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Trading Data Mine upgraded to plot muktple warnings

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Luis Fernando Molina committed 2021-01-28 19:44:45 +01:00
1 parent b124192512
commit fce5866da8
5 files changed
+45 -30
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Projects/Superalgos/Plugins/Trading-Mines/Masters.json
+1 -1
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@@ -1 +1 @@
{"type":"Trading Mine","name":"Masters","config":"{ \n\"codeName\": \"Masters\"\n}","project":"Superalgos","tradingBots":[{"type":"Trading Bot","name":"Low Frequency","config":"{\n\"codeName\": \"Low-Frequency\"\n}","project":"Superalgos","processes":[{"type":"Process Definition","name":"Trading","config":"{\n \"codeName\": \"Trading\",\n \"sessionRunWaitTime\": 5000,\n \"retryWaitTime\": 10000,\n \"framework\": {\n \"name\": \"Low-Frequency-Trading-Process\"\n }\n }","project":"Superalgos","processOutput":{"type":"Process Output","name":"New Process Output","project":"Superalgos","outputDatasets":[],"outputDatasetFolders":[{"type":"Output Dataset Folder","name":"Trading Engine","project":"Superalgos","outputDatasets":[],"outputDatasetFolders":[{"type":"Output Dataset Folder","name":"Episode","project":"Superalgos","outputDatasets":[{"type":"Output Dataset","name":"Multi-Period-Market Episode Counters","project":"Superalgos","id":"ec8d74ba-a4ad-417a-b479-6bae95b8a1fe","savedPayload":{"position":{"x":24910.97457254189,"y":18457.46644293786},"targetPosition":{"x":24696.86240363471,"y":18061.668541066385},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Market","id":"3ed03a02-381d-43fe-9faa-761728c53bd8"}}},{"type":"Output Dataset","name":"Multi-Period-Daily Episode Counters","project":"Superalgos","id":"22b0af33-8c2f-4194-839b-affd18f298d5","savedPayload":{"position":{"x":24834.601232363748,"y":18490.07023931273},"targetPosition":{"x":24696.86240363471,"y":18061.668541066385},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Daily","id":"15f5b150-f1cf-403c-8cb9-2c7c4e1db8e8"}}},{"type":"Output Dataset","name":"Multi-Period-Market Episode Statistics","project":"Superalgos","id":"23ab91ae-2e78-4993-bb69-855f69cef1ce","savedPayload":{"position":{"x":24753.53736157276,"y":18508.085329665024},"targetPosition":{"x":24696.86240363471,"y":18061.668541066385},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Market","id":"fc9dc0f7-35e0-4548-bb91-f920825d694f"}}},{"type":"Output Dataset","name":"Multi-Period-Daily Episode Statistics","project":"Superalgos","id":"d0a4515a-279d-4c27-8de2-168108861242","savedPayload":{"position":{"x":24670.543493063306,"y":18510.89823169951},"targetPosition":{"x":24696.86240363471,"y":18061.668541066385},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Daily","id":"91953362-8751-4440-a898-21245cd47c15"}}},{"type":"Output Dataset","name":"Multi-Period-Market Episode Candle","project":"Superalgos","id":"7fc80977-5b37-413e-8107-0a89a16e08b0","savedPayload":{"position":{"x":24588.445883487308,"y":18498.413155411115},"targetPosition":{"x":24696.86240363471,"y":18061.668541066385},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Market","id":"17fb41f5-61b5-4433-9a10-950ff8216a7e"}}},{"type":"Output Dataset","name":"Multi-Period-Daily Episode Candle","project":"Superalgos","id":"a6888750-1043-420c-9253-633e1399c5e4","savedPayload":{"position":{"x":24510.040268473647,"y":18471.05526509864},"targetPosition":{"x":24696.86240363471,"y":18061.668541066385},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Daily","id":"bbc9467d-28bf-432b-9e49-582d1bcabfb9"}}},{"type":"Output Dataset","name":"Multi-Period-Market Episode Balances","project":"Superalgos","id":"0ad114df-f076-4a86-8c62-4c4a146da73c","savedPayload":{"position":{"x":24437.996657204443,"y":18429.756200904503},"targetPosition":{"x":24696.86240363471,"y":18061.668541066385},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Market","id":"acddff59-b51b-4b45-b58f-71d4077755ee"}}},{"type":"Output Dataset","name":"Multi-Period-Daily Episode Balances","project":"Superalgos","id":"04b51302-957d-4365-ad55-9f89d60e261c","savedPayload":{"position":{"x":24374.76840845468,"y":18375.922352927064},"targetPosition":{"x":24696.86240363471,"y":18061.668541066385},"floatingObject":{"isPinned":false,"isFroLine truncated
