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Update TradingExecution.js

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This commit is contained in:
Luis Fernando Molina committed 2020-08-03 13:09:42 +02:00
1 parent 2d50c0357d
commit fcff949379
1 file changed
+12 -48
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LowFrequencyTrading/TradingExecution.js
+12 -48
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@@ -164,7 +164,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
if (situationName !== undefined) {
/* Open a new order */
await tryToOpenOrder(executionAlgorithm, tradingSystemOrder, tradingEngineOrder, situationName)
await tryToOpenOrder(executionAlgorithm, tradingSystemOrder, tradingEngineOrder, traingEngineOrderAsset, situationName)
}
}
break
@@ -205,7 +205,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
}
}
async function tryToOpenOrder(executionAlgorithm, tradingSystemOrder, tradingEngineOrder, situationName) {
async function tryToOpenOrder(executionAlgorithm, tradingSystemOrder, tradingEngineOrder, traingEngineOrderAsset, situationName) {
calculateOrderRate()
calculateOrderSize()
@@ -246,17 +246,9 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
if (tradingSystemOrder.positionRate.formula !== undefined) {
tradingEngineOrder.rate.value = tradingSystem.formulas.get(tradingSystemOrder.positionRate.formula.id)
if (tradingEngineOrder.rate.value === undefined) {
const errorText = 'Rate cannot be undefined. Fix this please.'
tradingSystem.errors.push([tradingSystemOrder.positionRate.formula.id, errorText])
throw (errorText)
}
if (tradingEngineOrder.rate.value === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.rate.value === undefined', tradingEngineOrder) }
if (tradingEngineOrder.rate.value <= 0) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.rate.value <= 0', tradingEngineOrder) }
if (tradingEngineOrder.rate.value <= 0) {
const errorText = 'Rate cannot be less or equal to zero. Fix this please.'
tradingSystem.errors.push([tradingSystemOrder.positionRate.formula.id, errorText])
throw (errorText)
}
tradingEngineOrder.rate.value = global.PRECISE(tradingEngineOrder.rate.value, 10)
}
}
@@ -271,50 +263,22 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
let sizeFormula
if (tradingEngine.current.position.positionBaseAsset.size.value > 0) {
/* Position was defined in Base Asset */
if (executionAlgorithm.sizeInBaseAsset !== undefined) {
if (executionAlgorithm.sizeInBaseAsset.formula !== undefined) {
sizeFormula = executionAlgorithm.sizeInBaseAsset.formula
} else {
const errorText = 'Size In Base Asset needs a child Formula. Fix this please.'
tradingSystem.errors.push([executionAlgorithm.sizeInBaseAsset.id, errorText])
throw (errorText)
}
} else {
const errorText = 'Execution Algorithm needs a child Size In Base Asset. Fix this please.'
tradingSystem.errors.push([executionAlgorithm.id, errorText])
throw (errorText)
}
if (executionAlgorithm.sizeInBaseAsset === undefined) { badDefinitionUnhandledException(undefined, 'executionAlgorithm.sizeInBaseAsset === undefined', executionAlgorithm) }
if (executionAlgorithm.sizeInBaseAsset.formula === undefined) { badDefinitionUnhandledException(undefined, 'executionAlgorithm.sizeInBaseAsset.formula === undefined', executionAlgorithm.sizeInBaseAsset) }
sizeFormula = executionAlgorithm.sizeInBaseAsset.formula
} else {
/* Position was defined in Quoted Asset */
if (executionAlgorithm.sizeInQuotedAsset !== undefined) {
if (executionAlgorithm.sizeInQuotedAsset.formula !== undefined) {
sizeFormula = executionAlgorithm.sizeInQuotedAsset.formula
} else {
const errorText = 'Size In Quoted Asset needs a child Formula. Fix this please.'
tradingSystem.errors.push([executionAlgorithm.sizeInQuotedAsset.id, errorText])
throw (errorText)
}
} else {
const errorText = 'Execution Algorithm needs a child Size In Quoted Asset. Fix this please.'
tradingSystem.errors.push([executionAlgorithm.id, errorText])
throw (errorText)
}
if (executionAlgorithm.sizeInQuotedAsset === undefined) { badDefinitionUnhandledException(undefined, 'executionAlgorithm.sizeInQuotedAsset === undefined', executionAlgorithm) }
if (executionAlgorithm.sizeInQuotedAsset.formula === undefined) { badDefinitionUnhandledException(undefined, 'executionAlgorithm.sizeInQuotedAsset.formula === undefined', executionAlgorithm.sizeInBaseAsset) }
sizeFormula = executionAlgorithm.sizeInQuotedAsset.formula
}
/* Order Size Calculation */
let algorithmSize = tradingSystem.formulas.get(sizeFormula.id)
if (algorithmSize === undefined) {
const errorText = 'Execution Algorithm Size cannot be undefined. Fix this please.'
tradingSystem.errors.push([sizeFormula.id, errorText])
throw (errorText)
}
if (algorithmSize === undefined) { badDefinitionUnhandledException(undefined, 'algorithmSize === undefined', sizeFormula) }
/* Validate that this config exists */
if (tradingSystemOrder.config.positionSizePercentage === undefined) {
const errorText = 'Config positionSizePercentage does not exist. Fix this please.'
tradingSystem.errors.push([tradingSystemOrder.id, errorText])
throw (errorText)
}
if (tradingSystemOrder.config.positionSizePercentage === undefined) { badDefinitionUnhandledException(undefined, 'tradingSystemOrder.config.positionSizePercentage === undefined', executionAlgorithm) }
traingEngineOrderAsset.size.value = algorithmSize * tradingSystemOrder.config.positionSizePercentage / 100
traingEngineOrderAsset.size.value = global.PRECISE(traingEngineOrderAsset.size.value, 10)