Move functions to trading system
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Luis Fernando Molina committed
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@@ -297,9 +297,10 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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tradingSystemModule.initialize(chart)
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tradingSystemModule.evalConditions()
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tradingSystemModule.evalFormulas()
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tradingSystemModule.finalize()
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/* Trigger On Conditions */
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/* Checks for Minimun and Maximun Balance. We do the check while not inside any strategy only. */
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if (
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tradingEngine.current.strategy.stageType.value === 'No Stage' &&
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tradingEngine.current.strategy.index.value === -1
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@@ -317,7 +318,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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minimumBalance = sessionParameters.sessionBaseAsset.config.minimumBalance
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maximumBalance = sessionParameters.sessionBaseAsset.config.maximumBalance
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} else {
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balance = variable.current.balance.quotedAsset
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balance = tradingEngine.current.balance.quotedAsset.value
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minimumBalance = sessionParameters.sessionQuotedAsset.config.minimumBalance
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maximumBalance = sessionParameters.sessionQuotedAsset.config.maximumBalance
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}
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@@ -336,162 +337,12 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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afterLoop()
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return
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}
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/*
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Here we need to pick a strategy, or if there is not suitable strategy for the current
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market conditions, we pass until the next period.
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To pick a new strategy we will evaluate what we call the trigger on. Once we enter
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into one strategy, we will ignore market conditions for others. However there is also
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a strategy trigger off which can be hit before taking a position. If hit, we would
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be outside a strategy again and looking for the condition to enter all over again.
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*/
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for (let j = 0; j < tradingSystem.strategies.length; j++) {
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if ( // If a strategy was already picked during the loop, we exit it
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tradingEngine.current.strategy.stageType.value !== 'No Stage' ||
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tradingEngine.current.strategy.index.value !== -1
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) { continue }
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let strategy = tradingSystem.strategies[j]
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let triggerStage = strategy.triggerStage
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if (triggerStage !== undefined) {
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if (triggerStage.triggerOn !== undefined) {
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for (let k = 0; k < triggerStage.triggerOn.situations.length; k++) {
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let situation = triggerStage.triggerOn.situations[k]
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let passed
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if (situation.conditions.length > 0) {
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passed = true
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}
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for (let m = 0; m < situation.conditions.length; m++) {
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let condition = situation.conditions[m]
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let value = false
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if (conditions.get(condition.id) !== undefined) {
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value = conditions.get(condition.id).value
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}
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if (value === false) { passed = false }
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}
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if (passed) {
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tradingEngine.current.strategy.stageType.value = 'Trigger Stage'
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checkAnnouncements(triggerStage)
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tradingEngine.current.strategy.index.value = j
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tradingEngine.current.strategy.begin.value = candle.begin
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tradingEngine.current.strategy.beginRate.value = candle.min
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tradingEngine.current.strategy.endRate.value = candle.min // In case the strategy does not get exited
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tradingEngine.current.strategy.situationName.value = situation.name
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tradingEngine.current.strategy.strategyName.value = strategy.name
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tradingEngine.current.distanceToEvent.triggerOn.value = 1
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checkAnnouncements(triggerStage.triggerOn)
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saveAsLastTriggerOnSnapshot = true
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Entering into Strategy: ' + strategy.name) }
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break
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}
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}
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}
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}
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}
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}
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/* Trigger Off Condition */
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if (tradingEngine.current.strategy.stageType.value === 'Trigger Stage') {
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let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
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let triggerStage = strategy.triggerStage
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if (triggerStage !== undefined) {
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if (triggerStage.triggerOff !== undefined) {
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for (let k = 0; k < triggerStage.triggerOff.situations.length; k++) {
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let situation = triggerStage.triggerOff.situations[k]
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let passed
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if (situation.conditions.length > 0) {
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passed = true
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}
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for (let m = 0; m < situation.conditions.length; m++) {
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let condition = situation.conditions[m]
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let value = false
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if (conditions.get(condition.id) !== undefined) {
