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Taking market price from Bruce

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This commit is contained in:
Luis Fernando Molina committed 2018-05-02 14:48:36 +02:00
1 parent d0f35aeca8
commit fc9bd1757b
3 files changed
+168 -165
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.vs/AACloud/v15/.suo
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Assistant.js
+166 -163
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@@ -71,12 +71,13 @@
global.PLATFORM_CONFIG.marketRateProvider.dataSet + "-" +
global.PLATFORM_CONFIG.marketRateProvider.dataSetVersion;
if (FULL_LOG === true) { logger.write("[INFO] initialize -> getMarketRate -> key = " + key); }
let dataSet = thisObject.dataDependencies.dataSets.get(key);
let timePeriod = "01-min";
let dateForPath = bot.processDatetime.getUTCFullYear() + '/' + utilities.pad(bot.processDatetime.getUTCMonth() + 1, 2) + '/' + utilities.pad(bot.processDatetime.getUTCDate(), 2);
let fileName = '' + global.MARKET.assetA + '_' + global.MARKET.assetB + '.json';
let filePath = global.PLATFORM_CONFIG.marketRateProvider.product + "/" + global.PLATFORM_CONFIG.marketRateProvider.dataSet + "/" + timePeriod + "/" + dateForPath;
let filePath = global.PLATFORM_CONFIG.marketRateProvider.product + "/" + global.PLATFORM_CONFIG.marketRateProvider.dataSet + "/" + dateForPath;
dataSet.getTextFile(filePath, fileName, onFileReceived, true);
@@ -458,76 +459,6 @@
getPositionTradesAtExchange(position.id, confirmOrderWasPartiallyExecuted);
return;
function confirmOrderWasPartiallyExecuted(pTrades) {
try {
if (FULL_LOG === true) { logger.write("[INFO] ordersExecutionCheck -> loopBody -> positionFound -> confirmOrderWasPartiallyExecuted -> Entering function."); }
/*
To confirm everything is ok, we will add all the amounts on trades plus the remaining amounts
at the order at the exchange and they must be equal to the one on file. Otherwise something very strange could
have happened, in which case we will halt the bot execution.
*/
let sumAssetA = 0;
let sumAssetB = 0;
for (let k = 0; k < pTrades.length; k++) {
sumAssetA = sumAssetA + pTrades[k].amountA;
sumAssetB = sumAssetB + pTrades[k].amountB;
}
/* To this we add the current position amounts. */
sumAssetA = sumAssetA + exchangePosition.amountA;
sumAssetB = sumAssetB + exchangePosition.amountB;
/* And finally we add the fees */
sumAssetA = sumAssetA + exchangePosition.fee;
if (
position.amountA !== sumAssetA ||
position.amountB !== sumAssetB
) {
logger.write("[ERROR] ordersExecutionCheck -> loopBody -> positionFound > confirmOrderWasPartiallyExecuted -> Cannot be confirmed that a partially execution was done well.");
callBack(global.DEFAULT_FAIL_RESPONSE);
return;
}
/*
Confirmed that order was partially executed. Next thing to do is to remember the trades and the new position.
*/
position.amountA = exchangePosition.amountA;
position.amountB = exchangePosition.amountB;
position.date = (new Date(exchangePosition.date)).valueOf();
applyTradesToContext(pTrades);
let newTransaction = {
type: position.type + " partially executed",
position: position
};
context.executionContext.transactions.push(newTransaction);
/* All done. */
next();
} catch (err) {
logger.write("[ERROR] ordersExecutionCheck -> loopBody -> positionFound > confirmOrderWasPartiallyExecuted -> err = " + err.message);
callBack(global.DEFAULT_FAIL_RESPONSE);
return;
}
}
}
}
@@ -539,114 +470,115 @@
getPositionTradesAtExchange(position.id, confirmOrderWasExecuted);
function getPositionTradesAtExchange(pPositionId, innerCallBack) {
}
try {
function getPositionTradesAtExchange(pPositionId, innerCallBack) {
if (FULL_LOG === true) { logger.write("[INFO] ordersExecutionCheck -> loopBody -> positionNotFound -> getPositionTradesAtExchange -> Entering function."); }
if (FULL_LOG === true) { logger.write("[INFO] ordersExecutionCheck -> loopBody -> positionNotFound -> getPositionTradesAtExchange -> pPositionId = " + pPositionId); }
try {
/*
Given one position, we request all the associated trades to it.
*/
if (FULL_LOG === true) { logger.write("[INFO] ordersExecutionCheck -> loopBody -> getPositionTradesAtExchange -> Entering function."); }
if (FULL_LOG === true) { logger.write("[INFO] ordersExecutionCheck -> loopBody -> getPositionTradesAtExchange -> pPositionId = " + pPositionId); }
switch (bot.runMode) {
/*
Given one position, we request all the associated trades to it.
