Current Episode
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Luis Fernando Molina committed
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11 files changed
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+137
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@@ -2477,18 +2477,6 @@
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"level": 0,
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"icon": "ethereum",
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"properties": [
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{
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"name": "dynamicIndicators",
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"type": "node",
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"childType": "Dynamic Indicators",
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"autoAdd": true
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},
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{
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"name": "episode",
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"type": "node",
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"childType": "Episode",
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"autoAdd": true
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},
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{
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"name": "current",
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"type": "node",
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@@ -2512,6 +2500,12 @@
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"type": "node",
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"childType": "Exchange Orders",
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"autoAdd": true
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},
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{
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"name": "dynamicIndicators",
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"type": "node",
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"childType": "Dynamic Indicators",
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"autoAdd": true
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}
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]
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},
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@@ -2622,11 +2616,59 @@
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"addLeftIcons": true,
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"level": 3,
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"chainAttachesTo": {
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"compatibleTypes": "->Trading Engine->"
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"compatibleTypes": "->Current->"
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},
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"icon": "ethereum-classic",
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"propertyNameAtParent": "episode",
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"properties": [
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{
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"name": "serialNumber",
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"type": "node",
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"childType": "Serial Number",
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"autoAdd": true
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},
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{
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"name": "identifier",
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"type": "node",
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"childType": "Identifier",
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"autoAdd": true
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},
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{
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"name": "begin",
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"type": "node",
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"childType": "Begin",
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"autoAdd": true
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},
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{
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"name": "end",
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"type": "node",
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"childType": "End",
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"autoAdd": true
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},
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{
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"name": "beginRate",
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"type": "node",
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"childType": "Begin Rate",
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"autoAdd": true
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},
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{
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"name": "endRate",
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"type": "node",
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"childType": "End Rate",
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"autoAdd": true
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},
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{
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"name": "status",
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"type": "node",
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"childType": "Status",
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"autoAdd": true
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},
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{
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"name": "exitType",
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"type": "node",
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"childType": "Exit Type",
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"autoAdd": true
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},
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{
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"name": "episodeBaseAsset",
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"type": "node",
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@@ -4518,27 +4560,9 @@
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"propertyNameAtParent": "current",
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"properties": [
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{
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"name": "candle",
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"name": "episode",
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"type": "node",
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"childType": "Candle",
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"autoAdd": true
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},
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{
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"name": "balance",
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"type": "node",
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"childType": "Balance",
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"autoAdd": true
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},
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{
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"name": "distanceToEvent",
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"type": "node",
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"childType": "Distance To Event",
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"autoAdd": true
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},
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{
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"name": "position",
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"type": "node",
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"childType": "Position",
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"childType": "Episode",
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"autoAdd": true
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},
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{
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@@ -4547,6 +4571,12 @@
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"childType": "Strategy",
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"autoAdd": true
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},
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{
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"name": "position",
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"type": "node",