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value = conditions.get(condition.id).value
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}
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if (value === false) { passed = false }
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}
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if (passed) {
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tradingEngine.current.strategy.end.value = candle.end
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tradingEngine.current.strategy.endRate.value = candle.min
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tradingEngine.current.strategy.status.value = 'Closed'
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tradingEngine.current.strategy.stageType.value = 'No Stage'
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tradingEngine.current.strategy.index.value = -1
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tradingEngine.current.distanceToEvent.triggerOff.value = 1
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checkAnnouncements(triggerStage.triggerOff)
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Exiting Strategy: ' + strategy.name) }
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break
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}
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}
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}
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}
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}
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/* Take Position Condition */
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if (tradingEngine.current.strategy.stageType.value === 'Trigger Stage') {
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let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
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let triggerStage = strategy.triggerStage
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if (triggerStage !== undefined) {
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if (triggerStage.takePosition !== undefined) {
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for (let k = 0; k < triggerStage.takePosition.situations.length; k++) {
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let situation = triggerStage.takePosition.situations[k]
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let passed
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if (situation.conditions.length > 0) {
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passed = true
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}
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for (let m = 0; m < situation.conditions.length; m++) {
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let condition = situation.conditions[m]
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let value = false
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if (conditions.get(condition.id) !== undefined) {
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value = conditions.get(condition.id).value
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}
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if (value === false) { passed = false }
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}
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if (passed) {
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tradingEngine.current.strategy.stageType.value = 'Open Stage'
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checkAnnouncements(strategy.openStage)
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variable.current.position.stopLoss.stage = 'Open Stage'
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variable.current.position.takeProfit.stage = 'Open Stage'
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variable.current.position.stopLoss.phase = 0
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variable.current.position.takeProfit.phase = 0
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takePositionNow = true
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variable.current.position.situationName = situation.name
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checkAnnouncements(triggerStage.takePosition)
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saveAsLastTakePositionSnapshot = true
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Conditions at the Take Position Event were met.') }
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break
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}
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}
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}
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}
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}
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tradingSystemModule.checkTriggerOn()
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tradingSystemModule.checkTriggerOff()
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tradingSystemModule.checkTakePosition()
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tradingSystemModule.finalize()
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/* Stop Loss Management */
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if (
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@@ -513,22 +364,22 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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let initialDefinitionKey = ''
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let p
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if (variable.current.position.stopLoss.stage === 'Open Stage' && openStage !== undefined) {
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if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Open Stage' && openStage !== undefined) {
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if (openStage.initialDefinition !== undefined) {
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if (openStage.initialDefinition.stopLoss !== undefined) {
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parentNode = openStage.initialDefinition
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initialDefinitionKey = '-' + 'initialDefinition'
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stageKey = 'openStage'
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p = variable.current.position.stopLoss.phase
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p = tradingEngine.current.position.stopLoss.stopLossPhase.value
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}
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}
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}
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if (variable.current.position.stopLoss.stage === 'Manage Stage' && manageStage !== undefined) {
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if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Manage Stage' && manageStage !== undefined) {
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if (manageStage.stopLoss !== undefined) {
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parentNode = manageStage
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stageKey = 'manageStage'
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p = variable.current.position.stopLoss.phase - 1
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p = tradingEngine.current.position.stopLoss.stopLossPhase.value - 1
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}
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}
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@@ -558,9 +409,9 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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}
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if (passed) {
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variable.current.position.stopLoss.phase++
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variable.current.position.stopLoss.stage = 'Manage Stage'
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if (variable.current.position.takeProfit.phase > 0) {
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tradingEngine.current.position.stopLoss.stopLossPhase.value++
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tradingEngine.current.position.stopLoss.stopLossStage.value = 'Manage Stage'
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if (tradingEngine.current.position.takeProfit.takeProfitPhase.value > 0) {
