exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILITIES) { const FULL_LOG = true const LOG_FILE_CONTENT = false const ONE_DAY_IN_MILISECONDS = 24 * 60 * 60 * 1000 const MODULE_NAME = 'Trading Simulation -> ' + bot.SESSION.name const GMT_SECONDS = ':00.000 GMT+0000' let thisObject = { finalize: finalize, runSimulation: runSimulation } let utilities = UTILITIES.newCloudUtilities(bot, logger) return thisObject function finalize() { thisObject = undefined } function runSimulation( chart, dataDependencies, timeFrame, timeFrameLabel, currentDay, variable, exchangeAPI, recordsArray, conditionsArray, strategiesArray, positionsArray, callback, callBackFunction) { try { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> Entering function.') } let processingDailyFiles if (timeFrame > global.dailyFilePeriods[0][0]) { processingDailyFiles = false } else { processingDailyFiles = true } /* Snapshots of Trigger On and Take Positions */ let snapshots = { headers: undefined, triggerOn: [], takePosition: [], lastTriggerOn: undefined, lastTakePosition: undefined } let tradingSystem = bot.TRADING_SYSTEM let tradingEngine = bot.TRADING_ENGINE let sessionParameters = bot.SESSION.parameters if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> sessionParameters.timeRange.config.initialDatetime = ' + sessionParameters.timeRange.config.initialDatetime) } if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> sessionParameters.timeRange.config.finalDatetime = ' + sessionParameters.timeRange.config.finalDatetime) } let timerToCloseStage = 0 /* Stop Loss Management */ const MIN_STOP_LOSS_VALUE = 0.0000000001 // We can not let the stop be zero to avoid division by 0 error or infinity numbers as a result. const MAX_STOP_LOSS_VALUE = Number.MAX_SAFE_INTEGER /* Take Profit Management */ const MIN_TAKE_PROFIT_VALUE = 0.0000000001 // We can not let the buy order be zero to avoid division by 0 error or infinity numbers as a result. const MAX_TAKE_PROFIT_VALUE = Number.MAX_SAFE_INTEGER /* Variables for this executioin only */ let takePositionNow = false let closePositionNow = false /* In some cases we need to know if we are positioned at the last candle of the calendar day, for that we need these variables. */ let lastInstantOfTheDay = 0 if (currentDay) { lastInstantOfTheDay = currentDay.valueOf() + ONE_DAY_IN_MILISECONDS - 1 } const TRADING_ENGINE_MODULE = require('./TradingEngine.js') let tradingEngineModule = TRADING_ENGINE_MODULE.newTradingEngine(bot, logger) tradingEngineModule.initialize() if (variable.isInitialized !== true || bot.RESUME === false) { variable.isInitialized = true variable.episode = {} // An Episode represents each execution of the Simulation variable.episode.count = {} // Everything in here means the total count since the begining of the episode. variable.episode.stat = {} // Everything in here means the statistics calculated since the begining of the episode. variable.current = {} // Everything in here means that is happening right now. variable.current.balance = {} // Balances at the current candle of the Simulation. variable.current.distance = {} // Everything in here means the distance, measured in periods to whatever happened in the past, usually events. variable.current.distance.toEvent = {} // Distance to Events that already happened. variable.current.strategy = {} // Everything in here are variables related to the current strategy being executed. variable.current.position = {} // Everything in here are variables related to the current position being executed. variable.current.balance.baseAsset = bot.VALUES_TO_USE.initialBalanceA variable.current.balance.quotedAsset = bot.VALUES_TO_USE.initialBalanceB variable.current.distance.toEvent.triggerOn = 0 variable.current.distance.toEvent.triggerOff = 0 variable.current.distance.toEvent.takePosition = 0 variable.current.distance.toEvent.closePosition = 0 variable.last = {} // Everything in here means that it already happened. variable.last.position = {} // Las values of variables at the last position. variable.last.position.profitLoss = 0 variable.last.position.ROI = 0 variable.previous = {} // Everything in here means the the value that was current before a new current value was set. variable.previous.balance = {} // Balances values previous to the current ones. variable.previous.balance.baseAsset = 0 variable.previous.balance.quotedAsset = 0 variable.episode.parameters = {} // Parameters give you access to information received by the Simulation as parameters. variable.episode.parameters.initial = {} // Everything in here means the status at the begining of the episode received as a parameter of the Sumulation. variable.episode.parameters.minimum = {} // Everything in here means the minimum in the whole episode received as a parameter of the Sumulation. variable.episode.parameters.maximum = {} // Everything in here means the maximum in the whole episode received as a parameter of the Sumulation. variable.episode.parameters.initial.balance = {} variable.episode.parameters.minimum.balance = {} variable.episode.parameters.maximum.balance = {} variable.episode.parameters.baseAsset = bot.VALUES_TO_USE.baseAsset variable.episode.parameters.quotedAsset = bot.VALUES_TO_USE.quotedAsset variable.episode.parameters.marketBaseAsset = bot.market.baseAsset variable.episode.parameters.marketQuotedAsset = bot.market.quotedAsset variable.episode.parameters.timeFrame = timeFrame // The numeric value of the time frame, in milliseconds variable.episode.parameters.timeFrameLabel = timeFrameLabel // The alpha-numeric value of the time frame variable.episode.parameters.initial.balance.baseAsset = bot.VALUES_TO_USE.initialBalanceA variable.episode.parameters.minimum.balance.baseAsset = bot.VALUES_TO_USE.minimumBalanceA variable.episode.parameters.maximum.balance.baseAsset = bot.VALUES_TO_USE.maximumBalanceA variable.episode.parameters.initial.balance.quotedAsset = bot.VALUES_TO_USE.initialBalanceB variable.episode.parameters.minimum.balance.quotedAsset = bot.VALUES_TO_USE.minimumBalanceB variable.episode.parameters.maximum.balance.quotedAsset = bot.VALUES_TO_USE.maximumBalanceB variable.episode.count.positions = 0 variable.episode.count.fails = 0 variable.episode.count.hits = 0 variable.episode.count.periods = 0 variable.episode.stat.profitLoss = 0 variable.episode.stat.hitRatio = 0 variable.episode.stat.days = 0 variable.episode.stat.ROI = 0 variable.episode.stat.anualizedRateOfReturn = 0 inializeCurrentStrategy() initializeCurrentPosition() variable.announcements = [] } function inializeCurrentStrategy() { variable.current.strategy.name = '' variable.current.strategy.index = -1 variable.current.strategy.stage = 'No Stage' variable.current.strategy.begin = 0 variable.current.strategy.end = 0 variable.current.strategy.status = 0 variable.current.strategy.number = 0 variable.current.strategy.beginRate = 0 variable.current.strategy.endRate = 0 variable.current.strategy.situationName = '' } function initializeCurrentPosition() { variable.current.position.begin = 0 variable.current.position.end = 0 variable.current.position.rate = 0 variable.current.position.size = 0 variable.current.position.status = 0 variable.current.position.exitType = 0 variable.current.position.beginRate = 0 variable.current.position.endRate = 0 variable.current.position.situationName = '' variable.current.position.stat = {} variable.current.position.stat.ROI = 0 variable.current.position.stat.days = 0 variable.current.position.count = {} variable.current.position.count.periods = 0 variable.current.position.stopLoss = {} variable.current.position.stopLoss.value = 0 variable.current.position.stopLoss.phase = -1 variable.current.position.stopLoss.stage = 'No Stage' variable.current.position.takeProfit = {} variable.current.position.takeProfit.value = 0 variable.current.position.takeProfit.phase = -1 variable.current.position.takeProfit.stage = 'No Stage' } /* Main Array and Maps */ let propertyName = 'at' + variable.episode.parameters.timeFrameLabel.replace('-', '') let candles = chart[propertyName].candles let currentChart = chart[propertyName] /* Last Candle */ let lastCandle = candles[candles.length - 1] /* Main Simulation Loop: We go thourgh all the candles at this time period. */ let currentCandleIndex /* For Loop Level heartbeat */ let loopingDay let previousLoopingDay initializeLoop() function initializeLoop() { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> initializeLoop -> Entering function.') } if (bot.RESUME === true && variable.last.candle !== undefined) { /* Estimate the Initial Candle based on the last candle saved at variable */ let firstBegin = candles[0].begin let lastBegin = variable.last.candle.begin let diff = lastBegin - firstBegin let amount = diff / variable.episode.parameters.timeFrame currentCandleIndex = Math.trunc(amount) + 1 // Because we need to start from the next candle if (currentCandleIndex < 0 || currentCandleIndex > candles.length - 1) { logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> Cannot resume simulation.') logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> currentCandleIndex = ' + currentCandleIndex) logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> firstBegin = ' + firstBegin) logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> lastBegin = ' + lastBegin) logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> diff = ' + diff) logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> amount = ' + amount) callBackFunction(global.DEFAULT_FAIL_RESPONSE) return } } else { /* Estimate Initial Candle based on the timeRage configured for the session. */ let firstEnd = candles[0].end let targetEnd = sessionParameters.timeRange.config.initialDatetime.valueOf() let diff = targetEnd - firstEnd let amount = diff / variable.episode.parameters.timeFrame currentCandleIndex = Math.trunc(amount) if (currentCandleIndex < 0) { currentCandleIndex = 0 } if (currentCandleIndex > candles.length - 1) { /* This will happen when the sessionParameters.timeRange.config.initialDatetime is beyond the last candle available, meaning that the dataSet needs to be updated with more up-to-date data. */ currentCandleIndex = candles.length - 1 } } loop() } function loop() { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Entering function.') } if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Processing candle # ' + currentCandleIndex) } /* We are going to take snapshots of the values of indicators at key moments of the sumulation. */ let snapshotKeys = new Map() snapshotLoopHeaders = [] snapshotDataRecord = [] saveAsLastTriggerOnSnapshot = false saveAsLastTakePositionSnapshot = false addToSnapshots = false let announcementsToBeMade = [] let candle = candles[currentCandleIndex] /* Not processing while out of user-defined time range */ if (candle.end < sessionParameters.timeRange.config.initialDatetime.valueOf()) { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Skipping Candle before the sessionParameters.timeRange.config.initialDatetime.') } controlLoop() return } if (candle.begin > sessionParameters.timeRange.config.finalDatetime.valueOf()) { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Skipping Candle after the sessionParameters.timeRange.config.finalDatetime.') } afterLoop() return } /* Here we update at the chart data structure the objects for each product representing where we are currently standing at the simulation loop */ if (processingDailyFiles) { for (let j = 0; j < global.dailyFilePeriods.length; j++) { let mapKey = dailyFilePeriods[j][1] let propertyName = 'at' + mapKey.replace('-', '') let thisChart = chart[propertyName] for (let k = 0; k < dataDependencies.length; k++) { let dataDependencyNode = dataDependencies[k] if (dataDependencyNode.referenceParent.config.codeName !