Strategy Position Execution
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Luis Fernando Molina committed
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@@ -1,103 +0,0 @@
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exports.newTradingExecution = function (processIndex, tradingEngineModule) {
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/*
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The Trading Execution modules manages the execution nodes and execution algoritms.
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*/
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const MODULE_NAME = 'Trading Execution'
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let thisObject = {
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mantain: mantain,
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reset: reset,
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runExecution: runExecution,
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initialize: initialize,
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finalize: finalize
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}
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let tradingEngine
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let tradingSystem
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let sessionParameters
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const TRADING_ORDERS_MODULE = require('./TradingOrders.js')
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let tradingOrdersModule = TRADING_ORDERS_MODULE.newTradingOrders(processIndex, tradingEngineModule)
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return thisObject
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function initialize() {
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tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
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tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
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sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
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tradingOrdersModule.initialize()
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}
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function finalize() {
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tradingSystem = undefined
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tradingEngine = undefined
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sessionParameters = undefined
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tradingOrdersModule.finalize()
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tradingOrdersModule = undefined
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}
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function mantain() {
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tradingOrdersModule.mantain()
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}
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function reset() {
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tradingOrdersModule.reset()
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}
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async function runExecution(
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executionNode,
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tradingEngineStage
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) {
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try {
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/* Trading Engine Stage Validations */
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if (tradingEngineStage.stageBaseAsset === undefined) { badDefinitionUnhandledException(undefined, 'stageBaseAsset === undefined', tradingEngineStage) }
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if (tradingEngineStage.stageBaseAsset.targetSize === undefined) { badDefinitionUnhandledException(undefined, 'stageBaseAsset.targetSize === undefined', tradingEngineStage) }
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if (tradingEngineStage.stageBaseAsset.sizePlaced === undefined) { badDefinitionUnhandledException(undefined, 'stageBaseAsset.sizePlaced === undefined', tradingEngineStage) }
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if (tradingEngineStage.stageBaseAsset.sizeFilled === undefined) { badDefinitionUnhandledException(undefined, 'stageBaseAsset.sizeFilled === undefined', tradingEngineStage) }
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if (tradingEngineStage.stageBaseAsset.feesPaid === undefined) { badDefinitionUnhandledException(undefined, 'stageBaseAsset.feesPaid === undefined', tradingEngineStage) }
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if (tradingEngineStage.stageQuotedAsset === undefined) { badDefinitionUnhandledException(undefined, 'stageQuotedAsset === undefined', tradingEngineStage) }
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if (tradingEngineStage.stageQuotedAsset.targetSize === undefined) { badDefinitionUnhandledException(undefined, 'stageQuotedAsset.targetSize === undefined', tradingEngineStage) }
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if (tradingEngineStage.stageQuotedAsset.sizePlaced === undefined) { badDefinitionUnhandledException(undefined, 'stageQuotedAsset.sizePlaced === undefined', tradingEngineStage) }
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if (tradingEngineStage.stageQuotedAsset.sizeFilled === undefined) { badDefinitionUnhandledException(undefined, 'stageQuotedAsset.sizeFilled === undefined', tradingEngineStage) }
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if (tradingEngineStage.stageQuotedAsset.feesPaid === undefined) { badDefinitionUnhandledException(undefined, 'stageQuotedAsset.feesPaid === undefined', tradingEngineStage) }
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await checkExecutionAlgorithms(executionNode)
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async function checkExecutionAlgorithms(executionNode) {
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for (let i = 0; i < executionNode.executionAlgorithms.length; i++) {
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let executionAlgorithm = executionNode.executionAlgorithms[i]
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await tradingOrdersModule.checkOrders(tradingEngineStage, executionAlgorithm.marketBuyOrders, executionAlgorithm, executionNode)
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await tradingOrdersModule.checkOrders(tradingEngineStage, executionAlgorithm.marketSellOrders, executionAlgorithm, executionNode)
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await tradingOrdersModule.checkOrders(tradingEngineStage, executionAlgorithm.limitBuyOrders, executionAlgorithm, executionNode)
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await tradingOrdersModule.checkOrders(tradingEngineStage, executionAlgorithm.limitSellOrders, executionAlgorithm, executionNode)
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}
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}
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} catch (err) {
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tradingSystem.errors.push([executionNode.id, err.message])
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if (typeof err === 'string' || err instanceof String) {
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[ERROR] runExecution -> err = ' + err)
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}
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if (err.stack !== undefined) {
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[ERROR] runExecution -> err = ' + err.stack)
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}
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}
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}
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function badDefinitionUnhandledException(err, message, node) {
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tradingSystem.errors.push([node.id, message])
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, "[ERROR] -> " + message);
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, "[ERROR] -> node.name = " + node.name);
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, "[ERROR] -> node.type = " + node.type);
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, "[ERROR] -> node.config = " + JSON.stringify(node.config));
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if (err !== undefined) {
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, "[ERROR] -> err.stack = " + err.stack);
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}
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throw 'Please fix the problem and try again.'