{"type":"Trading Mine","name":"Masters","config":"{ \n\"codeName\": \"Masters\"\n}","project":"Superalgos","tradingBots":[{"type":"Trading Bot","name":"Low Frequency","config":"{\n\"codeName\": \"Low-Frequency\"\n}","project":"Superalgos","processes":[{"type":"Process Definition","name":"Trading","config":"{\n \"codeName\": \"Trading\",\n \"sessionRunWaitTime\": 5000,\n \"retryWaitTime\": 10000,\n \"framework\": {\n \"name\": \"Low-Frequency-Trading-Process\"\n }\n }","project":"Superalgos","processOutput":{"type":"Process Output","name":"New Process Output","project":"Superalgos","outputDatasets":[],"outputDatasetFolders":[{"type":"Output Dataset Folder","name":"Trading Engine","project":"Superalgos","outputDatasets":[],"outputDatasetFolders":[{"type":"Output Dataset Folder","name":"Episode","project":"Superalgos","outputDatasets":[{"type":"Output Dataset","name":"Multi-Period-Market Episode Counters","project":"Superalgos","id":"ec8d74ba-a4ad-417a-b479-6bae95b8a1fe","savedPayload":{"position":{"x":24910.97457254189,"y":18457.46644293786},"targetPosition":{"x":24696.86240363471,"y":18061.668541066385},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Market","id":"3ed03a02-381d-43fe-9faa-761728c53bd8"}}},{"type":"Output Dataset","name":"Multi-Period-Daily Episode Counters","project":"Superalgos","id":"22b0af33-8c2f-4194-839b-affd18f298d5","savedPayload":{"position":{"x":24834.601232363748,"y":18490.07023931273},"targetPosition":{"x":24696.86240363471,"y":18061.668541066385},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Daily","id":"15f5b150-f1cf-403c-8cb9-2c7c4e1db8e8"}}},{"type":"Output Dataset","name":"Multi-Period-Market Episode Statistics","project":"Superalgos","id":"23ab91ae-2e78-4993-bb69-855f69cef1ce","savedPayload":{"position":{"x":24753.53736157276,"y":18508.085329665024},"targetPosition":{"x":24696.86240363471,"y":18061.668541066385},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Market","id":"fc9dc0f7-35e0-4548-bb91-f920825d694f"}}},{"type":"Output Dataset","name":"Multi-Period-Daily Episode Statistics","project":"Superalgos","id":"d0a4515a-279d-4c27-8de2-168108861242","savedPayload":{"position":{"x":24670.543493063306,"y":18510.89823169951},"targetPosition":{"x":24696.86240363471,"y":18061.668541066385},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Daily","id":"91953362-8751-4440-a898-21245cd47c15"}}},{"type":"Output Dataset","name":"Multi-Period-Market Episode Candle","project":"Superalgos","id":"7fc80977-5b37-413e-8107-0a89a16e08b0","savedPayload":{"position":{"x":24588.445883487308,"y":18498.413155411115},"targetPosition":{"x":24696.86240363471,"y":18061.668541066385},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Market","id":"17fb41f5-61b5-4433-9a10-950ff8216a7e"}}},{"type":"Output Dataset","name":"Multi-Period-Daily Episode Candle","project":"Superalgos","id":"a6888750-1043-420c-9253-633e1399c5e4","savedPayload":{"position":{"x":24510.040268473647,"y":18471.05526509864},"targetPosition":{"x":24696.86240363471,"y":18061.668541066385},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Daily","id":"bbc9467d-28bf-432b-9e49-582d1bcabfb9"}}},{"type":"Output Dataset","name":"Multi-Period-Market Episode Balances","project":"Superalgos","id":"0ad114df-f076-4a86-8c62-4c4a146da73c","savedPayload":{"position":{"x":24437.996657204443,"y":18429.756200904503},"targetPosition":{"x":24696.86240363471,"y":18061.668541066385},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Market","id":"acddff59-b51b-4b45-b58f-71d4077755ee"}}},{"type":"Output Dataset","name":"Multi-Period-Daily Episode Balances","project":"Superalgos","id":"04b51302-957d-4365-ad55-9f89d60e261c","savedPayload":{"position":{"x":24374.76840845468,"y":18375.922352927064},"targetPosition":{"x":24696.86240363471,"y":18061.668541066385},"floatingObject":{"isPinned":false,"isFroLine truncated
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/OrdersCalculations.js
+2 -2
View File
@@ -176,7 +176,7 @@ exports.newSuperalgosBotModulesOrdersCalculations = function (processIndex) {