== 'Multi-Period-Daily') { continue } let singularVariableName = dataDependencyNode.referenceParent.parentNode.config.singularVariableName let pluralVariableName = dataDependencyNode.referenceParent.parentNode.config.pluralVariableName let currentElement = getElement(thisChart[pluralVariableName], candle, 'Daily' + '-' + mapKey + '-' + pluralVariableName) thisChart[singularVariableName] = currentElement } } } /* Finding the Current Element on Market Files */ for (let j = 0; j < global.marketFilesPeriods.length; j++) { let mapKey = marketFilesPeriods[j][1] let propertyName = 'at' + mapKey.replace('-', '') let thisChart = chart[propertyName] for (let k = 0; k < dataDependencies.length; k++) { let dataDependencyNode = dataDependencies[k] if (dataDependencyNode.referenceParent.config.codeName !== 'Multi-Period-Market') { continue } let singularVariableName = dataDependencyNode.referenceParent.parentNode.config.singularVariableName let pluralVariableName = dataDependencyNode.referenceParent.parentNode.config.pluralVariableName let currentElement = getElement(thisChart[pluralVariableName], candle, 'Market' + '-' + mapKey + '-' + pluralVariableName) thisChart[singularVariableName] = currentElement } } /* Finding the Current Element on Single Files */ function isItInside(elementWithTimestamp, elementWithBeginEnd) { if (elementWithTimestamp.timestamp >= elementWithBeginEnd.begin && elementWithTimestamp.timestamp <= elementWithBeginEnd.end) { return true } else { return false } } let propertyName = 'atAnyTimeFrame' let thisChart = chart[propertyName] for (let k = 0; k < dataDependencies.length; k++) { let dataDependencyNode = dataDependencies[k] if (dataDependencyNode.referenceParent.config.codeName !== 'Single-File') { continue } let singularVariableName = dataDependencyNode.referenceParent.parentNode.config.singularVariableName let pluralVariableName = dataDependencyNode.referenceParent.parentNode.config.pluralVariableName let elementArray = thisChart[pluralVariableName] let currentElement if (elementArray !== undefined) { currentElement = elementArray[elementArray.length - 1] } thisChart[singularVariableName] = currentElement } /* While we are processing the previous day. */ let positionedAtYesterday = false if (currentDay) { positionedAtYesterday = (candle.end < currentDay.valueOf()) } if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Candle Begin @ ' + (new Date(candle.begin)).toLocaleString()) } if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Candle End @ ' + (new Date(candle.end)).toLocaleString()) } let ticker = { bid: candle.close, ask: candle.close, last: candle.close } /* We will produce a simulation level heartbeat in order to inform the user this is running. */ loopingDay = new Date(Math.trunc(candle.begin / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS) if (loopingDay.valueOf() !== previousLoopingDay) { let processingDate = loopingDay.getUTCFullYear() + '-' + utilities.pad(loopingDay.getUTCMonth() + 1, 2) + '-' + utilities.pad(loopingDay.getUTCDate(), 2) if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Simulation ' + bot.sessionKey + ' Loop # ' + currentCandleIndex + ' @ ' + processingDate) } /* Telling the world we are alive and doing well */ let fromDate = new Date(sessionParameters.timeRange.config.initialDatetime.valueOf()) let lastDate = new Date(sessionParameters.timeRange.config.finalDatetime.valueOf()) let currentDateString = loopingDay.getUTCFullYear() + '-' + utilities.pad(loopingDay.getUTCMonth() + 1, 2) + '-' + utilities.pad(loopingDay.getUTCDate(), 2) let currentDate = new Date(loopingDay) let percentage = global.getPercentage(fromDate, currentDate, lastDate) bot.processHeartBeat(currentDateString, percentage) if (global.areEqualDates(currentDate, new Date()) === false) { logger.newInternalLoop(bot.codeName, bot.process, currentDate, percentage) } } previousLoopingDay = loopingDay.valueOf() variable.episode.count.periods++ variable.episode.stat.days = variable.episode.count.periods * variable.episode.parameters.timeFrame / ONE_DAY_IN_MILISECONDS if (processingDailyFiles) { /* We skip the candle at the head of the market because currentCandleIndex has not closed yet. */ let candlesPerDay = ONE_DAY_IN_MILISECONDS / variable.episode.parameters.timeFrame if (currentCandleIndex === candles.length - 1) { if ((candles.length < candlesPerDay) || (candles.length > candlesPerDay && candles.length < candlesPerDay * 2)) { /* We are at the head of the market, thus we skip the last candle because it has not close yet. */ if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Skipping Candle because it is the last one and has not been closed yet.') } controlLoop() return /* Note here that in the last candle of the first day or the second day it will use an incomplete candle and partially calculated indicators. if we skip these two variable.episode.count.periods, then there will be a hole in the file since the last period will be missing. */ } } } else { // We are processing Market Files if (currentCandleIndex === candles.length - 1) { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Skipping Candle because it is the last one and has not been closed yet.') } controlLoop() return } } let conditions = new Map() // Here we store the conditions values that will be use in the simulator for decision making. let formulas = new Map() let conditionsValues = [] // Here we store the conditions values that will be written on file for the plotter. let formulasErrors = [] // Here we store the errors produced by all phase formulas. let formulasValues = [] // Here we store the values produced by all phase formulas. /* We define and evaluate all conditions to be used later during the simulation loop. */ for (let j = 0; j < tradingSystem.strategies.length; j++) { let strategy = tradingSystem.strategies[j] let positionSize = 0 let positionRate = 0 /* Continue with the rest of the formulas and conditions */ let triggerStage = strategy.triggerStage if (triggerStage !== undefined) { if (triggerStage.triggerOn !== undefined) { for (let k = 0; k < triggerStage.triggerOn.situations.length; k++) { let situation = triggerStage.triggerOn.situations[k] for (let m = 0; m < situation.conditions.length; m++) { let condition = situation.conditions[m] let key = j + '-' + 'triggerStage' + '-' + 'triggerOn' + '-' + k + '-' + m if (condition.javascriptCode !== undefined) { newCondition(key, condition.javascriptCode, chart) } } } } if (triggerStage.triggerOff !== undefined) { for (let k = 0; k < triggerStage.triggerOff.situations.length; k++) { let situation = triggerStage.triggerOff.situations[k] for (let m = 0; m < situation.conditions.length; m++) { let condition = situation.conditions[m] let key = j + '-' + 'triggerStage' + '-' + 'triggerOff' + '-' + k + '-' + m if (condition.javascriptCode !== undefined) { newCondition(key, condition.javascriptCode, chart) } } } } if (triggerStage.takePosition !== undefined) { for (let k = 0; k < triggerStage.takePosition.situations.length; k++) { let situation = triggerStage.takePosition.situations[k] for (let m = 0; m < situation.conditions.length; m++) { let condition = situation.conditions[m] let key = j + '-' + 'triggerStage' + '-' + 'takePosition' + '-' + k + '-' + m if (condition.javascriptCode !== undefined) { newCondition(key, condition.javascriptCode, chart) } } } } } let openStage = strategy.openStage if (openStage !== undefined) { /* Default Values */ if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) { positionSize = variable.current.balance.baseAsset positionRate = candle.close } else { positionSize = variable.current.balance.quotedAsset positionRate = candle.close } let initialDefinition = openStage.initialDefinition if (initialDefinition !== undefined) { if (variable.current.position.size !== 0) { positionSize = variable.current.position.size } else { if (initialDefinition.positionSize !== undefined) { if (initialDefinition.positionSize.formula !== undefined) { try { let code = initialDefinition.positionSize.formula.code positionSize = eval(code) addCodeToSnapshot(code) } catch (err) { initialDefinition.positionSize.formula.error = err.message } if (isNaN(positionSize)) { if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) { positionSize = variable.current.balance.baseAsset } else { positionSize = variable.current.balance.quotedAsset } } else { if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) { if (positionSize > variable.current.balance.baseAsset) { positionSize = variable.current.balance.baseAsset } } else { if (positionSize > variable.current.balance.quotedAsset) { positionSize = variable.current.balance.quotedAsset } } } } } } if (variable.current.position.rate !== 0) { positionRate = variable.current.position.rate } else { if (initialDefinition.positionRate !== undefined) { if (initialDefinition.positionRate.formula !== undefined) { try { let code = initialDefinition.positionRate.formula.code positionRate = eval(initialDefinition.positionRate.formula.code) addCodeToSnapshot(code) } catch (err) { initialDefinition.positionRate.formula.error = err.message } if (isNaN(positionRate)) { if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) { positionRate = candle.close } else { positionRate = candle.close } } } } } if (initialDefinition.stopLoss !== undefined) { for (let p = 0; p < initialDefinition.stopLoss.phases.length; p++) { let phase = initialDefinition.stopLoss.phases[p] /* Evaluate Formula */ let formulaValue let formulaError = '' if (phase.formula !