fez5587/Superalgos
1
0 Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Merge pull request #136 from AAMasters/develop

Browse Source 
Dates Issues
This commit is contained in:
Luis Fernando Molina authored and GitHub committed 2019-09-25 17:44:14 +02:00
2 parents b28429589f 918c492c5a
commit f7e67a58ac
2 files changed
+83 -99
Download Patch File Download Diff File Expand all files Collapse all files

No files matched your search

MultiPeriod.js
+67 -97
View File
@@ -118,107 +118,49 @@
let reportKey;
let statusReport;
if (processConfig.framework.startDate.fixedDate !== undefined) {
/* We are going to use the start date as beging of market date. */
contextVariables.dateBeginOfMarket = new Date(processConfig.framework.startDate.fixedDate)
/* The starting date is fixed, we will start from there. */
/*
Here we get the status report from the bot who knows which is the end of the market.
*/
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> getContextVariables -> We have got a user defined startDate. -> startDate = " + processConfig.framework.startDate.fixedDate); }
contextVariables.dateBeginOfMarket = new Date(processConfig.framework.startDate.fixedDate);
let botWhoKnowsTheEndOfTheMarket = statusDependencies.config[processConfig.framework.endDate.takeItFromStatusDependency];
} else {
reportKey = botWhoKnowsTheEndOfTheMarket.devTeam + "-" + botWhoKnowsTheEndOfTheMarket.bot + "-" + botWhoKnowsTheEndOfTheMarket.process + "-" + "dataSet.V1";
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> getContextVariables -> reportKey = " + reportKey); }
/*
We look first for the bot who knows the begining of the marke in order to get when the market starts.
IMPORTANT NOTE: When this module is used by Trading Engine Bots it nevers comes through this path since there is allways a ficed start date.
This code would be used by some indicator that is.
*/
let botWhoKnowsTheBeginingOfTheMarket = statusDependencies.config[processConfig.framework.startDate.takeItFromStatusDependency];
reportKey = botWhoKnowsTheBeginingOfTheMarket.devTeam + "-" + botWhoKnowsTheBeginingOfTheMarket.bot + "-" + botWhoKnowsTheBeginingOfTheMarket.process + "-" + "dataSet.V1";
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> getContextVariables -> reportKey = " + reportKey); }
statusReport = statusDependencies.statusReports.get(reportKey);
if (statusReport === undefined) { // This means the status report does not exist, that could happen for instance at the begining of a month.
logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> Status Report does not exist. Retrying Later. ");
callBackFunction(global.DEFAULT_RETRY_RESPONSE);
return;
}
if (statusReport.status === "Status Report is corrupt.") {
logger.write(MODULE_NAME, "[ERROR] start -> getContextVariables -> Can not continue because dependecy Status Report is corrupt. ");
callBackFunction(global.DEFAULT_RETRY_RESPONSE);
return;
}
thisReport = statusDependencies.statusReports.get(reportKey).file;
if (thisReport.lastFile === undefined) {
logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> Undefined Last File. -> reportKey = " + reportKey);
logger.write(MODULE_NAME, "[HINT] start -> getContextVariables -> It is too early too run this process since the trade history of the market is not there yet.");
let customOK = {
result: global.CUSTOM_OK_RESPONSE.result,
message: "Dependency does not exist."
}
logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> customOK = " + customOK.message);
callBackFunction(customOK);
return;
}
contextVariables.dateBeginOfMarket = new Date(thisReport.lastFile);
statusReport = statusDependencies.statusReports.get(reportKey);
if (statusReport === undefined) { // This means the status report does not exist, that could happen for instance at the begining of a month.
logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> Status Report does not exist. Retrying Later. ");
callBackFunction(global.DEFAULT_RETRY_RESPONSE);
return;
}
if (processConfig.framework.endDate.fixedDate !== undefined) {
/* The ending date is fixed, we will end there. */
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> getContextVariables -> We have got a user defined endDate. -> endDate = " + processConfig.framework.endDate.fixedDate); }
contextVariables.dateEndOfMarket = new Date(processConfig.framework.endDate.fixedDate);
} else {
/*
Here we get the status report from the bot who knows which is the end of the market.