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}
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}
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@@ -1,432 +0,0 @@
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exports.newTradingPosition = function (processIndex, tradingEngineModule) {
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/*
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This module packages all functions related to Positions.
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*/
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const MODULE_NAME = 'Trading Position'
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let thisObject = {
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mantain: mantain,
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reset: reset,
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cycleBasedStatistics: cycleBasedStatistics,
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openPosition: openPosition,
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closingPosition: closingPosition,
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closePosition: closePosition,
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applyStopLossFormula: applyStopLossFormula,
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applyTakeProfitFormula: applyTakeProfitFormula,
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updateStopLoss: updateStopLoss,
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updateTakeProfit: updateTakeProfit,
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initialTargets: initialTargets,
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updateEnds: updateEnds,
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resetTradingEngineDataStructure: resetTradingEngineDataStructure,
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updateCounters: updateCounters,
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initialize: initialize,
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finalize: finalize
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}
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let tradingEngine
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let tradingSystem
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let sessionParameters
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return thisObject
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function initialize() {
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tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
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tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
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sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
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}
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function finalize() {
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tradingEngine = undefined
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tradingSystem = undefined
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sessionParameters = undefined
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}
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function mantain() {
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updateCounters()
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updateEnds()
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}
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function reset() {
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resetTradingEngineDataStructure()
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}
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function openPosition(situationName) {
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/* Starting begin and end */
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tradingEngine.current.position.begin.value = tradingEngine.current.episode.cycle.lastBegin.value
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tradingEngine.current.position.end.value = tradingEngine.current.episode.cycle.lastEnd.value
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/* Recording the opening at the Trading Engine Data Structure */
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tradingEngine.current.position.status.value = 'Open'
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tradingEngine.current.position.serialNumber.value = tradingEngine.current.episode.episodeCounters.positions.value + 1
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tradingEngine.current.position.identifier.value = TS.projects.superalgos.utilities.miscellaneousFunctions.genereteUniqueId()
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tradingEngine.current.position.beginRate.value = tradingEngine.current.episode.candle.close.value
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tradingEngine.current.position.positionBaseAsset.beginBalance.value = tradingEngine.current.episode.episodeBaseAsset.balance.value
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tradingEngine.current.position.positionQuotedAsset.beginBalance.value = tradingEngine.current.episode.episodeQuotedAsset.balance.value
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tradingEngine.current.position.situationName.value = situationName
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/* Initializing Stop and Take Phase */
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tradingEngine.current.position.stopLoss.stopLossPhase.value = 1
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tradingEngine.current.position.takeProfit.takeProfitPhase.value = 1
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/* Updating Episode Counters */
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tradingEngine.current.episode.episodeCounters.positions.value++
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/* Inicializing this counter */
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tradingEngine.current.episode.distanceToEvent.takePosition.value = 1
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/* Remember the balance we had before taking the position to later calculate profit or loss */
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tradingEngine.current.position.positionBaseAsset.beginBalance = tradingEngine.current.episode.episodeBaseAsset.balance.value
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tradingEngine.current.position.positionQuotedAsset.beginBalance = tradingEngine.current.episode.episodeQuotedAsset.balance.value
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}
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function closingPosition(exitType) {
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tradingEngine.current.position.status.value = 'Closing'
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tradingEngine.current.position.exitType.value = exitType
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/*
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By the time we figured out that the stop loss or take profit were hit, or
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for whatever reason the position needs to be closed, the take profit and
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stop loss values for the next candle have already been calculated. In order
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to avoid being plotted, we will put them in zero.
