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Trading System Records Episode

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Luis Fernando Molina committed 2020-12-03 10:37:14 +01:00
1 parent 230c6c6099
commit f3478e5227
6 files changed
+53 -36
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Projects/ProjectsSchema.json
+21
View File
@@ -582,6 +582,27 @@
"functionName": "newSuperalgosBotModulesTradingSimulation",
"fileName": "TradingSimulation.js",
"folderName": "Trading-Bot/Low-Frequency-Trading"
},
{
"name": "Trading Episode",
"propertyName": "tradingEpisode",
"functionName": "newSuperalgosBotModulesTradingEpisode",
"fileName": "TradingEpisode.js",
"folderName": "Trading-Bot/Low-Frequency-Trading"
},
{
"name": "Trading Records",
"propertyName": "tradingRecords",
"functionName": "newSuperalgosBotModulesTradingRecords",
"fileName": "TradingRecords.js",
"folderName": "Trading-Bot/Low-Frequency-Trading"
},
{
"name": "Trading System",
"propertyName": "tradingSystem",
"functionName": "newSuperalgosBotModulesTradingSystem",
"fileName": "TradingSystem.js",
"folderName": "Trading-Bot/Low-Frequency-Trading"
}
]
},
TaskServer/LowFrequencyTrading/TradingEpisode.js → Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingEpisode.js
+1 -1
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@@ -1,4 +1,4 @@
exports.newTradingEpisode = function (processIndex, tradingEngineModule) {
exports.newSuperalgosBotModulesTradingEpisode = function (processIndex, tradingEngineModule) {
/*
This module packages all functions related to Episodes.
*/
TaskServer/LowFrequencyTrading/TradingRecords.js → Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingRecords.js
+1 -1
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@@ -1,4 +1,4 @@
exports.newTradingRecords = function (processIndex) {
exports.newSuperalgosBotModulesTradingRecords = function (processIndex) {
/*
This module facilitates the appending of records to the output of the process.
*/
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingSimulation.js
+24 -27
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@@ -34,17 +34,14 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex, tradi
if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[INFO] runSimulation -> finalDatetime = ' + sessionParameters.timeRange.config.finalDatetime) }
/* These are the Modules we will need to run the Simulation */
const TRADING_RECORDS_MODULE = require('./TradingRecords.js')
let tradingRecordsModule = TRADING_RECORDS_MODULE.newTradingRecords(processIndex)
tradingRecordsModule.initialize(outputDatasetsMap)
let tradingRecordsModuleObject = TS.projects.superalgos.botModules.tradingRecords.newSuperalgosBotModulesTradingRecords(processIndex)
tradingRecordsModuleObject.initialize(outputDatasetsMap)
const TRADING_SYSTEM_MODULE = require('./TradingSystem.js')
let tradingSystemModule = TRADING_SYSTEM_MODULE.newTradingSystem(processIndex, tradingEngineModule)
tradingSystemModule.initialize()
let tradingSystemModuleObject = TS.projects.superalgos.botModules.tradingSystem.newSuperalgosBotModulesTradingSystem(processIndex, tradingEngineModule)
tradingSystemModuleObject.initialize()
const TRADING_EPISODE_MODULE = require('./TradingEpisode.js')
let tradingEpisodeModule = TRADING_EPISODE_MODULE.newTradingEpisode(processIndex, tradingEngineModule)
tradingEpisodeModule.initialize()
let tradingEpisodeModuleObject = TS.projects.superalgos.botModules.tradingEpisode.newSuperalgosBotModulesTradingEpisode(processIndex, tradingEngineModule)
tradingEpisodeModuleObject.initialize()
/* Setting up the candles array: The whole simulation is based on the array of candles at the time-frame defined at the session parameters. */
let propertyName = 'at' + sessionParameters.timeFrame.config.label.replace('-', '')
@@ -117,7 +114,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex, tradi
heartBeat()
/* Opening the Episode, if needed. */
tradingEpisodeModule.openEpisode()
tradingEpisodeModuleObject.openEpisode()
if (checkInitialDatetime() === false) {
if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Candle Before the Initia Date Time @ ' + (new Date(candle.begin)).toLocaleString()) }
@@ -127,15 +124,15 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex, tradi
positionChartAtCurrentCandle()
/* The chart was recalculated based on the current candle. */
tradingSystemModule.updateChart(chart)
tradingSystemModuleObject.updateChart(chart)
/*
Do the stuff needed previous to the run like
Episode Counters and Statistics update. Mantaince is done
once per simulation candle.