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"childType": "Position",
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"autoAdd": true
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},
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{
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"name": "strategyTriggerStage",
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"type": "node",
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@@ -4570,6 +4600,24 @@
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"type": "node",
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"childType": "Strategy Close Stage",
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"autoAdd": true
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},
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{
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"name": "candle",
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"type": "node",
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"childType": "Candle",
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"autoAdd": true
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},
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{
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"name": "balance",
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"type": "node",
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"childType": "Balance",
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"autoAdd": true
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},
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{
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"name": "distanceToEvent",
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"type": "node",
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"childType": "Distance To Event",
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"autoAdd": true
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}
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]
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},
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@@ -5410,30 +5458,6 @@
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"childType": "End",
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"autoAdd": true
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},
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{
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"name": "strategyName",
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"type": "node",
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"childType": "Strategy Name",
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"autoAdd": true
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},
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{
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"name": "index",
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"type": "node",
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"childType": "Index",
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"autoAdd": true
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},
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{
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"name": "exitType",
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"type": "node",
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"childType": "Exit Type",
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"autoAdd": true
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},
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{
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"name": "status",
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"type": "node",
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"childType": "Status",
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"autoAdd": true
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},
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{
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"name": "beginRate",
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"type": "node",
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@@ -5446,12 +5470,36 @@
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"childType": "End Rate",
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"autoAdd": true
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},
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{
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"name": "status",
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"type": "node",
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"childType": "Status",
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"autoAdd": true
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},
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{
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"name": "exitType",
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"type": "node",
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"childType": "Exit Type",
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"autoAdd": true
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},
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{
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"name": "situationName",
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"type": "node",
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"childType": "Situation Name",
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"autoAdd": true
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},
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{
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"name": "index",
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"type": "node",
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"childType": "Index",
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"autoAdd": true
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},
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{
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"name": "strategyName",
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"type": "node",
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"childType": "Strategy Name",
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"autoAdd": true
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},
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{
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"name": "strategyCounters",
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"type": "node",
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@@ -5557,7 +5605,7 @@
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"addLeftIcons": true,
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"level": 3,
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"chainAttachesTo": {
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"compatibleTypes": "->Strategy->Position->Market Order->Limit Order->Strategy Trigger Stage->Strategy Open Stage->Strategy Manage Stage->Strategy Close Stage->"
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"compatibleTypes": "->Episode->Strategy->Position->Market Order->Limit Order->Strategy Trigger Stage->Strategy Open Stage->Strategy Manage Stage->Strategy Close Stage->"
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},
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"icon": "tron",
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"propertyNameAtParent": "status"
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@@ -5693,7 +5741,7 @@
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"addLeftIcons": true,
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"level": 3,
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"chainAttachesTo": {
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"compatibleTypes": "->Strategy->Position->Market Order->Limit Order->"
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"compatibleTypes": "->Episode->Strategy->Position->Market Order->Limit Order->"
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},
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"icon": "arrangement-horizontal-top",
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"propertyNameAtParent": "serialNumber"
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@@ -5727,7 +5775,7 @@
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"addLeftIcons": true,
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"level": 3,
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"chainAttachesTo": {
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"compatibleTypes": "->Strategy->Position->Market Order->Limit Order->"
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"compatibleTypes": "->Episode->Strategy->Position->Market Order->Limit Order->"
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},
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"icon": "support",