== undefined) { try { let code = phase.formula.code formulaValue = eval(code) addCodeToSnapshot(code) if (formulaValue === Infinity) { formulaError = 'Formula evaluates to Infinity.' formulaValue = MAX_STOP_LOSS_VALUE if (variable.current.position.stopLoss.stage === 'Open Stage') { formulaError = 'WARNING: Formula evaluates to Infinity.' if (FULL_LOG === true) { logger.write(MODULE_NAME, '[WARN] runSimulation -> loop -> initialDefinition.stopLoss -> MAX_STOP_LOSS_VALUE -> formulaError = ' + formulaError) } } } } catch (err) { if (phase.formula.code.indexOf('previous') > 0 && err.message.indexOf('of undefined') > 0) { /* We are not going to set an error for the casess we are using previous and the error is that the indicator is undefined. */ } else { formulaError = err.message } } if (isNaN(formulaValue)) { formulaValue = 0 } if (formulaValue < MIN_STOP_LOSS_VALUE) { formulaValue = MIN_STOP_LOSS_VALUE if (variable.current.position.stopLoss.stage === 'Open Stage') { formulaError = 'WARNING: Formula is evaluating below the MIN_STOP_LOSS_VALUE.' if (FULL_LOG === true) { logger.write(MODULE_NAME, '[WARN] runSimulation -> loop -> initialDefinition.stopLoss -> MIN_STOP_LOSS_VALUE -> formulaError = ' + formulaError) } } } formulasErrors.push('"' + formulaError + '"') formulasValues.push(formulaValue) let key = j + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'stopLoss' + '-' + p formulas.set(key, formulaValue) } /* next phase event */ let nextPhaseEvent = phase.nextPhaseEvent if (nextPhaseEvent !== undefined) { for (let k = 0; k < nextPhaseEvent.situations.length; k++) { let situation = nextPhaseEvent.situations[k] for (let m = 0; m < situation.conditions.length; m++) { let condition = situation.conditions[m] let key = j + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'stopLoss' + '-' + p + '-' + k + '-' + m if (condition.javascriptCode !== undefined) { newCondition(key, condition.javascriptCode, chart) } } } } /* move to phase events */ for (let n = 0; n < phase.moveToPhaseEvents.length; n++) { let moveToPhaseEvent = phase.moveToPhaseEvents[n] if (moveToPhaseEvent !== undefined) { for (let k = 0; k < moveToPhaseEvent.situations.length; k++) { let situation = moveToPhaseEvent.situations[k] for (let m = 0; m < situation.conditions.length; m++) { let condition = situation.conditions[m] let key = j + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'stopLoss' + '-' + p + '-' + n + '-' + k + '-' + m if (condition.javascriptCode !== undefined) { newCondition(key, condition.javascriptCode, chart) } } } } } } } if (initialDefinition.takeProfit !== undefined) { for (let p = 0; p < initialDefinition.takeProfit.phases.length; p++) { let phase = initialDefinition.takeProfit.phases[p] /* Evaluate Formula */ let formulaValue let formulaError = '' if (phase.formula !== undefined) { try { let code = phase.formula.code formulaValue = eval(code) addCodeToSnapshot(code) if (formulaValue === Infinity) { formulaValue = MAX_TAKE_PROFIT_VALUE if (variable.current.position.takeProfit.stage === 'Open Stage') { formulaError = 'WARNING: Formula evaluates to Infinity.' if (FULL_LOG === true) { logger.write(MODULE_NAME, '[WARN] runSimulation -> loop -> initialDefinition.takeProfit -> MAX_TAKE_PROFIT_VALUE -> formulaError = ' + formulaError) } } } } catch (err) { if (phase.formula.code.indexOf('previous') > 0 && err.message.indexOf('of undefined') > 0) { /* We are not going to set an error for the casess we are using previous and the error is that the indicator is undefined. */ } else { formulaError = err.message } } if (isNaN(formulaValue)) { formulaValue = 0 } if (formulaValue < MIN_TAKE_PROFIT_VALUE) { formulaValue = MIN_TAKE_PROFIT_VALUE if (variable.current.position.takeProfit.stage === 'Open Stage') { formulaError = 'WARNING: Formula is evaluating below the MIN_TAKE_PROFIT_VALUE.' if (FULL_LOG === true) { logger.write(MODULE_NAME, '[WARN] runSimulation -> loop -> initialDefinition.takeProfit -> MIN_TAKE_PROFIT_VALUE -> formulaError = ' + formulaError) } } } formulasErrors.push('"' + formulaError + '"') formulasValues.push(formulaValue) let key = j + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'takeProfit' + '-' + p formulas.set(key, formulaValue) } /* next phase event */ let nextPhaseEvent = phase.nextPhaseEvent if (nextPhaseEvent !== undefined) { for (let k = 0; k < nextPhaseEvent.situations.length; k++) { let situation = nextPhaseEvent.situations[k] for (let m = 0; m < situation.conditions.length; m++) { let condition = situation.conditions[m] let key = j + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'takeProfit' + '-' + p + '-' + k + '-' + m if (condition.javascriptCode !== undefined) { newCondition(key, condition.javascriptCode, chart) } } } } /* move to phase events */ for (let n = 0; n < phase.moveToPhaseEvents.length; n++) { let moveToPhaseEvent = phase.moveToPhaseEvents[n] if (moveToPhaseEvent !== undefined) { for (let k = 0; k < moveToPhaseEvent.situations.length; k++) { let situation = moveToPhaseEvent.situations[k] for (let m = 0; m < situation.conditions.length; m++) { let condition = situation.conditions[m] let key = j + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'takeProfit' + '-' + p + '-' + n + '-' + k + '-' + m if (condition.javascriptCode !== undefined) { newCondition(key, condition.javascriptCode, chart) } } } } } } } } strategy.positionSize = positionSize strategy.positionRate = positionRate } let manageStage = strategy.manageStage if (manageStage !== undefined) { if (manageStage.stopLoss !== undefined) { for (let p = 0; p < manageStage.stopLoss.phases.length; p++) { let phase = manageStage.stopLoss.phases[p] /* Evaluate Formula */ let formulaValue let formulaError = '' if (phase.formula !== undefined) { try { let code = phase.formula.code formulaValue = eval(code) addCodeToSnapshot(code) if (formulaValue === Infinity) { formulaError = '' formulaValue = MAX_STOP_LOSS_VALUE if (variable.current.position.stopLoss.stage === 'Manage Stage') { formulaError = 'WARNING: Formula evaluates to Infinity.' if (FULL_LOG === true) { logger.write(MODULE_NAME, '[WARN] runSimulation -> loop -> manageStage.stopLoss -> MAX_STOP_LOSS_VALUE -> formulaError = ' + formulaError) } } } } catch (err) { if (phase.formula.code.indexOf('previous') > 0 && err.message.indexOf('of undefined') > 0) { /* We are not going to set an error for the casess we are using previous and the error is that the indicator is undefined. */ } else { formulaError = err.message } } if (isNaN(formulaValue)) { formulaValue = 0 } if (formulaValue < MIN_STOP_LOSS_VALUE) { formulaValue = MIN_STOP_LOSS_VALUE if (variable.current.position.stopLoss.stage === 'Manage Stage') { formulaError = 'WARNING: Formula is evaluating below the MIN_STOP_LOSS_VALUE.' if (FULL_LOG === true) { logger.write(MODULE_NAME, '[WARN] runSimulation -> loop -> manageStage.stopLoss -> MIN_STOP_LOSS_VALUE -> formulaError = ' + formulaError) } } } formulasErrors.push('"' + formulaError + '"') formulasValues.push(formulaValue) let key = j + '-' + 'manageStage' + '-' + 'stopLoss' + '-' + p formulas.set(key, formulaValue) } /* next phase event */ let nextPhaseEvent = phase.nextPhaseEvent if (nextPhaseEvent !== undefined) { for (let k = 0; k < nextPhaseEvent.situations.length; k++) { let situation = nextPhaseEvent.situations[k] for (let m = 0; m < situation.conditions.length; m++) { let condition = situation.conditions[m] let key = j + '-' + 'manageStage' + '-' + 'stopLoss' + '-' + p + '-' + k + '-' + m if (condition.javascriptCode !== undefined) { newCondition(key, condition.javascriptCode, chart) } } } } /* move to phase events */ for (let n = 0; n < phase.moveToPhaseEvents.length; n++) { let moveToPhaseEvent = phase.moveToPhaseEvents[n] if (moveToPhaseEvent !== undefined) { for (let k = 0; k < moveToPhaseEvent.situations.length; k++) { let situation = moveToPhaseEvent.situations[k] for (let m = 0; m < situation.conditions.length; m++) { let condition = situation.conditions[m] let key = j + '-' + 'manageStage' + '-' + 'stopLoss' + '-' + p + '-' + n + '-' + k + '-' + m if (condition.javascriptCode !== undefined) { newCondition(key, condition.javascriptCode, chart) } } } } } } } if (manageStage.takeProfit !== undefined) { for (let p = 0; p < manageStage.takeProfit.phases.length; p++) { let phase = manageStage.takeProfit.phases[p] /* Evaluate Formula */ let formulaValue let formulaError = '' if (phase.formula !== undefined) { try { let code = phase.formula.code formulaValue = eval(code) addCodeToSnapshot(code) if (formulaValue === Infinity) { formulaError = 'Formula evaluates to Infinity.' formulaValue = MAX_TAKE_PROFIT_VALUE if (variable.current.position.takeProfit.stage === 'Manage Stage') { formulaError = 'WARNING: Formula evaluates to Infinity.' if (FULL_LOG === true) { logger.write(MODULE_NAME, '[WARN] runSimulation -> loop -> manageStage.takeProfit -> MAX_TAKE_PROFIT_VALUE -> formulaError = ' + formulaError) } } } } catch (err) { if (phase.formula.code.indexOf('previous') > 0 && err.message.indexOf('of undefined') > 0) { /* We are not going to set an error for the casess we are using previous and the error is that the indicator is undefined. */ } else { formulaError = err.message } } if (isNaN(formulaValue)) { formulaValue = 0 } if (formulaValue < MIN_TAKE_PROFIT_VALUE) { formulaValue = MIN_TAKE_PROFIT_VALUE if (variable.current.position.takeProfit.stage === 'Manage Stage') { formulaError = 'WARNING: Formula is evaluating below the MIN_TAKE_PROFIT_VALUE.' if (FULL_LOG === true) { logger.write(MODULE_NAME, '[WARN] runSimulation -> loop -> manageStage.takeProfit -> MIN_TAKE_PROFIT_VALUE -> formulaError = ' + formulaError) } } } formulasErrors.push('"' + formulaError + '"') formulasValues.push(formulaValue) let key = j + '-' + 'manageStage' + '-' + 'takeProfit' + '-' + p formulas.set(key, formulaValue) } /* next phase event */ let nextPhaseEvent = phase.nextPhaseEvent if (nextPhaseEvent !== undefined) { for (let k = 0; k < nextPhaseEvent.situations.length; k++) { let situation = nextPhaseEvent.situations[k] for (let m = 0; m < situation.conditions.length; m++) { let condition = situation.conditions[m] let key = j + '-' + 'manageStage' + '-' + 'takeProfit' + '-' + p + '-' + k + '-' + m if (condition.javascriptCode !== undefined) { newCondition(key, condition.javascriptCode, chart) } } } } /* move to phase events */ for (let n = 0; n < phase.moveToPhaseEvents.length; n++) { let moveToPhaseEvent = phase.moveToPhaseEvents[n] if (moveToPhaseEvent !== undefined) { for (let k = 0; k < moveToPhaseEvent.situations.length; k++) { let situation = moveToPhaseEvent.situations[k] for (let m = 0; m < situation.conditions.length; m++) { let condition = situation.conditions[m] let key = j + '-' + 'manageStage' + '-' + 'takeProfit' + '-' + p + '-' + n + '-' + k + '-' + m if (condition.javascriptCode !