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*/
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tradingEngine.current.position.stopLoss.value = 0
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tradingEngine.current.position.takeProfit.value = 0
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}
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function closePosition() {
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tradingEngine.current.position.status.value = 'Closed'
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tradingEngine.current.position.end.value = tradingEngine.current.episode.cycle.lastEnd.value
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tradingEngine.current.position.endRate.value = tradingEngine.current.episode.candle.close.value
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tradingEngine.current.position.positionBaseAsset.endBalance.value = tradingEngine.current.episode.episodeBaseAsset.balance.value
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tradingEngine.current.position.positionQuotedAsset.endBalance.value = tradingEngine.current.episode.episodeQuotedAsset.balance.value
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/*
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Now that the position is closed, it is the right time to move this position from current to last at the Trading Engine data structure.
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*/
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tradingEngineModule.cloneValues(tradingEngine.current.position, tradingEngine.last.position)
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cycleBasedStatistics()
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/* Updating Hits & Fails */
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if (tradingEngine.current.position.positionBaseAsset.profitLoss.value > 0) {
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tradingEngine.current.episode.episodeBaseAsset.hits.value++
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}
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if (tradingEngine.current.position.positionBaseAsset.profitLoss.value < 0) {
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tradingEngine.current.episode.episodeBaseAsset.fails.value++
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}
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if (tradingEngine.current.position.positionQuotedAsset.profitLoss.value > 0) {
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tradingEngine.current.episode.episodeQuotedAsset.hits.value++
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}
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if (tradingEngine.current.position.positionQuotedAsset.profitLoss.value < 0) {
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tradingEngine.current.episode.episodeQuotedAsset.fails.value++
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}
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}
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function applyStopLossFormula(formulas, formulaId) {
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updateStopLossTakeProfitFinalValue(tradingEngine.current.position.stopLoss)
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tradingEngine.current.position.stopLoss.value = formulas.get(formulaId)
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updateStopLossTakeProfitInitialValue(tradingEngine.current.position.stopLoss)
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updateStopLossTakeProfitBeginEnd(tradingEngine.current.position.stopLoss)
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}
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function applyTakeProfitFormula(formulas, formulaId) {
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updateStopLossTakeProfitFinalValue(tradingEngine.current.position.takeProfit)
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tradingEngine.current.position.takeProfit.value = formulas.get(formulaId)
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updateStopLossTakeProfitInitialValue(tradingEngine.current.position.takeProfit)
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updateStopLossTakeProfitBeginEnd(tradingEngine.current.position.takeProfit)
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}
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function updateStopLossTakeProfitInitialValue(node) {
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/*
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We store the first Stop Loss or Take Profit value in a separate node.
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To know if it is the first one we compare its current value to the initial value.
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*/
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if (node.initialValue.value === node.initialValue.config.initialValue) {
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node.initialValue.value = node.value
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}
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}
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function updateStopLossTakeProfitFinalValue(node) {
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/*
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We set the final value just before calcualting the new value, since the new calculated
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value is going to be discarded if the position is closed after it is calculated, but
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during the same candle.
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*/
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node.finalValue.value = node.value
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}
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function updateStopLossTakeProfitBeginEnd(node) {
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/*
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Both the Stop Loss and the Take Profit have their own Begin and End.
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Ther reason for this is because they represent targets to be checked
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at the next candle, so it does not apply that they share the begin and
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end of the position itself.
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*/
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node.begin.value =
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tradingEngine.current.episode.candle.begin.value +
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sessionParameters.timeFrame.config.value
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node.end.value =
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tradingEngine.current.episode.candle.end.value +
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sessionParameters.timeFrame.config.value
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}
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function updateStopLoss(phase) {
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tradingEngine.current.position.stopLoss.stopLossPhase.value = phase
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}
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function updateTakeProfit(phase) {
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tradingEngine.current.position.takeProfit.takeProfitPhase.value = phase
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}
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function initialTargets(tradingSystemStageNode, tradingEngineStageNode) {
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if (tradingSystemStageNode.initialTargets === undefined) {
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const message = 'Stage without Initial Targets node. Add one please.'
