1407 lines
69 KiB
JavaScript
1407 lines
69 KiB
JavaScript
exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineModule) {
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/*
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The Trading System is the user defined set of rules compliant with the Trading Protocol that
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defines the trading logic to be applied during each cycle of the Simulation.
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*/
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const MODULE_NAME = 'Trading System'
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let thisObject = {
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reset: reset,
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mantainStrategies: mantainStrategies,
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mantainPositions: mantainPositions,
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mantainOrders: mantainOrders,
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triggerStage: triggerStage,
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openStage: openStage,
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manageStage: manageStage,
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closeStage: closeStage,
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initialize: initialize,
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finalize: finalize
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}
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let chart
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let tradingSystem
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let tradingEngine
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let sessionParameters
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let conditions = new Map()
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let formulas = new Map()
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const TRADING_STRATEGY_MODULE = require('./TradingStrategy.js')
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let tradingStrategyModule = TRADING_STRATEGY_MODULE.newTradingStrategy(bot, logger, tradingEngineModule)
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const TRADING_POSITION_MODULE = require('./TradingPosition.js')
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let tradingPositionModule = TRADING_POSITION_MODULE.newTradingPosition(bot, logger, tradingEngineModule)
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const ANNOUNCEMENTS_MODULE = require('./Announcements.js')
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let announcementsModule = ANNOUNCEMENTS_MODULE.newAnnouncements(bot, logger)
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const SNAPSHOTS_MODULE = require('./Snapshots.js')
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let snapshotsModule = SNAPSHOTS_MODULE.newSnapshots(bot, logger)
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const TRADING_ENGINE_EXECUTION = require('./TradingExecution.js')
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let tradingExecutionModule = TRADING_ENGINE_EXECUTION.newTradingExecution(bot, logger)
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return thisObject
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function initialize() {
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tradingSystem = bot.simulationState.tradingSystem
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tradingEngine = bot.simulationState.tradingEngine
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sessionParameters = bot.SESSION.parameters
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tradingStrategyModule.initialize()
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tradingPositionModule.initialize()
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announcementsModule.initialize()
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snapshotsModule.initialize()
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tradingExecutionModule.initialize()
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}
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function finalize() {
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tradingStrategyModule.finalize()
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tradingStrategyModule = undefined
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tradingPositionModule.finalize()
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tradingPositionModule = undefined
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announcementsModule.finalize()
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announcementsModule = undefined
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snapshotsModule.finalize()
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snapshotsModule = undefined
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tradingExecutionModule.finalize()
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tradingExecutionModule = undefined
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chart = undefined
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conditions = undefined
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formulas = undefined
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tradingSystem.highlights = undefined
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tradingSystem.errors = undefined
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tradingSystem.values = undefined
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tradingSystem.status = undefined
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tradingSystem.progress = undefined
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tradingSystem.running = undefined
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tradingSystem = undefined
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tradingEngine = undefined
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sessionParameters = undefined
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}
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function reset(pChart) {
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/* This function helps reset data structures at every cycle of the simulation loop/=. */
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chart = pChart // We need chat to be a local object accessible from conditions and formulas.
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snapshotsModule.reset(chart)
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tradingSystem.highlights = []
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tradingSystem.errors = []
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tradingSystem.values = []
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tradingSystem.status = []
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tradingSystem.progress = []
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tradingSystem.running = []
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tradingSystem.announcements = []
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}
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function mantainStrategies() {
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tradingStrategyModule.updateStatus()
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tradingStrategyModule.updateCounters()
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tradingStrategyModule.updateEnds()
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}
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function mantainPositions() {
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tradingPositionModule.updateStatus()
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tradingPositionModule.updateCounters()
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tradingPositionModule.updateEnds()
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}
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function mantainOrders() {
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/* Reset All Exchange Orders that are on Closed status, to their initial value */
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if (tradingEngine.current.strategy.index.value === tradingEngine.current.strategy.index.config.initialValue) { return }
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let stageNode
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let executionNode
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stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
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executionNode = stageNode.openExecution
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resetExecution(executionNode)
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stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].closeStage
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executionNode = stageNode.closeExecution
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resetExecution(executionNode)
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function resetExecution(executionNode) {
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resetExecutionAlgorithms(executionNode)
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function resetExecutionAlgorithms(executionNode) {
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for (let i = 0; i < executionNode.executionAlgorithms.length; i++) {
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let executionAlgorithm = executionNode.executionAlgorithms[i]
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resetOrders(executionAlgorithm.marketBuyOrders, executionAlgorithm, executionNode)
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resetOrders(executionAlgorithm.marketSellOrders, executionAlgorithm, executionNode)
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resetOrders(executionAlgorithm.limitBuyOrders, executionAlgorithm, executionNode)
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resetOrders(executionAlgorithm.limitSellOrders, executionAlgorithm, executionNode)
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}
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}
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function resetOrders(orders, executionAlgorithm, executionNode) {
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for (let i = 0; i < orders.length; i++) {
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let tradingSystemOrder = orders[i]
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if (tradingSystemOrder.referenceParent === undefined) { continue }
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let tradingEngineOrder = tradingEngineModule.getNodeById(tradingSystemOrder.referenceParent.id)
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if (tradingEngineOrder.status === undefined) { continue }
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if (tradingEngineOrder.status.value === 'Closed') {
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/* We reset the order data structure inside the Trading Engine to its initial value */
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tradingEngineOrder.initialize(tradingEngineOrder)
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}
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}
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}
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}
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}
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function evalConditions(startingNode, descendentOfNodeType) {
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evalNode(startingNode, 'Conditions', descendentOfNodeType)
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}
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function evalFormulas(startingNode, descendentOfNodeType) {
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evalNode(startingNode, 'Formulas', descendentOfNodeType)
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}
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function evalNode(node, evaluating, descendentOfNodeType, isDescendent) {
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if (node === undefined) { return }
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/* Verify if this node is decendent of the specified node type */
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if (isDescendent !== true) {
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if (node.type === descendentOfNodeType) {
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isDescendent = true
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}
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}
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/* Here we check if there is a codition to be evaluated */
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if (node.type === 'Condition' && evaluating === 'Conditions') {
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/* We will eval this condition */
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if (isDescendent === true) {
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evalCondition(node)
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}
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}
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/* Here we check if there is a formula to be evaluated */
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if (node.type === 'Formula' && evaluating === 'Formulas') {
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if (node.code !== undefined) {
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/* We will eval this formula */
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if (isDescendent === true) {
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evalFormula(node)
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}
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}
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}
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/* Now we go down through all this node children */
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let nodeDefinition = bot.APP_SCHEMA_MAP.get(node.type)
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if (nodeDefinition === undefined) { return }
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if (nodeDefinition.properties !== undefined) {
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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.