== undefined) { newCondition(key, condition.javascriptCode, chart) } } } } } } } } function newCondition(key, node, chart) { let condition let value try { let code = node.code value = eval(code) addCodeToSnapshot(code) } catch (err) { /* One possible error is that the conditions references a .previous that is undefined. For this reason and others, we will simply set the value to false. */ value = false if (node.code.indexOf('previous') > -1 && err.message.indexOf('of undefined') > -1 || node.code.indexOf('chart') > -1 && err.message.indexOf('of undefined') > -1 ) { /* We are not going to set an error for the casess we are using previous and the error is that the indicator is undefined. */ } else { node.error = err.message + ' @ ' + (new Date(candle.begin)).toLocaleString() } } condition = { key: key, value: value } conditions.set(condition.key, condition) if (condition.value) { conditionsValues.push(1) } else { conditionsValues.push(0) } } } /* Trigger On Conditions */ if ( variable.current.strategy.stage === 'No Stage' && variable.current.strategy.index === -1 ) { let minimumBalance let maximumBalance let balance if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) { balance = variable.current.balance.baseAsset minimumBalance = variable.episode.parameters.minimum.balance.baseAsset maximumBalance = variable.episode.parameters.maximum.balance.baseAsset } else { balance = variable.current.balance.quotedAsset minimumBalance = variable.episode.parameters.minimum.balance.quotedAsset maximumBalance = variable.episode.parameters.maximum.balance.quotedAsset } let stopRunningDate = new Date(candle.begin) if (balance <= minimumBalance) { tradingSystem.error = 'Min Balance @ ' + stopRunningDate.toLocaleString() if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> ' + tradingSystem.error) } afterLoop() return } if (balance >= maximumBalance) { tradingSystem.error = 'Max Balance @ ' + stopRunningDate.toLocaleString() if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> ' + tradingSystem.error) } afterLoop() return } /* Here we need to pick a strategy, or if there is not suitable strategy for the current market conditions, we pass until the next period. To pick a new strategy we will evaluate what we call the trigger on. Once we enter into one strategy, we will ignore market conditions for others. However there is also a strategy trigger off which can be hit before taking a position. If hit, we would be outside a strategy again and looking for the condition to enter all over again. */ for (let j = 0; j < tradingSystem.strategies.length; j++) { if ( variable.current.strategy.stage !== 'No Stage' || variable.current.strategy.index !== -1 ) { continue } let strategy = tradingSystem.strategies[j] let triggerStage = strategy.triggerStage if (triggerStage !== undefined) { if (triggerStage.triggerOn !== undefined) { for (let k = 0; k < triggerStage.triggerOn.situations.length; k++) { let situation = triggerStage.triggerOn.situations[k] let passed if (situation.conditions.length > 0) { passed = true } for (let m = 0; m < situation.conditions.length; m++) { let condition = situation.conditions[m] let key = j + '-' + 'triggerStage' + '-' + 'triggerOn' + '-' + k + '-' + m let value = false if (conditions.get(key) !== undefined) { value = conditions.get(key).value } if (value === false) { passed = false } } if (passed) { variable.current.strategy.stage = 'Trigger Stage' checkAnnouncements(triggerStage) variable.current.strategy.index = j variable.current.strategy.begin = candle.begin variable.current.strategy.beginRate = candle.min variable.current.strategy.endRate = candle.min // In case the strategy does not get exited variable.current.strategy.situationName = situation.name variable.current.strategy.name = strategy.name variable.current.distance.toEvent.triggerOn = 1 checkAnnouncements(triggerStage.triggerOn) saveAsLastTriggerOnSnapshot = true if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Switching to Trigger Stage because conditions at Trigger On Event were met.') } break } } } } } } /* Trigger Off Condition */ if (variable.current.strategy.stage === 'Trigger Stage') { let strategy = tradingSystem.strategies[variable.current.strategy.index] let triggerStage = strategy.triggerStage if (triggerStage !== undefined) { if (triggerStage.triggerOff !== undefined) { for (let k = 0; k < triggerStage.triggerOff.situations.length; k++) { let situation = triggerStage.triggerOff.situations[k] let passed if (situation.conditions.length > 0) { passed = true } for (let m = 0; m < situation.conditions.length; m++) { let condition = situation.conditions[m] let key = variable.current.strategy.index + '-' + 'triggerStage' + '-' + 'triggerOff' + '-' + k + '-' + m let value = false if (conditions.get(key) !== undefined) { value = conditions.get(key).value } if (value === false) { passed = false } } if (passed) { variable.current.strategy.number = variable.current.strategy.index variable.current.strategy.end = candle.end variable.current.strategy.endRate = candle.min variable.current.strategy.status = 1 // This means the strategy is closed, i.e. that has a begin and end. variable.current.strategy.stage = 'No Stage' variable.current.strategy.index = -1 variable.current.distance.toEvent.triggerOff = 1 checkAnnouncements(triggerStage.triggerOff) if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Switching to No Stage because conditions at the Trigger Off Event were met.') } break } } } } } /* Take Position Condition */ if (variable.current.strategy.stage === 'Trigger Stage') { let strategy = tradingSystem.strategies[variable.current.strategy.index] let triggerStage = strategy.triggerStage if (triggerStage !== undefined) { if (triggerStage.takePosition !== undefined) { for (let k = 0; k < triggerStage.takePosition.situations.length; k++) { let situation = triggerStage.takePosition.situations[k] let passed if (situation.conditions.length > 0) { passed = true } for (let m = 0; m < situation.conditions.length; m++) { let condition = situation.conditions[m] let key = variable.current.strategy.index + '-' + 'triggerStage' + '-' + 'takePosition' + '-' + k + '-' + m let value = false if (conditions.get(key) !== undefined) { value = conditions.get(key).value } if (value === false) { passed = false } } if (passed) { variable.current.strategy.stage = 'Open Stage' checkAnnouncements(strategy.openStage) variable.current.position.stopLoss.stage = 'Open Stage' variable.current.position.takeProfit.stage = 'Open Stage' variable.current.position.stopLoss.phase = 0 variable.current.position.takeProfit.phase = 0 takePositionNow = true variable.current.position.situationName = situation.name checkAnnouncements(triggerStage.takePosition) saveAsLastTakePositionSnapshot = true if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Conditions at the Take Position Event were met.') } break } } } } } /* Stop Loss Management */ if ( (variable.current.strategy.stage === 'Open Stage' || variable.current.strategy.stage === 'Manage Stage') && takePositionNow !== true ) { checkStopPhases() calculateStopLoss() } function checkStopPhases() { let strategy = tradingSystem.strategies[variable.current.strategy.index] let openStage = strategy.openStage let manageStage = strategy.manageStage let parentNode let j = variable.current.strategy.index let stageKey let initialDefinitionKey = '' let p if (variable.current.position.stopLoss.stage === 'Open Stage' && openStage !== undefined) { if (openStage.initialDefinition !== undefined) { if (openStage.initialDefinition.stopLoss !== undefined) { parentNode = openStage.initialDefinition initialDefinitionKey = '-' + 'initialDefinition' stageKey = 'openStage' p = variable.current.position.stopLoss.phase } } } if (variable.current.position.stopLoss.stage === 'Manage Stage' && manageStage !== undefined) { if (manageStage.stopLoss !== undefined) { parentNode = manageStage stageKey = 'manageStage' p = variable.current.position.stopLoss.phase - 1 } } if (parentNode !== undefined) { let phase = parentNode.stopLoss.phases[p] /* Check the next Phase Event. */ let nextPhaseEvent = phase.nextPhaseEvent if (nextPhaseEvent !== undefined) { for (let k = 0; k < nextPhaseEvent.situations.length; k++) { let situation = nextPhaseEvent.situations[k] let passed if (situation.conditions.length > 0) { passed = true } for (let m = 0; m < situation.conditions.length; m++) { let condition = situation.conditions[m] let key = j + '-' + stageKey + initialDefinitionKey + '-' + 'stopLoss' + '-' + p + '-' + k + '-' + m let value = false if (conditions.get(key) !== undefined) { value = conditions.get(key).value } if (value === false) { passed = false } } if (passed) { variable.current.position.stopLoss.phase++ variable.current.position.stopLoss.stage = 'Manage Stage' if (variable.current.position.takeProfit.phase > 0) { variable.current.strategy.stage = 'Manage Stage' checkAnnouncements(manageStage, 'Take Profit') } checkAnnouncements(nextPhaseEvent) return } } } /* Check the Move to Phase Events. */ for (let n = 0; n < phase.moveToPhaseEvents.length; n++) { let moveToPhaseEvent = phase.moveToPhaseEvents[n] if (moveToPhaseEvent !== undefined) { for (let k = 0; k < moveToPhaseEvent.situations.length; k++) { let situation = moveToPhaseEvent.situations[k] let passed if (situation.conditions.length > 0) { passed = true } for (let m = 0; m < situation.conditions.length; m++) { let condition = situation.conditions[m] let key = j + '-' + stageKey + initialDefinitionKey + '-' + 'stopLoss' + '-' + p + '-' + n + '-' + k + '-' + m let value = false if (conditions.get(key) !== undefined) { value = conditions.get(key).value } if (value === false) { passed = false } } if (passed) { let moveToPhase = moveToPhaseEvent.referenceParent if (moveToPhase !== undefined) { for (let q = 0; q < parentNode.stopLoss.phases.length; q++) { if (parentNode.stopLoss.phases[q].id === moveToPhase.id) { variable.current.position.stopLoss.phase = q + 1 } } } else { moveToPhaseEvent.error = 'This Node needs to reference a Phase.' continue } variable.current.position.stopLoss.stage = 'Manage Stage' if (variable.current.position.takeProfit.phase > 0) { variable.current.strategy.stage = 'Manage Stage' checkAnnouncements(manageStage, 'Take Profit') } checkAnnouncements(moveToPhaseEvent) return } } } } } } function calculateStopLoss() { let strategy = tradingSystem.strategies[variable.current.strategy.index] let openStage = strategy.openStage let manageStage = strategy.manageStage let phase let key if (variable.current.position.stopLoss.stage === 'Open Stage' && openStage !== undefined) { if (openStage.initialDefinition !== undefined) { if (openStage.initialDefinition.stopLoss !== undefined) { phase = openStage.initialDefinition.stopLoss.phases[variable.current.position.stopLoss.phase] key = variable.current.strategy.index + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'stopLoss' + '-' + (variable.current.position.stopLoss.phase) } } } if (variable.current.position.stopLoss.stage === 'Manage Stage' && manageStage !== undefined) { if (manageStage.stopLoss !