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badDefinitionUnhandledException(undefined, message, tradingSystemStageNode)
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}
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setTargetRate()
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setTargetSize()
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function setTargetRate() {
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if (tradingSystemStageNode.initialTargets.targetRate === undefined) {
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const message = 'Target Rate Node not Found. Fix this please.'
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badDefinitionUnhandledException(undefined, message, tradingSystemStageNode.initialTargets)
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}
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if (tradingSystemStageNode.initialTargets.targetRate.formula === undefined) {
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const message = 'Formula of Target Rate Node not Found. Fix this please.'
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badDefinitionUnhandledException(undefined, message, tradingSystemStageNode.initialTargets.targetRate)
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}
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let value = tradingSystem.formulas.get(tradingSystemStageNode.initialTargets.targetRate.formula.id)
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if (value === undefined) {
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const message = 'Target Rate can not be undefined. Fix this please.'
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badDefinitionUnhandledException(undefined, message, tradingSystemStageNode.initialTargets.targetRate.formula)
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}
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if (isNaN(value)) {
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const message = 'Target Rate must be a number. Fix this please.'
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badDefinitionUnhandledException(undefined, message, tradingSystemStageNode.initialTargets.targetRate.formula)
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}
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switch (tradingSystemStageNode.type) {
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case 'Open Stage': {
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tradingEngine.current.position.entryTargetRate.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
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break
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}
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case 'Close Stage': {
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tradingEngine.current.position.exitTargetRate.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
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break
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}
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}
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}
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function setTargetSize() {
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/* Basic Validation */
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if (
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tradingSystemStageNode.initialTargets.targetSizeInBaseAsset !== undefined &&
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tradingSystemStageNode.initialTargets.targetSizeInQuotedAsset !== undefined
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) {
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const message = 'Only Target Size In Base Asset or Target Size In Quoted Asset is allowed. Remove one of them please.'
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badDefinitionUnhandledException(undefined, message, tradingSystemStageNode)
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}
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/* Position In Base Asset */
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if (tradingSystemStageNode.initialTargets.targetSizeInBaseAsset !== undefined) {
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if (tradingSystemStageNode.initialTargets.targetSizeInBaseAsset.formula !== undefined) {
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let value = tradingSystem.formulas.get(tradingSystemStageNode.initialTargets.targetSizeInBaseAsset.formula.id)
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if (value === undefined) {
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const message = 'Target Size In Base Asset cannot be undefined. Fix this please.'
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badDefinitionUnhandledException(undefined, message, tradingSystemStageNode.initialTargets.targetSizeInBaseAsset.formula)
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}
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if (value === 0) {
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const message = 'Target Size In Base Asset cannot be zero. Fix this please.'
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badDefinitionUnhandledException(undefined, message, tradingSystemStageNode.initialTargets.targetSizeInBaseAsset.formula)
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}
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switch (tradingSystemStageNode.type) {
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case 'Open Stage': {
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tradingEngine.current.position.positionBaseAsset.entryTargetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
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tradingEngine.current.position.positionQuotedAsset.entryTargetSize.value =
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TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value * tradingEngine.current.position.entryTargetRate.value, 10)
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break
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}
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case 'Close Stage': {
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tradingEngine.current.position.positionBaseAsset.exitTargetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
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tradingEngine.current.position.positionQuotedAsset.exitTargetSize.value =
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TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value * tradingEngine.current.position.exitTargetRate.value, 10)
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break
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}
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}
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/* Remember how the end user defined this stage. */
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tradingEngineStageNode.stageDefinedIn.value = 'Base Asset'
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} else {
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const message = 'You need to specify a Formula for this.'
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badDefinitionUnhandledException(undefined, message, tradingSystemStageNode.initialTargets.targetSizeInBaseAsset)
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}
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}
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/* Position In Quoted Asset */
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if (tradingSystemStageNode.initialTargets.targetSizeInQuotedAsset !== undefined) {
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if (tradingSystemStageNode.initialTargets.targetSizeInQuotedAsset.formula !== undefined) {
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let value = tradingSystem.formulas.get(tradingSystemStageNode.initialTargets.targetSizeInQuotedAsset.formula.id)
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if (value === undefined) {
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const message = 'Target Size In Quoted Asset cannot be undefined. Fix this please.'