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for (let i = 0; i < nodeDefinition.properties.length; i++) {
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let property = nodeDefinition.properties[i]
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switch (property.type) {
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case 'node': {
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if (property.name !== previousPropertyName) {
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if (node[property.name] !== undefined) {
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evalNode(node[property.name], evaluating, descendentOfNodeType, isDescendent)
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}
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previousPropertyName = property.name
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}
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break
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}
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case 'array': {
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if (node[property.name] !== undefined) {
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let nodePropertyArray = node[property.name]
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for (let m = 0; m < nodePropertyArray.length; m++) {
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evalNode(nodePropertyArray[m], evaluating, descendentOfNodeType, isDescendent)
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}
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}
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break
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}
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}
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}
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}
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}
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function evalCondition(node) {
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let value
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let error
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/*
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The code can be at the condition node if it was done with the Conditions Editor, or it can also be
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at a Javascript Code node. If there is a Javascript object we will give it preference and take the code
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from there. Otherwise we will take the code from the Condition node.
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*/
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let code = node.code
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if (node.javascriptCode !== undefined) {
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if (node.javascriptCode.code !== undefined) {
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code = node.javascriptCode.code
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}
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}
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try {
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logger.write(MODULE_NAME, '[INFO] evalCondition -> code = ' + code)
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value = eval(code)
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} catch (err) {
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/*
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One possible error is that the conditions references a .previous that is undefined. This
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will not be considered an error.
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*/
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value = false
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if (code.indexOf('previous') > -1 && err.message.indexOf('of undefined') > -1 ||
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code.indexOf('chart') > -1 && err.message.indexOf('of undefined') > -1
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) {
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/*
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We are not going to set an error for the casess we are using previous and the error is that the indicator is undefined.
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*/
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} else {
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error = err.message
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}
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}
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conditions.set(node.id, value)
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if (value === true) {
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tradingSystem.highlights.push(node.id)
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}
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if (error !== undefined) {
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tradingSystem.errors.push([node.id, error])
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}
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if (value !== undefined) {
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tradingSystem.values.push([node.id, value])
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}
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logger.write(MODULE_NAME, '[INFO] evalCondition -> value = ' + value)
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logger.write(MODULE_NAME, '[INFO] evalCondition -> error = ' + error)
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}
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function evalFormula(node) {
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let value
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let error
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try {
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logger.write(MODULE_NAME, '[INFO] evalFormula -> code = ' + node.code)
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value = eval(node.code)
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} catch (err) {
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/*
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One possible error is that the formula references a .previous that is undefined. This
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will not be considered an error.
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*/
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value = 0
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if (node.code.indexOf('previous') > -1 && err.message.indexOf('of undefined') > -1 ||
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node.code.indexOf('chart') > -1 && err.message.indexOf('of undefined') > -1
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) {
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/*
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We are not going to set an error for the casess we are using previous and the error is that the indicator is undefined.
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*/
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} else {
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error = err.message
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}
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}
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formulas.set(node.id, value)
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if (error !== undefined) {
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tradingSystem.errors.push([node.id, error])
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}
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if (value !== undefined) {
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tradingSystem.values.push([node.id, value])
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}
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logger.write(MODULE_NAME, '[INFO] evalFormula -> value = ' + value)
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logger.write(MODULE_NAME, '[INFO] evalFormula -> error = ' + error)
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}
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function triggerStage() {
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/*
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We check if we will be triggering on, off or taking position.
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*/
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checkTriggerOn()
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checkTriggerOff()
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checkTakePosition()
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function checkTriggerOn() {
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if (
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tradingEngine.current.strategy.index.value === tradingEngine.current.strategy.index.config.initialValue
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) {
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/*
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To pick a new strategy we will check that any of the situations of the trigger on is true.
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Once we enter into one strategy, we will ignore market conditions for others. However there is also
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a strategy trigger off which can be hit before taking a position. If hit, we would
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be outside a strategy again and looking for the conditions to enter all over again.
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*/
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evalConditions(tradingSystem, 'Trigger On Event')
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for (let j = 0; j < tradingSystem.tradingStrategies.length; j++) {
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if ( // If a strategy was already picked during the loop, we exit the loop
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tradingEngine.current.strategy.index.value !== tradingEngine.current.strategy.index.config.initialValue
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) { continue }
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let strategy = tradingSystem.tradingStrategies[j]
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let triggerStage = strategy.triggerStage
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if (triggerStage !== undefined) {
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if (triggerStage.triggerOn !== undefined) {
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for (let k = 0; k < triggerStage.triggerOn.situations.length; k++) {
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let situation = triggerStage.triggerOn.situations[k]
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let passed
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if (situation.conditions.length > 0) {
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passed = true
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}
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passed = checkConditions(situation, passed)
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tradingSystem.values.push([situation.id, passed])
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if (passed) {
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tradingSystem.highlights.push(situation.id)
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tradingSystem.highlights.push(triggerStage.triggerOn.id)
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tradingSystem.highlights.push(triggerStage.id)
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tradingStrategyModule.openStrategy(j, situation.name, strategy.name)
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/* Updating Episode Counters */
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tradingEngine.episode.episodeCounters.strategies.value++
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/* Initialize this */
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tradingEngine.current.distanceToEvent.triggerOn.value = 1
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announcementsModule.makeAnnoucements(triggerStage.triggerOn)
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announcementsModule.makeAnnoucements(triggerStage)
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if (bot.SESSION.type === 'Backtesting Session') {
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if (sessionParameters.snapshots !== undefined) {
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if (sessionParameters.snapshots.config.strategy === true) {
