Balance not below zero validation
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Luis Fernando Molina committed
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@@ -314,53 +314,109 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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}
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async function calculateOrderSize() {
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/* Validate that this config exists */
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if (executionAlgorithm.config.percentageOfStageTargetSize === undefined) { badDefinitionUnhandledException(undefined, 'executionAlgorithm.config.percentageOfStageTargetSize === undefined', executionAlgorithm) }
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if (isNaN(executionAlgorithm.config.percentageOfStageTargetSize) === true) { badDefinitionUnhandledException(undefined, 'isNaN(executionAlgorithm.config.percentageOfStageTargetSize) === true', executionAlgorithm) }
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let algorithmSizeInBaseAsset
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let algorithmSizeInQuotedAsset
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let algorithmSizeInBaseAsset = tradingEngineStage.stageBaseAsset.targetSize.value * executionAlgorithm.config.percentageOfStageTargetSize / 100
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let algorithmSizeInQuotedAsset = tradingEngineStage.stageQuotedAsset.targetSize.value * executionAlgorithm.config.percentageOfStageTargetSize / 100
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requiredConfigurationValidation()
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notNegativeBalanceValidation()
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notPassingTargetSizeValidation()
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/* Validate that this config exists */
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if (tradingSystemOrder.config.percentageOfAlgorithmSize === undefined) { badDefinitionUnhandledException(undefined, 'tradingSystemOrder.config.percentageOfAlgorithmSize === undefined', tradingSystemOrder) }
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if (isNaN(tradingSystemOrder.config.percentageOfAlgorithmSize) === true) { badDefinitionUnhandledException(undefined, 'isNaN(tradingSystemOrder.config.percentageOfAlgorithmSize) === true', tradingSystemOrder) }
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/*
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The Size calculation depends on how the user defined the size of the position.
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The user could have defined the size of the position in Base Asset or Quoted Asset.
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*/
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switch (tradingEngineStage.stageDefinedIn.value) {
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case 'Base Asset': {
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/* Size in Base Asset */
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tradingEngineOrder.orderBaseAsset.size.value = algorithmSizeInBaseAsset * tradingSystemOrder.config.percentageOfAlgorithmSize / 100
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/* Check that the Size calculated would not surpass Stage Target Size */
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if (
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tradingEngineOrder.orderBaseAsset.size.value + tradingEngineStage.stageBaseAsset.sizePlaced.value >
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tradingEngineStage.stageBaseAsset.targetSize.value
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) {
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tradingEngineOrder.orderBaseAsset.size.value = tradingEngineStage.stageBaseAsset.targetSize.value - tradingEngineStage.stageBaseAsset.sizePlaced.value
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}
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/* Size in Quoted Asset */
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tradingEngineOrder.orderQuotedAsset.size.value = tradingEngineOrder.orderBaseAsset.size.value * tradingEngineOrder.rate.value
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break
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function requiredConfigurationValidation() {
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/* Validate that this config exists */
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if (executionAlgorithm.config.percentageOfStageTargetSize === undefined) {
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badDefinitionUnhandledException(undefined, 'executionAlgorithm.config.percentageOfStageTargetSize === undefined', executionAlgorithm)
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}
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if (isNaN(executionAlgorithm.config.percentageOfStageTargetSize) === true) {
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badDefinitionUnhandledException(undefined, 'isNaN(executionAlgorithm.config.percentageOfStageTargetSize) === true', executionAlgorithm)
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}
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case 'Quoted Asset': {
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/* Size in Quoted Asset */
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tradingEngineOrder.orderQuotedAsset.size.value = algorithmSizeInQuotedAsset * tradingSystemOrder.config.percentageOfAlgorithmSize / 100
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/* Check that the Size calculated would not surpass Stage Target Size */
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if (
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tradingEngineOrder.orderQuotedAsset.size.value + tradingEngineStage.stageQuotedAsset.sizePlaced.value >
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tradingEngineStage.stageQuotedAsset.targetSize.value
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) {
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tradingEngineOrder.orderQuotedAsset.size.value = tradingEngineStage.stageQuotedAsset.targetSize.value - tradingEngineStage.stageQuotedAsset.sizePlaced.value
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algorithmSizeInBaseAsset = tradingEngineStage.stageBaseAsset.targetSize.value * executionAlgorithm.config.percentageOfStageTargetSize / 100
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algorithmSizeInQuotedAsset = tradingEngineStage.stageQuotedAsset.targetSize.value * executionAlgorithm.config.percentageOfStageTargetSize / 100
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/* Validate that this config exists */
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if (tradingSystemOrder.config.percentageOfAlgorithmSize === undefined) {
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badDefinitionUnhandledException(undefined, 'tradingSystemOrder.config.percentageOfAlgorithmSize === undefined', tradingSystemOrder)
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}
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if (isNaN(tradingSystemOrder.config.percentageOfAlgorithmSize) === true) {
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badDefinitionUnhandledException(undefined, 'isNaN(tradingSystemOrder.config.percentageOfAlgorithmSize) === true', tradingSystemOrder)
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}
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}
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function notPassingTargetSizeValidation() {
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/*
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The Size calculation depends on how the user defined the size of the position.