== undefined) { phase = manageStage.stopLoss.phases[variable.current.position.stopLoss.phase - 1] key = variable.current.strategy.index + '-' + 'manageStage' + '-' + 'stopLoss' + '-' + (variable.current.position.stopLoss.phase - 1) } } if (phase !== undefined) { if (phase.formula !== undefined) { let previousValue = variable.current.position.stopLoss.value variable.current.position.stopLoss.value = formulas.get(key) if (variable.current.position.stopLoss.value !== previousValue) { checkAnnouncements(phase, variable.current.position.stopLoss.value) } } } } /* Take Profit Management */ if ( (variable.current.strategy.stage === 'Open Stage' || variable.current.strategy.stage === 'Manage Stage') && takePositionNow !== true ) { checkTakeProfitPhases() calculateTakeProfit() } function checkTakeProfitPhases() { let strategy = tradingSystem.strategies[variable.current.strategy.index] let openStage = strategy.openStage let manageStage = strategy.manageStage let parentNode let j = variable.current.strategy.index let stageKey let initialDefinitionKey = '' let p if (variable.current.position.takeProfit.stage === 'Open Stage' && openStage !== undefined) { if (openStage.initialDefinition !== undefined) { if (openStage.initialDefinition.takeProfit !== undefined) { parentNode = openStage.initialDefinition initialDefinitionKey = '-' + 'initialDefinition' stageKey = 'openStage' p = variable.current.position.takeProfit.phase } } } if (variable.current.position.takeProfit.stage === 'Manage Stage' && manageStage !== undefined) { if (manageStage.takeProfit !== undefined) { parentNode = manageStage stageKey = 'manageStage' p = variable.current.position.takeProfit.phase - 1 } } if (parentNode !== undefined) { let phase = parentNode.takeProfit.phases[p] if (phase === undefined) { return } // trying to jump to a phase that does not exists. /* Check the next Phase Event. */ let nextPhaseEvent = phase.nextPhaseEvent if (nextPhaseEvent !== undefined) { for (let k = 0; k < nextPhaseEvent.situations.length; k++) { let situation = nextPhaseEvent.situations[k] let passed if (situation.conditions.length > 0) { passed = true } for (let m = 0; m < situation.conditions.length; m++) { let condition = situation.conditions[m] let key = j + '-' + stageKey + initialDefinitionKey + '-' + 'takeProfit' + '-' + p + '-' + k + '-' + m let value = false if (conditions.get(key) !== undefined) { value = conditions.get(key).value } if (value === false) { passed = false } } if (passed) { variable.current.position.takeProfit.phase++ variable.current.position.takeProfit.stage = 'Manage Stage' if (variable.current.position.stopLoss.phase > 0) { variable.current.strategy.stage = 'Manage Stage' checkAnnouncements(manageStage, 'Stop') } checkAnnouncements(nextPhaseEvent) return } } } /* Check the Move to Phase Events. */ for (let n = 0; n < phase.moveToPhaseEvents.length; n++) { let moveToPhaseEvent = phase.moveToPhaseEvents[n] if (moveToPhaseEvent !== undefined) { for (let k = 0; k < moveToPhaseEvent.situations.length; k++) { let situation = moveToPhaseEvent.situations[k] let passed if (situation.conditions.length > 0) { passed = true } for (let m = 0; m < situation.conditions.length; m++) { let condition = situation.conditions[m] let key = j + '-' + stageKey + initialDefinitionKey + '-' + 'takeProfit' + '-' + p + '-' + n + '-' + k + '-' + m let value = false if (conditions.get(key) !== undefined) { value = conditions.get(key).value } if (value === false) { passed = false } } if (passed) { let moveToPhase = moveToPhaseEvent.referenceParent if (moveToPhase !== undefined) { for (let q = 0; q < parentNode.takeProfit.phases.length; q++) { if (parentNode.takeProfit.phases[q].id === moveToPhase.id) { variable.current.position.takeProfit.phase = q + 1 } } } else { moveToPhaseEvent.error = 'This Node needs to reference a Phase.' continue } variable.current.position.takeProfit.stage = 'Manage Stage' if (variable.current.position.stopLoss.phase > 0) { variable.current.strategy.stage = 'Manage Stage' checkAnnouncements(manageStage, 'Stop') } checkAnnouncements(moveToPhaseEvent) return } } } } } } function calculateTakeProfit() { let strategy = tradingSystem.strategies[variable.current.strategy.index] let openStage = strategy.openStage let manageStage = strategy.manageStage let phase let key if (variable.current.position.takeProfit.stage === 'Open Stage' && openStage !== undefined) { if (openStage.initialDefinition !== undefined) { if (openStage.initialDefinition.takeProfit !== undefined) { phase = openStage.initialDefinition.takeProfit.phases[variable.current.position.takeProfit.phase] key = variable.current.strategy.index + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'takeProfit' + '-' + (variable.current.position.takeProfit.phase) } } } if (variable.current.position.takeProfit.stage === 'Manage Stage' && manageStage !== undefined) { if (manageStage.takeProfit !== undefined) { phase = manageStage.takeProfit.phases[variable.current.position.takeProfit.phase - 1] key = variable.current.strategy.index + '-' + 'manageStage' + '-' + 'takeProfit' + '-' + (variable.current.position.takeProfit.phase - 1) } } if (phase !== undefined) { if (phase.formula !== undefined) { let previousValue = variable.current.position.stopLoss.value variable.current.position.takeProfit.value = formulas.get(key) if (variable.current.position.takeProfit.value !== previousValue) { checkAnnouncements(phase, variable.current.position.takeProfit.value) } } } } /* Keeping Position Counters Up-to-date */ if ( (variable.current.strategy.stage === 'Open Stage' || variable.current.strategy.stage === 'Manage Stage') ) { if (takePositionNow === true) { variable.current.position.count.periods = 0 } variable.current.position.count.periods++ variable.current.position.stat.days = variable.current.position.count.periods * variable.episode.parameters.timeFrame / ONE_DAY_IN_MILISECONDS } else { variable.current.position.count.periods = 0 variable.current.position.stat.days = 0 } /* Keeping Distance Counters Up-to-date */ if ( variable.current.distance.toEvent.triggerOn > 0 // with this we avoind counting before the first event happens. ) { variable.current.distance.toEvent.triggerOn++ } if ( variable.current.distance.toEvent.triggerOff > 0 // with this we avoind counting before the first event happens. ) { variable.current.distance.toEvent.triggerOff++ } if ( variable.current.distance.toEvent.takePosition > 0 // with this we avoind counting before the first event happens. ) { variable.current.distance.toEvent.takePosition++ } if ( variable.current.distance.toEvent.closePosition > 0 // with this we avoind counting before the first event happens. ) { variable.current.distance.toEvent.closePosition++ } /* Checking if Stop or Take Profit were hit */ if ( (variable.current.strategy.stage === 'Open Stage' || variable.current.strategy.stage === 'Manage Stage') && takePositionNow !== true ) { let strategy = tradingSystem.strategies[variable.current.strategy.index] /* Checking what happened since the last execution. We need to know if the Stop Loss or our Take Profit were hit. */ /* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */ if ((variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset && candle.max >= variable.current.position.stopLoss.value) || (variable.episode.parameters.baseAsset !== variable.episode.parameters.marketBaseAsset && candle.min <= variable.current.position.stopLoss.value)) { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Stop Loss was hit.') } /* Hit Point Validation This prevents misscalculations when a formula places the stop loss in this case way beyond the market price. If we take the stop loss value at those situation would be a huge distortion of facts. */ if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) { if (variable.current.position.stopLoss.value < candle.min) { variable.current.position.stopLoss.value = candle.min } } else { if (variable.current.position.stopLoss.value > candle.max) { variable.current.position.stopLoss.value = candle.max } } let slippedStopLoss = variable.current.position.stopLoss.value /* Apply the Slippage */ let slippageAmount = slippedStopLoss * bot.VALUES_TO_USE.slippage.stopLoss / 100 if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) { slippedStopLoss = slippedStopLoss + slippageAmount } else { slippedStopLoss = slippedStopLoss - slippageAmount } closeRate = slippedStopLoss variable.current.strategy.stage = 'Close Stage' checkAnnouncements(strategy.closeStage, 'Stop') variable.current.position.stopLoss.stage = 'No Stage' variable.current.position.takeProfit.stage = 'No Stage' variable.current.position.end = candle.end variable.current.position.status = 1 variable.current.position.exitType = 1 variable.current.position.endRate = closeRate closePositionNow = true } /* Take Profit condition: Here we verify if the Take Profit was hit or not. */ if ((variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset && candle.min <= variable.current.position.takeProfit.value) || (variable.episode.parameters.baseAsset !== variable.episode.parameters.marketBaseAsset && candle.max >= variable.current.position.takeProfit.value)) { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Take Profit was hit.') } /* Hit Point Validation: This prevents misscalculations when a formula places the take profit in this case way beyond the market price. If we take the stop loss value at those situation would be a huge distortion of facts. */ if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) { if (variable.current.position.takeProfit.value > candle.max) { variable.current.position.takeProfit.value = candle.max } } else { if (variable.current.position.takeProfit.value < candle.min) { variable.current.position.takeProfit.value = candle.min } } let slippedTakeProfit = variable.current.position.takeProfit.value /* Apply the Slippage */ let slippageAmount = slippedTakeProfit * bot.VALUES_TO_USE.slippage.takeProfit / 100 if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) { slippedTakeProfit = slippedTakeProfit + slippageAmount } else { slippedTakeProfit = slippedTakeProfit - slippageAmount } closeRate = slippedTakeProfit variable.current.strategy.stage = 'Close Stage' checkAnnouncements(strategy.closeStage, 'Take Profit') variable.current.position.stopLoss.stage = 'No Stage' variable.current.position.takeProfit.stage = 'No Stage' variable.current.position.end = candle.end variable.current.position.status = 1 variable.current.position.exitType = 2 variable.current.position.endRate = closeRate closePositionNow = true addToSnapshots = true } } /* Taking a Position */ if ( takePositionNow === true ) { takePositionNow = false if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> takePositionNow -> Entering code block.') } /* Inicializing