*/
case "Live": {
switch (bot.runMode) {
if (FULL_LOG === true) { logger.write("[INFO] ordersExecutionCheck -> loopBody -> positionNotFound -> getPositionTradesAtExchange -> Live Mode Detected."); }
exchangeAPI.getExecutedTrades(pPositionId, onResponse);
return;
case "Live": {
}
if (FULL_LOG === true) { logger.write("[INFO] ordersExecutionCheck -> loopBody -> getPositionTradesAtExchange -> Live Mode Detected."); }
exchangeAPI.getExecutedTrades(pPositionId, onResponse);
return;
case "Backtest": {
if (FULL_LOG === true) { logger.write("[INFO] ordersExecutionCheck -> loopBody -> positionNotFound -> getPositionTradesAtExchange -> Backtest Mode Detected."); }
let trades = [];
/* We look for the position at the executionContext */
for (let i = 0; i < context.executionContext.positions.length; i++) {
let thisPosition = context.executionContext.positions[i];
if (thisPosition.id === pPositionId) {
let trade = {
id: Math.trunc(Math.random(1) * 1000000),
type: thisPosition.type,
rate: thisPosition.rate,
amountA: thisPosition.amountA,
amountB: thisPosition.amountB,
fee: 0,
date: (new Date()).valueOf()
}
trades.push(trade);
onResponse(global.DEFAULT_OK_RESPONSE, trades);
return;
}
}
logger.write("[ERROR] ordersExecutionCheck -> loopBody -> positionNotFound -> getPositionTradesAtExchange -> Position not found at Executioin Context.");
callBack(global.DEFAULT_FAIL_RESPONSE);
return;
}
case "Competition": {
if (FULL_LOG === true) { logger.write("[INFO] ordersExecutionCheck -> loopBody -> positionNotFound -> getPositionTradesAtExchange -> Competition Mode Detected."); }
exchangeAPI.getExecutedTrades(pPositionId, onResponse);
return;
}
default: {
logger.write("[ERROR] ordersExecutionCheck -> loopBody -> positionNotFound -> getPositionTradesAtExchange -> Unexpected bot.runMode.");
logger.write("[ERROR] ordersExecutionCheck -> loopBody -> positionNotFound -> getPositionTradesAtExchange -> bot.runMode = " + bot.runMode);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
return;
}
}
function onResponse(err, pTrades) {
case "Backtest": {
try {
if (FULL_LOG === true) { logger.write("[INFO] ordersExecutionCheck -> loopBody -> positionNotFound -> getPositionTradesAtExchange -> onResponse -> Entering function."); }
if (FULL_LOG === true) { logger.write("[INFO] ordersExecutionCheck -> loopBody -> getPositionTradesAtExchange -> Backtest Mode Detected."); }
switch (err.result) {
case global.DEFAULT_OK_RESPONSE.result: { // Everything went well, we have the information requested.
logger.write("[INFO] ordersExecutionCheck -> loopBody -> positionNotFound -> getPositionTradesAtExchange -> onResponse -> Execution finished well. :-)");
innerCallBack(pTrades);
let trades = [];
/* We look for the position at the executionContext */
for (let i = 0; i < context.executionContext.positions.length; i++) {
let thisPosition = context.executionContext.positions[i];
if (thisPosition.id === pPositionId) {
let trade = {
id: Math.trunc(Math.random(1) * 1000000),
type: thisPosition.type,
rate: thisPosition.rate,
amountA: thisPosition.amountA,
amountB: thisPosition.amountB,
fee: 0,
date: (new Date()).valueOf()
}
break;
case global.DEFAULT_RETRY_RESPONSE.result: { // Something bad happened, but if we retry in a while it might go through the next time.
logger.write("[ERROR] ordersExecutionCheck -> loopBody -> positionNotFound -> getPositionTradesAtExchange -> onResponse -> Retry Later. Requesting Execution Retry.");
callBack(global.DEFAULT_RETRY_RESPONSE);
return;
}
break;
case global.DEFAULT_FAIL_RESPONSE.result: { // This is an unexpected exception that we do not know how to handle.
logger.write("[ERROR] ordersExecutionCheck -> loopBody -> positionNotFound -> getPositionTradesAtExchange -> onResponse -> Operation Failed. Aborting the process.");
callBack(global.DEFAULT_FAIL_RESPONSE);
return;
}
break;
trades.push(trade);
onResponse(global.DEFAULT_OK_RESPONSE, trades);
return;
}
} catch (err) {
logger.write("[ERROR] ordersExecutionCheck -> loopBody -> positionNotFound -> getPositionTradesAtExchange -> onResponse -> err = " + err.message);
callBack(global.DEFAULT_FAIL_RESPONSE);
}
logger.write("[ERROR] ordersExecutionCheck -> loopBody -> getPositionTradesAtExchange -> Position not found at Executioin Context.");
callBack(global.DEFAULT_FAIL_RESPONSE);
return;
}
case "Competition": {
if (FULL_LOG === true) { logger.write("[INFO] ordersExecutionCheck -> loopBody -> getPositionTradesAtExchange -> Competition Mode Detected."); }
exchangeAPI.getExecutedTrades(pPositionId, onResponse);
return;
}
default: {
logger.write("[ERROR] ordersExecutionCheck -> loopBody -> getPositionTradesAtExchange -> Unexpected bot.runMode.");
logger.write("[ERROR] ordersExecutionCheck -> loopBody -> getPositionTradesAtExchange -> bot.runMode = " + bot.runMode);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
return;
}
} catch (err) {
logger.write("[ERROR] ordersExecutionCheck -> loopBody -> positionNotFound -> getPositionTradesAtExchange -> err = " + err.message);
callBack(global.DEFAULT_FAIL_RESPONSE);
}
function onResponse(err, pTrades) {
try {
if (FULL_LOG === true) { logger.write("[INFO] ordersExecutionCheck -> loopBody -> getPositionTradesAtExchange -> onResponse -> Entering function."); }
switch (err.result) {
case global.DEFAULT_OK_RESPONSE.result: { // Everything went well, we have the information requested.