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snapshotsModule.strategyEntry()
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}
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}
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}
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tradingStrategyModule.updateStageStatus('Trigger Stage', 'Open')
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}
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}
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}
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}
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}
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}
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}
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function checkTriggerOff() {
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if (tradingEngine.current.strategy.triggerStageStatus.value === 'Open') {
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let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
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let triggerStage = strategy.triggerStage
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evalConditions(strategy, 'Trigger Off Event')
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if (triggerStage !== undefined) {
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if (triggerStage.triggerOff !== undefined) {
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for (let k = 0; k < triggerStage.triggerOff.situations.length; k++) {
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let situation = triggerStage.triggerOff.situations[k]
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let passed
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if (situation.conditions.length > 0) {
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passed = true
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}
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passed = checkConditions(situation, passed)
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tradingSystem.values.push([situation.id, passed])
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if (passed) {
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tradingSystem.highlights.push(situation.id)
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tradingSystem.highlights.push(triggerStage.triggerOff.id)
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tradingSystem.highlights.push(triggerStage.id)
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tradingEngine.current.distanceToEvent.triggerOff.value = 1
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announcementsModule.makeAnnoucements(triggerStage.triggerOff)
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tradingStrategyModule.updateStageStatus('Trigger Stage', 'Closed')
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tradingStrategyModule.closeStrategy('Trigger Off')
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}
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}
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}
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}
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}
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}
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function checkTakePosition() {
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if (
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tradingEngine.current.strategy.triggerStageStatus.value === 'Open'
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) {
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let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
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let triggerStage = strategy.triggerStage
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evalConditions(strategy, 'Take Position Event')
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evalFormulas(strategy, 'Take Position Event')
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if (triggerStage !== undefined) {
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if (triggerStage.takePosition !== undefined) {
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for (let k = 0; k < triggerStage.takePosition.situations.length; k++) {
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let situation = triggerStage.takePosition.situations[k]
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let passed
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if (situation.conditions.length > 0) {
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passed = true
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}
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passed = checkConditions(situation, passed)
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tradingSystem.values.push([situation.id, passed])
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if (passed) {
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tradingSystem.highlights.push(situation.id)
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tradingSystem.highlights.push(triggerStage.takePosition.id)
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tradingSystem.highlights.push(triggerStage.id)
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/* Updating Episode Counters */
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tradingEngine.episode.episodeCounters.positions.value++
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/* Inicializing this counter */
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tradingEngine.current.distanceToEvent.takePosition.value = 1
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tradingPositionModule.openPosition(situation.name)
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announcementsModule.makeAnnoucements(triggerStage.takePosition)
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announcementsModule.makeAnnoucements(strategy.openStage)
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if (bot.SESSION.type === 'Backtesting Session') {
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if (sessionParameters.snapshots !== undefined) {
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if (sessionParameters.snapshots.config.position === true) {
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snapshotsModule.positionEntry()
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}
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}
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}
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tradingStrategyModule.updateStageStatus('Trigger Stage', 'Closed')
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tradingStrategyModule.updateStageStatus('Open Stage', 'Opening')
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tradingStrategyModule.updateStageStatus('Manage Stage', 'Opening')
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}
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}
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}
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}
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}
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}
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}
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function openStage() {
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/* Abort Open Stage Check */
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if (tradingEngine.current.strategy.openStageStatus.value === 'Open' && tradingEngine.current.strategy.closeStageStatus.value === 'Open') {
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/*
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if the Close stage is opened while the open stage is still open that means that
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we need to stop placing orders, check what happened to the orders already placed,
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and cancel all unfilled limit orders. We call this the Closing status of the Open Stage.
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*/
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tradingStrategyModule.updateStageStatus('Open Stage', 'Closing')
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}
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/* Opening Status Procedure */
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if (tradingEngine.current.strategy.openStageStatus.value === 'Opening') {
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/* Reset the Exchange Orders data structure to its initial value */
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tradingEngine.exchangeOrders.initialize(tradingEngine.exchangeOrders)
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/* This procedure is intended to run only once */
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let stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
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let executionNode = stageNode.openExecution
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evalConditions(stageNode, 'Initial Definition')
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evalFormulas(stageNode, 'Initial Definition')
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getReadyToTakePosition()
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calculateTakeProfit()
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calculateStopLoss()
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takePosition()
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/* Check Execution in opening stage mode */
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evalConditions(stageNode, 'Open Execution')
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evalFormulas(stageNode, 'Open Execution')
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checkExecution(executionNode, true, false, tradingEngine.current.position.size.value, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
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/* From here on, the state is officially Open */
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tradingStrategyModule.updateStageStatus('Open Stage', 'Open')
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return
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}
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/* Open Status Procedure */
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if (tradingEngine.current.strategy.openStageStatus.value === 'Open') {
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/*
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While the Open Stage is Open, we do our regular stuff: place orders and check
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what happened to the orders already placed.
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*/
|
|
let stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
|
|
let executionNode = stageNode.openExecution
|
|
|
|
/* Every Loop Cycle Activity */
|
|
evalConditions(stageNode, 'Open Execution')
|
|
evalFormulas(stageNode, 'Open Execution')
|
|
|
|
checkExecution(executionNode, false, false, tradingEngine.current.position.size.value, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
|
|
|
|
/*
|
|
The Open is finished when the fillSize reaches the Position Size.
|
|
This can happens at any time when we update the filledSize value when we see
|
|
at the exchange that orders were filled.
|
|
*/
|
|
if (tradingEngine.current.position.openStageFilledSize.value === tradingEngine.current.position.size.value) {
|
|
tradingStrategyModule.updateStageStatus('Open Stage', 'Closed')
|
|
}
|
|
}
|
|
|
|
/* Closing Status Procedure */
|
|
if (tradingEngine.current.strategy.openStageStatus.value === 'Closing') {
|
|
/*
|
|
During the closing status, we do not place new orders, just check
|
|
if the ones placed were filled, and cancel the ones not filled.
|
|
*/
|
|
let stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
|
|
let executionNode = stageNode.openExecution
|
|
|
|
/* Check if there are unfilled orders */
|
|
if (tradingEngine.current.position.openStageOrdersSize.value !== tradingEngine.current.position.openStageFilledSize.value) {
|
|
/* There are unfilled orders, we will check if they were executed, and cancel the ones that were not. */
|
|
|
|
evalConditions(stageNode, 'Open Execution')
|
|
evalFormulas(stageNode, 'Open Execution')
|
|
|
|
checkExecution(executionNode, false, true, tradingEngine.current.position.size.value, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
|
|
}
|
|
|
|
/*
|
|
The Closing is finished when the fillSize reaches the ordersSize.
|
|
This can happens either because we update the filledSize value when we see
|
|
at the exchange that orders were filled, or we reduce the ordersSize when
|
|
we cancel not yet filled orders.