*/
let botWhoKnowsTheEndOfTheMarket = statusDependencies.config[processConfig.framework.endDate.takeItFromStatusDependency];
reportKey = botWhoKnowsTheEndOfTheMarket.devTeam + "-" + botWhoKnowsTheEndOfTheMarket.bot + "-" + botWhoKnowsTheEndOfTheMarket.process + "-" + "dataSet.V1";
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> getContextVariables -> reportKey = " + reportKey); }
statusReport = statusDependencies.statusReports.get(reportKey);
if (statusReport === undefined) { // This means the status report does not exist, that could happen for instance at the begining of a month.
logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> Status Report does not exist. Retrying Later. ");
callBackFunction(global.DEFAULT_RETRY_RESPONSE);
return;
}
if (statusReport.status === "Status Report is corrupt.") {
logger.write(MODULE_NAME, "[ERROR] start -> getContextVariables -> Can not continue because dependecy Status Report is corrupt. ");
callBackFunction(global.DEFAULT_RETRY_RESPONSE);
return;
}
thisReport = statusDependencies.statusReports.get(reportKey).file;
if (thisReport.lastFile === undefined) {
logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> Undefined Last File. -> reportKey = " + reportKey);
let customOK = {
result: global.CUSTOM_OK_RESPONSE.result,
message: "Dependency not ready."
}
logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> customOK = " + customOK.message);
callBackFunction(customOK);
return;
}
contextVariables.dateEndOfMarket = new Date(thisReport.lastFile.valueOf());
if (statusReport.status === "Status Report is corrupt.") {
logger.write(MODULE_NAME, "[ERROR] start -> getContextVariables -> Can not continue because dependecy Status Report is corrupt. ");
callBackFunction(global.DEFAULT_RETRY_RESPONSE);
return;
}
thisReport = statusDependencies.statusReports.get(reportKey).file;
if (thisReport.lastFile === undefined) {
logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> Undefined Last File. -> reportKey = " + reportKey);
let customOK = {
result: global.CUSTOM_OK_RESPONSE.result,
message: "Dependency not ready."
}
logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> customOK = " + customOK.message);
callBackFunction(customOK);
return;
}
contextVariables.dateEndOfMarket = new Date(thisReport.lastFile.valueOf());
/* Finally we get our own Status Report. */
reportKey = bot.devTeam + "-" + bot.codeName + "-" + "Multi-Period" + "-" + "dataSet.V1";
@@ -515,6 +457,20 @@
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriodsDailyFiles -> advanceTime -> bot.multiPeriodDailyProcessDatetime = " + bot.multiPeriodDailyProcessDatetime); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriodsDailyFiles -> advanceTime -> previousDay = " + previousDay); }
/* Validation that we are not going past the user defined end date. */
const userDefinedEndDatetime = new Date(processConfig.framework.endDate.fixedDate);
if (bot.multiPeriodDailyProcessDatetime.valueOf() >= userDefinedEndDatetime.valueOf()) {
const logText = "User Defined End Datetime reached @ " + previousDay.getUTCFullYear() + "/" + (previousDay.getUTCMonth() + 1) + "/" + previousDay.getUTCDate() + ".";
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriodsDailyFiles -> advanceTime -> " + logText); }
global.STOP_PROCESSING = true
callBackFunction(global.DEFAULT_OK_RESPONSE);
return;
}
/* Validation that we are not going past the head of the market. */
if (bot.multiPeriodDailyProcessDatetime.valueOf() > contextVariables.dateEndOfMarket.valueOf()) {
@@ -763,16 +719,19 @@
if ((err.result === "Fail Because" && err.message === "File does not exist.") || err.code === 'The specified key does not exist.') {
logger.write(MODULE_NAME, "[ERROR] start -> processTimePeriodsDailyFiles -> periodsLoopBody -> dependencyLoopBody -> getCurrentFile -> onFileReceived -> err = " + err.code);
logger.write(MODULE_NAME, "[ERROR] start -> processTimePeriodsDailyFiles -> periodsLoopBody -> dependencyLoopBody -> getCurrentFile -> onFileReceived -> Fail Because -> err = " + err.message);
logger.write(MODULE_NAME, "[ERROR] start -> processTimePeriodsDailyFiles -> periodsLoopBody -> dependencyLoopBody -> getCurrentFile -> onFileReceived -> filePath = " + filePath);