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"propertyNameAtParent": "identifier"
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@@ -5829,7 +5877,7 @@
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"addLeftIcons": true,
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"level": 3,
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"chainAttachesTo": {
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"compatibleTypes": "->Strategy->Position->Candle->Market Order->Limit Order->Strategy Trigger Stage->Strategy Open Stage->Strategy Manage Stage->Strategy Close Stage->"
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"compatibleTypes": "->Episode->Strategy->Position->Candle->Market Order->Limit Order->Strategy Trigger Stage->Strategy Open Stage->Strategy Manage Stage->Strategy Close Stage->"
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},
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"icon": "monero",
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"propertyNameAtParent": "begin"
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@@ -5863,7 +5911,7 @@
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"addLeftIcons": true,
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"level": 3,
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"chainAttachesTo": {
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"compatibleTypes": "->Strategy->Position->Candle->Market Order->Limit Order->Strategy Trigger Stage->Strategy Open Stage->Strategy Manage Stage->Strategy Close Stage->"
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"compatibleTypes": "->Episode->Strategy->Position->Candle->Market Order->Limit Order->Strategy Trigger Stage->Strategy Open Stage->Strategy Manage Stage->Strategy Close Stage->"
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},
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"icon": "upbit",
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"propertyNameAtParent": "end"
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@@ -5981,7 +6029,7 @@
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"addLeftIcons": true,
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"level": 3,
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"chainAttachesTo": {
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"compatibleTypes": "->Strategy->Position->Strategy Trigger Stage->Strategy Open Stage->Strategy Manage Stage->Strategy Close Stage->"
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"compatibleTypes": "->Episode->Strategy->Position->Strategy Trigger Stage->Strategy Open Stage->Strategy Manage Stage->Strategy Close Stage->"
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},
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"icon": "poloniex",
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"propertyNameAtParent": "beginRate"
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@@ -6015,7 +6063,7 @@
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"addLeftIcons": true,
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"level": 3,
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"chainAttachesTo": {
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"compatibleTypes": "->Strategy->Position->Strategy Trigger Stage->Strategy Open Stage->Strategy Manage Stage->Strategy Close Stage->"
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"compatibleTypes": "->Episode->Strategy->Position->Strategy Trigger Stage->Strategy Open Stage->Strategy Manage Stage->Strategy Close Stage->"
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},
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"icon": "kraken",
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"propertyNameAtParent": "endRate"
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@@ -6071,30 +6119,6 @@
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"childType": "End",
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"autoAdd": true
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},
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{
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"name": "entryTargetRate",
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"type": "node",
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"childType": "Entry Target Rate",
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"autoAdd": true
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},
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{
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"name": "exitTargetRate",
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"type": "node",
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"childType": "Exit Target Rate",
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"autoAdd": true
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},
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{
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"name": "exitType",
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"type": "node",
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"childType": "Exit Type",
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"autoAdd": true
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},
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{
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"name": "status",
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"type": "node",
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"childType": "Status",
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"autoAdd": true
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},
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{
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"name": "beginRate",
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"type": "node",
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@@ -6107,12 +6131,36 @@
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"childType": "End Rate",
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"autoAdd": true
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},
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{
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"name": "status",
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"type": "node",
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"childType": "Status",
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"autoAdd": true
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},
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{
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"name": "exitType",
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"type": "node",
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"childType": "Exit Type",
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"autoAdd": true
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},
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{
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"name": "situationName",
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"type": "node",
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"childType": "Situation Name",
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"autoAdd": true
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},
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{
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"name": "entryTargetRate",
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"type": "node",
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"childType": "Entry Target Rate",
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"autoAdd": true
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},
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{
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"name": "exitTargetRate",
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"type": "node",
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"childType": "Exit Target Rate",
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"autoAdd": true
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},
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{
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"name": "stopLoss",
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"type": "node",
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@@ -6452,7 +6500,7 @@
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"addLeftIcons": true,
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"level": 3,
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"chainAttachesTo": {
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"compatibleTypes": "->Strategy->->Position->Market Order->Limit Order->Strategy Trigger Stage->Strategy Open Stage->Strategy Manage Stage->Strategy Close Stage->"
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"compatibleTypes": "->Episode->Strategy->->Position->Market Order->Limit Order->Strategy Trigger Stage->Strategy Open Stage->Strategy Manage Stage->Strategy Close Stage->"