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badDefinitionUnhandledException(undefined, message, tradingSystemStageNode.initialTargets.targetSizeInQuotedAsset.formula)
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}
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if (value === 0) {
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const message = 'Target Size In Quoted Asset cannot be zero. Fix this please.'
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badDefinitionUnhandledException(undefined, message, tradingSystemStageNode.initialTargets.targetSizeInQuotedAsset.formula)
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}
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switch (tradingSystemStageNode.type) {
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case 'Open Stage': {
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tradingEngine.current.position.positionQuotedAsset.entryTargetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
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tradingEngine.current.position.positionBaseAsset.entryTargetSize.value =
|
||||
TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value / tradingEngine.current.position.entryTargetRate.value, 10)
|
||||
break
|
||||
}
|
||||
case 'Close Stage': {
|
||||
tradingEngine.current.position.positionQuotedAsset.exitTargetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value, 10)
|
||||
tradingEngine.current.position.positionBaseAsset.exitTargetSize.value =
|
||||
TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(value / tradingEngine.current.position.exitTargetRate.value, 10)
|
||||
break
|
||||
}
|
||||
}
|
||||
|
||||
/* Remember how the end user defined this stage. */
|
||||
tradingEngineStageNode.stageDefinedIn.value = 'Quoted Asset'
|
||||
} else {
|
||||
const message = 'You need to specify a Formula for this.'
|
||||
badDefinitionUnhandledException(undefined, message, tradingSystemStageNode.initialTargets.targetSizeInQuotedAsset)
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function updateEnds() {
|
||||
if (tradingEngine.current.position.status.value === 'Open') {
|
||||
tradingEngine.current.position.end.value = tradingEngine.current.position.end.value + sessionParameters.timeFrame.config.value
|
||||
tradingEngine.current.position.endRate.value = tradingEngine.current.episode.candle.close.value
|
||||
tradingEngine.current.position.positionBaseAsset.endBalance.value = tradingEngine.current.episode.episodeBaseAsset.balance.value
|
||||
tradingEngine.current.position.positionQuotedAsset.endBalance.value = tradingEngine.current.episode.episodeQuotedAsset.balance.value
|
||||
}
|
||||
}
|
||||
|
||||
function resetTradingEngineDataStructure() {
|
||||
if (tradingEngine.current.position.status.value === 'Closed') {
|
||||
tradingEngineModule.initializeNode(tradingEngine.current.position)
|
||||
}
|
||||
}
|
||||
|
||||
function updateCounters() {
|
||||
if (tradingEngine.current.position.status.value === 'Open') {
|
||||
tradingEngine.current.position.positionCounters.periods.value++
|
||||
}
|
||||
}
|
||||
|
||||
function cycleBasedStatistics() {
|
||||
|
||||
calculateAssetsStatistics()
|
||||
calculatePositionStatistics()
|
||||
|
||||
function calculateAssetsStatistics() {
|
||||
/* Profit Loss Calculation */
|
||||
tradingEngine.current.position.positionBaseAsset.profitLoss.value =
|
||||
tradingEngine.current.episode.episodeBaseAsset.balance.value -
|
||||
tradingEngine.current.position.positionBaseAsset.beginBalance
|
||||
|
||||
tradingEngine.current.position.positionQuotedAsset.profitLoss.value =
|
||||
tradingEngine.current.episode.episodeQuotedAsset.balance.value -
|
||||
tradingEngine.current.position.positionQuotedAsset.beginBalance
|
||||
|
||||
tradingEngine.current.position.positionBaseAsset.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionBaseAsset.profitLoss.value, 10)
|
||||
tradingEngine.current.position.positionQuotedAsset.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionQuotedAsset.profitLoss.value, 10)
|
||||
|
||||
/* ROI Calculation */
|
||||
tradingEngine.current.position.positionBaseAsset.ROI.value =
|
||||
tradingEngine.current.position.positionBaseAsset.profitLoss.value * 100 /
|
||||
tradingEngine.current.strategyOpenStage.stageBaseAsset.targetSize.value
|
||||
|
||||
tradingEngine.current.position.positionQuotedAsset.ROI.value =
