Orders Ends with cycle

LowFrequencyTrading/TradingEngine.js

@@ -68,23 +68,24 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
     function setCurrentCycle(cycle) {
         switch (cycle) {
             case 'First': {
-                tradingEngine.current.episode.cycle.begin.value = tradingEngine.current.episode.candle.begin.value
+                tradingEngine.current.episode.cycle.begin.value =
+                    tradingEngine.current.episode.candle.begin.value +
+                    sessionParameters.timeFrame.config.value
                 tradingEngine.current.episode.cycle.end.value =
                     tradingEngine.current.episode.candle.begin.value +
-                    (
-                        tradingEngine.current.episode.candle.end.value -
-                        tradingEngine.current.episode.candle.begin.value + 1
-                    ) / 2 - 1
+                    sessionParameters.timeFrame.config.value +
+                    sessionParameters.timeFrame.config.value / 4 - 1
                 break
             }
             case 'Second': {
                 tradingEngine.current.episode.cycle.begin.value =
                     tradingEngine.current.episode.candle.begin.value +
-                    (
-                        tradingEngine.current.episode.candle.end.value -
-                        tradingEngine.current.episode.candle.begin.value + 1
-                    ) / 2
-                tradingEngine.current.episode.cycle.end.value = tradingEngine.current.episode.candle.end.value
+                    sessionParameters.timeFrame.config.value +
+                    sessionParameters.timeFrame.config.value / 4
+                tradingEngine.current.episode.cycle.end.value =
+                    tradingEngine.current.episode.candle.begin.value +
+                    sessionParameters.timeFrame.config.value +
+                    sessionParameters.timeFrame.config.value * 2 / 4 - 1
                 break
             }
         }

LowFrequencyTrading/TradingOrders.js

@@ -164,6 +164,8 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
 
                             /* Cancel the order at the Exchange, if needed. */
                             await exchangeCancelOrder(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
+
+                            updateEndsWithCycle(tradingEngineOrder)
                         }
                     }
                 }
@@ -229,8 +231,8 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
         /* Create Order Procedure */
         tradingEngineOrder.status.value = 'Open'
         tradingEngineOrder.identifier.value = global.UNIQUE_ID()
-        tradingEngineOrder.begin.value = tradingEngine.current.episode.candle.end.value
-        tradingEngineOrder.end.value = tradingEngine.current.episode.candle.end.value
+        tradingEngineOrder.begin.value = tradingEngine.current.episode.cycle.begin.value
+        tradingEngineOrder.end.value = tradingEngine.current.episode.cycle.end.value
         tradingEngineOrder.serialNumber.value = tradingEngine.current.episode.episodeCounters.orders.value
         tradingEngineOrder.orderName.value = tradingSystemOrder.name
         tradingEngineOrder.algorithmName.value = executionAlgorithm.name
@@ -520,6 +522,8 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
 
                     /* Initialize this */
                     tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
+
+                    updateEndsWithCycle(tradingEngineOrder)
                 }
             }
         }
@@ -576,6 +580,8 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
 
             /* Initialize this */
             tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
+
+            updateEndsWithCycle(tradingEngineOrder)
         }
         if (order.remaining > 0 && order.status === AT_EXCHANGE_STATUS.CLOSED) {
 
@@ -585,6 +591,8 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
 
             /* Initialize this */
             tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
+
+            updateEndsWithCycle(tradingEngineOrder)
         }
         if (order.status === AT_EXCHANGE_STATUS.CANCELLED) {
 
@@ -594,6 +602,8 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
 
             /* Initialize this */
             tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
+
+            updateEndsWithCycle(tradingEngineOrder)
         }
 
         syncWithExchange(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order)
@@ -904,6 +914,10 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
         }
     }
 
+    function updateEndsWithCycle(tradingEngineOrder) {
+        tradingEngineOrder.end.value = tradingEngine.current.episode.cycle.end.value
+    }
+
     function updateCounters(tradingEngineOrder) {
         if (tradingEngineOrder.status.value === 'Open') {
             tradingEngineOrder.orderCounters.periods.value++

LowFrequencyTrading/TradingRecords.js

@@ -31,7 +31,7 @@ exports.newTradingRecords = function newTradingRecords(bot, logger) {
         outputDatasetsMap = undefined
     }
 
-    function appendRecords() {
+    function appendRecords(cycle) {
         /*
             Here we add records to the output files. At the product config property nodePath
             we have a pointer to the node that have the information we need to extract.
@@ -53,6 +53,14 @@ exports.newTradingRecords = function newTradingRecords(bot, logger) {
             }
 
             function persistRecords() {
+                /*
+                There are a few products configured to be saved only at an specific cycle.
+                */
+                if (product.config.saveAtCycle !== undefined) {
+                    if (cycle !== product.config.saveAtCycle) {
+                        return
+                    }
+                }
 
                 /* Clean the file from information of previous executions */
                 pruneOutputFile(product, outputDatasetArray)

LowFrequencyTrading/TradingSimulation.js

@@ -159,7 +159,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
                 await tradingSystemModule.run()
 
                 /* Add new records to the process output */
-                tradingRecordsModule.appendRecords()
+                tradingRecordsModule.appendRecords('First')
 
                 /* Reset Data Structures */
                 tradingSystemModule.reset()
@@ -198,7 +198,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
                 if (tradingEngine.current.episode.candle.index.value + 1 < candles.length) {
 
                     /* Add new records to the process output */
-                    tradingRecordsModule.appendRecords()
+                    tradingRecordsModule.appendRecords('Second')
 
                     tradingEngine.current.episode.candle.index.value++
 
@@ -213,7 +213,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
                 tradingEpisodeModule.closeEpisode()
 
                 /* Add new records to the process output */
-                tradingRecordsModule.appendRecords()
+                tradingRecordsModule.appendRecords('Second')
 
                 afterLoop()
             }
@@ -222,7 +222,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
                 tradingEpisodeModule.updateExitType(exitType)
 
                 /* Add new records to the process output */
-                tradingRecordsModule.appendRecords()
+                tradingRecordsModule.appendRecords('Second')
 
                 afterLoop()
             }