this counter */ variable.current.distance.toEvent.takePosition = 1 /* Position size and rate */ let strategy = tradingSystem.strategies[variable.current.strategy.index] variable.current.position.size = strategy.positionSize variable.current.position.rate = strategy.positionRate /* We take what was calculated at the formula and apply the slippage. */ let slippageAmount = variable.current.position.rate * bot.VALUES_TO_USE.slippage.positionRate / 100 if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) { variable.current.position.rate = variable.current.position.rate - slippageAmount } else { variable.current.position.rate = variable.current.position.rate + slippageAmount } if (bot.startMode === 'Live') { logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> Taking a Position in Live Mode.') logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> strategy.positionSize = ' + strategy.positionSize) logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> strategy.positionRate = ' + strategy.positionRate) logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> slippageAmount = ' + slippageAmount) logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> variable.current.position.rate = ' + variable.current.position.rate) } /* Update the trade record information. */ variable.current.position.begin = candle.begin variable.current.position.beginRate = variable.current.position.rate /* Check if we need to execute. */ if (currentCandleIndex > candles.length - 10) { /* Only at the last candles makes sense to check if we are in live mode or not. */ /* Check that we are in LIVE MODE */ if (bot.startMode === 'Live') { /* We see if we need to put the actual order at the exchange. */ if (variable.executionContext !== undefined) { switch (variable.executionContext.status) { case 'Without a Position': { // We need to put the order because It was not put yet. if (strategy.openStage !== undefined) { if (strategy.openStage.openExecution !== undefined) { putOpeningOrder() return } } break } case 'Position Closed': { // Waiting for a confirmation that the position was closed. if (strategy.openStage !== undefined) { if (strategy.openStage.openExecution !== undefined) { putOpeningOrder() return } } break } case 'Taking Position': { // Waiting for a confirmation that the position was taken. if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> takePositionNow -> Exiting code block because status is Taking Position.') } break } case 'In a Position': { // This should mean that we already put the order at the exchange. if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> takePositionNow -> Exiting code block because status is In a Position.') } break } } } else { // The context does not exist so it means we are not in a position. if (strategy.openStage !== undefined) { if (strategy.openStage.openExecution !== undefined) { putOpeningOrder() return } } } } else { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> takePositionNow -> Not trading live.') } } } else { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> takePositionNow -> Not the last closed candle.') } } takePositionAtSimulation() return function putOpeningOrder() { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> Entering function.') } /* We wont take a position unless we are withing the sessionParameters.timeRange.config.initialDatetime and the sessionParameters.timeRange.config.finalDatetime range */ if (sessionParameters.timeRange.config.initialDatetime !== undefined) { if (candle.end < sessionParameters.timeRange.config.initialDatetime.valueOf()) { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because current candle ends before the start date. -> sessionParameters.timeRange.config.initialDatetime = ' + sessionParameters.timeRange.config.initialDatetime) } takePositionAtSimulation() return } } /* We wont take a position if we are past the final datetime */ if (sessionParameters.timeRange.config.finalDatetime !== undefined) { if (candle.begin > sessionParameters.timeRange.config.finalDatetime.valueOf()) { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> putOpeningOrder -> Not placing the trade at the exchange because current candle begins after the end date. -> sessionParameters.timeRange.config.finalDatetime = ' + sessionParameters.timeRange.config.finalDatetime) } takePositionAtSimulation() return } } /* Mechanism to avoid putting the same order over and over again at different executions of the simulation engine. */ if (variable.executionContext !== undefined) { if (variable.executionContext.periods !== undefined) { if (variable.episode.count.periods <= variable.executionContext.periods) { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because it was already placed at a previous execution.') } takePositionAtSimulation() return } } } /* We are not going to place orders based on outdated information. The next filter prevents firing orders when backtesting. */ if (currentDay) { let today = new Date(Math.trunc((new Date().valueOf()) / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS) let processDay = new Date(Math.trunc(currentDay.valueOf() / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS) if (today.valueOf() !== processDay.valueOf()) { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because the current candle belongs to the previous day and that is considered simulation and not live trading.') } if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> today = ' + today) } if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> processDay = ' + processDay) } takePositionAtSimulation() return } } let orderPrice let amountA let amountB let orderSide if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) { orderSide = 'sell' orderPrice = variable.current.position.rate amountA = variable.current.position.size * orderPrice amountB = variable.current.position.size } else { orderSide = 'buy' orderPrice = variable.current.position.rate amountA = variable.current.position.size amountB = variable.current.position.size / orderPrice } variable.executionContext = { status: 'Taking Position', periods: variable.episode.count.periods } if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> Ready to create order.') } exchangeAPI.createOrder(bot.market, orderSide, orderPrice, amountA, amountB, onOrderCreated) function onOrderCreated(err, order) { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> Entering function.') } try { switch (err.result) { case global.DEFAULT_OK_RESPONSE.result: { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> DEFAULT_OK_RESPONSE ') } variable.executionContext = { status: 'In a Position', periods: variable.episode.count.periods, amountA: amountA, amountB: amountB, orderId: order.id } takePositionAtSimulation() return } case global.DEFAULT_FAIL_RESPONSE.result: { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> DEFAULT_FAIL_RESPONSE ') } if (FULL_LOG === true) { logger.write(MODULE_NAME, '[ERROR] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> Message = ' + err.message) } strategy.openStage.openExecution.error = err.message afterLoop() return } case global.DEFAULT_RETRY_RESPONSE.result: { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> DEFAULT_RETRY_RESPONSE ') } if (FULL_LOG === true) { logger.write(MODULE_NAME, '[ERROR] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> Message = ' + err.message) } strategy.openStage.openExecution.error = err.message afterLoop() return } } if (FULL_LOG === true) { logger.write(MODULE_NAME, '[ERROR] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> Unexpected Response -> Message = ' + err.message) } callBackFunction(global.DEFAULT_FAIL_RESPONSE) return } catch (err) { logger.write(MODULE_NAME, '[ERROR] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> err = ' + err.stack) callBackFunction(global.DEFAULT_FAIL_RESPONSE) return } } } function takePositionAtSimulation() { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> takePositionAtSimulation -> Entering function.') } /* Continue with the simulation */ calculateTakeProfit() calculateStopLoss() variable.previous.balance.baseAsset = variable.current.balance.baseAsset variable.previous.balance.quotedAsset = variable.current.balance.quotedAsset variable.last.position.profitLoss = 0 variable.last.position.ROI = 0 let feePaid = 0 if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) { feePaid = variable.current.position.size * variable.current.position.rate * bot.VALUES_TO_USE.feeStructure.taker / 100 variable.current.balance.quotedAsset = variable.current.balance.quotedAsset + variable.current.position.size * variable.current.position.rate - feePaid variable.current.balance.baseAsset = variable.current.balance.baseAsset - variable.current.position.size } else { feePaid = variable.current.position.size / variable.current.position.rate * bot.VALUES_TO_USE.feeStructure.taker / 100 variable.current.balance.baseAsset = variable.current.balance.baseAsset + variable.current.position.size / variable.current.position.rate - feePaid variable.current.balance.quotedAsset = variable.current.balance.quotedAsset - variable.current.position.size } addRecords() if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> takePositionAtSimulation -> Exiting Loop Body after taking position at simulation.') } controlLoop() return } } if (closePositionNow === true) { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Closing a Position -> Entering code block.') } closePositionNow = false /* Inicializing this counter */ variable.current.distance.toEvent.closePosition = 1 /* Position size and rate */ let strategy = tradingSystem.strategies[variable.current.strategy.index] if (currentCandleIndex > candles.length - 10) { /* Only at the last candles makes sense to check if we are in live mode or not. */ /* Check that we are in LIVE MODE */ if (bot.startMode === 'Live') { /* We see if we need to put the actual order at the exchange. */ if (variable.executionContext !== undefined) { switch (variable.executionContext.status) { case 'Without a Position': { // No way to close anything at the exchange. if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Closing a Position -> Exiting code block because status is Without a Position.') } break } case 'In a Position': { // This should mean that we already put the order at the exchange. if (strategy.closeStage !== undefined) { if (strategy.closeStage.closeExecution !== undefined) { putClosingOrder() return } } break } case 'Closing Position': { // Waiting for a confirmation that the position was taken. if (strategy.closeStage !== undefined) { if (strategy.closeStage.closeExecution !