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tradingEngine.current.strategy.stageType.value = 'Manage Stage'
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checkAnnouncements(manageStage, 'Take Profit')
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}
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@@ -601,7 +452,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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if (moveToPhase !== undefined) {
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for (let q = 0; q < parentNode.stopLoss.phases.length; q++) {
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if (parentNode.stopLoss.phases[q].id === moveToPhase.id) {
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variable.current.position.stopLoss.phase = q + 1
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tradingEngine.current.position.stopLoss.stopLossPhase.value = q + 1
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}
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}
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} else {
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@@ -609,8 +460,8 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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continue
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}
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variable.current.position.stopLoss.stage = 'Manage Stage'
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if (variable.current.position.takeProfit.phase > 0) {
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tradingEngine.current.position.stopLoss.stopLossStage.value = 'Manage Stage'
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if (tradingEngine.current.position.takeProfit.takeProfitPhase.value > 0) {
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tradingEngine.current.strategy.stageType.value = 'Manage Stage'
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checkAnnouncements(manageStage, 'Take Profit')
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}
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@@ -631,30 +482,30 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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let phase
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let key
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if (variable.current.position.stopLoss.stage === 'Open Stage' && openStage !== undefined) {
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if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Open Stage' && openStage !== undefined) {
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if (openStage.initialDefinition !== undefined) {
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if (openStage.initialDefinition.stopLoss !== undefined) {
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phase = openStage.initialDefinition.stopLoss.phases[variable.current.position.stopLoss.phase]
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key = tradingEngine.current.strategy.index.value + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'stopLoss' + '-' + (variable.current.position.stopLoss.phase)
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phase = openStage.initialDefinition.stopLoss.phases[tradingEngine.current.position.stopLoss.stopLossPhase.value]
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key = tradingEngine.current.strategy.index.value + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'stopLoss' + '-' + (tradingEngine.current.position.stopLoss.stopLossPhase.value)
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}
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}
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}
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if (variable.current.position.stopLoss.stage === 'Manage Stage' && manageStage !== undefined) {
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if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Manage Stage' && manageStage !== undefined) {
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if (manageStage.stopLoss !== undefined) {
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phase = manageStage.stopLoss.phases[variable.current.position.stopLoss.phase - 1]
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key = tradingEngine.current.strategy.index.value + '-' + 'manageStage' + '-' + 'stopLoss' + '-' + (variable.current.position.stopLoss.phase - 1)
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phase = manageStage.stopLoss.phases[tradingEngine.current.position.stopLoss.stopLossPhase.value - 1]
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key = tradingEngine.current.strategy.index.value + '-' + 'manageStage' + '-' + 'stopLoss' + '-' + (tradingEngine.current.position.stopLoss.stopLossPhase.value - 1)
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}
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}
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if (phase !== undefined) {
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if (phase.formula !== undefined) {
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let previousValue = variable.current.position.stopLoss.value
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let previousValue = tradingEngine.current.position.stopLoss.value
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variable.current.position.stopLoss.value = formulas.get(key)
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tradingEngine.current.position.stopLoss.value = formulas.get(key)
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if (variable.current.position.stopLoss.value !== previousValue) {
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checkAnnouncements(phase, variable.current.position.stopLoss.value)
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if (tradingEngine.current.position.stopLoss.value !== previousValue) {
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checkAnnouncements(phase, tradingEngine.current.position.stopLoss.value)
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}
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}
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}
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@@ -680,22 +531,22 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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let initialDefinitionKey = ''
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let p
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if (variable.current.position.takeProfit.stage === 'Open Stage' && openStage !== undefined) {
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if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Open Stage' && openStage !== undefined) {
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if (openStage.initialDefinition !== undefined) {
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if (openStage.initialDefinition.takeProfit !== undefined) {
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parentNode = openStage.initialDefinition
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initialDefinitionKey = '-' + 'initialDefinition'
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stageKey = 'openStage'
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p = variable.current.position.takeProfit.phase
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p = tradingEngine.current.position.takeProfit.takeProfitPhase.value
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}
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}
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}
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if (variable.current.position.takeProfit.stage === 'Manage Stage' && manageStage !== undefined) {
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if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Manage Stage' && manageStage !== undefined) {
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if (manageStage.takeProfit !== undefined) {
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parentNode = manageStage
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stageKey = 'manageStage'
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p = variable.current.position.takeProfit.phase - 1
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p = tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1
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}
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}