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},
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"icon": "quality",
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"propertyNameAtParent": "exitType"
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@@ -48,38 +48,38 @@ function newSessionFunctions() {
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lightingPath = '' +
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'Trading Engine->' +
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'Dynamic Indicators->Indicator Function->Formula->' +
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'Episode->Current->Last->Previous->' +
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'Dynamic Indicators->Indicator Function->' +
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'Current->Last->Previous->' +
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'Episode->' +
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'Episode Base Asset->Episode Quoted Asset->Episode Counters->Episode Statistics->' +
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'Periods->Strategies->Positions->Orders->Hits->Fails->' +
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'Strategies->Positions->Orders->Hits->Fails->' +
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'Profit Loss->Hit Ratio->Hit Fail->Days->ROI->Anualized Rate Of Return->User Defined Statistic->' +
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'Formula->' +
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'Candle->' +
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'Begin->End->Open->Close->Min->Max->Index->' +
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'Balance->Base Asset->Quoted Asset->' +
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'Distance To Event->' +
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'Trigger On->Trigger Off->Take Position->Close Position->Next Phase->Move To Phase->Create Order->Cancel Order->Close Order->' +
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'Strategy->' +
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'Serial Number->Identifier->Begin->End->Strategy Name->Index->Status->Begin Rate->End Rate->Situation Name->' +
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'Strategy Counters->Periods->' +
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'Strategy Counters->' +
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'Position->' +
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'Serial Number->Identifier->Begin->End->Entry Target Rate->Exit Target Rate->Exit Type->Status->Begin Rate->End Rate->Situation Name->' +
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'Entry Target Rate->Exit Target Rate->' +
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'Stop Loss->Stop Loss Stage->Stop Loss Phase->Stop Loss Position->' +
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'Take Profit->Take Profit Stage->Take Profit Phase->Take Profit Position->' +
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'Position Counters->Periods->' +
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'Position Counters->' +
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'Position Statistics->Days->User Defined Statistic->' +
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'Position Base Asset->Position Quoted Asset->Entry Target Size->Exit Target Size->' +
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'Profit Loss->ROI->Hit Fail->' +
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'Formula->' +
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'Exchange Orders->Market Buy Orders->Market Sell Orders->Limit Buy Orders->Limit Sell Orders->' +
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'Market Order->Limit Order->' +
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'Serial Number->Identifier->Exchange Id->Begin->End->Rate->Exit Type->Status->Order Name->Algorithm Name->Situation Name->Lock->' +
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'Order Counters->Periods->' +
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'Exchange Id->Rate->Order Name->Algorithm Name->Lock->' +
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'Order Counters->' +
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'Order Base Asset->Order Quoted Asset->' +
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'Size->Size Filled->Fees Paid->' +
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||||
'Order Statistics->Percentage Filled->Actual Rate->Days->User Defined Statistic->' +
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'Strategy Trigger Stage->Strategy Open Stage->Strategy Manage Stage->Strategy Close Stage->' +
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'Begin->End->Exit Type->Status->Begin Rate->End Rate->Stage Base Asset->Stage Quoted Asset->Size Placed->Target Size->Size Filled->Fees Paid->'
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'Begin->End->Exit Type->Status->Begin Rate->End Rate->Stage Base Asset->Stage Quoted Asset->Size Placed->Target Size->Size Filled->Fees Paid->' +
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||||
'Serial Number->Identifier->Begin->End->Begin Rate->End Rate->Strategy Name->Status->Exit Type->' +
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||||
'Index->Situation Name->Formula->Periods->'
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let tradingEngine = functionLibraryProtocolNode.getProtocolNode(node.tradingEngineReference.payload.referenceParent, false, true, true, false, false, lightingPath)
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@@ -1 +1 @@
|
||||
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||||
{"type":"Data Mine","name":"Masters-Trading","config":"{ \n\"codeName\": \"Masters-Trading\"\n}","sensorBots":[],"indicatorBots":[],"tradingBots":[{"type":"Trading Bot","name":"Low Frequency","config":"{\n\"codeName\": \"Low-Frequency\"\n}","processes":[{"type":"Process Definition","name":"Trading","config":"{\n \"codeName\": \"Trading\",\n \"liveTradingWaitTime\": 0,\n \"paperTradingWaitTime\": 0,\n \"fordwardTestingWaitTime\": 0,\n \"backtestingWaitTime\": 0,\n \"sessionRunWaitTime\": 5000,\n \"retryWaitTime\": 10000,\n \"framework\": {\n \"name\": \"Low-Frequency-Trading-Process\"\n }\n }","processOutput":{"type":"Process Output","name":"New Process Output","outputDatasets":[{"type":"Output Dataset","name":"Multi-Period-Market Episode Counters","id":"6fc3054e-5034-4fc7-bddf-02360e0a6acf","savedPayload":{"position":{"x":15722.103042763,"y":14737.697338661546},"targetPosition":{"x":19317.35290333643,"y":13205.269127720278},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Market","id":"db063d7b-db05-4bf6-941f-999e1ccb38fc"}}},{"type":"Output Dataset","name":"Multi-Period-Daily Episode Counters","id":"c3c2240f-514b-40de-825f-674037117d0b","savedPayload":{"position":{"x":15662.185708393645,"y":14589.508598093085},"targetPosition":{"x":19317.35290333643,"y":13205.269127720278},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Daily","id":"0764aaaf-d970-4f23-9df8-55fe5b7dd273"}}},{"type":"Output Dataset","name":"Multi-Period-Market Episode Statistics","id":"1dfdfc0d-842f-4e63-a591-256ac8a06b0f","savedPayload":{"position":{"x":15608.372365497693,"y":14439.83547822848},"targetPosition":{"x":19317.35290333643,"y":13205.269127720278},"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","id":"39360c55-5ba8-413b-b0bd-cac3789ebf5f","savedPayload":{"position":{"x":15560.749647103872,"y":14288.15482161774},"targetPosition":{"x":19317.35290333643,"y":13205.269127720278},"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 Current Candle","id":"ba614415-6e4f-4979-97a5-34c72a59e67c","savedPayload":{"position":{"x":15519.396314277476,"y":14134.686060311844},"targetPosition":{"x":19317.35290333643,"y":13205.269127720278},"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 Current Candle","id":"1a2e3461-33e6-45b1-bcc1-c56a8c5d275c","savedPayload":{"position":{"x":15484.381056855787,"y":13979.676632775509},"targetPosition":{"x":19317.35290333643,"y":13205.269127720278},"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 Current Balance","id":"567e4dc9-4deb-41e4-9ac9-dde943fb91ba","savedPayload":{"position":{"x":15455.76210052576,"y":13823.381471773888},"targetPosition":{"x":19317.35290333643,"y":13205.269127720278},"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 Current Balance","id":"e94b9bb3-9f0c-4550-94e1-09de444780a8","savedPayload":{"position":{"x":15433.587053565145,"y":13666.059297749987},"targetPosition":{"x":19317.35290333643,"y":13205.269127720278},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Daily","id":"213b8fe8-f772-41ea-a3f5-97867be555f7"}}},{"type":"Output Dataset","name":"Multi-Period-Market Distance To Event","id":"a30e7306-7be9-41b6-a465-5Line truncated
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||||
@@ -1 +1 @@