logger.write(MODULE_NAME, "[ERROR] start -> processTimePeriodsDailyFiles -> periodsLoopBody -> dependencyLoopBody -> getCurrentFile -> onFileReceived -> fileName = " + fileName);
logger.write(MODULE_NAME, "[ERROR] start -> processTimePeriodsDailyFiles -> periodsLoopBody -> dependencyLoopBody -> getCurrentFile -> onFileReceived -> You are trying to use data that does not exist. ");
logger.write(MODULE_NAME, "[ERROR] start -> processTimePeriodsDailyFiles -> periodsLoopBody -> dependencyLoopBody -> getCurrentFile -> onFileReceived -> Check that your Datasets building processes are running well. ");
callBackFunction(global.DEFAULT_RETRY_RESPONSE);
return;
}
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
logger.write(MODULE_NAME, "[ERROR] start -> processTimePeriodsDailyFiles -> periodsLoopBody -> dependencyLoopBody -> getCurrentFile -> onFileReceived -> err = " + err.code);
logger.write(MODULE_NAME, "[ERROR] start -> processTimePeriodsDailyFiles -> periodsLoopBody -> dependencyLoopBody -> getCurrentFile -> onFileReceived -> Not Ok -> err = " + err.code);
callBackFunction(err);
return;
}
@@ -875,8 +834,8 @@
currentTimePeriod,
currentOutputPeriodLabel,
bot.multiPeriodDailyProcessDatetime,
contextVariables.dateBeginOfMarket,
contextVariables.dateEndOfMarket,
processConfig.framework.startDate.fixedDate,
processConfig.framework.endDate.fixedDate,
interExecutionMemoryArray[n],
onBotFinished);
@@ -939,8 +898,19 @@
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriodsDailyFiles -> callTheBot -> onBotFinished -> onMarketStatusReport -> Entering function."); }
if (bot.startMode === "Backtest") {
/* This is where we check if we need reached the user defined end datetime. */
const userDefinedEndDatetime = new Date(processConfig.framework.endDate.fixedDate);
const now = new Date()
if (now.valueOf() >= userDefinedEndDatetime.valueOf()) {
const logText = "User Defined End Datetime reached @ " + now.getUTCFullYear() + "/" + (now.getUTCMonth() + 1) + "/" + now.getUTCDate() + ".";
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriodsDailyFiles -> callTheBot -> onBotFinished -> onMarketStatusReport -> " + logText); }
global.STOP_PROCESSING = true
callBackFunction(global.DEFAULT_OK_RESPONSE);
return;
}
callBackFunction(global.DEFAULT_OK_RESPONSE);
TradingEngineProcessMainLoop.js
+16 -2
View File
@@ -109,8 +109,15 @@
bot.hasTheBotJustStarted = true
setInitialBalance()
const ONE_YEAR_IN_MILISECONDS = 365 * 24 * 60 * 60 * 1000
/* If we can not get for any reason the initial date of the backtest, we will start at present time. */
processConfig.framework.startDate.fixedDate = new Date()
/* If we can not get for any reason the final date of the backtest, we will stop one year after the start date. */
processConfig.framework.endDate.fixedDate = new Date(processConfig.framework.startDate.fixedDate.valueOf() + ONE_YEAR_IN_MILISECONDS)
/* Convert this dates to string */
processConfig.framework.startDate.fixedDate = processConfig.framework.startDate.fixedDate.toISOString()
processConfig.framework.endDate.fixedDate = processConfig.framework.endDate.fixedDate.toISOString()
/* If we received simulation params we use them instead. */
if (global.DEFINITION.simulationParams) {
@@ -1047,11 +1054,18 @@
switch (nextWaitTime) {
case 'Normal': {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] run -> loop -> loopControl -> Restarting Loop in " + (processConfig.normalWaitTime / 1000) + " seconds."); }
let waitTime
if (bot.startMode === "Live") {
waitTime = processConfig.liveWaitTime
} else {
waitTime = processConfig.normalWaitTime
}
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] run -> loop -> loopControl -> Restarting Loop in " + (waitTime / 1000) + " seconds."); }
if (processConfig.deadWaitTime > 0) {
checkLoopHealthHandle = setTimeout(checkLoopHealth, processConfig.deadWaitTime, bot.loopCounter);
}
nextLoopTimeoutHandle = setTimeout(loop, processConfig.normalWaitTime);
nextLoopTimeoutHandle = setTimeout(loop, waitTime);
if (global.WRITE_LOGS_TO_FILES === 'true') {
logger.persist();
}