|
|
*/
|
|
if (tradingEngine.current.position.openStageFilledSize.value === tradingEngine.current.position.openStageOrdersSize.value) {
|
|
tradingStrategyModule.updateStageStatus('Open Stage', 'Closed')
|
|
}
|
|
}
|
|
|
|
function getReadyToTakePosition() {
|
|
|
|
/* Position size and rate */
|
|
tradingPositionModule.updateSizeAndRate(getPositionSize(), getPositionRate())
|
|
|
|
/* We take what was calculated at the formula of position rate and apply the slippage. */
|
|
tradingPositionModule.applySlippageToRate()
|
|
|
|
function getPositionSize() {
|
|
let balance
|
|
if (bot.sessionAndMarketBaseAssetsAreEqual) {
|
|
balance = tradingEngine.current.balance.baseAsset.value
|
|
} else {
|
|
balance = tradingEngine.current.balance.quotedAsset.value
|
|
}
|
|
const DEFAULT_VALUE = balance
|
|
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
|
|
|
|
if (strategy.openStage === undefined) return DEFAULT_VALUE
|
|
if (strategy.openStage.initialDefinition === undefined) return DEFAULT_VALUE
|
|
if (strategy.openStage.initialDefinition.positionSize === undefined) return DEFAULT_VALUE
|
|
if (strategy.openStage.initialDefinition.positionSize.formula === undefined) return DEFAULT_VALUE
|
|
|
|
let value = formulas.get(strategy.openStage.initialDefinition.positionSize.formula.id)
|
|
if (value === undefined) return DEFAULT_VALUE
|
|
return value
|
|
}
|
|
|
|
function getPositionRate() {
|
|
const DEFAULT_VALUE = tradingEngine.current.candle.close.value
|
|
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
|
|
|
|
if (strategy.openStage === undefined) return DEFAULT_VALUE
|
|
if (strategy.openStage.initialDefinition === undefined) return DEFAULT_VALUE
|
|
if (strategy.openStage.initialDefinition.positionRate === undefined) return DEFAULT_VALUE
|
|
if (strategy.openStage.initialDefinition.positionRate.formula === undefined) return DEFAULT_VALUE
|
|
|
|
let value = formulas.get(strategy.openStage.initialDefinition.positionRate.formula.id)
|
|
if (value === undefined) return DEFAULT_VALUE
|
|
return value
|
|
}
|
|
}
|
|
|
|
function takePosition() {
|
|
tradingEngine.previous.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value
|
|
tradingEngine.previous.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value
|
|
|
|
let feePaid = 0
|
|
|
|
if (bot.sessionAndMarketBaseAssetsAreEqual) {
|
|
feePaid = tradingEngine.current.position.size.value * tradingEngine.current.position.rate.value * bot.SESSION.parameters.feeStructure.config.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.SESSION.parameters.feeStructure.config.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 manageStage() {
|
|
/* Opening Status Procedure */
|
|
if (tradingEngine.current.strategy.manageStageStatus.value === 'Opening') {
|
|
/* We jump the management at the loop cycle where the position is being taken. */
|
|
tradingStrategyModule.updateStageStatus('Manage Stage', 'Open')
|
|
return
|
|
}
|
|
|
|
/* Open Status Procedure */
|
|
if (tradingEngine.current.strategy.manageStageStatus.value === 'Open') {
|
|
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
|
|
let manageStage = strategy.manageStage
|
|
evalConditions(manageStage, 'Manage Stage')
|
|
evalFormulas(manageStage, 'Manage Stage')
|
|
|
|
/* Stop Loss Management */
|
|
checkStopPhasesEvents()
|
|
calculateStopLoss()
|
|
|
|
/* Take Profit Management */
|
|
checkTakeProfitPhaseEvents()
|
|
calculateTakeProfit()
|
|
|
|
/* Checking if Stop or Take Profit were hit */
|
|
checkStopLossOrTakeProfitWasHit()
|
|
}
|
|
|
|
function checkStopPhasesEvents() {
|
|
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
|
|
let openStage = strategy.openStage
|
|
let manageStage = strategy.manageStage
|
|
let parentNode
|
|
let phaseIndex
|
|
let phase
|
|
let stopLoss
|
|
let stage
|
|
|
|
if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Open Stage' && openStage !== undefined) {
|
|
stage = openStage
|
|
if (openStage.initialDefinition !== undefined) {
|
|
if (openStage.initialDefinition.initialStopLoss !== undefined) {
|
|
parentNode = openStage.initialDefinition
|
|
phaseIndex = tradingEngine.current.position.stopLoss.stopLossPhase.value
|
|
stopLoss = openStage.initialDefinition.initialStopLoss
|
|
phase = stopLoss.phases[phaseIndex]
|
|
}
|
|
}
|
|
}
|
|
|
|
if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Manage Stage' && manageStage !== undefined) {
|
|
stage = manageStage
|
|
if (manageStage.managedStopLoss !== undefined) {
|
|
parentNode = manageStage
|
|
phaseIndex = tradingEngine.current.position.stopLoss.stopLossPhase.value - 1
|
|
stopLoss = manageStage.managedStopLoss
|
|
phase = stopLoss.phases[phaseIndex]
|
|
}
|
|
}
|
|
|
|
if (parentNode !== undefined) {
|
|
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
|
|
}
|
|
|
|
passed = checkConditions(situation, passed)
|
|
|
|
tradingSystem.values.push([situation.id, passed])
|
|
if (passed) {
|
|
tradingSystem.highlights.push(situation.id)
|
|
tradingSystem.highlights.push(nextPhaseEvent.id)
|
|
tradingSystem.highlights.push(phase.id)
|
|
tradingSystem.highlights.push(stopLoss.id)
|
|
tradingSystem.highlights.push(parentNode.id)
|
|
tradingSystem.highlights.push(stage.id)
|
|
|
|
tradingPositionModule.updateStopLoss(tradingEngine.current.position.stopLoss.stopLossPhase.value + 1, 'Manage Stage')
|
|
|
|
announcementsModule.makeAnnoucements(nextPhaseEvent)
|
|
return // only one event can pass at the time
|
|
}
|
|
}
|
|
}
|
|
|
|
/* 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
|
|
}
|
|
|
|
passed = checkConditions(situation, passed)
|
|
|
|
tradingSystem.values.push([situation.id, passed])
|
|
if (passed) {
|
|
tradingSystem.highlights.push(situation.id)
|
|
tradingSystem.highlights.push(moveToPhaseEvent.id)
|
|
tradingSystem.highlights.push(phase.id)
|
|
tradingSystem.highlights.push(stopLoss.id)
|
|
tradingSystem.highlights.push(parentNode.id)
|
|
tradingSystem.highlights.push(stage.id)
|
|
|
|
let moveToPhase = moveToPhaseEvent.referenceParent
|
|
if (moveToPhase !== undefined) {
|
|
for (let q = 0; q < stopLoss.phases.length; q++) {
|
|
if (stopLoss.phases[q].id === moveToPhase.id) {
|
|
tradingPositionModule.updateStopLoss(q + 1, 'Manage Stage')
|
|
}
|
|
}
|
|
} else {
|
|
tradingSystem.errors.push([moveToPhaseEvent.id, 'This Node needs to reference a Phase.'])
