BUG Fixes for live trading to work

This commit is contained in:
Luis Fernando Molina committed 2019-08-13 11:46:10 +02:00
1 parent 51d73ff278
commit f78c861c4a
5 files changed
+2936 -13

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+2367
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+1 -1
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@@ -233,7 +233,7 @@
processConfig.timePeriod = global.EXECUTION_CONFIG.timePeriod
}
// TODO Pending. Move this if inside IndicatorBotProcessMainLoop line 270
if (processConfig.framework !== undefined) {
if (processConfig.framework.name === "Multi-Period-Daily" || processConfig.framework.name === "Multi-Period-Market") {
processConfig.framework.startDate.resumeExecution = false;
+8 -8
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@@ -204,20 +204,20 @@ async function readExecutionConfiguration(execution) {
}
}
if (baseAsset === 'BTC') {
if (receivedParameters.initialBalance !== undefined) {
process.env.INITIAL_BALANCE_ASSET_A = receivedParameters.initialBalance;
process.env.INITIAL_BALANCE_ASSET_B = 0
}
} else {
if (baseAsset === 'BTC') { // NOTE: POLONIEX, the only exchange working so far, has Asset A and B inverted. We need to fix this.
if (receivedParameters.initialBalance !== undefined) {
process.env.INITIAL_BALANCE_ASSET_B = receivedParameters.initialBalance;
process.env.INITIAL_BALANCE_ASSET_A = 0
}
} else {
if (receivedParameters.initialBalance !== undefined) {
process.env.INITIAL_BALANCE_ASSET_A = receivedParameters.initialBalance;
process.env.INITIAL_BALANCE_ASSET_B = 0
}
}
} catch (err) {
process.env.INITIAL_BALANCE_ASSET_A = 0.001 // default
process.env.INITIAL_BALANCE_ASSET_B = 0 // default
process.env.INITIAL_BALANCE_ASSET_A = 0 // default
process.env.INITIAL_BALANCE_ASSET_B = 0.001 // default
}
}
}
+4 -4
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@@ -54,8 +54,8 @@
}
USER_BOT_MODULE = {}
//USER_BOT_MODULE.newUserBot = require(ROOT_DIR + 'User.Bot').newUserBot // Use this for a better debugging experience. You need to bring this js module to this folder in order to work.
USER_BOT_MODULE.newUserBot = eval(text); // Use this for production
USER_BOT_MODULE.newUserBot = require(ROOT_DIR + 'User.Bot').newUserBot // Use this for a better debugging experience. You need to bring this js module to this folder in order to work.
//USER_BOT_MODULE.newUserBot = eval(text); // Use this for production
filePath = global.DEV_TEAM + "/" + "bots" + "/" + bot.repo;
filePath += "/Commons.js"
@@ -70,8 +70,8 @@
return;
}
COMMONS_MODULE = {}
//COMMONS_MODULE.newCommons = require(ROOT_DIR + 'Commons').newCommons // Use this for a better debugging experience. You need to bring this js module to this folder in order to work.
COMMONS_MODULE.newCommons = eval(text); // Use this for production
COMMONS_MODULE.newCommons = require(ROOT_DIR + 'Commons').newCommons // Use this for a better debugging experience. You need to bring this js module to this folder in order to work.
//COMMONS_MODULE.newCommons = eval(text); // Use this for production
callBackFunction(global.DEFAULT_OK_RESPONSE);
}
+556
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@@ -0,0 +1,556 @@
exports.newUserBot = function newUserBot(bot, logger, COMMONS, UTILITIES, fileStorage) {
const FULL_LOG = true;
const LOG_FILE_CONTENT = false;
const MODULE_NAME = "User Bot";
const EXECUTION_FOLDER_NAME = "Trading-Execution";
const SIMULATED_RECORDS_FOLDER_NAME = "Trading-Simulation";
const CONDITIONS_FOLDER_NAME = "Simulation-Conditions";
const STRATEGIES_FOLDER_NAME = "Simulation-Strategies";
const TRADES_FOLDER_NAME = "Simulation-Trades";
const commons = COMMONS.newCommons(bot, logger, UTILITIES);
thisObject = {
initialize: initialize,
start: start
};
let utilities = UTILITIES.newCloudUtilities(bot, logger);
let dataDependencies;
let assistant;
return thisObject;
function initialize(pDataDependencies, callBackFunction, pAssistant) {
try {
logger.fileName = MODULE_NAME;
logger.initialize();
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] initialize -> Entering function."); }
dataDependencies = pDataDependencies;
assistant = pAssistant;
callBackFunction(global.DEFAULT_OK_RESPONSE);
} catch (err) {
logger.write(MODULE_NAME, "[ERROR] initialize -> err = " + err.stack);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
function start(dataFiles, timePeriod, outputPeriodLabel, currentDay, startDate, endDate, interExecutionMemory, callBackFunction) {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> Entering function."); }
let market = global.MARKET;
let dataFile;
let recordsArray
let conditionsArray
let strategiesArray
let tradesArray
let lastObjectsArray
let tradingSystem = {};
commons.initializeData();
for (let i = 0; i < dataDependencies.config.length; i++) {
let dependency = dataDependencies.config[i];
dataFile = dataFiles[i];
switch (i) {
/*
case 0: {
commons.buildLRC(dataFile, callBackFunction);
break;
}*/
case 0: {
commons.buildPercentageBandwidthMap(dataFile, callBackFunction);
break;
}
case 1: {
commons.buildBollingerBandsMap(dataFile, callBackFunction);
break;
}
case 2: {
commons.buildBollingerChannelsArray(dataFile, callBackFunction);
break;
}
case 3: {
commons.buildBollingerSubChannelsArray(dataFile, callBackFunction);
break;
}
case 4: {
commons.buildCandles(dataFile, callBackFunction);
break;
}
}
}
commons.runSimulation(
timePeriod,
currentDay,
startDate,
endDate,