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Objects","id":"48f7953c-f62d-4292-b042-d1ac05f8f80f","savedPayload":{"position":{"x":23053.683458829226,"y":29106.890611883788},"targetPosition":{"x":24208.69903024272,"y":28943.27543890267},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":true,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{"isRunning":false},"referenceParent":{"type":"Product Definition","name":"Bollinger Sub-Channels Objects","id":"080c87fc-4546-4482-ab11-180a33f6d9ab"}}},{"type":"Data Product","name":"Popular SMAs","id":"3b9a3c93-6d41-440e-89a2-2fd1b2dde603","savedPayload":{"position":{"x":23043.701100505998,"y":29005.50001492274},"targetPosition":{"x":24208.69903024272,"y":28943.27543890267},"floatingObject":{"isPinned":false,"isFrozen"Line truncated
|
||||
@@ -253,7 +253,7 @@ exports.newSnapshots = function newSnapshots(bot, logger) {
|
||||
|
||||
let closeHeaders = ['Trade Number', 'Open Datetime', 'Close Datetime', 'Strategy Name', 'Trigger On Situation', 'Take Position Situation', 'Result In Base Asset', 'Result In Quoted Asset', 'ROI in Base Asset', 'ROI in Quoted Asset', 'Exit Type']
|
||||
closeValues = [
|
||||
tradingEngine.episode.episodeCounters.positions.value, // Position Number
|
||||
tradingEngine.current.episode.episodeCounters.positions.value, // Position Number
|
||||
(new Date(openDatetime)).toISOString(), // Open Datetime
|
||||
(new Date(closeDatetime)).toISOString(), // Open Datetime
|
||||
tradingEngine.current.strategy.strategyName.value, // Strategy Name
|
||||
|
||||
@@ -142,8 +142,8 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
|
||||
}
|
||||
|
||||
function updateEpisodeCountersAndStatistics() {
|
||||
tradingEngine.episode.episodeCounters.periods.value++
|
||||
tradingEngine.episode.episodeStatistics.days.value = tradingEngine.episode.episodeCounters.periods.value * sessionParameters.timeFrame.config.value / global.ONE_DAY_IN_MILISECONDS
|
||||
tradingEngine.current.episode.episodeCounters.periods.value++
|
||||
tradingEngine.current.episode.episodeStatistics.days.value = tradingEngine.current.episode.episodeCounters.periods.value * sessionParameters.timeFrame.config.value / global.ONE_DAY_IN_MILISECONDS
|
||||
}
|
||||
|
||||
function updateDistanceToEventsCounters() {
|
||||
|
||||
@@ -188,7 +188,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
|
||||
tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
|
||||
|
||||
/* Updating Episode Counters */
|
||||
tradingEngine.episode.episodeCounters.orders.value++
|
||||
tradingEngine.current.episode.episodeCounters.orders.value++
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.distanceToEvent.createOrder.value = 1
|
||||
@@ -198,7 +198,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
|
||||
tradingEngineOrder.identifier.value = global.UNIQUE_ID()
|
||||
tradingEngineOrder.begin.value = tradingEngine.current.candle.begin.value
|
||||
tradingEngineOrder.end.value = tradingEngine.current.candle.end.value
|
||||
tradingEngineOrder.serialNumber.value = tradingEngine.episode.episodeCounters.orders.value
|
||||
tradingEngineOrder.serialNumber.value = tradingEngine.current.episode.episodeCounters.orders.value
|
||||
tradingEngineOrder.orderName.value = tradingSystemOrder.name
|
||||
tradingEngineOrder.algorithmName.value = executionAlgorithm.name
|
||||
tradingEngineOrder.situationName.value = situationName
|
||||
|
||||
@@ -42,7 +42,7 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
|
||||
|
||||
/* Recording the opening at the Trading Engine Data Structure */
|
||||
tradingEngine.current.position.status.value = 'Open'
|
||||
tradingEngine.current.position.serialNumber.value = tradingEngine.episode.episodeCounters.positions.value
|
||||
tradingEngine.current.position.serialNumber.value = tradingEngine.current.episode.episodeCounters.positions.value
|
||||
tradingEngine.current.position.identifier.value = global.UNIQUE_ID()
|
||||
tradingEngine.current.position.begin.value = tradingEngine.current.candle.begin.value
|
||||
tradingEngine.current.position.beginRate.value = tradingEngine.current.candle.close.value
|
||||
@@ -56,7 +56,7 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
|
||||
tradingEngine.current.position.takeProfit.takeProfitPhase.value = 0
|
||||
|
||||
/* Updating Episode Counters */
|
||||
tradingEngine.episode.episodeCounters.positions.value++
|
||||
tradingEngine.current.episode.episodeCounters.positions.value++
|
||||
|
||||
/* Inicializing this counter */
|
||||
tradingEngine.current.distanceToEvent.takePosition.value = 1
|
||||
@@ -268,9 +268,9 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
|
||||
|
||||
/* Hit Fail Calculation */
|
||||
if (tradingEngine.current.position.positionStatistics.ROI.value > 0) {
|
||||
tradingEngine.current.position.positionStatistics.hitFail.value = 'HIT'
|
||||
tradingEngine.current.position.positionStatistics.hitFail.value = 'Hit'
|
||||
} else {
|
||||
tradingEngine.current.position.positionStatistics.hitFail.value = 'FAIL'
|
||||
tradingEngine.current.position.positionStatistics.hitFail.value = 'Fail'
|
||||
}
|
||||
|
||||
/* Days Calculation */
|
||||
@@ -308,14 +308,14 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
|
||||
|
||||
/* Hit Fail Calculation */
|
||||
if (tradingEngine.current.position.positionBaseAsset.ROI.value > 0) {
|
||||
tradingEngine.current.position.positionBaseAsset.hitFail.value = 'HIT'
|
||||
tradingEngine.current.position.positionBaseAsset.hitFail.value = 'Hit'
|
||||
} else {
|
||||
tradingEngine.current.position.positionBaseAsset.hitFail.value = 'FAIL'
|
||||
tradingEngine.current.position.positionBaseAsset.hitFail.value = 'Fail'
|
||||
}
|
||||
if (tradingEngine.current.position.positionQuotedAsset.ROI.value > 0) {
|
||||
tradingEngine.current.position.positionQuotedAsset.hitFail.value = 'HIT'
|
||||
tradingEngine.current.position.positionQuotedAsset.hitFail.value = 'Hit'
|
||||
} else {
|
||||
tradingEngine.current.position.positionQuotedAsset.hitFail.value = 'FAIL'
|
||||
tradingEngine.current.position.positionQuotedAsset.hitFail.value = 'Fail'
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
@@ -71,7 +71,12 @@ exports.newTradingRecords = function newTradingRecords(bot, logger) {
|
||||
/*
|
||||
The product root can be a node or a node property of type array.
|
||||
*/
|
||||
let productRoot = eval(product.config.nodePath)
|
||||
let productRoot
|
||||
try {
|
||||
productRoot = eval(product.config.nodePath)
|
||||
} catch (err) {
|
||||
badDefinitionUnhandledException(err, 'Cannot get productRoot -> nodePath = ' + product.config.nodePath, product, undefined)
|
||||
}
|
||||
|
||||
if (product.config.nodePathType === 'array') {
|
||||
/*
|
||||
@@ -122,7 +127,7 @@ exports.newTradingRecords = function newTradingRecords(bot, logger) {
|
||||
try {
|
||||
propertyRootNode = eval(recordProperty.config.nodePath)
|
||||
} catch (err) {
|
||||
badDefinitionUnhandledException(err, 'Error Evaluation Record Property nodePath.', product, recordProperty)
|
||||
badDefinitionUnhandledException(err, 'Error Evaluation Record Property nodePath -> nodePath = ' + recordProperty.config.nodePath, product, recordProperty)
|
||||
}
|
||||
}
|
||||
/*
|
||||
@@ -330,11 +335,19 @@ exports.newTradingRecords = function newTradingRecords(bot, logger) {
|
||||
}
|
||||
|
||||
function badDefinitionUnhandledException(err, message, product, recordProperty) {
|
||||
logger.write(MODULE_NAME, "[ERROR] appendRecords -> scanRecordDefinition -> Error at Record Property Definition -> " + message);
|
||||
logger.write(MODULE_NAME, "[ERROR] appendRecords -> scanRecordDefinition -> Error at Record Property Definition -> product.name = " + product.name);
|
||||
logger.write(MODULE_NAME, "[ERROR] appendRecords -> scanRecordDefinition -> Error at Record Property Definition -> recordProperty.name = " + recordProperty.name);
|
||||
logger.write(MODULE_NAME, "[ERROR] appendRecords -> scanRecordDefinition -> Error at Record Property Definition -> recordProperty.config.codeName = " + recordProperty.config.codeName);
|
||||
logger.write(MODULE_NAME, "[ERROR] appendRecords -> scanRecordDefinition -> Error at Record Property Definition -> err.stack = " + err.stack);
|
||||
logger.write(MODULE_NAME, "[ERROR] appendRecords -> " + message);
|
||||
logger.write(MODULE_NAME, "[ERROR] appendRecords -> product.name = " + product.name);
|
||||
logger.write(MODULE_NAME, "[ERROR] appendRecords -> product.config = " + JSON.stringify(product.config));
|
||||
|
||||
if (recordProperty) {
|
||||
logger.write(MODULE_NAME, "[ERROR] appendRecords -> recordProperty.name = " + recordProperty.name);
|
||||
logger.write(MODULE_NAME, "[ERROR] appendRecords -> recordProperty.config.codeName = " + recordProperty.config.codeName);
|
||||
logger.write(MODULE_NAME, "[ERROR] appendRecords -> recordProperty.config = " + JSON.stringify(recordProperty.config));
|
||||
}
|
||||
|
||||
if (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] appendRecords -> err.stack = " + err.stack);
|
||||
}
|
||||
throw 'Can not continue with a Definition Error like this.'