== undefined) { putClosingOrder() return } } break } case 'Position Closed': { // if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Closing a Position -> Exiting code block because status is Position Closed.') } break } } } } } else { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Closing a Position -> Not within the last 10 candles.') } } closePositionAtSimulation() return function putClosingOrder() { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> putClosingOrder -> Entering function.') } /* Mechanism to avoid putting the same order over and over again at different executions of the simulation engine. */ if (variable.executionContext !== undefined) { if (variable.executionContext.periods !== undefined) { if (variable.episode.count.periods <= variable.executionContext.periods) { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putClosingOrder -> Exiting function because this closing was already submited at a previous execution.') } closePositionAtSimulation() return } } } let orderPrice let amountA let amountB let orderSide if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) { orderSide = 'buy' orderPrice = ticker.last + 100 // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff. amountA = variable.current.balance.quotedAsset amountB = variable.current.balance.quotedAsset / orderPrice } else { orderSide = 'sell' orderPrice = ticker.last - 100 // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff. amountA = variable.current.balance.baseAsset * orderPrice amountB = variable.current.balance.baseAsset } variable.executionContext = { status: 'Closing Position', periods: variable.episode.count.periods } if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putClosingOrder -> About to close position at the exchange.') } exchangeAPI.createOrder(bot.market, orderSide, orderPrice, amountA, amountB, onOrderCreated) function onOrderCreated(err, order) { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putClosingOrder -> onOrderCreated -> Entering function.') } try { switch (err.result) { case global.DEFAULT_OK_RESPONSE.result: { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putClosingOrder -> onOrderCreated -> DEFAULT_OK_RESPONSE ') } variable.executionContext = { status: 'Position Closed', periods: variable.episode.count.periods, amountA: amountA, amountB: amountB, orderId: order.id } closePositionAtSimulation() return } case global.DEFAULT_FAIL_RESPONSE.result: { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putClosingOrder -> onOrderCreated -> DEFAULT_FAIL_RESPONSE ') } /* We will assume that the problem is temporary, and expect that it will work at the next execution. */ strategy.closeStage.closeExecution.error = err.message afterLoop() return } case global.DEFAULT_RETRY_RESPONSE.result: { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> DEFAULT_RETRY_RESPONSE ') } strategy.closeStage.closeExecution.error = err.message afterLoop() return } } if (FULL_LOG === true) { logger.write(MODULE_NAME, '[ERROR] runSimulation -> loop -> putClosingOrder -> onOrderCreated -> Unexpected Response -> Message = ' + err.message) } callBackFunction(global.DEFAULT_FAIL_RESPONSE) return } catch (err) { logger.write(MODULE_NAME, '[ERROR] runSimulation -> loop -> putClosingOrder -> onOrderCreated -> err = ' + err.stack) callBackFunction(global.DEFAULT_FAIL_RESPONSE) return } } } function closePositionAtSimulation() { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> closePositionAtSimulation -> Entering function.') } variable.episode.count.positions++ let feePaid = 0 if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) { strategy.positionSize = variable.current.balance.quotedAsset / closeRate strategy.positionRate = closeRate feePaid = variable.current.balance.quotedAsset / closeRate * bot.VALUES_TO_USE.feeStructure.taker / 100 variable.current.balance.baseAsset = variable.current.balance.baseAsset + variable.current.balance.quotedAsset / closeRate - feePaid variable.current.balance.quotedAsset = 0 } else { strategy.positionSize = variable.current.balance.baseAsset * closeRate strategy.positionRate = closeRate feePaid = variable.current.balance.baseAsset * closeRate * bot.VALUES_TO_USE.feeStructure.taker / 100 variable.current.balance.quotedAsset = variable.current.balance.quotedAsset + variable.current.balance.baseAsset * closeRate - feePaid variable.current.balance.baseAsset = 0 } if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) { variable.last.position.profitLoss = variable.current.balance.baseAsset - variable.previous.balance.baseAsset variable.last.position.ROI = variable.last.position.profitLoss * 100 / variable.current.position.size if (isNaN(variable.last.position.ROI)) { variable.last.position.ROI = 0 } variable.episode.stat.profitLoss = variable.current.balance.baseAsset - variable.episode.parameters.initial.balance.baseAsset } else { variable.last.position.profitLoss = variable.current.balance.quotedAsset - variable.previous.balance.quotedAsset variable.last.position.ROI = variable.last.position.profitLoss * 100 / variable.current.position.size if (isNaN(variable.last.position.ROI)) { variable.last.position.ROI = 0 } variable.episode.stat.profitLoss = variable.current.balance.quotedAsset - variable.episode.parameters.initial.balance.quotedAsset } variable.current.position.stat.ROI = variable.last.position.ROI if (variable.last.position.profitLoss > 0) { variable.episode.count.hits++ } else { variable.episode.count.fails++ } if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) { variable.episode.stat.ROI = (variable.episode.parameters.initial.balance.baseAsset + variable.episode.stat.profitLoss) / variable.episode.parameters.initial.balance.baseAsset - 1 variable.episode.stat.hitRatio = variable.episode.count.hits / variable.episode.count.positions variable.episode.stat.anualizedRateOfReturn = variable.episode.stat.ROI / variable.episode.stat.days * 365 } else { variable.episode.stat.ROI = (variable.episode.parameters.initial.balance.quotedAsset + variable.episode.stat.profitLoss) / variable.episode.parameters.initial.balance.quotedAsset - 1 variable.episode.stat.hitRatio = variable.episode.count.hits / variable.episode.count.positions variable.episode.stat.anualizedRateOfReturn = variable.episode.stat.ROI / variable.episode.stat.days * 365 } addRecords() variable.current.position.stopLoss.value = 0 variable.current.position.takeProfit.value = 0 variable.current.position.rate = 0 variable.current.position.size = 0 timerToCloseStage = candle.begin variable.current.position.stopLoss.stage = 'No Stage' variable.current.position.takeProfit.stage = 'No Stage' variable.current.position.stopLoss.phase = -1 variable.current.position.takeProfit.phase = -1 if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> closePositionAtSimulation -> Exiting Loop Body after closing position at simulation.') } controlLoop() return } } /* Closing the Closing Stage */ if (variable.current.strategy.stage === 'Close Stage') { if (candle.begin - 5 * 60 * 1000 > timerToCloseStage) { variable.current.strategy.number = variable.current.strategy.index variable.current.strategy.end = candle.end variable.current.strategy.endRate = candle.min variable.current.strategy.status = 1 // This means the strategy is closed, i.e. that has a begin and end. variable.current.strategy.index = -1 variable.current.strategy.stage = 'No Stage' timerToCloseStage = 0 variable.current.distance.toEvent.triggerOff = 1 if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Closing the Closing Stage -> Exiting Close Stage.') } } else { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Closing the Closing Stage -> Waiting for timer.') } } } /* Not a buy or sell condition */ addRecords() if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Exiting Loop Body after adding a record.') } controlLoop() return function addRecords() { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> addRecords -> Entering function.') } manageSnapshots() addSimulationRecord() addConditionsRecord() addStrategyRecord() addPositionRecord() /* We will remmember the last candle processed, so that if it is the last one of this run we can use it to continue from there next time. */ variable.last.candle = { begin: candle.begin, end: candle.end } /* After everything at the simulation level was done, we will do the annoucements that are pending. */ makeAnnoucements() function manageSnapshots() { /* Snapshots Management (before we generate the trade record and delete that info) */ if (saveAsLastTriggerOnSnapshot === true) { snapshots.lastTriggerOn = snapshotDataRecord saveAsLastTriggerOnSnapshot = false } if (saveAsLastTakePositionSnapshot === true) { snapshots.lastTakePosition = snapshotDataRecord saveAsLastTakePositionSnapshot = false } if (addToSnapshots === true) { let closeValues = [ variable.episode.count.positions, // Position Number (new Date(candle.begin)).toISOString(), // Datetime tradingSystem.strategies[variable.current.strategy.index].name, // Strategy Name variable.current.strategy.situationName, // Trigger On Situation variable.current.position.situationName, // Take Position Situation hitOrFial(), // Result variable.last.position.ROI, // ROI exitType() // Exit Type ] function hitOrFial() { if (variable.last.position.ROI > 0) { return 'HIT' } else { return 'FAIL' } } function exitType() { switch (variable.current.position.exitType) { case 1: return 'Stop' case 2: return 'Take Profit' } } if (positionedAtYesterday === false) { snapshots.triggerOn.push(closeValues.concat(snapshots.lastTriggerOn)) snapshots.takePosition.push(closeValues.concat(snapshots.lastTakePosition)) } snapshots.lastTriggerOn = undefined snapshots.lastTakePosition = undefined addToSnapshots = false } let closeHeaders = ['Trade Number', 'Close Datetime', 'Strategy', 'Trigger On Situation', 'Take Position Situation', 'Result', 'ROI', 'Exit Type'] if (snapshots.headers === undefined) { snapshots.headers = closeHeaders.concat(JSON.parse(JSON.stringify(snapshotLoopHeaders))) } } function addSimulationRecord() { /* Simulation Record */ let simulationRecord if (variable.current.balance.baseAsset === Infinity) { variable.current.balance.baseAsset = Number.MAX_SAFE_INTEGER } if (variable.current.balance.quotedAsset === Infinity) { variable.current.balance.quotedAsset = Number.MAX_SAFE_INTEGER } simulationRecord = [ candle.begin, candle.end, variable.current.balance.baseAsset, variable.current.balance.quotedAsset, variable.episode.stat.profitLoss, variable.last.position.profitLoss, variable.current.position.stopLoss.value, variable.episode.count.positions, variable.episode.count.hits, variable.episode.count.fails, variable.episode.stat.hitRatio, variable.episode.stat.ROI, variable.episode.count.periods, variable.episode.stat.days, variable.episode.stat.anualizedRateOfReturn, variable.current.position.rate, variable.last.position.ROI, variable.current.position.takeProfit.value, variable.current.position.stopLoss.phase, variable.current.position.takeProfit.phase, variable.current.position.size, variable.episode.parameters.initial.balance.baseAsset, variable.episode.parameters.minimum.balance.baseAsset, variable.episode.parameters.maximum.balance.baseAsset, variable.episode.parameters.initial.balance.quotedAsset, variable.episode.parameters.minimum.balance.quotedAsset, variable.episode.parameters.maximum.balance.quotedAsset, '"' + variable.episode.parameters.baseAsset + '"', '"' + variable.episode.parameters.quotedAsset + '"', '"' + variable.episode.parameters.marketBaseAsset + '"', '"' + variable.episode.parameters.marketQuotedAsset + '"', variable.current.position.count.periods, variable.current.position.stat.days ] recordsArray.push(simulationRecord) } function addConditionsRecord() { /* Prepare the information for the Conditions File */ let conditionsRecord = [ candle.begin, candle.end, variable.current.strategy.index, variable.current.position.stopLoss.phase, variable.current.position.takeProfit.phase, conditionsValues, formulasErrors, formulasValues ] conditionsArray.push(conditionsRecord) } function addStrategyRecord() { /* Lets see if there will be an open strategy ... Except if we are at the head of the market (remember we skipped the last candle for not being closed.) */ if (variable.current.strategy.begin !