interExecutionMemory,
assistant,
writeFiles,
callBackFunction)
function writeFiles(pTradingSystem, pExecutionArray, pRecordsArray, pConditionsArray, pStrategiesArray, pTradesArray, pLastObjectsArray) {
tradingSystem = pTradingSystem
executionArray = pExecutionArray
recordsArray = pRecordsArray
conditionsArray = pConditionsArray
strategiesArray = pStrategiesArray
tradesArray = pTradesArray
lastObjectsArray = pLastObjectsArray
writeExecutionFile()
}
function writeExecutionFile() {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> Entering function."); }
let separator = "";
let fileRecordCounter = 0;
let fileContent = "";
for (let i = 0; i < executionArray.length; i++) {
let record = executionArray[i];
/* Will only add to the file the records of the current day */
if (record.begin < currentDay.valueOf()) { continue; }
fileContent = fileContent + separator + '[' +
record.begin + "," +
record.end + "," +
JSON.stringify(record.executionRecord) + "]";
if (separator === "") { separator = ","; }
fileRecordCounter++;
}
fileContent = "[" + fileContent + "]";
let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
let filePath = filePathRoot + "/Output/" + EXECUTION_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath;
filePath += '/' + fileName
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
function onFileCreated(err) {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> onFileCreated -> Entering function."); }
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> onFileCreated -> fileContent = " + fileContent); }
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> err = " + err.stack);
logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> filePath = " + filePath);
logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
callBackFunction(err);
return;
}
writeRecordsFile();
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> err = " + err.stack);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> err = " + err.stack);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
function writeRecordsFile() {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeRecordsFile -> Entering function."); }
let separator = "";
let fileRecordCounter = 0;
let fileContent = "";
for (let i = 0; i < recordsArray.length; i++) {
let record = recordsArray[i];
/* Will only add to the file the records of the current day */
if (record.begin < currentDay.valueOf()) { continue; }
fileContent = fileContent + separator + '[' +
record.begin + "," +
record.end + "," +
record.type + "," +
record.marketRate + "," +
record.amount + "," +
record.balanceA + "," +
record.balanceB + "," +
record.profit + "," +
record.lastTradeProfitLoss + "," +
record.stopLoss + "," +
record.roundtrips + "," +
record.hits + "," +
record.fails + "," +
record.hitRatio + "," +
record.ROI + "," +
record.periods + "," +
record.days + "," +
record.anualizedRateOfReturn + "," +
record.positionRate + "," +
record.lastTradeROI + "," +
record.strategy + "," +
record.strategyStageNumber + "," +
record.takeProfit + "," +
record.stopLossPhase + "," +
record.takeProfitPhase + "," +
JSON.stringify(record.executionRecord) + "," +
record.positionSize + "," +
record.initialBalanceA + "," +
record.minimumBalanceA + "," +
record.maximumBalanceA + "," +
record.initialBalanceB + "," +
record.minimumBalanceB + "," +
record.maximumBalanceB + "," +
record.baseAsset + "]";
if (separator === "") { separator = ","; }
fileRecordCounter++;
}
fileContent = "[" + fileContent + "]";
let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
let filePath = filePathRoot + "/Output/" + SIMULATED_RECORDS_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath;
filePath += '/' + fileName
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
function onFileCreated(err) {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeRecordsFile -> onFileCreated -> Entering function."); }
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeRecordsFile -> onFileCreated -> fileContent = " + fileContent); }
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> onFileCreated -> err = " + err.stack);
logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> onFileCreated -> filePath = " + filePath);
logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
callBackFunction(err);
return;
}
writeConditionsFile();
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> onFileCreated -> err = " + err.stack);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> err = " + err.stack);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
function writeConditionsFile() {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeConditionsFile -> Entering function."); }
let separator = "";
let fileRecordCounter = 0;
let fileContent = "";
for (let i = 0; i < conditionsArray.length; i++) {
let record = conditionsArray[i];
/* Will only add to the file the records of the current day */
if (record.begin < currentDay.valueOf()) { continue; }
let conditions = "";
let conditionsSeparator = "";
/* Will only add to the file the records of the current day */
if (record.begin < currentDay.valueOf()) { continue; }
for (let j = 0; j < record.length - 3; j++) {
conditions = conditions + conditionsSeparator + record[j];
if (conditionsSeparator === "") { conditionsSeparator = ","; }
}
conditions = conditions + conditionsSeparator + '[' + record[record.length - 3] + ']'; // The last item contains an Array of condition values.