}
TS.projects.superalgos.utilities.docsFunctions.buildPlaceholder(docs, undefined, undefined, undefined, undefined, undefined, contextInfo)
tradingSystem.warnings.push(
tradingSystem.addWarning(
[
[tradingEngineOrder.orderQuotedAsset.actualSize.id, tradingEngineOrder.orderStatistics.actualRate.id],
message,
@@ -216,7 +216,7 @@ exports.newSuperalgosBotModulesOrdersCalculations = function (processIndex) {
}
TS.projects.superalgos.utilities.docsFunctions.buildPlaceholder(docs, undefined, undefined, undefined, undefined, undefined, contextInfo)
tradingSystem.warnings.push(
tradingSystem.addWarning(
[
[tradingEngineStage.stageQuotedAsset.sizePlaced.id, tradingEngineOrder.orderStatistics.actualRate.id],
message,
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/OrdersSimulations.js
+7 -7
View File
@@ -104,7 +104,7 @@ exports.newSuperalgosBotModulesOrdersSimulations = function (processIndex) {
}
TS.projects.superalgos.utilities.docsFunctions.buildPlaceholder(docs, undefined, undefined, undefined, undefined, undefined, contextInfo)
tradingSystem.warnings.push(
tradingSystem.addWarning(
[
[sessionParameters.slippage.id, tradingEngineOrder.rate.id, tradingEngineOrder.orderStatistics.actualRate.id],
message,
@@ -131,7 +131,7 @@ exports.newSuperalgosBotModulesOrdersSimulations = function (processIndex) {
}
TS.projects.superalgos.utilities.docsFunctions.buildPlaceholder(docs, undefined, undefined, undefined, undefined, undefined, contextInfo)
tradingSystem.warnings.push(
tradingSystem.addWarning(
[
[sessionParameters.slippage.id, tradingEngineOrder.rate.id, tradingEngineOrder.orderStatistics.actualRate.id],
message,
@@ -179,7 +179,7 @@ exports.newSuperalgosBotModulesOrdersSimulations = function (processIndex) {
}
TS.projects.superalgos.utilities.docsFunctions.buildPlaceholder(docs, undefined, undefined, undefined, undefined, undefined, contextInfo)
tradingSystem.warnings.push(
tradingSystem.addWarning(
[
tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id,
message,
@@ -222,7 +222,7 @@ exports.newSuperalgosBotModulesOrdersSimulations = function (processIndex) {
}
TS.projects.superalgos.utilities.docsFunctions.buildPlaceholder(docs, undefined, undefined, undefined, undefined, undefined, contextInfo)
tradingSystem.warnings.push(
tradingSystem.addWarning(
[
[tradingEngineOrder.orderStatistics.actualRate.id, tradingEngine.current.episode.candle.max.id],
message,
@@ -249,7 +249,7 @@ exports.newSuperalgosBotModulesOrdersSimulations = function (processIndex) {
}
TS.projects.superalgos.utilities.docsFunctions.buildPlaceholder(docs, undefined, undefined, undefined, undefined, undefined, contextInfo)
tradingSystem.warnings.push(
tradingSystem.addWarning(
[
[tradingEngineOrder.orderStatistics.actualRate.id, tradingEngine.current.episode.candle.min.id],
message,
@@ -291,7 +291,7 @@ exports.newSuperalgosBotModulesOrdersSimulations = function (processIndex) {
}
TS.projects.superalgos.utilities.docsFunctions.buildPlaceholder(docs, undefined, undefined, undefined, undefined, undefined, contextInfo)
tradingSystem.warnings.push(
tradingSystem.addWarning(
[
[tradingEngineOrder.orderQuotedAsset.actualSize.id, tradingEngineOrder.orderStatistics.actualRate.id],
message,
@@ -336,7 +336,7 @@ exports.newSuperalgosBotModulesOrdersSimulations = function (processIndex) {
}
TS.projects.superalgos.utilities.docsFunctions.buildPlaceholder(docs, undefined, undefined, undefined, undefined, undefined, contextInfo)
tradingSystem.warnings.push(
tradingSystem.addWarning(
[
[tradingEngineStage.stageQuotedAsset.sizePlaced.id, tradingEngineOrder.orderStatistics.actualRate.id],
message,
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingOrders.js
+19 -16
View File
@@ -155,7 +155,8 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
/* Check Events that happens at the Exchange, if needed. */
let allGood = await checkExchangeEvents(tradingEngineStage, tradingSystemOrder, tradingEngineOrder)
if (allGood !== true) {
if (allGood !== true)
{
/*
For some reason we could not check the order at the exchange, so we will not even check if we
need to cancel it, since we could end up with inconsistent information at the accounting level.