|
|
continue
|
|
}
|
|
|
|
announcementsModule.makeAnnoucements(moveToPhaseEvent)
|
|
return // only one event can pass at the time
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function checkTakeProfitPhaseEvents() {
|
|
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
|
|
let openStage = strategy.openStage
|
|
let manageStage = strategy.manageStage
|
|
let parentNode
|
|
let phaseIndex
|
|
let phase
|
|
let takeProfit
|
|
let stage
|
|
|
|
if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Open Stage' && openStage !== undefined) {
|
|
stage = openStage
|
|
if (openStage.initialDefinition !== undefined) {
|
|
if (openStage.initialDefinition.initialTakeProfit !== undefined) {
|
|
parentNode = openStage.initialDefinition
|
|
phaseIndex = tradingEngine.current.position.takeProfit.takeProfitPhase.value
|
|
takeProfit = openStage.initialDefinition.initialTakeProfit
|
|
phase = takeProfit.phases[phaseIndex]
|
|
}
|
|
}
|
|
}
|
|
|
|
if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Manage Stage' && manageStage !== undefined) {
|
|
stage = manageStage
|
|
if (manageStage.managedTakeProfit !== undefined) {
|
|
parentNode = manageStage
|
|
phaseIndex = tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1
|
|
takeProfit = manageStage.managedTakeProfit
|
|
phase = takeProfit.phases[phaseIndex]
|
|
}
|
|
}
|
|
|
|
if (parentNode !== undefined) {
|
|
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
|
|
}
|
|
|
|
passed = checkConditions(situation, passed)
|
|
|
|
tradingSystem.values.push([situation.id, passed])
|
|
if (passed) {
|
|
tradingSystem.highlights.push(situation.id)
|
|
tradingSystem.highlights.push(nextPhaseEvent.id)
|
|
tradingSystem.highlights.push(phase.id)
|
|
tradingSystem.highlights.push(takeProfit.id)
|
|
tradingSystem.highlights.push(parentNode.id)
|
|
tradingSystem.highlights.push(stage.id)
|
|
|
|
tradingPositionModule.updateTakeProfit(tradingEngine.current.position.takeProfit.takeProfitPhase.value + 1, 'Manage Stage')
|
|
|
|
announcementsModule.makeAnnoucements(nextPhaseEvent)
|
|
return // only one event can pass at the time
|
|
}
|
|
}
|
|
}
|
|
|
|
/* 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
|
|
}
|
|
|
|
passed = checkConditions(situation, passed)
|
|
|
|
tradingSystem.values.push([situation.id, passed])
|
|
if (passed) {
|
|
tradingSystem.highlights.push(situation.id)
|
|
tradingSystem.highlights.push(moveToPhaseEvent.id)
|
|
tradingSystem.highlights.push(phase.id)
|
|
tradingSystem.highlights.push(takeProfit.id)
|
|
tradingSystem.highlights.push(parentNode.id)
|
|
tradingSystem.highlights.push(stage.id)
|
|
|
|
let moveToPhase = moveToPhaseEvent.referenceParent
|
|
if (moveToPhase !== undefined) {
|
|
for (let q = 0; q < takeProfit.phases.length; q++) {
|
|
if (takeProfit.phases[q].id === moveToPhase.id) {
|
|
tradingPositionModule.updateTakeProfit(q + 1, 'Manage Stage')
|
|
}
|
|
}
|
|
} else {
|
|
tradingSystem.errors.push([moveToPhaseEvent.id, 'This Node needs to reference a Phase.'])
|
|
continue
|
|
}
|
|
|
|
announcementsModule.makeAnnoucements(moveToPhaseEvent)
|
|
return // only one event can pass at the time
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function checkStopLossOrTakeProfitWasHit() {
|
|
{
|
|
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
|
|
/*
|
|
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 (
|
|
(bot.sessionAndMarketBaseAssetsAreEqual && tradingEngine.current.candle.max.value >= tradingEngine.current.position.stopLoss.value) ||
|
|
(!bot.sessionAndMarketBaseAssetsAreEqual && tradingEngine.current.candle.min.value <= tradingEngine.current.position.stopLoss.value)
|
|
) {
|
|
logger.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Stop Loss was hit.')
|
|
|
|
tradingPositionModule.preventStopLossDistortion()
|
|
tradingPositionModule.applySlippageToStopLoss()
|
|
tradingPositionModule.closingPosition('Stop Loss')
|
|
tradingStrategyModule.updateStageStatus('Close Stage', 'Opening')
|
|
tradingStrategyModule.updateStageStatus('Manage Stage', 'Closed')
|
|
announcementsModule.makeAnnoucements(strategy.closeStage)
|
|
return
|
|
}
|
|
|
|
/* Take Profit condition: Here we verify if the Take Profit was hit or not. */
|
|
if (
|
|
(bot.sessionAndMarketBaseAssetsAreEqual && tradingEngine.current.candle.min.value <= tradingEngine.current.position.takeProfit.value) ||
|
|
(!bot.sessionAndMarketBaseAssetsAreEqual && tradingEngine.current.candle.max.value >= tradingEngine.current.position.takeProfit.value)
|
|
) {
|
|
logger.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Take Profit was hit.')
|
|
|
|
tradingPositionModule.preventTakeProfitDistortion()
|
|
tradingPositionModule.applySlippageToTakeProfit()
|
|
tradingPositionModule.closingPosition('Take Profit')
|
|
tradingStrategyModule.updateStageStatus('Close Stage', 'Opening')
|
|
tradingStrategyModule.updateStageStatus('Manage Stage', 'Closed')
|
|
announcementsModule.makeAnnoucements(strategy.closeStage)
|
|
return
|
|
}
|
|
return
|
|
}
|
|
}
|
|
}
|
|
|
|
function closeStage() {
|
|
/* Opening Status Procedure */
|
|
if (tradingEngine.current.strategy.closeStageStatus.value === 'Opening') {
|
|
/*
|
|
This will happen only once, as soon as the Take Profit or Stop was hit.
|
|
We wil not be placing orders at this time because we do not know
|
|
the total filled size of the Open Stage. By skiping execution now
|
|
we allow the open stage to get a final value for filledSize that we can use.
|
|
*/
|
|
tradingStrategyModule.updateStageStatus('Close Stage', 'Open')
|
|
return
|
|
}
|
|
|
|
/* Open Status Procedure */
|
|
if (tradingEngine.current.strategy.closeStageStatus.value === 'Open') {
|
|
/*
|
|
This will happen as long as the Close Stage is Open.