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@@ -726,9 +577,9 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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}
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if (passed) {
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variable.current.position.takeProfit.phase++
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variable.current.position.takeProfit.stage = 'Manage Stage'
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if (variable.current.position.stopLoss.phase > 0) {
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tradingEngine.current.position.takeProfit.takeProfitPhase.value++
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tradingEngine.current.position.takeProfit.takeProfitStage.value = 'Manage Stage'
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if (tradingEngine.current.position.stopLoss.stopLossPhase.value > 0) {
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tradingEngine.current.strategy.stageType.value = 'Manage Stage'
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checkAnnouncements(manageStage, 'Stop')
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}
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@@ -769,7 +620,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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if (moveToPhase !== undefined) {
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for (let q = 0; q < parentNode.takeProfit.phases.length; q++) {
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if (parentNode.takeProfit.phases[q].id === moveToPhase.id) {
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variable.current.position.takeProfit.phase = q + 1
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tradingEngine.current.position.takeProfit.takeProfitPhase.value = q + 1
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}
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}
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} else {
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@@ -777,8 +628,8 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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continue
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}
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variable.current.position.takeProfit.stage = 'Manage Stage'
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if (variable.current.position.stopLoss.phase > 0) {
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tradingEngine.current.position.takeProfit.takeProfitStage.value = 'Manage Stage'
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if (tradingEngine.current.position.stopLoss.stopLossPhase.value > 0) {
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tradingEngine.current.strategy.stageType.value = 'Manage Stage'
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checkAnnouncements(manageStage, 'Stop')
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}
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@@ -799,30 +650,30 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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let phase
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let key
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if (variable.current.position.takeProfit.stage === 'Open Stage' && openStage !== undefined) {
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if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Open Stage' && openStage !== undefined) {
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if (openStage.initialDefinition !== undefined) {
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if (openStage.initialDefinition.takeProfit !== undefined) {
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phase = openStage.initialDefinition.takeProfit.phases[variable.current.position.takeProfit.phase]
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key = tradingEngine.current.strategy.index.value + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'takeProfit' + '-' + (variable.current.position.takeProfit.phase)
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phase = openStage.initialDefinition.takeProfit.phases[tradingEngine.current.position.takeProfit.takeProfitPhase.value]
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key = tradingEngine.current.strategy.index.value + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'takeProfit' + '-' + (tradingEngine.current.position.takeProfit.takeProfitPhase.value)
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}
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}
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}
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if (variable.current.position.takeProfit.stage === 'Manage Stage' && manageStage !== undefined) {
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if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Manage Stage' && manageStage !== undefined) {
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if (manageStage.takeProfit !== undefined) {
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phase = manageStage.takeProfit.phases[variable.current.position.takeProfit.phase - 1]
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key = tradingEngine.current.strategy.index.value + '-' + 'manageStage' + '-' + 'takeProfit' + '-' + (variable.current.position.takeProfit.phase - 1)
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phase = manageStage.takeProfit.phases[tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1]
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key = tradingEngine.current.strategy.index.value + '-' + 'manageStage' + '-' + 'takeProfit' + '-' + (tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1)
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}
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}
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if (phase !== undefined) {
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if (phase.formula !== undefined) {
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let previousValue = variable.current.position.stopLoss.value
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let previousValue = tradingEngine.current.position.stopLoss.value
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variable.current.position.takeProfit.value = formulas.get(key)
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tradingEngine.current.position.takeProfit.value = formulas.get(key)
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if (variable.current.position.takeProfit.value !== previousValue) {
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checkAnnouncements(phase, variable.current.position.takeProfit.value)
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if (tradingEngine.current.position.takeProfit.value !== previousValue) {
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checkAnnouncements(phase, tradingEngine.current.position.takeProfit.value)
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}
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}
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}
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@@ -833,14 +684,14 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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(tradingEngine.current.strategy.stageType.value === 'Open Stage' || tradingEngine.current.strategy.stageType.value === 'Manage Stage')
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) {
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if (takePositionNow === true) {
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variable.current.position.count.periods = 0
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tradingEngine.current.position.positionCounters.periods.value = 0
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}
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variable.current.position.count.periods++
|
||||
variable.current.position.stat.days = variable.current.position.count.periods * sessionParameters.timeFrame.config.value / ONE_DAY_IN_MILISECONDS
|
||||
tradingEngine.current.position.positionCounters.periods.value++
|
||||
tradingEngine.current.position.positionStatistics.days.value = tradingEngine.current.position.positionCounters.periods.value * sessionParameters.timeFrame.config.value / ONE_DAY_IN_MILISECONDS
|
||||
} else {
|
||||
variable.current.position.count.periods = 0
|
||||
variable.current.position.stat.days = 0
|
||||