|
||||
tradingEngine.current.position.positionQuotedAsset.profitLoss.value * 100 /
|
||||
tradingEngine.current.strategyOpenStage.stageQuotedAsset.targetSize.value
|
||||
|
||||
tradingEngine.current.position.positionBaseAsset.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionBaseAsset.ROI.value, 10)
|
||||
tradingEngine.current.position.positionQuotedAsset.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionQuotedAsset.ROI.value, 10)
|
||||
|
||||
/* Hit Fail Calculation */
|
||||
if (tradingEngine.current.position.positionBaseAsset.ROI.value > 0) {
|
||||
tradingEngine.current.position.positionBaseAsset.hitFail.value = 'Hit'
|
||||
}
|
||||
if (tradingEngine.current.position.positionBaseAsset.ROI.value < 0) {
|
||||
tradingEngine.current.position.positionBaseAsset.hitFail.value = 'Fail'
|
||||
}
|
||||
if (tradingEngine.current.position.positionBaseAsset.ROI.value === 0) {
|
||||
tradingEngine.current.position.positionBaseAsset.hitFail.value = 'Even'
|
||||
}
|
||||
if (tradingEngine.current.position.positionQuotedAsset.ROI.value > 0) {
|
||||
tradingEngine.current.position.positionQuotedAsset.hitFail.value = 'Hit'
|
||||
}
|
||||
if (tradingEngine.current.position.positionQuotedAsset.ROI.value < 0) {
|
||||
tradingEngine.current.position.positionQuotedAsset.hitFail.value = 'Fail'
|
||||
}
|
||||
if (tradingEngine.current.position.positionQuotedAsset.ROI.value === 0) {
|
||||
tradingEngine.current.position.positionQuotedAsset.hitFail.value = 'Even'
|
||||
}
|
||||
}
|
||||
|
||||
function calculatePositionStatistics() {
|
||||
/* Profit Loss Calculation */
|
||||
tradingEngine.current.position.positionStatistics.profitLoss.value =
|
||||
(
|
||||
tradingEngine.current.episode.episodeBaseAsset.profitLoss.value * tradingEngine.current.position.endRate.value +
|
||||
tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value
|
||||
)
|
||||
|
||||
tradingEngine.current.position.positionStatistics.profitLoss.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionStatistics.profitLoss.value, 10)
|
||||
|
||||
/* ROI Calculation */
|
||||
tradingEngine.current.position.positionStatistics.ROI.value =
|
||||
(
|
||||
tradingEngine.current.position.positionStatistics.profitLoss.value
|
||||
)
|
||||
* 100 /
|
||||
(
|
||||
tradingEngine.current.position.positionBaseAsset.beginBalance * tradingEngine.current.position.beginRate.value +
|
||||
tradingEngine.current.position.positionQuotedAsset.beginBalance
|
||||
)
|
||||
tradingEngine.current.position.positionStatistics.ROI.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionStatistics.ROI.value, 10)
|
||||
|
||||
/* Hit Fail Calculation */
|
||||
if (tradingEngine.current.position.positionStatistics.ROI.value > 0) {
|
||||
tradingEngine.current.position.positionStatistics.hitFail.value = 'Hit'
|
||||
}
|
||||
if (tradingEngine.current.position.positionStatistics.ROI.value < 0) {
|
||||
tradingEngine.current.position.positionStatistics.hitFail.value = 'Fail'
|
||||
}
|
||||
if (tradingEngine.current.position.positionStatistics.ROI.value === 0) {
|
||||
tradingEngine.current.position.positionStatistics.hitFail.value = 'Even'
|
||||
}
|
||||
|
||||
/* Days Calculation */
|
||||
tradingEngine.current.position.positionStatistics.days.value =
|
||||
tradingEngine.current.position.positionCounters.periods.value *
|
||||
sessionParameters.timeFrame.config.value / TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS
|
||||
|
||||
tradingEngine.current.position.positionStatistics.days.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.position.positionStatistics.days.value, 10)
|
||||
}
|
||||
}
|
||||
|
||||
function badDefinitionUnhandledException(err, message, node) {
|
||||
tradingSystem.errors.push([node.id, message])
|
||||
|
||||
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, "[ERROR] -> " + message);
|
||||
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, "[ERROR] -> node.name = " + node.name);
|
||||
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, "[ERROR] -> node.type = " + node.type);
|
||||
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, "[ERROR] -> node.config = " + JSON.stringify(node.config));
|
||||
if (err !== undefined) {
|
||||
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, "[ERROR] -> err.stack = " + err.stack);
|
||||
}
|
||||
throw 'Please fix the problem and try again.'