|
||||
}
|
||||
}
|
||||
@@ -203,7 +203,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
tradingStrategyModule.openStrategy(j, situation.name, strategy.name)
|
||||
|
||||
/* Updating Episode Counters */
|
||||
tradingEngine.episode.episodeCounters.strategies.value++
|
||||
tradingEngine.current.episode.episodeCounters.strategies.value++
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.distanceToEvent.triggerOn.value = 1
|
||||
@@ -1027,112 +1027,112 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
|
||||
|
||||
/* Updating Hits & Fails */
|
||||
if (tradingEngine.current.position.positionBaseAsset.profitLoss.value > 0) {
|
||||
tradingEngine.episode.episodeBaseAsset.hits.value++
|
||||
tradingEngine.current.episode.episodeBaseAsset.hits.value++
|
||||
} else {
|
||||
tradingEngine.episode.episodeBaseAsset.fails.value++
|
||||
tradingEngine.current.episode.episodeBaseAsset.fails.value++
|
||||
}
|
||||
if (tradingEngine.current.position.positionQuotedAsset.profitLoss.value > 0) {
|
||||
tradingEngine.episode.episodeQuotedAsset.hits.value++
|
||||
tradingEngine.current.episode.episodeQuotedAsset.hits.value++
|
||||
} else {
|
||||
tradingEngine.episode.episodeQuotedAsset.fails.value++
|
||||
tradingEngine.current.episode.episodeQuotedAsset.fails.value++
|
||||
}
|
||||
|
||||
/* Updating Profit Loss */
|
||||
tradingEngine.episode.episodeBaseAsset.profitLoss.value =
|
||||
tradingEngine.current.episode.episodeBaseAsset.profitLoss.value =
|
||||
tradingEngine.current.balance.baseAsset.value -
|
||||
sessionParameters.sessionBaseAsset.config.initialBalance
|
||||
|
||||
tradingEngine.episode.episodeQuotedAsset.profitLoss.value =
|
||||
tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value =
|
||||
tradingEngine.current.balance.quotedAsset.value -
|
||||
sessionParameters.sessionQuotedAsset.config.initialBalance
|
||||
|
||||
tradingEngine.episode.episodeBaseAsset.profitLoss.value = global.PRECISE(tradingEngine.episode.episodeBaseAsset.profitLoss.value, 10)
|
||||
tradingEngine.episode.episodeQuotedAsset.profitLoss.value = global.PRECISE(tradingEngine.episode.episodeQuotedAsset.profitLoss.value, 10)
|
||||
tradingEngine.current.episode.episodeBaseAsset.profitLoss.value = global.PRECISE(tradingEngine.current.episode.episodeBaseAsset.profitLoss.value, 10)
|
||||
tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value = global.PRECISE(tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value, 10)
|
||||
|
||||
/* Updating ROI */
|
||||
tradingEngine.episode.episodeBaseAsset.ROI.value =
|
||||
(sessionParameters.sessionBaseAsset.config.initialBalance + tradingEngine.episode.episodeBaseAsset.profitLoss.value) /
|
||||
tradingEngine.current.episode.episodeBaseAsset.ROI.value =
|
||||
(sessionParameters.sessionBaseAsset.config.initialBalance + tradingEngine.current.episode.episodeBaseAsset.profitLoss.value) /
|
||||
sessionParameters.sessionBaseAsset.config.initialBalance - 1
|
||||
|
||||
tradingEngine.episode.episodeQuotedAsset.ROI.value =
|
||||
(sessionParameters.sessionQuotedAsset.config.initialBalance + tradingEngine.episode.episodeQuotedAsset.profitLoss.value) /
|
||||
tradingEngine.current.episode.episodeQuotedAsset.ROI.value =
|
||||
(sessionParameters.sessionQuotedAsset.config.initialBalance + tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value) /
|
||||
sessionParameters.sessionQuotedAsset.config.initialBalance - 1
|
||||
|
||||
tradingEngine.episode.episodeBaseAsset.ROI.value = global.PRECISE(tradingEngine.episode.episodeBaseAsset.ROI.value, 10)
|
||||
tradingEngine.episode.episodeQuotedAsset.ROI.value = global.PRECISE(tradingEngine.episode.episodeQuotedAsset.ROI.value, 10)
|
||||
tradingEngine.current.episode.episodeBaseAsset.ROI.value = global.PRECISE(tradingEngine.current.episode.episodeBaseAsset.ROI.value, 10)
|
||||
tradingEngine.current.episode.episodeQuotedAsset.ROI.value = global.PRECISE(tradingEngine.current.episode.episodeQuotedAsset.ROI.value, 10)
|
||||
|
||||
/* Updating Hit Ratio */
|
||||
tradingEngine.episode.episodeBaseAsset.hitRatio.value =
|
||||