tradingEngine.current.position.positionCounters.periods.value = 0
|
||||
tradingEngine.current.position.positionStatistics.days.value = 0
|
||||
}
|
||||
|
||||
/* Keeping Distance Counters Up-to-date */
|
||||
@@ -857,15 +708,15 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
}
|
||||
|
||||
if (
|
||||
variable.current.distance.toEvent.takePosition > 0 // with this we avoind counting before the first event happens.
|
||||
tradingEngine.current.distanceToEvent.takePosition.value > 0 // with this we avoind counting before the first event happens.
|
||||
) {
|
||||
variable.current.distance.toEvent.takePosition++
|
||||
tradingEngine.current.distanceToEvent.takePosition.value++
|
||||
}
|
||||
|
||||
if (
|
||||
variable.current.distance.toEvent.closePosition > 0 // with this we avoind counting before the first event happens.
|
||||
tradingEngine.current.distanceToEvent.closePosition.value > 0 // with this we avoind counting before the first event happens.
|
||||
) {
|
||||
variable.current.distance.toEvent.closePosition++
|
||||
tradingEngine.current.distanceToEvent.closePosition.value++
|
||||
}
|
||||
|
||||
/* Checking if Stop or Take Profit were hit */
|
||||
@@ -880,7 +731,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
|
||||
/* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */
|
||||
|
||||
if ((sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset && candle.max >= variable.current.position.stopLoss.value) || (sessionParameters.sessionBaseAsset.name !== bot.market.marketBaseAsset && candle.min <= variable.current.position.stopLoss.value)) {
|
||||
if ((sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset && candle.max >= tradingEngine.current.position.stopLoss.value) || (sessionParameters.sessionBaseAsset.name !== bot.market.marketBaseAsset && candle.min <= tradingEngine.current.position.stopLoss.value)) {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Stop Loss was hit.') }
|
||||
/*
|
||||
Hit Point Validation
|
||||
@@ -890,16 +741,16 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
*/
|
||||
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
if (variable.current.position.stopLoss.value < candle.min) {
|
||||
variable.current.position.stopLoss.value = candle.min
|
||||
if (tradingEngine.current.position.stopLoss.value < candle.min) {
|
||||
tradingEngine.current.position.stopLoss.value = candle.min
|
||||
}
|
||||
} else {
|
||||
if (variable.current.position.stopLoss.value > candle.max) {
|
||||
variable.current.position.stopLoss.value = candle.max
|
||||
if (tradingEngine.current.position.stopLoss.value > candle.max) {
|
||||
tradingEngine.current.position.stopLoss.value = candle.max
|
||||
}
|
||||
}
|
||||
|
||||
let slippedStopLoss = variable.current.position.stopLoss.value
|
||||
let slippedStopLoss = tradingEngine.current.position.stopLoss.value
|
||||
|
||||
/* Apply the Slippage */
|
||||
let slippageAmount = slippedStopLoss * bot.VALUES_TO_USE.slippage.stopLoss / 100
|
||||
@@ -915,8 +766,8 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
tradingEngine.current.strategy.stageType.value = 'Close Stage'
|
||||
checkAnnouncements(strategy.closeStage, 'Stop')
|
||||
|
||||
variable.current.position.stopLoss.stage = 'No Stage'
|
||||
variable.current.position.takeProfit.stage = 'No Stage'
|
||||
tradingEngine.current.position.stopLoss.stopLossStage.value = 'No Stage'
|
||||
tradingEngine.current.position.takeProfit.takeProfitStage.value = 'No Stage'
|
||||
variable.current.position.end = candle.end
|
||||
variable.current.position.status = 1
|
||||
variable.current.position.exitType = 1
|
||||
@@ -927,7 +778,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
|
||||
/* Take Profit condition: Here we verify if the Take Profit was hit or not. */
|
||||
|
||||
if ((sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset && candle.min <= variable.current.position.takeProfit.value) || (sessionParameters.sessionBaseAsset.name !== bot.market.marketBaseAsset && candle.max >= variable.current.position.takeProfit.value)) {
|
||||
if ((sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset && candle.min <= tradingEngine.current.position.takeProfit.value) || (sessionParameters.sessionBaseAsset.name !== bot.market.marketBaseAsset && candle.max >= tradingEngine.current.position.takeProfit.value)) {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Take Profit was hit.') }
|
||||
/*
|
||||
Hit Point Validation:
|
||||
@@ -937,16 +788,16 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
*/
|
||||
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
if (variable.current.position.takeProfit.value > candle.max) {
|
||||
variable.current.position.takeProfit.value = candle.max
|
||||
if (tradingEngine.current.position.takeProfit.value > candle.max) {
|
||||
tradingEngine.current.position.takeProfit.value = candle.max
|
||||
}
|
||||
} else {
|
||||
if (variable.current.position.takeProfit.value < candle.min) {
|
||||
variable.current.position.takeProfit.value = candle.min
|
||||
if (tradingEngine.current.position.takeProfit.value < candle.min) {
|
||||
tradingEngine.current.position.takeProfit.value = candle.min
|
||||
}
|
||||
}
|
||||
|
||||
let slippedTakeProfit = variable.current.position.takeProfit.value
|
||||
let slippedTakeProfit = tradingEngine.current.position.takeProfit.value
|
||||
/* Apply the Slippage */
|
||||
let slippageAmount = slippedTakeProfit * bot.VALUES_TO_USE.slippage.takeProfit / 100
|
||||
|
||||
@@ -961,8 +812,8 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
tradingEngine.current.strategy.stageType.value = 'Close Stage'
|
||||
checkAnnouncements(strategy.closeStage, 'Take Profit')
|
||||
|
||||
variable.current.position.stopLoss.stage = 'No Stage'
|
||||
variable.current.position.takeProfit.stage = 'No Stage'
|
||||
tradingEngine.current.position.stopLoss.stopLossStage.value = 'No Stage'
|
||||
tradingEngine.current.position.takeProfit.takeProfitStage.value = 'No Stage'
|
||||
|
||||
variable.current.position.end = candle.end
|
||||
variable.current.position.status = 1
|
||||
@@ -982,7 +833,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> takePositionNow -> Entering code block.') }
|
||||
|
||||
/* Inicializing this counter */
|
||||
variable.current.distance.toEvent.takePosition = 1
|
||||
tradingEngine.current.distanceToEvent.takePosition.value = 1
|
||||
|
||||
/* Position size and rate */
|
||||
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
|
||||
@@ -1189,7 +1040,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
calculateStopLoss()
|
||||
|
||||
variable.previous.balance.baseAsset = tradingEngine.current.balance.baseAsset.value
|
||||
variable.previous.balance.quotedAsset = variable.current.balance.quotedAsset
|
||||
variable.previous.balance.quotedAsset = tradingEngine.current.balance.quotedAsset.value
|
||||
|
||||
variable.last.position.profitLoss = 0
|
||||
variable.last.position.ROI = 0
|
||||
@@ -1199,13 +1050,13 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
feePaid = variable.current.position.size * variable.current.position.rate * bot.VALUES_TO_USE.feeStructure.taker / 100
|
||||
|
||||
variable.current.balance.quotedAsset = variable.current.balance.quotedAsset + variable.current.position.size * variable.current.position.rate - feePaid
|
||||
tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + variable.current.position.size * variable.current.position.rate - feePaid
|
||||
tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value - variable.current.position.size
|
||||
} else {
|
||||
feePaid = variable.current.position.size / variable.current.position.rate * bot.VALUES_TO_USE.feeStructure.taker / 100
|
||||
|
||||
tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + variable.current.position.size / variable.current.position.rate - feePaid
|
||||
variable.current.balance.quotedAsset = variable.current.balance.quotedAsset - variable.current.position.size
|
||||
tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value - variable.current.position.size
|
||||
}
|
||||
|
||||
addRecords()
|
||||
@@ -1221,7 +1072,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
closePositionNow = false
|
||||
|
||||
/* Inicializing this counter */
|
||||
variable.current.distance.toEvent.closePosition = 1
|
||||
tradingEngine.current.distanceToEvent.closePosition.value = 1
|
||||
|
||||
/* Position size and rate */
|
||||
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
|
||||
@@ -1293,8 +1144,8 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
|
||||
orderPrice = ticker.last + 100 // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff.