|
|
*/
|
|
let stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].closeStage
|
|
let executionNode = stageNode.closeExecution
|
|
|
|
evalConditions(stageNode, 'Close Execution')
|
|
evalFormulas(stageNode, 'Close Execution')
|
|
|
|
checkExecution(executionNode, false, false, tradingEngine.current.position.openStageFilledSize.value, tradingEngine.current.position.closeStageOrdersSize, tradingEngine.current.position.closeStageFilledSize)
|
|
|
|
/* Close the Stage Validation */
|
|
if (tradingEngine.current.position.closeStageFilledSize.value === tradingEngine.current.position.openStageFilledSize.value) {
|
|
/*
|
|
The Close Stage is closed when the fillSize reaches the filledSize of the Open Stage.
|
|
*/
|
|
tradingStrategyModule.updateStageStatus('Close Stage', 'Closed')
|
|
}
|
|
}
|
|
|
|
/* Exit Position Validation */
|
|
if (
|
|
tradingEngine.current.strategy.triggerStageStatus.value === 'Closed' &&
|
|
tradingEngine.current.strategy.openStageStatus.value === 'Closed' &&
|
|
tradingEngine.current.strategy.manageStageStatus.value === 'Closed' &&
|
|
tradingEngine.current.strategy.closeStageStatus.value === 'Closed'
|
|
) {
|
|
|
|
/* Exiting Everything now. */
|
|
exitPositionAndStrategy()
|
|
}
|
|
|
|
function exitPositionAndStrategy() {
|
|
|
|
/* New Balances Calculation */
|
|
let feePaid = 0
|
|
if (bot.sessionAndMarketBaseAssetsAreEqual) {
|
|
feePaid = tradingEngine.current.balance.quotedAsset.value / tradingEngine.current.position.endRate.value * bot.SESSION.parameters.feeStructure.config.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.SESSION.parameters.feeStructure.config.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
|
|
}
|
|
|
|
/* Needed for Episode Statistics */
|
|
tradingPositionModule.updateStatistics()
|
|
|
|
/* Recalculating Episode Counters */
|
|
if (tradingEngine.current.position.positionStatistics.profitLoss.value > 0) {
|
|
tradingEngine.episode.episodeCounters.hits.value++
|
|
} else {
|
|
tradingEngine.episode.episodeCounters.fails.value++
|
|
}
|
|
|
|
/* Recalculating Episode Statistics */
|
|
if (bot.sessionAndMarketBaseAssetsAreEqual) {
|
|
tradingEngine.episode.episodeStatistics.profitLoss.value = tradingEngine.current.balance.baseAsset.value - sessionParameters.sessionBaseAsset.config.initialBalance
|
|
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.episodeCounters.positions.value
|
|
tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value = tradingEngine.episode.episodeStatistics.ROI.value / tradingEngine.episode.episodeStatistics.days.value * 365
|
|
} else {
|
|
tradingEngine.episode.episodeStatistics.profitLoss.value = tradingEngine.current.balance.quotedAsset.value - sessionParameters.sessionQuotedAsset.config.initialBalance
|
|
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.episodeCounters.positions.value
|
|
tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value = tradingEngine.episode.episodeStatistics.ROI.value / tradingEngine.episode.episodeStatistics.days.value * 365
|
|
}
|
|
|
|
/* Taking Position Snapshot */
|
|
if (bot.SESSION.type === 'Backtesting Session') {
|
|
if (sessionParameters.snapshots !== undefined) {
|
|
if (sessionParameters.snapshots.config.position === true) {
|
|
snapshotsModule.positionExit()
|
|
}
|
|
}
|
|
}
|
|
|
|
/* Taking Strategy Snapshot */
|
|
if (bot.SESSION.type === 'Backtesting Session') {
|
|
if (sessionParameters.snapshots !== undefined) {
|
|
if (sessionParameters.snapshots.config.strategy === true) {
|
|
snapshotsModule.strategyExit()
|
|
}
|
|
}
|
|
}
|
|
|
|
/* Close the Position */
|
|
tradingPositionModule.closePosition()
|
|
|
|
/* Close the Strategy */
|
|
tradingStrategyModule.closeStrategy('Position Closed')
|
|
|
|
/* Distance to Events Updates */
|
|
tradingEngine.current.distanceToEvent.closePosition.value = 1
|
|
tradingEngine.current.distanceToEvent.triggerOff.value = 1
|
|
}
|
|
}
|
|
|
|
function calculateStopLoss() {
|
|
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
|
|
let openStage = strategy.openStage
|
|
let manageStage = strategy.manageStage
|
|
let phase
|
|
|
|
if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Open Stage' && openStage !== undefined) {
|
|
if (openStage.initialDefinition !== undefined) {
|
|
if (openStage.initialDefinition.initialStopLoss !== undefined) {
|
|
phase = openStage.initialDefinition.initialStopLoss.phases[tradingEngine.current.position.stopLoss.stopLossPhase.value]
|
|
}
|
|
}
|
|
}
|
|
|
|
if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Manage Stage' && manageStage !== undefined) {
|
|
if (manageStage.managedStopLoss !== undefined) {
|
|
phase = manageStage.managedStopLoss.phases[tradingEngine.current.position.stopLoss.stopLossPhase.value - 1]
|
|
}
|
|
}
|
|
|
|
if (phase !== undefined) {
|
|
if (phase.formula !== undefined) {
|
|
let previousValue = tradingEngine.current.position.stopLoss.value
|
|
tradingPositionModule.applyStopLossFormula(formulas, phase.formula.id)
|
|
|
|
if (tradingEngine.current.position.stopLoss.value !== previousValue) {
|
|
announcementsModule.makeAnnoucements(phase)
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function calculateTakeProfit() {
|
|
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
|
|
let openStage = strategy.openStage
|
|
let manageStage = strategy.manageStage
|
|
let phase
|
|
|
|
if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Open Stage' && openStage !== undefined) {
|
|
if (openStage.initialDefinition !== undefined) {
|
|
if (openStage.initialDefinition.initialTakeProfit !== undefined) {
|
|
phase = openStage.initialDefinition.initialTakeProfit.phases[tradingEngine.current.position.takeProfit.takeProfitPhase.value]
|
|
}
|
|
}
|
|
}
|
|
|
|
if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Manage Stage' && manageStage !== undefined) {
|
|
if (manageStage.managedTakeProfit !== undefined) {
|
|
phase = manageStage.managedTakeProfit.phases[tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1]
|
|
}
|
|
}
|
|
|
|
if (phase !== undefined) {
|
|
if (phase.formula !== undefined) {
|
|
let previousValue = tradingEngine.current.position.takeProfit.value
|
|
tradingPositionModule.applyTakeProfitFormula(formulas, phase.formula.id)
