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initial addition of enter-exit option for announcements

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Brett Taylor committed 2021-10-11 10:28:28 -04:00
1 parent d42b59dfa2
commit f3dc04a9a0
3 files changed
+39 -23
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Projects/Algorithmic-Trading/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingOrders.js
+1 -1
View File
@@ -1262,7 +1262,7 @@ exports.newAlgorithmicTradingBotModulesTradingOrders = function (processIndex) {
tradingSystem.highlights.push(executionAlgorithm.id)
tradingSystem.highlights.push(executionNode.id)
announcementsModuleObject.makeAnnoucements(event)
announcementsModuleObject.makeAnnouncements(event)
return situation.name // if the event is triggered, we return the name of the situation that passed
}
}
Projects/Algorithmic-Trading/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingStages.js
+14 -19
View File
@@ -147,9 +147,6 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
/* Initialize this */
tradingEngine.tradingCurrent.tradingEpisode.distanceToTradingEvent.triggerOn.value = 1
announcementsModuleObject.makeAnnoucements(triggerStage.triggerOn)
announcementsModuleObject.makeAnnoucements(triggerStage)
if (TS.projects.foundations.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.type === 'Backtesting Session') {
if (sessionParameters.snapshots !== undefined) {
if (sessionParameters.snapshots.config.strategy === true) {
@@ -159,6 +156,8 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
}
changeStageStatus('Trigger Stage', 'Open')
announcementsModuleObject.makeAnnouncements(triggerStage.triggerOn)
announcementsModuleObject.makeAnnouncements(triggerStage)
}
}
}
@@ -194,8 +193,9 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingSystem.highlights.push(triggerStage.id)
tradingEngine.tradingCurrent.tradingEpisode.distanceToTradingEvent.triggerOff.value = 1
announcementsModuleObject.makeAnnoucements(triggerStage.triggerOff)
announcementsModuleObject.makeAnnouncements(triggerStage.triggerOff)
changeStageStatus('Trigger Stage', 'Closed', 'Trigger Off Event')
announcementsModuleObject.makeAnnouncements(triggerStage, 'Closed')
tradingStrategyModuleObject.closeStrategy('Trigger Off')
}
}
@@ -233,9 +233,6 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingPositionModuleObject.openPosition(situation.name)
announcementsModuleObject.makeAnnoucements(triggerStage.takePosition)
announcementsModuleObject.makeAnnoucements(strategy.openStage)
if (TS.projects.foundations.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.type === 'Backtesting Session') {
if (sessionParameters.snapshots !== undefined) {
if (sessionParameters.snapshots.config.position === true) {
@@ -245,6 +242,8 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
}
changeStageStatus('Trigger Stage', 'Closed', 'Position Taken')
announcementsModuleObject.makeAnnouncements(triggerStage.takePosition)
announcementsModuleObject.makeAnnouncements(triggerStage, 'Closed')
changeStageStatus('Open Stage', 'Opening')
changeStageStatus('Manage Stage', 'Opening')
} else {
@@ -436,7 +435,6 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
/* Now we switch to the Open status. */
changeStageStatus('Manage Stage', 'Open')
announcementsModuleObject.makeAnnoucements(manageStage)
}
}
@@ -487,7 +485,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingPositionModuleObject.applyStopLossFormula(tradingSystem.formulas, phase.formula.id)
if (tradingEngine.tradingCurrent.position.stopLoss.value !== previousValue) {
announcementsModuleObject.makeAnnoucements(phase)
announcementsModuleObject.makeAnnouncements(phase)
}
}
}
@@ -510,7 +508,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingPositionModuleObject.applyTakeProfitFormula(tradingSystem.formulas, phase.formula.id)
if (tradingEngine.tradingCurrent.position.takeProfit.value !== previousValue) {
announcementsModuleObject.makeAnnoucements(phase)
announcementsModuleObject.makeAnnouncements(phase)
}
}
}
@@ -591,7 +589,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingPositionModuleObject.updateStopLoss(tradingEngine.tradingCurrent.position.stopLoss.stopLossPhase.value + 1)
announcementsModuleObject.makeAnnoucements(nextPhaseEvent)
announcementsModuleObject.makeAnnouncements(nextPhaseEvent)
/* Reset this counter */
tradingEngine.tradingCurrent.tradingEpisode.distanceToTradingEvent.nextPhase.value = 1