|
||||
|
||||
amountA = variable.current.balance.quotedAsset
|
||||
amountB = variable.current.balance.quotedAsset / orderPrice
|
||||
amountA = tradingEngine.current.balance.quotedAsset.value
|
||||
amountB = tradingEngine.current.balance.quotedAsset.value / orderPrice
|
||||
} else {
|
||||
orderSide = 'sell'
|
||||
|
||||
@@ -1362,20 +1213,20 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
let feePaid = 0
|
||||
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
strategy.positionSize = variable.current.balance.quotedAsset / closeRate
|
||||
strategy.positionSize = tradingEngine.current.balance.quotedAsset.value / closeRate
|
||||
strategy.positionRate = closeRate
|
||||
|
||||
feePaid = variable.current.balance.quotedAsset / closeRate * bot.VALUES_TO_USE.feeStructure.taker / 100
|
||||
feePaid = tradingEngine.current.balance.quotedAsset.value / closeRate * bot.VALUES_TO_USE.feeStructure.taker / 100
|
||||
|
||||
tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + variable.current.balance.quotedAsset / closeRate - feePaid
|
||||
variable.current.balance.quotedAsset = 0
|
||||
tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + tradingEngine.current.balance.quotedAsset.value / closeRate - feePaid
|
||||
tradingEngine.current.balance.quotedAsset.value = 0
|
||||
} else {
|
||||
strategy.positionSize = tradingEngine.current.balance.baseAsset.value * closeRate
|
||||
strategy.positionRate = closeRate
|
||||
|
||||
feePaid = tradingEngine.current.balance.baseAsset.value * closeRate * bot.VALUES_TO_USE.feeStructure.taker / 100
|
||||
|
||||
variable.current.balance.quotedAsset = variable.current.balance.quotedAsset + tradingEngine.current.balance.baseAsset.value * closeRate - feePaid
|
||||
tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + tradingEngine.current.balance.baseAsset.value * closeRate - feePaid
|
||||
tradingEngine.current.balance.baseAsset.value = 0
|
||||
}
|
||||
|
||||
@@ -1385,10 +1236,10 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
if (isNaN(variable.last.position.ROI)) { variable.last.position.ROI = 0 }
|
||||
variable.episode.stat.profitLoss = tradingEngine.current.balance.baseAsset.value - variable.episode.parameters.initial.balance.baseAsset
|
||||
} else {
|
||||
variable.last.position.profitLoss = variable.current.balance.quotedAsset - variable.previous.balance.quotedAsset
|
||||
variable.last.position.profitLoss = tradingEngine.current.balance.quotedAsset.value - variable.previous.balance.quotedAsset
|
||||
variable.last.position.ROI = variable.last.position.profitLoss * 100 / variable.current.position.size
|
||||
if (isNaN(variable.last.position.ROI)) { variable.last.position.ROI = 0 }
|
||||
variable.episode.stat.profitLoss = variable.current.balance.quotedAsset - variable.episode.parameters.initial.balance.quotedAsset
|
||||
variable.episode.stat.profitLoss = tradingEngine.current.balance.quotedAsset.value - variable.episode.parameters.initial.balance.quotedAsset
|
||||
}
|
||||
|
||||
variable.current.position.stat.ROI = variable.last.position.ROI
|
||||
@@ -1411,17 +1262,17 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
|
||||
addRecords()
|
||||
|
||||
variable.current.position.stopLoss.value = 0
|
||||
variable.current.position.takeProfit.value = 0
|
||||
tradingEngine.current.position.stopLoss.value = 0
|
||||
tradingEngine.current.position.takeProfit.value = 0
|
||||
|
||||
variable.current.position.rate = 0
|
||||
variable.current.position.size = 0
|
||||
|
||||
timerToCloseStage = candle.begin
|
||||
variable.current.position.stopLoss.stage = 'No Stage'
|
||||
variable.current.position.takeProfit.stage = 'No Stage'
|
||||
variable.current.position.stopLoss.phase = -1
|
||||
variable.current.position.takeProfit.phase = -1
|
||||
tradingEngine.current.position.stopLoss.stopLossStage.value = 'No Stage'
|
||||
tradingEngine.current.position.takeProfit.takeProfitStage.value = 'No Stage'
|
||||
tradingEngine.current.position.stopLoss.stopLossPhase.value = -1
|
||||
tradingEngine.current.position.takeProfit.takeProfitPhase.value = -1
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> closePositionAtSimulation -> Exiting Loop Body after closing position at simulation.') }
|
||||
controlLoop()
|
||||
@@ -1491,7 +1342,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
(new Date(candle.begin)).toISOString(), // Datetime
|
||||
tradingSystem.strategies[tradingEngine.current.strategy.index.value].name, // Strategy Name
|
||||
tradingEngine.current.strategy.situationName.value, // Trigger On Situation
|
||||
variable.current.position.situationName, // Take Position Situation
|
||||
tradingEngine.current.position.situationName.value, // Take Position Situation