@@ -170,7 +171,7 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
placeholder: {}
}
tradingSystem.warnings.push(
tradingSystem.addWarning(
[
tradingSystemOrder.cancelOrderEvent.id,
message,
@@ -178,7 +179,7 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
]
)
}
return
// return
}
/* Check if we need to cancel the order */
@@ -276,7 +277,8 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
await calculateOrderSize()
/* Check Size: We are not going to create Orders which size is equal or less to zero. */
if (tradingEngineOrder.orderBaseAsset.size.value <= 0) {
//if (tradingEngineOrder.orderBaseAsset.size.value <= 0)
{
const message = 'Order Size Value Zero Or Negative'
let docs = {
@@ -286,17 +288,18 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
placeholder: {}
}
tradingSystem.warnings.push(
tradingSystem.addWarning(
[
[tradingEngineOrder.orderBaseAsset.size.id, tradingSystemOrder.id],
message,
docs
]
)
return
// return
}
if (tradingEngineOrder.orderQuotedAsset.size.value <= 0) {
//if (tradingEngineOrder.orderQuotedAsset.size.value <= 0)
{
const message = 'Order Size Value Zero Or Negative'
let docs = {
@@ -306,14 +309,14 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
placeholder: {}
}
tradingSystem.warnings.push(
tradingSystem.addWarning(
[
[tradingEngineOrder.orderQuotedAsset.size.id, tradingSystemOrder.id],
message,
docs
]
)
return
// return
}
/* Place Order at the Exchange, if needed. */
@@ -328,7 +331,7 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
placeholder: {}
}
tradingSystem.warnings.push(
tradingSystem.addWarning(
[
[tradingSystemOrder.id, tradingEngineOrder],
message,
@@ -452,7 +455,7 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
}
TS.projects.superalgos.utilities.docsFunctions.buildPlaceholder(docs, undefined, undefined, undefined, undefined, undefined, contextInfo)
tradingSystem.warnings.push(
tradingSystem.addWarning(
[
[tradingEngineStage.stageBaseAsset.targetSize.id, tradingEngineOrder.orderBaseAsset.size.id, tradingEngineStage.stageBaseAsset.sizePlaced.id],
message,
@@ -498,7 +501,7 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
}
TS.projects.superalgos.utilities.docsFunctions.buildPlaceholder(docs, undefined, undefined, undefined, undefined, undefined, contextInfo)
tradingSystem.warnings.push(
tradingSystem.addWarning(
[
[tradingEngineStage.stageQuotedAsset.targetSize.id, tradingEngineOrder.orderQuotedAsset.size.id, tradingEngineStage.stageQuotedAsset.sizePlaced.id],
message,
@@ -535,7 +538,7 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
}
TS.projects.superalgos.utilities.docsFunctions.buildPlaceholder(docs, undefined, undefined, undefined, undefined, undefined, contextInfo)
tradingSystem.warnings.push(
tradingSystem.addWarning(
[
[tradingEngine.current.episode.episodeQuotedAsset.balance.id, tradingEngineOrder.orderQuotedAsset.size.id],
message,
@@ -565,7 +568,7 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
}
TS.projects.superalgos.utilities.docsFunctions.buildPlaceholder(docs, undefined, undefined, undefined, undefined, undefined, contextInfo)
tradingSystem.warnings.push(
tradingSystem.addWarning(
[
[tradingEngine.current.episode.episodeBaseAsset.balance.id, tradingEngineOrder.orderBaseAsset.size.id],
message,
@@ -642,7 +645,7 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
placeholder: {}
}
tradingSystem.warnings.push(
tradingSystem.addWarning(
[
[tradingSystemOrder.id, tradingEngineOrder.id],
message,
@@ -1029,7 +1032,7 @@ exports.newSuperalgosBotModulesTradingOrders = function (processIndex) {
placeholder: {}
}
tradingSystem.warnings.push(
tradingSystem.addWarning(
[
[tradingSystemOrder.id, tradingEngineOrder.id],
message,
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingSystem.js
+16 -4
View File
@@ -68,10 +68,22 @@ exports.newSuperalgosBotModulesTradingSystem = function (processIndex) {
already at the errors array. This rate will later help plotting the error at the
charts.
*/
let baseRate = tradingEngine.current.episode.candle.close.value
let rate = baseRate - baseRate * ((tradingSystem.errors.length + 1) + 0) / 100
errorInfoArray.push(rate)
tradingSystem.errors.push(errorInfoArray)
let baseRate = tradingEngine.current.episode.candle.close.value
let rate = baseRate - baseRate * ((tradingSystem.errors.length + 1) + 0) / 100
errorInfoArray.push(rate)
tradingSystem.errors.push(errorInfoArray)
}
tradingSystem.addWarning = function (warningInfoArray) {
/*
This function adds to the array of warning info a rate based on the amount of items
already at the warning array. This rate will later help plotting the warning at the
charts.
*/
let baseRate = tradingEngine.current.episode.candle.close.value
let rate = baseRate + baseRate * ((tradingSystem.warnings.length + 1) + 0) / 100
warningInfoArray.push(rate)
tradingSystem.warnings.push(warningInfoArray)
}
function isItInside(elementWithTimestamp, elementWithBeginEnd) {