tradingEngine.episode.episodeBaseAsset.hits.value /
|
||||
tradingEngine.episode.episodeCounters.positions.value
|
||||
tradingEngine.current.episode.episodeBaseAsset.hitRatio.value =
|
||||
tradingEngine.current.episode.episodeBaseAsset.hits.value /
|
||||
tradingEngine.current.episode.episodeCounters.positions.value
|
||||
|
||||
tradingEngine.episode.episodeQuotedAsset.hitRatio.value =
|
||||
tradingEngine.episode.episodeQuotedAsset.hits.value /
|
||||
tradingEngine.episode.episodeCounters.positions.value
|
||||
tradingEngine.current.episode.episodeQuotedAsset.hitRatio.value =
|
||||
tradingEngine.current.episode.episodeQuotedAsset.hits.value /
|
||||
tradingEngine.current.episode.episodeCounters.positions.value
|
||||
|
||||
tradingEngine.episode.episodeBaseAsset.hitRatio.value = global.PRECISE(tradingEngine.episode.episodeBaseAsset.hitRatio.value, 10)
|
||||
tradingEngine.episode.episodeQuotedAsset.hitRatio.value = global.PRECISE(tradingEngine.episode.episodeQuotedAsset.hitRatio.value, 10)
|
||||
tradingEngine.current.episode.episodeBaseAsset.hitRatio.value = global.PRECISE(tradingEngine.current.episode.episodeBaseAsset.hitRatio.value, 10)
|
||||
tradingEngine.current.episode.episodeQuotedAsset.hitRatio.value = global.PRECISE(tradingEngine.current.episode.episodeQuotedAsset.hitRatio.value, 10)
|
||||
|
||||
/* Updating Anualized Rate Of Return */
|
||||
tradingEngine.episode.episodeBaseAsset.anualizedRateOfReturn.value =
|
||||
tradingEngine.episode.episodeBaseAsset.ROI.value /
|
||||
tradingEngine.episode.episodeStatistics.days.value * 365
|
||||
tradingEngine.current.episode.episodeBaseAsset.anualizedRateOfReturn.value =
|
||||
tradingEngine.current.episode.episodeBaseAsset.ROI.value /
|
||||
tradingEngine.current.episode.episodeStatistics.days.value * 365
|
||||
|
||||
tradingEngine.episode.episodeQuotedAsset.anualizedRateOfReturn.value =
|
||||
tradingEngine.episode.episodeQuotedAsset.ROI.value /
|
||||
tradingEngine.episode.episodeStatistics.days.value * 365
|
||||
tradingEngine.current.episode.episodeQuotedAsset.anualizedRateOfReturn.value =
|
||||
tradingEngine.current.episode.episodeQuotedAsset.ROI.value /
|
||||
tradingEngine.current.episode.episodeStatistics.days.value * 365
|
||||
|
||||
tradingEngine.episode.episodeBaseAsset.anualizedRateOfReturn.value = global.PRECISE(tradingEngine.episode.episodeBaseAsset.anualizedRateOfReturn.value, 10)
|
||||
tradingEngine.episode.episodeQuotedAsset.anualizedRateOfReturn.value = global.PRECISE(tradingEngine.episode.episodeQuotedAsset.anualizedRateOfReturn.value, 10)
|
||||
tradingEngine.current.episode.episodeBaseAsset.anualizedRateOfReturn.value = global.PRECISE(tradingEngine.current.episode.episodeBaseAsset.anualizedRateOfReturn.value, 10)
|
||||
tradingEngine.current.episode.episodeQuotedAsset.anualizedRateOfReturn.value = global.PRECISE(tradingEngine.current.episode.episodeQuotedAsset.anualizedRateOfReturn.value, 10)
|
||||
|
||||
/* Updating Hit or Fail */
|
||||
if (tradingEngine.episode.episodeBaseAsset.profitLoss.value > 0) {
|
||||
tradingEngine.episode.episodeBaseAsset.hitFail.value = 'Hit'
|
||||
if (tradingEngine.current.episode.episodeBaseAsset.profitLoss.value > 0) {
|
||||
tradingEngine.current.episode.episodeBaseAsset.hitFail.value = 'Hit'
|
||||
} else {
|
||||
tradingEngine.episode.episodeBaseAsset.hitFail.value = 'Fail'
|
||||
tradingEngine.current.episode.episodeBaseAsset.hitFail.value = 'Fail'
|
||||
}
|
||||
if (tradingEngine.episode.episodeQuotedAsset.profitLoss.value > 0) {
|
||||
tradingEngine.episode.episodeQuotedAsset.hitFail.value = 'Hit'
|
||||
if (tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value > 0) {
|
||||
tradingEngine.current.episode.episodeQuotedAsset.hitFail.value = 'Hit'
|
||||
} else {
|
||||
tradingEngine.episode.episodeQuotedAsset.hitFail.value = 'Fail'
|
||||
tradingEngine.current.episode.episodeQuotedAsset.hitFail.value = 'Fail'
|
||||
}
|
||||
}
|
||||
|
||||
function updatingEpisodeStatistics() {
|
||||
|
||||
/* Updating Profit Loss */
|
||||
tradingEngine.episode.episodeStatistics.profitLoss.value =