|
||||
hitOrFial(), // Result
|
||||
variable.last.position.ROI, // ROI
|
||||
exitType() // Exit Type
|
||||
@@ -1532,18 +1383,18 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
tradingEngine.current.balance.baseAsset.value = Number.MAX_SAFE_INTEGER
|
||||
}
|
||||
|
||||
if (variable.current.balance.quotedAsset === Infinity) {
|
||||
variable.current.balance.quotedAsset = Number.MAX_SAFE_INTEGER
|
||||
if (tradingEngine.current.balance.quotedAsset.value === Infinity) {
|
||||
tradingEngine.current.balance.quotedAsset.value = Number.MAX_SAFE_INTEGER
|
||||
}
|
||||
|
||||
simulationRecord = [
|
||||
candle.begin,
|
||||
candle.end,
|
||||
tradingEngine.current.balance.baseAsset.value,
|
||||
variable.current.balance.quotedAsset,
|
||||
tradingEngine.current.balance.quotedAsset.value,
|
||||
variable.episode.stat.profitLoss,
|
||||
variable.last.position.profitLoss,
|
||||
variable.current.position.stopLoss.value,
|
||||
tradingEngine.current.position.stopLoss.value,
|
||||
variable.episode.count.positions,
|
||||
variable.episode.count.hits,
|
||||
variable.episode.count.fails,
|
||||
@@ -1554,9 +1405,9 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
variable.episode.stat.anualizedRateOfReturn,
|
||||
variable.current.position.rate,
|
||||
variable.last.position.ROI,
|
||||
variable.current.position.takeProfit.value,
|
||||
variable.current.position.stopLoss.phase,
|
||||
variable.current.position.takeProfit.phase,
|
||||
tradingEngine.current.position.takeProfit.value,
|
||||
tradingEngine.current.position.stopLoss.stopLossPhase.value,
|
||||
tradingEngine.current.position.takeProfit.takeProfitPhase.value,
|
||||
variable.current.position.size,
|
||||
variable.episode.parameters.initial.balance.baseAsset,
|
||||
sessionParameters.sessionBaseAsset.config.minimumBalance,
|
||||
@@ -1568,8 +1419,8 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
'"' + variable.episode.parameters.quotedAsset + '"',
|
||||
'"' + bot.market.marketBaseAsset + '"',
|
||||
'"' + variable.episode.parameters.marketQuotedAsset + '"',
|
||||
variable.current.position.count.periods,
|
||||
variable.current.position.stat.days
|
||||
tradingEngine.current.position.positionCounters.periods.value,
|
||||
tradingEngine.current.position.positionStatistics.days.value
|
||||
]
|
||||
|
||||
recordsArray.push(simulationRecord)
|
||||
@@ -1581,8 +1432,8 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
candle.begin,
|
||||
candle.end,
|
||||
tradingEngine.current.strategy.index.value,
|
||||
variable.current.position.stopLoss.phase,
|
||||
variable.current.position.takeProfit.phase,
|
||||
tradingEngine.current.position.stopLoss.stopLossPhase.value,
|
||||
tradingEngine.current.position.takeProfit.takeProfitPhase.value,
|
||||
conditionsValues,
|
||||
formulasErrors,
|
||||
formulasValues
|
||||
@@ -1653,7 +1504,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
variable.current.position.beginRate,
|
||||
variable.current.position.endRate,
|
||||
variable.current.position.exitType,
|
||||
'"' + variable.current.position.situationName + '"'
|
||||
'"' + tradingEngine.current.position.situationName.value + '"'
|
||||
]
|
||||
|
||||
positionsArray.push(positionRecord)
|
||||
|
||||
@@ -6,6 +6,9 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
|
||||
let thisObject = {
|
||||
evalConditions: evalConditions,
|
||||
evalFormulas: evalFormulas,
|
||||
checkTriggerOn: checkTriggerOn,
|
||||
checkTriggerOff: checkTriggerOff,
|
||||
checkTakePosition: checkTakePosition,
|
||||
initialize: initialize,
|
||||
finalize: finalize
|
||||
}
|
||||
@@ -179,5 +182,183 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] evalFormula -> value = ' + value) }
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] evalFormula -> error = ' + error) }
|
||||
}
|
||||
|
||||
function checkTriggerOn() {
|
||||
let tradingSystem = bot.TRADING_SYSTEM
|
||||
let tradingEngine = bot.TRADING_ENGINE
|
||||
|
||||
/* Trigger On Conditions */
|
||||
if (
|
||||
tradingEngine.current.strategy.stageType.value === 'No Stage' &&
|
||||
tradingEngine.current.strategy.index.value === -1
|
||||
) {
|
||||
|
||||
/*
|
||||
Here we need to pick a strategy, or if there is not suitable strategy for the current
|
||||
market conditions, we pass until the next period.
|
||||
|
||||
To pick a new strategy we will evaluate what we call the trigger on. Once we enter
|
||||
into one strategy, we will ignore market conditions for others. However there is also
|
||||
a strategy trigger off which can be hit before taking a position. If hit, we would
|
||||
be outside a strategy again and looking for the condition to enter all over again.