|
|
|
|
if (tradingEngine.current.position.takeProfit.value !== previousValue) {
|
|
announcementsModule.makeAnnoucements(phase)
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function checkExecution(executionNode, stageIsOpening, stageIsClosing, stageSizeLimit, stageOrdersSize, stageFilledSize) {
|
|
|
|
checkExecutionAlgorithms(executionNode)
|
|
|
|
function checkExecutionAlgorithms(executionNode) {
|
|
for (let i = 0; i < executionNode.executionAlgorithms.length; i++) {
|
|
let executionAlgorithm = executionNode.executionAlgorithms[i]
|
|
checkOrders(executionAlgorithm.marketBuyOrders, executionAlgorithm, executionNode)
|
|
checkOrders(executionAlgorithm.marketSellOrders, executionAlgorithm, executionNode)
|
|
checkOrders(executionAlgorithm.limitBuyOrders, executionAlgorithm, executionNode)
|
|
checkOrders(executionAlgorithm.limitSellOrders, executionAlgorithm, executionNode)
|
|
}
|
|
}
|
|
|
|
function checkOrders(orders, executionAlgorithm, executionNode) {
|
|
for (let i = 0; i < orders.length; i++) {
|
|
let tradingSystemOrder = orders[i]
|
|
|
|
/* Basic Validations */
|
|
if (tradingSystemOrder.config.positionSizePercentage === undefined) { continue }
|
|
if (tradingSystemOrder.referenceParent === undefined) { continue }
|
|
|
|
let tradingEngineOrder = tradingEngineModule.getNodeById(tradingSystemOrder.referenceParent.id)
|
|
|
|
if (tradingEngineOrder.identifier === undefined) { continue }
|
|
if (tradingEngineOrder.begin === undefined) { continue }
|
|
if (tradingEngineOrder.end === undefined) { continue }
|
|
if (tradingEngineOrder.rate === undefined) { continue }
|
|
if (tradingEngineOrder.size === undefined) { continue }
|
|
if (tradingEngineOrder.status === undefined) { continue }
|
|
if (tradingEngineOrder.algorithmName === undefined) { continue }
|
|
if (tradingEngineOrder.orderCounters === undefined) { continue }
|
|
if (tradingEngineOrder.orderCounters.periods === undefined) { continue }
|
|
if (tradingEngineOrder.orderStatistics.days === undefined) { continue }
|
|
if (tradingEngineOrder.orderStatistics.percentageFilled === undefined) { continue }
|
|
if (tradingEngineOrder.orderStatistics.actualRate === undefined) { continue }
|
|
if (tradingEngineOrder.orderStatistics.feesPaid === undefined) { continue }
|
|
|
|
switch (tradingEngineOrder.status.value) {
|
|
case 'Not Open': {
|
|
{
|
|
/* Check if we need to Create this Order */
|
|
if (stageIsClosing === true) { continue }
|
|
let situationName = checkOrderEvent(tradingSystemOrder.createOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
|
|
if (situationName !== undefined) {
|
|
|
|
/* Order Size Calculation */
|
|
tradingEngineOrder.size.value = formulas.get(executionAlgorithm.positionSize.formula.id) * tradingSystemOrder.config.positionSizePercentage / 100
|
|
if (stageOrdersSize.value + tradingEngineOrder.size.value > stageSizeLimit) {
|
|
/* We reduce the size to the remaining size of the position. */
|
|
tradingEngineOrder.size.value = stageSizeLimit - stageOrdersSize.value
|
|
}
|
|
|
|
if (tradingEngineOrder.size.value <= 0) { continue }
|
|
|
|
/* Updating Episode Counters */
|
|
tradingEngine.episode.episodeCounters.orders.value++
|
|
|
|
/* Initialize this */
|
|
tradingEngine.current.distanceToEvent.createOrder.value = 1
|
|
|
|
/* Create Order Procedure */
|
|
tradingEngineOrder.status.value = 'Open'
|
|
tradingEngineOrder.identifier.value = global.UNIQUE_ID()
|
|
tradingEngineOrder.begin.value = tradingEngine.current.candle.begin.value
|
|
tradingEngineOrder.end.value = tradingEngine.current.candle.end.value
|
|
tradingEngineOrder.serialNumber.value = tradingEngine.episode.episodeCounters.orders.value
|
|
tradingEngineOrder.orderName.value = tradingSystemOrder.name
|
|
tradingEngineOrder.algorithmName.value = executionAlgorithm.name
|
|
tradingEngineOrder.situationName.value = situationName
|
|
|
|
/* Order Rate Calculation */
|
|
tradingEngineOrder.rate.value = tradingEngine.current.position.rate.value // By default this is the order rate.
|
|
if (tradingSystemOrder.positionRate !== undefined) {
|
|
if (tradingSystemOrder.positionRate.formula !== undefined) {
|
|
tradingEngineOrder.rate.value = formulas.get(tradingSystemOrder.positionRate.formula.id)
|
|
tradingEngineOrder.rate.value = global.PRECISE(tradingEngineOrder.rate.value, 10)
|
|
}
|
|
}
|
|
|
|
/* Update State Orders Size */
|
|
stageOrdersSize.value = stageOrdersSize.value + tradingEngineOrder.size.value
|
|
stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
|
|
}
|
|
}
|
|
break
|
|
}
|
|
case 'Open': {
|
|
tradingEngineOrder.end.value = tradingEngine.current.candle.end.value
|
|
tradingEngineOrder.orderCounters.periods.value++
|
|
tradingEngineOrder.orderStatistics.days.value = tradingEngineOrder.orderCounters.periods.value * sessionParameters.timeFrame.config.value / global.ONE_DAY_IN_MILISECONDS
|
|
|
|
/* If the stage is closing we wont be moving or cancelling orders based on defined events */
|
|
if (stageIsClosing !== true) {
|
|
|
|
/* Check if we need to Cancel this Order */
|
|
let situationName = checkOrderEvent(tradingSystemOrder.cancelOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
|
|
if (situationName !== undefined) {
|
|
|
|
/* Since the order was cancelled, we remove the unfilled amount of the order from here */
|
|
let unfilledPercentage = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
|
|
let unfilledSize = tradingEngineOrder.size.value * unfilledPercentage / 100
|
|
stageOrdersSize.value = stageOrdersSize.value - unfilledSize
|
|
stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
|
|
|
|
/* Cancel the Order */
|
|
tradingEngineOrder.status.value = 'Closed'
|
|
tradingEngineOrder.exitType.value = 'Cancelled by Event'
|
|
|
|
/* Initialize this */
|
|
tradingEngine.current.distanceToEvent.cancelOrder.value = 1
|
|
break
|
|
}
|
|
|
|
/* Check if we need to Move this Order */
|
|
if (tradingSystemOrder.moveOrderEvents !== undefined) {
|
|
for (let j = 0; j < tradingSystemOrder.moveOrderEvents.length; j++) {
|
|
let moveOrderEvent = tradingSystemOrder.moveOrderEvents[j]
|
|
let situationName = checkOrderEvent(moveOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