logger.write("[INFO] ordersExecutionCheck -> loopBody -> getPositionTradesAtExchange -> onResponse -> Execution finished well. :-)");
innerCallBack(pTrades);
}
break;
case global.DEFAULT_RETRY_RESPONSE.result: { // Something bad happened, but if we retry in a while it might go through the next time.
logger.write("[ERROR] ordersExecutionCheck -> loopBody -> getPositionTradesAtExchange -> onResponse -> Retry Later. Requesting Execution Retry.");
callBack(global.DEFAULT_RETRY_RESPONSE);
return;
}
break;
case global.DEFAULT_FAIL_RESPONSE.result: { // This is an unexpected exception that we do not know how to handle.
logger.write("[ERROR] ordersExecutionCheck -> loopBody -> getPositionTradesAtExchange -> onResponse -> Operation Failed. Aborting the process.");
callBack(global.DEFAULT_FAIL_RESPONSE);
return;
}
break;
}
} catch (err) {
logger.write("[ERROR] ordersExecutionCheck -> loopBody -> getPositionTradesAtExchange -> onResponse -> err = " + err.message);
callBack(global.DEFAULT_FAIL_RESPONSE);
}
}
} catch (err) {
logger.write("[ERROR] ordersExecutionCheck -> loopBody -> getPositionTradesAtExchange -> err = " + err.message);
callBack(global.DEFAULT_FAIL_RESPONSE);
}
}
@@ -723,6 +655,77 @@
}
}
function confirmOrderWasPartiallyExecuted(pTrades) {
try {
if (FULL_LOG === true) { logger.write("[INFO] ordersExecutionCheck -> loopBody -> confirmOrderWasPartiallyExecuted -> Entering function."); }
/*
To confirm everything is ok, we will add all the amounts on trades plus the remaining amounts
at the order at the exchange and they must be equal to the one on file. Otherwise something very strange could
have happened, in which case we will halt the bot execution.
*/
let sumAssetA = 0;
let sumAssetB = 0;
for (let k = 0; k < pTrades.length; k++) {
sumAssetA = sumAssetA + pTrades[k].amountA;
sumAssetB = sumAssetB + pTrades[k].amountB;
}
/* To this we add the current position amounts. */
sumAssetA = sumAssetA + exchangePosition.amountA;
sumAssetB = sumAssetB + exchangePosition.amountB;
/* And finally we add the fees */
sumAssetA = sumAssetA + exchangePosition.fee;
if (
position.amountA !== sumAssetA ||
position.amountB !== sumAssetB
) {
logger.write("[ERROR] ordersExecutionCheck -> loopBody -> confirmOrderWasPartiallyExecuted -> Cannot be confirmed that a partially execution was done well.");
callBack(global.DEFAULT_FAIL_RESPONSE);
return;
}
/*
Confirmed that order was partially executed. Next thing to do is to remember the trades and the new position.
*/
position.amountA = exchangePosition.amountA;
position.amountB = exchangePosition.amountB;
position.date = (new Date(exchangePosition.date)).valueOf();
applyTradesToContext(pTrades);
let newTransaction = {
type: position.type + " partially executed",
position: position
};
context.executionContext.transactions.push(newTransaction);
/* All done. */
next();
} catch (err) {
logger.write("[ERROR] ordersExecutionCheck -> loopBody -> confirmOrderWasPartiallyExecuted -> err = " + err.message);
callBack(global.DEFAULT_FAIL_RESPONSE);
return;
}
}
function applyTradesToContext(pTrades) {
try {
this.config.json
+2 -2
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@@ -47,13 +47,13 @@
"maxLogLoops": 5,
"marketRateProvider": {
"devTeam": "AAMasters",
"bot": "AAOlivia",
"bot": "AABruce",
"botVersion": {
"major": 1,
"minor": 0
},
"product": "Candles",
"dataSet": "Multi-Period-Daily",
"dataSet": "One-Min",
"dataSetVersion": "dataSet.V1"
}
}