|
||||
*/
|
||||
|
||||
for (let j = 0; j < tradingSystem.strategies.length; j++) {
|
||||
if ( // If a strategy was already picked during the loop, we exit it
|
||||
tradingEngine.current.strategy.stageType.value !== 'No Stage' ||
|
||||
tradingEngine.current.strategy.index.value !== -1
|
||||
) { continue }
|
||||
|
||||
let strategy = tradingSystem.strategies[j]
|
||||
let triggerStage = strategy.triggerStage
|
||||
|
||||
if (triggerStage !== undefined) {
|
||||
if (triggerStage.triggerOn !== undefined) {
|
||||
for (let k = 0; k < triggerStage.triggerOn.situations.length; k++) {
|
||||
let situation = triggerStage.triggerOn.situations[k]
|
||||
let passed
|
||||
if (situation.conditions.length > 0) {
|
||||
passed = true
|
||||
}
|
||||
|
||||
for (let m = 0; m < situation.conditions.length; m++) {
|
||||
|
||||
let condition = situation.conditions[m]
|
||||
let value = false
|
||||
if (conditions.get(condition.id) !== undefined) {
|
||||
value = conditions.get(condition.id).value
|
||||
}
|
||||
|
||||
if (value === false) { passed = false }
|
||||
}
|
||||
|
||||
if (passed) {
|
||||
|
||||
tradingEngine.current.strategy.stageType.value = 'Trigger Stage'
|
||||
checkAnnouncements(triggerStage)
|
||||
|
||||
tradingEngine.current.strategy.index.value = j
|
||||
tradingEngine.current.strategy.begin.value = candle.begin
|
||||
tradingEngine.current.strategy.beginRate.value = candle.min
|
||||
tradingEngine.current.strategy.endRate.value = candle.min // In case the strategy does not get exited
|
||||
tradingEngine.current.strategy.situationName.value = situation.name
|
||||
tradingEngine.current.strategy.strategyName.value = strategy.name
|
||||
|
||||
tradingEngine.current.distanceToEvent.triggerOn.value = 1
|
||||
|
||||
checkAnnouncements(triggerStage.triggerOn)
|
||||
saveAsLastTriggerOnSnapshot = true
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Entering into Strategy: ' + strategy.name) }
|
||||
break
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function checkTriggerOff() {
|
||||
let tradingSystem = bot.TRADING_SYSTEM
|
||||
let tradingEngine = bot.TRADING_ENGINE
|
||||
|
||||
/* Trigger Off Condition */
|
||||
if (tradingEngine.current.strategy.stageType.value === 'Trigger Stage') {
|
||||
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
|
||||
let triggerStage = strategy.triggerStage
|
||||
|
||||
if (triggerStage !== undefined) {
|
||||
if (triggerStage.triggerOff !== undefined) {
|
||||
for (let k = 0; k < triggerStage.triggerOff.situations.length; k++) {
|
||||
let situation = triggerStage.triggerOff.situations[k]
|
||||
let passed
|
||||
if (situation.conditions.length > 0) {
|
||||
passed = true
|
||||
}
|
||||
|
||||
for (let m = 0; m < situation.conditions.length; m++) {
|
||||
let condition = situation.conditions[m]
|
||||
let value = false
|
||||
if (conditions.get(condition.id) !== undefined) {
|
||||
value = conditions.get(condition.id).value
|
||||
}
|
||||
|
||||
if (value === false) { passed = false }
|
||||
}
|
||||
|
||||
if (passed) {
|
||||
tradingEngine.current.strategy.end.value = candle.end
|
||||
tradingEngine.current.strategy.endRate.value = candle.min
|
||||
tradingEngine.current.strategy.status.value = 'Closed'
|
||||
tradingEngine.current.strategy.stageType.value = 'No Stage'
|
||||
tradingEngine.current.strategy.index.value = -1
|
||||
|
||||
tradingEngine.current.distanceToEvent.triggerOff.value = 1
|
||||
|
||||
checkAnnouncements(triggerStage.triggerOff)
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Exiting Strategy: ' + strategy.name) }
|
||||
break
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
}
|
||||
|
||||
function checkTakePosition() {
|
||||
let tradingSystem = bot.TRADING_SYSTEM
|
||||
let tradingEngine = bot.TRADING_ENGINE
|
||||
|
||||
/* Take Position Condition */
|
||||
if (tradingEngine.current.strategy.stageType.value === 'Trigger Stage') {
|
||||
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
|
||||
|
||||
let triggerStage = strategy.triggerStage
|
||||
|
||||
if (triggerStage !== undefined) {
|
||||
if (triggerStage.takePosition !== undefined) {
|
||||
for (let k = 0; k < triggerStage.takePosition.situations.length; k++) {
|
||||
let situation = triggerStage.takePosition.situations[k]
|
||||
let passed
|
||||
if (situation.conditions.length > 0) {
|
||||
passed = true
|
||||
}
|
||||
|
||||
for (let m = 0; m < situation.conditions.length; m++) {
|
||||
let condition = situation.conditions[m]
|
||||
let value = false
|
||||
if (conditions.get(condition.id) !== undefined) {
|
||||
value = conditions.get(condition.id).value
|
||||
}
|
||||
|
||||
if (value === false) { passed = false }
|
||||
}
|
||||
|
||||
if (passed) {
|
||||
tradingEngine.current.strategy.stageType.value = 'Open Stage'
|
||||
checkAnnouncements(strategy.openStage)
|
||||
|
||||
tradingEngine.current.position.stopLossStage.value = 'Open Stage'
|
||||
tradingEngine.current.position.takeProfitStage.value = 'Open Stage'
|
||||
tradingEngine.current.position.stopLossPhase.value = 0
|
||||
tradingEngine.current.position.takeProfitPhase.value = 0
|
||||
|
||||
takePositionNow = true
|
||||
tradingEngine.current.position.situationName.value = situation.name
|
||||
|
||||
checkAnnouncements(triggerStage.takePosition)
|
||||
saveAsLastTakePositionSnapshot = true
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Conditions at the Take Position Event were met.') }
|
||||
break
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
Reference in new issue
Block a user