|
||||
tradingEngine.episode.episodeBaseAsset.profitLoss.value * tradingEngine.current.candle.close.value +
|
||||
tradingEngine.episode.episodeQuotedAsset.profitLoss.value
|
||||
tradingEngine.current.episode.episodeStatistics.profitLoss.value =
|
||||
tradingEngine.current.episode.episodeBaseAsset.profitLoss.value * tradingEngine.current.candle.close.value +
|
||||
tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value
|
||||
|
||||
tradingEngine.episode.episodeStatistics.profitLoss.value = global.PRECISE(tradingEngine.episode.episodeStatistics.profitLoss.value, 10)
|
||||
tradingEngine.current.episode.episodeStatistics.profitLoss.value = global.PRECISE(tradingEngine.current.episode.episodeStatistics.profitLoss.value, 10)
|
||||
|
||||
/* Updating ROI */
|
||||
tradingEngine.episode.episodeStatistics.ROI.value =
|
||||
tradingEngine.current.episode.episodeStatistics.ROI.value =
|
||||
(
|
||||
sessionParameters.sessionBaseAsset.config.initialBalance * tradingEngine.current.candle.close.value +
|
||||
tradingEngine.episode.episodeBaseAsset.profitLoss.value * tradingEngine.current.candle.close.value +
|
||||
tradingEngine.current.episode.episodeBaseAsset.profitLoss.value * tradingEngine.current.candle.close.value +
|
||||
sessionParameters.sessionQuotedAsset.config.initialBalance +
|
||||
tradingEngine.episode.episodeQuotedAsset.profitLoss.value
|
||||
tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value
|
||||
) / (
|
||||
sessionParameters.sessionBaseAsset.config.initialBalance * tradingEngine.current.candle.close.value +
|
||||
sessionParameters.sessionQuotedAsset.config.initialBalance
|
||||
) - 1
|
||||
|
||||
tradingEngine.episode.episodeStatistics.ROI.value = global.PRECISE(tradingEngine.episode.episodeStatistics.ROI.value, 10)
|
||||
tradingEngine.current.episode.episodeStatistics.ROI.value = global.PRECISE(tradingEngine.current.episode.episodeStatistics.ROI.value, 10)
|
||||
|
||||
/* Updating Anualized Rate Of Return */
|
||||
tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value =
|
||||
tradingEngine.episode.episodeStatistics.ROI.value /
|
||||
tradingEngine.episode.episodeStatistics.days.value * 365
|
||||
tradingEngine.current.episode.episodeStatistics.anualizedRateOfReturn.value =
|
||||
tradingEngine.current.episode.episodeStatistics.ROI.value /
|
||||
tradingEngine.current.episode.episodeStatistics.days.value * 365
|
||||
|
||||
tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value = global.PRECISE(tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value, 10)
|
||||
tradingEngine.current.episode.episodeStatistics.anualizedRateOfReturn.value = global.PRECISE(tradingEngine.current.episode.episodeStatistics.anualizedRateOfReturn.value, 10)
|
||||
|
||||
/* Updating Hit or Fail */
|
||||
if (tradingEngine.episode.episodeStatistics.profitLoss.value > 0) {
|
||||
tradingEngine.episode.episodeStatistics.hitFail.value = 'Hit'
|
||||
if (tradingEngine.current.episode.episodeStatistics.profitLoss.value > 0) {
|
||||
tradingEngine.current.episode.episodeStatistics.hitFail.value = 'Hit'
|
||||
} else {
|
||||
tradingEngine.episode.episodeStatistics.hitFail.value = 'Fail'
|
||||
tradingEngine.current.episode.episodeStatistics.hitFail.value = 'Fail'
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
@@ -28,7 +28,7 @@ exports.newTradingStrategy = function newTradingStrategy(bot, logger, tradingEng
|
||||
|
||||
function openStrategy(index, situationName, strategyName) {
|
||||
tradingEngine.current.strategy.status.value = 'Open'
|
||||
tradingEngine.current.strategy.serialNumber.value = tradingEngine.episode.episodeCounters.strategies.value
|
||||
tradingEngine.current.strategy.serialNumber.value = tradingEngine.current.episode.episodeCounters.strategies.value
|
||||
tradingEngine.current.strategy.identifier.value = global.UNIQUE_ID()
|
||||
tradingEngine.current.strategy.begin.value = tradingEngine.current.candle.begin.value
|
||||
tradingEngine.current.strategy.end.value = tradingEngine.current.candle.end.value
|
||||
|
||||
Reference in new issue
Block a user