|
||||
}
|
||||
}
|
||||
@@ -1,87 +0,0 @@
|
||||
exports.newTradingStrategy = function (processIndex, tradingEngineModule) {
|
||||
/*
|
||||
This module packages all functions related to Strategies.
|
||||
*/
|
||||
const MODULE_NAME = 'Trading Strategy'
|
||||
let thisObject = {
|
||||
mantain: mantain,
|
||||
reset: reset,
|
||||
openStrategy: openStrategy,
|
||||
closeStrategy: closeStrategy,
|
||||
initialize: initialize,
|
||||
finalize: finalize
|
||||
}
|
||||
|
||||
let tradingEngine
|
||||
let sessionParameters
|
||||
|
||||
return thisObject
|
||||
|
||||
function initialize() {
|
||||
tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
|
||||
sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
|
||||
}
|
||||
|
||||
function finalize() {
|
||||
tradingEngine = undefined
|
||||
sessionParameters = undefined
|
||||
}
|
||||
|
||||
function mantain() {
|
||||
updateCounters()
|
||||
updateEnds()
|
||||
}
|
||||
|
||||
function reset() {
|
||||
resetTradingEngineDataStructure()
|
||||
}
|
||||
|
||||
function openStrategy(index, situationName, strategyName) {
|
||||
/* Starting begin and end */
|
||||
tradingEngine.current.strategy.begin.value = tradingEngine.current.episode.cycle.lastBegin.value
|
||||
tradingEngine.current.strategy.end.value = tradingEngine.current.episode.cycle.lastEnd.value
|
||||
|
||||
/* Recording the opening at the Trading Engine Data Structure */
|
||||
tradingEngine.current.strategy.status.value = 'Open'
|
||||
tradingEngine.current.strategy.serialNumber.value = tradingEngine.current.episode.episodeCounters.strategies.value
|
||||
tradingEngine.current.strategy.identifier.value = TS.projects.superalgos.utilities.miscellaneousFunctions.genereteUniqueId()
|
||||
tradingEngine.current.strategy.beginRate.value = tradingEngine.current.episode.candle.min.value
|
||||
|
||||
tradingEngine.current.strategy.index.value = index
|
||||
tradingEngine.current.strategy.situationName.value = situationName
|
||||
tradingEngine.current.strategy.strategyName.value = strategyName
|
||||
|
||||
/* Updating Episode Counters */
|
||||
tradingEngine.current.episode.episodeCounters.strategies.value++
|
||||
}
|
||||
|
||||
function closeStrategy(exitType) {
|
||||
tradingEngine.current.strategy.status.value = 'Closed'
|
||||
tradingEngine.current.strategy.exitType.value = exitType
|
||||
tradingEngine.current.strategy.end.value = tradingEngine.current.episode.cycle.lastEnd.value
|
||||
tradingEngine.current.strategy.endRate.value = tradingEngine.current.episode.candle.min.value
|
||||
/*
|
||||
Now that the strategy is closed, it is the right time to move this strategy from current to last at the Trading Engine data structure.
|
||||
*/
|
||||
tradingEngineModule.cloneValues(tradingEngine.current.strategy, tradingEngine.last.strategy)
|
||||
}
|
||||
|
||||
function updateEnds() {
|
||||
if (tradingEngine.current.strategy.status.value === 'Open') {
|
||||
tradingEngine.current.strategy.end.value = tradingEngine.current.strategy.end.value + sessionParameters.timeFrame.config.value
|
||||
tradingEngine.current.strategy.endRate.value = tradingEngine.current.episode.candle.close.value
|
||||
}
|
||||
}
|
||||
|
||||
function resetTradingEngineDataStructure() {
|
||||
if (tradingEngine.current.strategy.status.value === 'Closed') {
|
||||
tradingEngineModule.initializeNode(tradingEngine.current.strategy)
|
||||
}
|
||||
}
|
||||
|
||||
function updateCounters() {
|
||||
if (tradingEngine.current.strategy.status.value === 'Open') {
|
||||
tradingEngine.current.strategy.strategyCounters.periods.value++
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in new issue
Block a user