*/
tradingSystemModule.mantain()
tradingEpisodeModule.mantain()
tradingSystemModuleObject.mantain()
tradingEpisodeModuleObject.mantain()
tradingEngineModule.mantain()
/*
@@ -158,7 +155,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex, tradi
checkIfWeNeedToStopBetweenCycles()
/* Add new records to the process output */
tradingRecordsModule.appendRecords()
tradingRecordsModuleObject.appendRecords()
if (breakLoop === true) { break }
/*
@@ -175,21 +172,21 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex, tradi
checkIfWeNeedToStopAfterBothCycles()
/* Add new records to the process output */
tradingRecordsModule.appendRecords()
tradingRecordsModuleObject.appendRecords()
if (breakLoop === true) { break }
async function runCycle() {
/* Reset Data Structures */
tradingSystemModule.reset()
tradingEpisodeModule.reset()
tradingSystemModuleObject.reset()
tradingEpisodeModuleObject.reset()
tradingEngineModule.reset()
let infoMessage = 'Processing candle # ' + tradingEngine.current.episode.candle.index.value + ' @ the ' + tradingEngine.current.episode.cycle.value + ' cycle.'
if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[INFO] runSimulation -> loop -> ' + infoMessage) }
tradingSystem.infos.push([tradingSystem.id, infoMessage])
await tradingSystemModule.run()
await tradingSystemModuleObject.run()
}
function checkIfWeNeedToStopBetweenCycles() {
@@ -233,23 +230,23 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex, tradi
}
}
tradingSystemModule.finalize()
tradingRecordsModule.finalize()
tradingEpisodeModule.finalize()
tradingSystemModuleObject.finalize()
tradingRecordsModuleObject.finalize()
tradingEpisodeModuleObject.finalize()
tradingSystemModule = undefined
tradingRecordsModule = undefined
tradingEpisodeModule = undefined
tradingSystemModuleObject = undefined
tradingRecordsModuleObject = undefined
tradingEpisodeModuleObject = undefined
await writeFiles()
function closeEpisode(exitType) {
tradingEpisodeModule.updateExitType(exitType)
tradingEpisodeModule.closeEpisode()
tradingEpisodeModuleObject.updateExitType(exitType)
tradingEpisodeModuleObject.closeEpisode()
}
function updateEpisode(exitType) {
tradingEpisodeModule.updateExitType(exitType)
tradingEpisodeModuleObject.updateExitType(exitType)
}
function heartBeat() {
TaskServer/LowFrequencyTrading/TradingSystem.js → Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingSystem.js
+1 -1
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@@ -1,4 +1,4 @@
exports.newTradingSystem = function (processIndex, tradingEngineModule) {
exports.newSuperalgosBotModulesTradingSystem = function (processIndex, tradingEngineModule) {
/*
The Trading System is the user defined set of rules compliant with the Trading Protocol that
defines the trading logic to be applied during each cycle of the Simulation.
TaskServer/LowFrequencyTrading/TradingStages.js
+5 -6
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@@ -35,8 +35,7 @@ exports.newTradingStages = function (processIndex, tradingEngineModule) {
const SNAPSHOTS_MODULE = require('./Snapshots.js')
let snapshotsModule = SNAPSHOTS_MODULE.newSnapshots(processIndex)
const TRADING_EPISODE_MODULE = require('./TradingEpisode.js')
let tradingEpisodeModule = TRADING_EPISODE_MODULE.newTradingEpisode(processIndex)
let tradingEpisodeModuleObject = TS.projects.superalgos.botModules.tradingEpisode.newSuperalgosBotModulesTradingEpisode(processIndex)
let tradingEngine
let tradingSystem
@@ -54,7 +53,7 @@ exports.newTradingStages = function (processIndex, tradingEngineModule) {
announcementsModule.initialize()
snapshotsModule.initialize()
tradingExecutionModule.initialize()
tradingEpisodeModule.initialize()
tradingEpisodeModuleObject.initialize()
}
function finalize() {
@@ -77,8 +76,8 @@ exports.newTradingStages = function (processIndex, tradingEngineModule) {
tradingExecutionModule.finalize()
tradingExecutionModule = undefined
tradingEpisodeModule.finalize()
tradingEpisodeModule = undefined
tradingEpisodeModuleObject.finalize()
tradingEpisodeModuleObject = undefined
}
function updateChart(pChart) {
@@ -103,7 +102,7 @@ exports.newTradingStages = function (processIndex, tradingEngineModule) {
}
function cycleBasedStatistics() {
tradingEpisodeModule.cycleBasedStatistics()
tradingEpisodeModuleObject.cycleBasedStatistics()
tradingPositionModule.cycleBasedStatistics()
}