@@ -642,7 +640,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
continue
}
announcementsModuleObject.makeAnnoucements(moveToPhaseEvent)
announcementsModuleObject.makeAnnouncements(moveToPhaseEvent)
/* Reset this counter */
tradingEngine.tradingCurrent.tradingEpisode.distanceToTradingEvent.moveToPhase.value = 1
@@ -698,7 +696,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingPositionModuleObject.updateTakeProfit(tradingEngine.tradingCurrent.position.takeProfit.takeProfitPhase.value + 1)
announcementsModuleObject.makeAnnoucements(nextPhaseEvent)
announcementsModuleObject.makeAnnouncements(nextPhaseEvent)
/* Reset this counter */
tradingEngine.tradingCurrent.tradingEpisode.distanceToTradingEvent.nextPhase.value = 1
@@ -749,7 +747,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
continue
}
announcementsModuleObject.makeAnnoucements(moveToPhaseEvent)
announcementsModuleObject.makeAnnouncements(moveToPhaseEvent)
/* Reset this counter */
tradingEngine.tradingCurrent.tradingEpisode.distanceToTradingEvent.moveToPhase.value = 1
@@ -785,7 +783,6 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingPositionModuleObject.closingPosition('Stop Loss')
changeStageStatus('Close Stage', 'Opening')
changeStageStatus('Manage Stage', 'Closed', 'Stop Loss Hit')
announcementsModuleObject.makeAnnoucements(strategy.closeStage)
return
}
@@ -805,7 +802,6 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingPositionModuleObject.closingPosition('Take Profit')
changeStageStatus('Close Stage', 'Opening')
changeStageStatus('Manage Stage', 'Closed', 'Take Profit Hit')
announcementsModuleObject.makeAnnoucements(strategy.closeStage)
return
}
return
@@ -1114,7 +1110,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingSystem.highlights.push(closeStageEvent.id)
tradingSystem.highlights.push(stage.id)
announcementsModuleObject.makeAnnoucements(closeStageEvent)
announcementsModuleObject.makeAnnouncements(closeStageEvent)
return true
}
}
@@ -1186,7 +1182,6 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
if (stageName === 'Close Stage') {
if (tradingEngine.tradingCurrent.position.status.value === 'Open') {
tradingPositionModuleObject.closingPosition('Close Stage Closed')
/* NOTE:TODO: Announcement May need added Here */
}
}
}
@@ -1321,4 +1316,4 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
}
}
}
}
}
Projects/Foundations/TS/Bot-Modules/Trading-Bot/Announcements/Announcements.js
+24 -3
View File
@@ -3,7 +3,7 @@ exports.newFoundationsBotModulesAnnouncements = function (processIndex) {
const MODULE_NAME = 'Announcements'
let thisObject = {
makeAnnoucements: makeAnnoucements,
makeAnnouncements: makeAnnouncements,
initialize: initialize,
finalize: finalize
}
@@ -20,7 +20,7 @@ exports.newFoundationsBotModulesAnnouncements = function (processIndex) {
tradingEngine = TS.projects.foundations.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
sessionParameters = TS.projects.foundations.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
let taskParameters = {
taskParameters = {
exchange: TS.projects.foundations.globals.taskConstants.TASK_NODE.parentNode.parentNode.parentNode.referenceParent.parentNode.parentNode.name,
market: TS.projects.foundations.globals.taskConstants.TASK_NODE.parentNode.parentNode.parentNode.referenceParent.baseAsset.referenceParent.config.codeName +
'/' +
@@ -36,13 +36,34 @@ exports.newFoundationsBotModulesAnnouncements = function (processIndex) {
TS.projects.foundations.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.messagesSent = undefined
}
function makeAnnoucements(node) {
function makeAnnouncements(node, status='Open') {
if (node === undefined) { return }
if (node.announcements === undefined) { return }
for (let i = 0; i < node.announcements.length; i++) {
let announcement = node.announcements[i]
let canAnnounce = true
// Check configuration to see if Announcement should be run at Enter or Exit of Node
console.log('[DEBUG] announcement.config:')
console.log(announcement.config)
// protect against empty configurations or missing values
onEnter = true
onExit = false
if (announcement.config.onEnter !== undefined) {
onEnter = announcement.config.onEnter
}
if (announcement.config.onExit !== undefined) {
onExit = announcement.config.onExit
}
if ((status === 'Open' && onEnter) || (status === 'Closed' && onExit)) {
canAnnounce = true
} else {
canAnnounce = false
}
if (announcement.announcementCondition !== undefined) {
let conditionValue
try {