* Calculate the sum for each of the parts necessary.
*/
for (var v = 0; v < values_length; v++) {
x = values_x[v];
y = values_y[v];
sum_x += x;
sum_y += y;
sum_xx += x * x;
sum_xy += x * y;
count++;
}
/*
* Calculate m and b for the formula: y = x * m + b
*
*/
var m = (count * sum_xy - sum_x * sum_y) / (count * sum_xx - sum_x * sum_x);
var b = (sum_y / count) - (m * sum_x) / count;
return [m, b];
}
/*
* Handle calculations
*/
LRCIndicator.prototype.calculate = function (price) {
// get the reg
var reg = linreg(this.x, this.history);
// y = a * x + b
this.result = ((this.depth - 1) * reg[0]) + reg[1];
}
Project.njsproj
+2 -2
View File
@@ -15,6 +15,7 @@
<VisualStudioVersion Condition="'$(VisualStudioVersion)' == ''">14.0</VisualStudioVersion>
<VSToolsPath Condition="'$(VSToolsPath)' == ''">$(MSBuildExtensionsPath32)\Microsoft\VisualStudio\v$(VisualStudioVersion)</VSToolsPath>
<Name>Project</Name>
<StartWebBrowser>True</StartWebBrowser>
</PropertyGroup>
<PropertyGroup Condition="'$(Configuration)' == 'Debug'" />
<PropertyGroup Condition="'$(Configuration)' == 'Release'" />
@@ -23,8 +24,7 @@
<Compile Include="olds\Commons.js">
<SubType>Code</SubType>
</Compile>
<Compile Include="Multi-Period-Daily\LRCIndicator.js" />
<Compile Include="Multi-Period-Daily\User.bot.js" />
<Compile Include="Multi-Period-Daily\User.Bot.js" />
<Content Include="obj\Debug\AABruce.njsproj.FileListAbsolute.txt" />
<Content Include="obj\Debug\AACarol.njsproj.FileListAbsolute.txt" />
<Content Include="obj\Debug\AACharly.njsproj.FileListAbsolute.txt" />
package-lock.json
Generated
-670
View File
@@ -1,670 +0,0 @@
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"co": "4.6.0",
"fast-deep-equal": "1.0.0",
"fast-json-stable-stringify": "2.0.0",
"json-schema-traverse": "0.3.1"
}
},
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"version": "0.2.3",
"resolved": "https://registry.npmjs.org/asn1/-/asn1-0.2.3.tgz",
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},
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"version": "1.0.0",
"resolved": "https://registry.npmjs.org/assert-plus/-/assert-plus-1.0.0.tgz",
"integrity": "sha1-8S4PPF13sLHN2RRpQuTpbB5N1SU="
},
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"version": "0.4.0",
"resolved": "https://registry.npmjs.org/asynckit/-/asynckit-0.4.0.tgz",
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}
package.json
+13
View File
@@ -0,0 +1,13 @@
{
"name": "AAGauss",
"version": "1.0.0",
"description": "",
"main": "index.js",
"scripts": {
"test": "echo \"Error: no test specified\" && exit 1"
},
"author": "Matias-Benitez",
"license": "ISC",
"dependencies": {
}
}
this.bot.config.json
+27 -23
View File
@@ -7,38 +7,38 @@
"minor": 0,
"patch": 0
},
"devTeam": "AAMasters",
"devTeam": "AAVikings",
"dataSetVersion": "dataSet.V1",
"processes": [
{
"name": "Multi-Period-Daily",
"description": "Produces files with the LRC Channel on a daily format.",
"description": "Produces files with the LRC Points on a daily format.",
"startMode": {
"allMonths": {
"run": "false",
"minYear": "",
"maxYear": ""
"run": "false",
"minYear": "",
"maxYear": ""
},
"oneMonth": {
"run": "false",
"year": "",
"month": ""
"run": "false",
"year": "",
"month": ""
},
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"run": "true"
"run": "true"
},
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"interval": 0
"run": "false",
"interval": 0
}
},
"normalWaitTime": 100,
},
"normalWaitTime": 50,
"retryWaitTime": 10000,
"sleepWaitTime": 3600000,
"comaWaitTime": 86400000,
"statusDependencies": [
{
"devTeam": "AAMasters",
"devTeam": "AAVikings",
"bot": "AAGauss",
"botVersion": {
"major": 1,
@@ -62,8 +62,8 @@
],
"products": [
{
"codeName": "LRCChannel",
"displayName": "LRCChannel",
"codeName": "LRCPoints",
"displayName": "LRCPoints",
"description": "Two sets of files per period that contains LRC points.",
"storageAccount": "aagauss",
"dataSets": [
@@ -71,8 +71,12 @@
"codeName": "Multi-Period-Daily",
"type": "Daily Files",
"validPeriods": [ "45-min", "40-min", "30-min", "20-min", "15-min", "10-min", "05-min", "04-min", "03-min", "02-min", "01-min" ],
"filePath": "AAMasters/AAGauss.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/LRC-Channel/Multi-Period-Daily/@Period/@Year/@Month/@Day",
"fileName": "@AssetA_@AssetB.json"
"filePath": "AAVikings/AAGauss.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/LRC-Points/Multi-Period-Daily/@Period/@Year/@Month/@Day",
"fileName": "@AssetA_@AssetB.json",
"dataRange": {
"filePath": "AAVikings/AAGauss.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/LRC-Points/Multi-Period-Daily",
"fileName": "Data.Range.@AssetA_@AssetB.json"
}
}
],
"exchangeList": [
@@ -80,11 +84,11 @@
"name": "Poloniex"
}
],
"plotter": {
"devTeam": "AAMasters",
"codeName": "PlotterLinearRegressionCurve",
"moduleName": "LRC"
}
"plotter": {
"devTeam": "AAVikings",
"codeName": "PlotterLinearRegressionCurve",
"moduleName": "LRC"
}
}
]