exports.newTradingSystem = function newTradingSystem(bot, logger) { const MODULE_NAME = 'Trading System' const FULL_LOG = true let thisObject = { evalConditions: evalConditions, evalFormulas: evalFormulas, checkTriggerOn: checkTriggerOn, checkTriggerOff: checkTriggerOff, checkTakePosition: checkTakePosition, initialize: initialize, finalize: finalize } let chart let conditions = new Map() let conditionsValues = [] let conditionsErrors = [] let formulas = new Map() let formulasValues = [] let formulasErrors = [] return thisObject function initialize(pChart) { chart = pChart } function finalize() { chart = undefined conditions = undefined conditionsValues = undefined conditionsErrors = undefined formulas = undefined formulasValues = undefined formulasErrors = undefined } function evalConditions() { evalNode(bot.TRADING_SYSTEM, 'Conditions') } function evalFormulas() { evalNode(bot.TRADING_SYSTEM, 'Formulas') } function evalNode(node, evaluating) { if (node === undefined) { return } /* Here we check if there is a codition to be evaluated */ if (node.type === 'Condition' && evaluating === 'Conditions') { if (node.code !== undefined) { /* We will eval this condition */ evalCondition(node) } } /* Here we check if there is a formula to be evaluated */ if (node.type === 'Formula' && evaluating === 'Formulas') { if (node.code !== undefined) { /* We will eval this condition */ evalFormula(node) } } /* 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) { evalNode(node[property.name]) } previousPropertyName = property.name } break } case 'array': { if (node[property.name] !== undefined) { let nodePropertyArray = node[property.name] object[property.name] = [] for (let m = 0; m < nodePropertyArray.length; m++) { evalNode(nodePropertyArray[m]) } } break } } } } } function evalCondition(node) { let value let error try { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] evalCondition -> code = ' + node.code) } value = eval(node.code) } catch (err) { /* One possible error is that the conditions references a .previous that is undefined. This will not be considered an error. */ 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 { error = err.message node.error = error } } conditions.set(node.id, value) if (value === true) { conditionsValues.push(1) } else { conditionsValues.push(0) } formulasErrors.push(error) if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] evalCondition -> value = ' + value) } if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] evalCondition -> error = ' + error) } } function evalFormula(node) { let value let error try { if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] evalFormula -> code = ' + node.code) } value = eval(node.code) } catch (err) { /* One possible error is that the formula references a .previous that is undefined. This will not be considered an error. */ 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 { error = err.message node.error = error } } formulas.set(node.id, value) if (value === true) { formulaValues.push(1) } else { formulaValues.push(0) } formulasErrors.push(error) if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] evalFormula -> value = ' + value) } if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] evalFormula -> error = ' + error) } } function checkTriggerOn() { let tradingSystem = bot.TRADING_SYSTEM let tradingEngine = bot.TRADING_ENGINE /* Trigger On Conditions */ if ( tradingEngine.current.strategy.stageType.value === 'No Stage' && tradingEngine.current.strategy.index.value === -1 ) { /* 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 ( // If a strategy was already picked during the loop, we exit it tradingEngine.current.strategy.stageType.value !== 'No Stage' || tradingEngine.current.strategy.index.value !== -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 value = false if (conditions.get(condition.id) !== undefined) { value = conditions.get(condition.id).value } if (value === false) { passed = false } } if (passed) { tradingEngine.current.strategy.stageType.value = 'Trigger Stage' checkAnnouncements(triggerStage) tradingEngine.current.strategy.index.value = j tradingEngine.current.strategy.begin.value = candle.begin tradingEngine.current.strategy.beginRate.value = candle.min tradingEngine.current.strategy.endRate.value = candle.min // In case the strategy does not get exited tradingEngine.current.strategy.situationName.value = situation.name tradingEngine.current.strategy.strategyName.value = strategy.name tradingEngine.current.distanceToEvent.triggerOn.value = 1 checkAnnouncements(triggerStage.triggerOn) saveAsLastTriggerOnSnapshot = true if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Entering into Strategy: ' + strategy.name) } break } } } } } } } function checkTriggerOff() { let tradingSystem = bot.TRADING_SYSTEM let tradingEngine = bot.TRADING_ENGINE /* Trigger Off Condition */ if (tradingEngine.current.strategy.stageType.value === 'Trigger Stage') { let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value] 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 value = false if (conditions.get(condition.id) !== undefined) { value = conditions.get(condition.id).value } if (value === false) { passed = false } } if (passed) { tradingEngine.current.strategy.end.value = candle.end tradingEngine.current.strategy.endRate.value = candle.min tradingEngine.current.strategy.status.value = 'Closed' tradingEngine.current.strategy.stageType.value = 'No Stage' tradingEngine.current.strategy.index.value = -1 tradingEngine.current.distanceToEvent.triggerOff.value = 1 checkAnnouncements(triggerStage.triggerOff) if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Exiting Strategy: ' + strategy.name) } break } } } } } } function checkTakePosition() { let tradingSystem = bot.TRADING_SYSTEM let tradingEngine = bot.TRADING_ENGINE /* Take Position Condition */ if (tradingEngine.current.strategy.stageType.value === 'Trigger Stage') { let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value] 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 value = false if (conditions.get(condition.id) !== undefined) { value = conditions.get(condition.id).value } if (value === false) { passed = false } } if (passed) { tradingEngine.current.strategy.stageType.value = 'Open Stage' checkAnnouncements(strategy.openStage) tradingEngine.current.position.stopLossStage.value = 'Open Stage' tradingEngine.current.position.takeProfitStage.value = 'Open Stage' tradingEngine.current.position.stopLossPhase.value = 0 tradingEngine.current.position.takeProfitPhase.value = 0 takePositionNow = true tradingEngine.current.position.situationName.value = 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 } } } } } } }