exports.newTradingEngine = function newTradingEngine(bot, logger) { const MODULE_NAME = 'Trading Engine' let thisObject = { setCurrentCandle: setCurrentCandle, updatePositionCounters: updatePositionCounters, updateDistanceToEventsCounters: updateDistanceToEventsCounters, getReadyToTakePosition: getReadyToTakePosition, takePosition: takePosition, getReadyToClosePosition: getReadyToClosePosition, closePosition: closePosition, initialize: initialize, finalize: finalize } let tradingEngine return thisObject function initialize() { /* Here we will go through all the nodes in the Trading Engine hiriarchy and apply the initial value to the value property when needed */ tradingEngine = bot.TRADING_ENGINE if (tradingEngine.isInitialized !== true || bot.RESUME === false) { tradingEngine.isInitialized = true initializeNode(tradingEngine) } } function finalize() { tradingEngine = undefined } function setCurrentCandle(candle) { cloneValues(tradingEngine.current.candle, tradingEngine.previous.candle) tradingEngine.current.candle.begin.value = candle.begin tradingEngine.current.candle.end.value = candle.end tradingEngine.current.candle.open.value = candle.open tradingEngine.current.candle.close.value = candle.close tradingEngine.current.candle.min.value = candle.min tradingEngine.current.candle.max.value = candle.max } function cloneValues(originNode, destinationNode) { if (originNode === undefined) { return } if (destinationNode === undefined) { return } /* Here copy the node value */ destinationNode.value = originNode.value /* Now we go down through all the children of the origin node, assuming the destination node has the same children structure*/ let nodeDefinition = bot.APP_SCHEMA_MAP.get(originNode.type) if (nodeDefinition === undefined) { return } if (nodeDefinition.properties !== undefined) { let previousPropertyName // Since there are cases where there are many properties with the same name,because they can hold nodes of different types but only one at the time, we have to avoind counting each property of those as individual children. for (let i = 0; i < nodeDefinition.properties.length; i++) { let property = nodeDefinition.properties[i] switch (property.type) { case 'node': { if (property.name !== previousPropertyName) { if (originNode[property.name] !== undefined && destinationNode[property.name] !== undefined) { cloneValues(originNode[property.name], destinationNode[property.name]) } previousPropertyName = property.name } break } case 'array': { if (originNode[property.name] !== undefined && destinationNode[property.name] !== undefined) { let originNodePropertyArray = originNode[property.name] let destinationNodePropertyArray = destinationNode[property.name] for (let m = 0; m < originNodePropertyArray.length; m++) { cloneValues(originNodePropertyArray[m], destinationNodePropertyArray[m]) } } break } } } } } function initializeNode(node) { if (node === undefined) { return } /* Here we initialize the node value */ if (node.config !== undefined) { if (node.config.initialValue !== undefined) { node.value = node.config.initialValue } } /* Now we go down through all this node children */ let nodeDefinition = bot.APP_SCHEMA_MAP.get(node.type) if (nodeDefinition === undefined) { return } if (nodeDefinition.properties !== undefined) { let previousPropertyName // Since there are cases where there are many properties with the same name,because they can hold nodes of different types but only one at the time, we have to avoind counting each property of those as individual children. for (let i = 0; i < nodeDefinition.properties.length; i++) { let property = nodeDefinition.properties[i] switch (property.type) { case 'node': { if (property.name !== previousPropertyName) { if (node[property.name] !== undefined) { initializeNode(node[property.name]) } previousPropertyName = property.name } break } case 'array': { if (node[property.name] !== undefined) { let nodePropertyArray = node[property.name] for (let m = 0; m < nodePropertyArray.length; m++) { initializeNode(nodePropertyArray[m]) } } break } } } } } function updatePositionCounters() { /* Keeping Position Counters Up-to-date */ if ( (tradingEngine.current.strategy.stageType.value === 'Open Stage' || tradingEngine.current.strategy.stageType.value === 'Manage Stage') ) { if (takePositionNow === true) { tradingEngine.current.position.positionCounters.periods.value = 0 } tradingEngine.current.position.positionCounters.periods.value++ tradingEngine.current.position.positionStatistics.days.value = tradingEngine.current.position.positionCounters.periods.value * sessionParameters.timeFrame.config.value / ONE_DAY_IN_MILISECONDS } else { tradingEngine.current.position.positionCounters.periods.value = 0 tradingEngine.current.position.positionStatistics.days.value = 0 } } function updateDistanceToEventsCounters() { /* Keeping Distance Counters Up-to-date */ if ( tradingEngine.current.distanceToEvent.triggerOn.value > 0 // with this we avoind counting before the first event happens. ) { tradingEngine.current.distanceToEvent.triggerOn.value++ } if ( tradingEngine.current.distanceToEvent.triggerOff.value > 0 // with this we avoind counting before the first event happens. ) { tradingEngine.current.distanceToEvent.triggerOff.value++ } if ( tradingEngine.current.distanceToEvent.takePosition.value > 0 // with this we avoind counting before the first event happens. ) { tradingEngine.current.distanceToEvent.takePosition.value++ } if ( tradingEngine.current.distanceToEvent.closePosition.value > 0 // with this we avoind counting before the first event happens. ) { tradingEngine.current.distanceToEvent.closePosition.value++ } } function getReadyToTakePosition(candle) { /* Inicializing this counter */ tradingEngine.current.distanceToEvent.takePosition.value = 1 /* Position size and rate */ tradingEngine.current.position.size.value = getPositionSize() tradingEngine.current.position.rate.value = getPositionRate() /* We take what was calculated at the formula and apply the slippage. */ let slippageAmount = tradingEngine.current.position.rate.value * bot.VALUES_TO_USE.slippage.positionRate / 100 if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) { tradingEngine.current.position.rate.value = tradingEngine.current.position.rate.value - slippageAmount } else { tradingEngine.current.position.rate.value = tradingEngine.current.position.rate.value + slippageAmount } /* Update the trade record information. */ tradingEngine.current.position.begin.value = candle.begin tradingEngine.current.position.beginRate.value = tradingEngine.current.position.rate.value } function takePosition() { calculateTakeProfit() // TODO: Check if this is really necesary calculateStopLoss() // TODO: Check if this is really necesary tradingEngine.previous.