|
|
if (situationName !== undefined) {
|
|
if (moveOrderEvent.positionRate !== undefined) {
|
|
if (moveOrderEvent.positionRate.formula !== undefined) {
|
|
|
|
/* Move Order to a different Rate */
|
|
tradingEngineOrder.rate.value = formulas.get(moveOrderEvent.positionRate.formula.id)
|
|
tradingEngineOrder.rate.value = global.PRECISE(tradingEngineOrder.rate.value, 10)
|
|
|
|
/* Initialize this */
|
|
tradingEngine.current.distanceToEvent.moveOrder.value = 1
|
|
break
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
/* Simulate Events that happens at the Exchange, if needed. */
|
|
if (stageIsOpening === false) {
|
|
simulateExchangeEvents(tradingSystemOrder, tradingEngineOrder)
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function simulateExchangeEvents(tradingSystemOrder, tradingEngineOrder) {
|
|
|
|
/* Filter by Session Type */
|
|
switch (bot.SESSION.type) {
|
|
case 'Backtesting Session': {
|
|
break
|
|
}
|
|
case 'Live Trading Session': {
|
|
return
|
|
}
|
|
case 'Fordward Testing Session': {
|
|
return
|
|
}
|
|
case 'Paper Trading Session': {
|
|
break
|
|
}
|
|
}
|
|
|
|
/* Filter by what is defined at the Strategy */
|
|
if (tradingSystemOrder.simulatedExchangeEvents === undefined) { return }
|
|
|
|
/* Partial Fill Simulation */
|
|
if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill !== undefined) {
|
|
if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability !== undefined) {
|
|
|
|
/* Percentage Filled Calculation */
|
|
let percentageFilled = tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability * 100
|
|
if (tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled > 100) {
|
|
percentageFilled = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
|
|
}
|
|
tradingEngineOrder.orderStatistics.percentageFilled.value = tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled
|
|
if (tradingEngineOrder.orderStatistics.percentageFilled.value === 100) {
|
|
|
|
/* Close this Order */
|
|
tradingEngineOrder.status.value = 'Closed'
|
|
tradingEngineOrder.exitType.value = 'Filled'
|
|
|
|
/* Initialize this */
|
|
tradingEngine.current.distanceToEvent.closeOrder.value = 1
|
|
}
|
|
|
|
/* Filled Size Calculation */
|
|
stageFilledSize.value = stageFilledSize.value + tradingEngineOrder.size.value * percentageFilled / 100
|
|
stageFilledSize.value = global.PRECISE(stageFilledSize.value, 10)
|
|
|
|
if (stageIsClosing === true && tradingEngineOrder.status.value !== 'Closed') {
|
|
if (tradingEngineOrder.orderStatistics.percentageFilled.value === 0) {
|
|
|
|
/* Close this Order */
|
|
tradingEngineOrder.status.value = 'Closed'
|
|
tradingEngineOrder.exitType.value = 'Cancelled by Closing Stage'
|
|
|
|
/* Initialize this */
|
|
tradingEngine.current.distanceToEvent.closeOrder.value = 1
|
|
}
|
|
if (tradingEngineOrder.orderStatistics.percentageFilled.value > 0 && tradingEngineOrder.orderStatistics.percentageFilled.value < 100) {
|
|
|
|
/* Close this Order */
|
|
tradingEngineOrder.status.value = 'Closed'
|
|
tradingEngineOrder.exitType.value = 'Partially Filled'
|
|
|
|
/* Initialize this */
|
|
tradingEngine.current.distanceToEvent.closeOrder.value = 1
|
|
}
|
|
|
|
/* Since the order was cancelled, we remove the unfilled amount of the order from here */
|
|
let unfilledPercentage = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
|
|
let unfilledSize = tradingEngineOrder.size.value * unfilledPercentage / 100
|
|
stageOrdersSize.value = stageOrdersSize.value - unfilledSize
|
|
stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
|
|
}
|
|
}
|
|
}
|
|
|
|
/* Actual Rate Simulation */
|
|
if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
|
|
if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
|
|
if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.orderStatistics.actualRate.config.initialValue) {
|
|
tradingEngineOrder.orderStatistics.actualRate.value = formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
|
|
}
|
|
}
|
|
}
|
|
|
|
/* Fees Paid Simulation */
|
|
if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid !== undefined) {
|
|
if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage !== undefined) {
|
|
if (tradingEngineOrder.orderStatistics.feesPaid.value === tradingEngineOrder.orderStatistics.feesPaid.config.initialValue) {
|
|
tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value * tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function checkOrderEvent(event, order, executionAlgorithm, executionNode) {
|
|
if (event !== undefined) {
|
|
for (let k = 0; k < event.situations.length; k++) {
|
|
let situation = event.situations[k]
|
|
let passed
|
|
if (situation.conditions.length > 0) {
|
|
passed = true
|
|
}
|
|
|
|
passed = checkConditions(situation, passed)
|
|
|
|
tradingSystem.values.push([situation.id, passed])
|
|
if (passed) {
|
|
tradingSystem.highlights.push(situation.id)
|
|
tradingSystem.highlights.push(event.id)
|
|
tradingSystem.highlights.push(order.id)
|
|
tradingSystem.highlights.push(executionAlgorithm.id)
|
|
tradingSystem.highlights.push(executionNode.id)
|
|
|
|
announcementsModule.makeAnnoucements(event)
|
|
return situation.name // if the event is triggered, we return the name of the situation that passed
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function isItInside(elementWithTimestamp, elementWithBeginEnd) {
|
|
/*
|
|
The function is to allow in Conditions and Formulas to easily know when an element with timestamp (like the ones of single files) are inside the time range
|
|
of an element with a time range, like a candle.
|
|
*/
|
|
if (elementWithTimestamp.timestamp >= elementWithBeginEnd.begin && elementWithTimestamp.timestamp <= elementWithBeginEnd.end) {
|
|
return true
|
|
} else {
|
|
return false
|
|
}
|
|
}
|
|
|
|
function checkConditions(situation, passed) {
|
|
/* Given a Situation, we check if all children conditions are true or not */
|
|
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)
|
|
}
|
|
if (value === true) {
|
|
tradingSystem.highlights.push(condition.id)
|
|
}
|
|
else {
|
|
passed = false
|
|
}
|
|
tradingSystem.values.push([condition.id, value])
|
|
}
|
|
return passed
|
|
}
|
|
}
|
|
|