conditions = conditions + conditionsSeparator + '[' + record[record.length - 2] + ']'; // The last item contains an Array of formulaErrors.
conditions = conditions + conditionsSeparator + '[' + record[record.length - 1] + ']'; // The last item contains an Array of formulaValues.
fileContent = fileContent + separator + '[' + conditions + ']';
if (separator === "") { separator = ","; }
fileRecordCounter++;
}
fileContent = "[" + fileContent + "]";
fileContent = "[" + JSON.stringify(tradingSystem) + "," + JSON.stringify(lastObjectsArray) + "," + fileContent + "]";
let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
let filePath = filePathRoot + "/Output/" + CONDITIONS_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath;
filePath += '/' + fileName
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
function onFileCreated(err) {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeConditionsFile -> onFileCreated -> Entering function."); }
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeConditionsFile -> onFileCreated -> fileContent = " + fileContent); }
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> onFileCreated -> err = " + err.stack);
logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> onFileCreated -> filePath = " + filePath);
logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
callBackFunction(err);
return;
}
writeStrategiesFile();
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> onFileCreated -> err = " + err.stack);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> err = " + err.stack);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
function writeStrategiesFile() {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> Entering function."); }
let separator = "";
let fileRecordCounter = 0;
let fileContent = "";
for (let i = 0; i < strategiesArray.length; i++) {
let record = strategiesArray[i];
/* Will only add to the file the records of the current day. In this case since objects can span more than one day, we add all of the objects that ends
at the current date. */
if (record.end < currentDay.valueOf()) { continue; }
fileContent = fileContent + separator + '[' +
record.begin + "," +
record.end + "," +
record.status + "," +
record.number + "," +
record.beginRate + "," +
record.endRate + "]";
if (separator === "") { separator = ","; }
fileRecordCounter++;
}
fileContent = "[" + fileContent + "]";
let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
let filePath = filePathRoot + "/Output/" + STRATEGIES_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath;
filePath += '/' + fileName
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
function onFileCreated(err) {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> onFileCreated -> Entering function."); }
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> onFileCreated -> fileContent = " + fileContent); }
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> err = " + err.stack);
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> filePath = " + filePath);
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
callBackFunction(err);
return;
}
writeTradesFile();
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> err = " + err.stack);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> err = " + err.stack);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
function writeTradesFile() {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> Entering function."); }
let separator = "";
let fileRecordCounter = 0;
let fileContent = "";
for (let i = 0; i < tradesArray.length; i++) {
let record = tradesArray[i];
/* Will only add to the file the records of the current day. In this case since objects can span more than one day, we add all of the objects that ends
at the current date. */
if (record.end < currentDay.valueOf()) { continue; }
if (record.stopRate === undefined) { record.stopRate = 0}
fileContent = fileContent + separator + '[' +
record.begin + "," +
record.end + "," +
record.status + "," +
record.lastTradeROI + "," +
record.beginRate + "," +
record.endRate + "," +
record.exitType + "," +
record.stopRate + "]";
if (separator === "") { separator = ","; }
fileRecordCounter++;
}
fileContent = "[" + fileContent + "]";
let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
let filePath = filePathRoot + "/Output/" + TRADES_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath;
filePath += '/' + fileName
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
function onFileCreated(err) {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> onFileCreated -> Entering function."); }
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> onFileCreated -> fileContent = " + fileContent); }
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> err = " + err.stack);
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> filePath = " + filePath);
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
callBackFunction(err);
return;
}
callBackFunction(global.DEFAULT_OK_RESPONSE);
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> err = " + err.stack);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> err = " + err.stack);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> err = " + err.stack);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
};