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value tradingEngine.previous.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value tradingEngine.last.position.profitLoss.value = 0 tradingEngine.last.position.ROI.value = 0 let feePaid = 0 if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) { feePaid = tradingEngine.current.position.size.value * tradingEngine.current.position.rate.value * bot.VALUES_TO_USE.feeStructure.taker / 100 tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + tradingEngine.current.position.size.value * tradingEngine.current.position.rate.value - feePaid tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value - tradingEngine.current.position.size.value } else { feePaid = tradingEngine.current.position.size.value / tradingEngine.current.position.rate.value * bot.VALUES_TO_USE.feeStructure.taker / 100 tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + tradingEngine.current.position.size.value / tradingEngine.current.position.rate.value - feePaid tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value - tradingEngine.current.position.size.value } } function getReadyToClosePosition() { /* Inicializing this counter */ tradingEngine.current.distanceToEvent.closePosition.value = 1 /* Position size and rate */ let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value] } function closePosition() { tradingEngine.episode.positionCounters.positions.value++ let feePaid = 0 if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) { feePaid = tradingEngine.current.balance.quotedAsset.value / tradingEngine.current.position.endRate.value * bot.VALUES_TO_USE.feeStructure.taker / 100 tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + tradingEngine.current.balance.quotedAsset.value / tradingEngine.current.position.endRate.value - feePaid tradingEngine.current.balance.quotedAsset.value = 0 } else { feePaid = tradingEngine.current.balance.baseAsset.value * tradingEngine.current.position.endRate.value * bot.VALUES_TO_USE.feeStructure.taker / 100 tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + tradingEngine.current.balance.baseAsset.value * tradingEngine.current.position.endRate.value - feePaid tradingEngine.current.balance.baseAsset.value = 0 } if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) { tradingEngine.last.position.profitLoss.value = tradingEngine.current.balance.baseAsset.value - tradingEngine.previous.balance.baseAsset.value tradingEngine.last.position.ROI.value = tradingEngine.last.position.profitLoss.value * 100 / tradingEngine.current.position.size.value if (isNaN(tradingEngine.last.position.ROI.value)) { tradingEngine.last.position.ROI.value = 0 } tradingEngine.episode.episodeStatistics.profitLoss.value = tradingEngine.current.balance.baseAsset.value - sessionParameters.sessionBaseAsset.config.initialBalance } else { tradingEngine.last.position.profitLoss.value = tradingEngine.current.balance.quotedAsset.value - tradingEngine.previous.balance.quotedAsset.value tradingEngine.last.position.ROI.value = tradingEngine.last.position.profitLoss.value * 100 / tradingEngine.current.position.size.value if (isNaN(tradingEngine.last.position.ROI.value)) { tradingEngine.last.position.ROI.value = 0 } tradingEngine.episode.episodeStatistics.profitLoss.value = tradingEngine.current.balance.quotedAsset.value - sessionParameters.sessionQuotedAsset.config.initialBalance } tradingEngine.current.position.positionStatistics.ROI.value = tradingEngine.last.position.ROI.value if (tradingEngine.last.position.profitLoss.value > 0) { tradingEngine.episode.episodeCounters.hits.value++ } else { tradingEngine.episode.episodeCounters.fails.value++ } if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) { tradingEngine.episode.episodeStatistics.ROI.value = (sessionParameters.sessionBaseAsset.config.initialBalance + tradingEngine.episode.episodeStatistics.profitLoss.value) / sessionParameters.sessionBaseAsset.config.initialBalance - 1 tradingEngine.episode.episodeStatistics.hitRatio.value = tradingEngine.episode.episodeCounters.hits.value / tradingEngine.episode.positionCounters.positions.value tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value = tradingEngine.episode.episodeStatistics.ROI.value / tradingEngine.episode.episodeStatistics.days * 365 } else { tradingEngine.episode.episodeStatistics.ROI.value = (sessionParameters.sessionQuotedAsset.config.initialBalance + tradingEngine.episode.episodeStatistics.profitLoss.value) / sessionParameters.sessionQuotedAsset.config.initialBalance - 1 tradingEngine.episode.episodeStatistics.hitRatio.value = tradingEngine.episode.episodeCounters.hits.value / tradingEngine.episode.positionCounters.positions.value tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value = tradingEngine.episode.episodeStatistics.ROI.value / tradingEngine.episode.episodeStatistics.days * 365 } addRecords() tradingEngine.current.position.stopLoss.value = 0 tradingEngine.current.position.takeProfit.value = 0 tradingEngine.current.position.rate.value = 0 tradingEngine.current.position.size.value = 0 timerToCloseStage = candle.begin tradingEngine.current.position.stopLoss.stopLossStage.value = 'No Stage' tradingEngine.current.position.takeProfit.takeProfitStage.value = 'No Stage' tradingEngine.current.position.stopLoss.stopLossPhase.value = -1 tradingEngine.current.position.takeProfit.takeProfitPhase.value = -1 } }