== 0 && variable.current.strategy.end === 0 && currentCandleIndex === candles.length - 2 && lastCandle.end !== lastInstantOfTheDay) { variable.current.strategy.status = 2 // This means the strategy is open, i.e. that has a begin but no end. variable.current.strategy.end = candle.end } /* Prepare the information for the Strategies File */ if (variable.current.strategy.begin !== 0 && variable.current.strategy.end !== 0) { let strategyRecord = [ variable.current.strategy.begin, variable.current.strategy.end, variable.current.strategy.status, variable.current.strategy.number, variable.current.strategy.beginRate, variable.current.strategy.endRate, '"' + variable.current.strategy.situationName + '"', '"' + variable.current.strategy.name + '"' ] strategiesArray.push(strategyRecord) inializeCurrentStrategy() } } function addPositionRecord() { /* Lets see if there will be an open trade ... Except if we are at the head of the market (remember we skipped the last candle for not being closed.) */ if (variable.current.position.begin !== 0 && variable.current.position.end === 0 && currentCandleIndex === candles.length - 2 && lastCandle.end !== lastInstantOfTheDay) { /* This means the trade is open */ variable.current.position.status = 2 variable.current.position.end = candle.end variable.current.position.endRate = candle.close /* Here we will calculate the ongoing ROI */ if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) { variable.current.position.stat.ROI = (variable.current.position.rate - candle.close) / variable.current.position.rate * 100 } else { variable.current.position.stat.ROI = (candle.close - variable.current.position.rate) / variable.current.position.rate * 100 } } /* Prepare the information for the Positions File */ if (variable.current.position.begin !== 0 && variable.current.position.end !== 0) { let positionRecord = [ variable.current.position.begin, variable.current.position.end, variable.current.position.status, variable.current.position.stat.ROI, variable.current.position.beginRate, variable.current.position.endRate, variable.current.position.exitType, '"' + variable.current.position.situationName + '"' ] positionsArray.push(positionRecord) initializeCurrentPosition() } } } function checkAnnouncements(node, value) { /* Value is an optional parameter that represents the value that the announcement is monitoring for change (for numeric values only). If we do receive this value, we will only make the annoucement if the variance is grater than the user pre-defined value for this variance. */ if (node.announcements !== undefined) { for (let i = 0; i < node.announcements.length; i++) { let announcement = node.announcements[i] let key = node.type + '-' + announcement.name + '-' + announcement.id let lastPeriodAnnounced = -1 let newAnnouncementRecord = {} for (let j = 0; j < variable.announcements.length; j++) { let announcementRecord = variable.announcements[j] if (announcementRecord.key === key) { lastPeriodAnnounced = announcementRecord.periods newAnnouncementRecord = announcementRecord break } } if (variable.episode.count.periods > lastPeriodAnnounced) { if (isNaN(value) === false) { /* The Value Variation is what tells us how much the value already announced must change in order to annouce it again. */ let valueVariation let config = announcement.config valueVariation = config.valueVariation if (newAnnouncementRecord.value !== undefined && valueVariation !== undefined) { let upperLimit = newAnnouncementRecord.value + newAnnouncementRecord.value * valueVariation / 100 let lowerLimit = newAnnouncementRecord.value - newAnnouncementRecord.value * valueVariation / 100 if (value > lowerLimit && value < upperLimit) { /* There is not enough variation to announce this again. */ return } } } /* We store the announcement temporarily at an Array to differ its execution, becasue we need to evaulate its formula and at this point in time the potential variables used at the formula are still not set. */ announcement.value = value announcementsToBeMade.push(announcement) /* Next, we will remmeber this announcement was already done, so that it is not announced again in further processing of the same day. */ if (newAnnouncementRecord.periods !== undefined) { newAnnouncementRecord.periods = variable.episode.count.periods newAnnouncementRecord.value = value } else { newAnnouncementRecord = { key: key, periods: variable.episode.count.periods, value: value } variable.announcements.push(newAnnouncementRecord) } } } } } function makeAnnoucements() { /* Here we go through all the annoucements that need to be done during this loop, and we just do them. */ for (let i = 0; i < announcementsToBeMade.length; i++) { announcement = announcementsToBeMade[i] /* Here we check if there is a formula attached to the annoucement, we evaluate it to get the annoucement text. */ let formulaValue if (announcement.formula !== undefined) { try { let value = announcement.value formulaValue = eval(announcement.formula.code) } catch (err) { announcement.formula.error = err.message } } announcement.formulaValue = formulaValue if (bot.SESSION.socialBots !== undefined) { bot.SESSION.socialBots.announce(announcement) } } } function addCodeToSnapshot(code) { if (code === undefined) { return } try { let instructionsArray = code.split(' ') for (let i = 0; i < instructionsArray.length; i++) { let instruction = instructionsArray[i] instruction = instruction.replace('(', '') instruction = instruction.replace(')', '') instruction = instruction.replace(//g, '') instruction = instruction.replace(/<=/g, '') instruction = instruction.replace(/>=/g, '') instruction = instruction.replace(/!=/g, '') instruction = instruction.replace(/!==/g, '') instruction = instruction.replace(/==/g, '') instruction = instruction.replace(/===/g, '') instruction = instruction.replace(/{/g, '') instruction = instruction.replace(/}/g, '') if (instruction.indexOf('chart') >= 0) { let parts = instruction.split('.') let timeFrame = parts[1] let product = parts[2] let property checkPrevious(3) function checkPrevious(index) { property = parts[index] if (property === 'previous') { product = product + '.previous' checkPrevious(index + 1) } } // Example: chart.at01hs.popularSMA.sma200 - chart.at01hs.popularSMA.sma100 < 10 if (timeFrame !== 'atAnyvariable.timeFrame') { timeFrame = timeFrame.substring(2, 4) + '-' + timeFrame.substring(4, 7) } let key = timeFrame + '-' + product + '-' + property let existingKey = snapshotKeys.get(key) if (existingKey === undefined) { // means that at the current loop this property of this product was not used before. snapshotKeys.set(key, key) snapshotLoopHeaders.push(key) let value = eval(instruction) snapshotDataRecord.push(value) } } } } catch (err) { logger.write(MODULE_NAME, '[ERROR] runSimulation -> addCodeToSnapshot -> code = ' + code) logger.write(MODULE_NAME, '[ERROR] runSimulation -> addCodeToSnapshot -> err = ' + err.stack) callBackFunction(global.DEFAULT_FAIL_RESPONSE) } } } function controlLoop() { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> controlLoop -> Entering function.') } /* Checking if we should continue processing this loop or not. */ if (bot.STOP_SESSION === true) { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this session.') } console.log('[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this session.') afterLoop() return } if (global.STOP_TASK_GRACEFULLY === true) { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this task.') } console.log('[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this task.') afterLoop() return } currentCandleIndex++ if (currentCandleIndex < candles.length) { setImmediate(loop) // This will execute the next loop in the next iteration of the NodeJs event loop allowing for other callbacks to be executed. } else { afterLoop() } } function afterLoop() { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> afterLoop -> Entering function.') } /* Before returning we need to see if we have to record some of our counters at the variable. To do that, the condition to be met is that this execution must include all candles of the current day. */ if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> callback -> recordsArray.length = ' + recordsArray.length) } callback(tradingSystem, snapshots.headers, snapshots.triggerOn, snapshots.takePosition) } function getElement(pArray, currentCandle, datasetName) { if (pArray === undefined) { return } try { let element for (let i = 0; i < pArray.length; i++) { element = pArray[i] if (currentCandle.end === element.end) { // when there is an exact match at the end we take that element return element } else { if ( i > 0 && element.end > currentCandle.end ) { let previousElement = pArray[i - 1] if (previousElement.end < currentCandle.end) { return previousElement // If one elements goes into the future of currentCandle, then we stop and take the previous element. } else { return } } if ( i === pArray.length - 1 // If we reach the end of the array, then we return the last element. && element.end < currentCandle.end ) { return element } } } return } catch (err) { logger.write(MODULE_NAME, '[ERROR] runSimulation -> getElement -> datasetName = ' + datasetName) logger.write(MODULE_NAME, '[ERROR] runSimulation -> getElement -> err = ' + err.stack) callBackFunction(global.DEFAULT_FAIL_RESPONSE) } } } catch (err) { logger.write(MODULE_NAME, '[ERROR] runSimulation -> err = ' + err.stack) callBackFunction(global.DEFAULT_FAIL_RESPONSE) } } }