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The user could have defined the size of the position in Base Asset or Quoted Asset.
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*/
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switch (tradingEngineStage.stageDefinedIn.value) {
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case 'Base Asset': {
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/* Size in Base Asset */
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tradingEngineOrder.orderBaseAsset.size.value = algorithmSizeInBaseAsset * tradingSystemOrder.config.percentageOfAlgorithmSize / 100
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/* Check that the Size calculated would not surpass Stage Target Size */
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if (
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tradingEngineOrder.orderBaseAsset.size.value + tradingEngineStage.stageBaseAsset.sizePlaced.value >
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tradingEngineStage.stageBaseAsset.targetSize.value
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) {
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tradingEngineOrder.orderBaseAsset.size.value =
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tradingEngineStage.stageBaseAsset.targetSize.value -
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tradingEngineStage.stageBaseAsset.sizePlaced.value
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tradingSystem.warnings.push([tradingSystemOrder.id, 'Order size shrinked so that the Size Placed does not exceed the Target Size for the stage.'])
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}
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/* Size in Quoted Asset */
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tradingEngineOrder.orderQuotedAsset.size.value = tradingEngineOrder.orderBaseAsset.size.value * tradingEngineOrder.rate.value
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break
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}
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case 'Quoted Asset': {
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/* Size in Quoted Asset */
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tradingEngineOrder.orderQuotedAsset.size.value = algorithmSizeInQuotedAsset * tradingSystemOrder.config.percentageOfAlgorithmSize / 100
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/* Size in Base Asset */
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tradingEngineOrder.orderBaseAsset.size.value = tradingEngineOrder.orderQuotedAsset.size.value / tradingEngineOrder.rate.value
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break
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/* Check that the Size calculated would not surpass Stage Target Size */
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if (
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tradingEngineOrder.orderQuotedAsset.size.value + tradingEngineStage.stageQuotedAsset.sizePlaced.value >
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tradingEngineStage.stageQuotedAsset.targetSize.value
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) {
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tradingEngineOrder.orderQuotedAsset.size.value =
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tradingEngineStage.stageQuotedAsset.targetSize.value -
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tradingEngineStage.stageQuotedAsset.sizePlaced.value
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tradingSystem.warnings.push([tradingSystemOrder.id, 'Order size shrinked so that the Size Placed does not exceed the Target Size for the stage.'])
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}
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/* Size in Base Asset */
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tradingEngineOrder.orderBaseAsset.size.value = tradingEngineOrder.orderQuotedAsset.size.value / tradingEngineOrder.rate.value
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break
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}
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}
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}
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function notNegativeBalanceValidation() {
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/* Check that the Size calculated would not leave a negative balance */
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switch (true) {
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case tradingSystemOrder.type === 'Market Buy Order' || tradingSystemOrder.type === 'Limit Buy Order': {
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if (
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tradingEngine.current.episode.episodeQuotedAsset.balance.value - tradingEngineOrder.orderQuotedAsset.size.value < 0
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) {
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tradingEngineOrder.orderQuotedAsset.size.value = tradingEngine.current.episode.episodeQuotedAsset.balance.value
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tradingEngineOrder.orderBaseAsset.size.value = tradingEngineOrder.orderQuotedAsset.size.value / tradingEngineOrder.rate.value
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tradingSystem.warnings.push([tradingSystemOrder.id, 'Order size shrinked so that the Balance does not drop below zero.'])
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}
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break
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}
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case tradingSystemOrder.type === 'Market Sell Order' || tradingSystemOrder.type === 'Limit Sell Order': {
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if (
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tradingEngine.current.episode.episodeBaseAsset.balance.value - tradingEngineOrder.orderBaseAsset.size.value < 0
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) {
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tradingEngineOrder.orderBaseAsset.size.value = tradingEngine.current.episode.episodeBaseAsset.balance.value
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tradingEngineOrder.orderQuotedAsset.size.value = tradingEngineOrder.orderBaseAsset.size.value * tradingEngineOrder.rate.value
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tradingSystem.warnings.push([tradingSystemOrder.id, 'Order size shrinked so that the Balance does not drop below zero.'])
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}
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break
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}
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}
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}
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