342 lines
15 KiB
JavaScript
342 lines
15 KiB
JavaScript
exports.newSnapshots = function (processIndex) {
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/*
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This module encapsulates the snapshots functionality.
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*/
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const MODULE_NAME = 'Snapshots'
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let thisObject = {
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updateChart: updateChart,
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strategyEntry: strategyEntry,
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strategyExit: strategyExit,
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positionEntry: positionEntry,
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positionExit: positionExit,
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addCodeToSnapshot: addCodeToSnapshot,
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initialize: initialize,
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finalize: finalize
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}
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let tradingEngine
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let tradingSystem
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let sessionParameters
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const SNAPSHOTS_FOLDER_NAME = 'Snapshots'
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/* Snapshots of Strategies and Positions */
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let snapshots = {
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headers: [],
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strategies: [],
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positions: []
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}
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let positionKeys = new Map() // This is to prevent adding the same indicator / variable to the output collection.
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let strategyKeys = new Map()
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let createHeaders = true // This is going to be true only once
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let createCloseHeaders = true // This is going to be true only once
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let closeValues
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let strategyValues
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let addToStrategyValues
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let positionValues
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let addToPositionValues
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let chart
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return thisObject
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function initialize() {
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tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
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tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
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sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
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}
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function finalize() {
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writeSnapshotFiles()
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tradingEngine = undefined
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tradingSystem = undefined
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sessionParameters = undefined
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positionKeys = undefined
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strategyKeys = undefined
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chart = undefined
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}
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function updateChart(pChart) {
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chart = pChart
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}
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function strategyEntry() {
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/*
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We will record here a snapshot of all values used in conditions and formulas within the Trading System.
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If the strategy exists with a trade, this information will be added to the snapshots file.
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*/
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strategyKeys = new Map()
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strategyValues = []
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addToStrategyValues = true
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evalNode(tradingSystem)
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/* Turn off this */
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createHeaders = false
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addToStrategyValues = false
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}
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function strategyExit() {
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getResults(tradingEngine.current.strategy.begin.value, tradingEngine.current.strategy.end.value)
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let valuesArray = closeValues.concat(strategyValues)
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snapshots.strategies.push(valuesArray)
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}
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function positionEntry() {
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positionKeys = new Map()
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positionValues = []
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addToPositionValues = true
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evalNode(tradingSystem)
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/* Turn off this */
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createHeaders = false
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addToPositionValues = false
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}
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function positionExit() {
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getResults(tradingEngine.current.position.begin.value, tradingEngine.current.position.end.value)
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let valuesArray = closeValues.concat(positionValues)
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snapshots.positions.push(valuesArray)
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}
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function evalNode(node) {
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if (node === undefined) { return }
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/* Here we check if there is a codition to be evaluated */
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if (node.type === 'Condition') {
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/* We will eval this condition */
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evalCondition(node)
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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') {
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if (node.code !== undefined) {
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/* We will eval this formula */
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evalFormula(node)
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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 = TS.projects.superalgos.globals.taskConstants.APP_SCHEMA_MAP.get(node.project + '-' + 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])
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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])
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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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/*
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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 nodeWithCode = node
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if (node.javascriptCode !== undefined) {
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if (node.javascriptCode.code !== undefined) {
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nodeWithCode = node.javascriptCode
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}
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}
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addCodeToSnapshot(nodeWithCode)
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}
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function evalFormula(node) {
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let nodeWithCode = node
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addCodeToSnapshot(nodeWithCode)
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}
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function addCodeToSnapshot(nodeWithCode) {
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if (nodeWithCode === undefined) { return }
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if (nodeWithCode.code === undefined) { return }
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try {
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let instructionsArray = nodeWithCode.code.split(' ')
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for (let i = 0; i < instructionsArray.length; i++) {
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let instruction = instructionsArray[i]
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instruction = instruction.replace('(', '')
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instruction = instruction.replace(')', '')
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instruction = instruction.replace(/</g, '')
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instruction = instruction.replace(/>/g, '')
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instruction = instruction.replace(/<=/g, '')
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instruction = instruction.replace(/>=/g, '')
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instruction = instruction.replace(/!=/g, '')
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instruction = instruction.replace(/!==/g, '')
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instruction = instruction.replace(/==/g, '')
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instruction = instruction.replace(/===/g, '')
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instruction = instruction.replace(/{/g, '')
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instruction = instruction.replace(/}/g, '')
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if (instruction.indexOf('chart') >= 0) {
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let parts = instruction.split('.')
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let timeFrame = parts[1]
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let product = parts[2]
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let property
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checkPrevious(3)
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function checkPrevious(index) {
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property = parts[index]
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if (property === 'previous') {
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product = product + '.previous'
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checkPrevious(index + 1)
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}
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}
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// Example: chart.at01hs.popularSMA.sma200 - chart.at01hs.popularSMA.sma100 < 10
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if (timeFrame !== 'atAnyTimeFrame') {
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timeFrame = timeFrame.substring(2, 4) + '-' + timeFrame.substring(4, 7)
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}
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let key = timeFrame + '-' + product + '-' + property
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let existingKey
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if (addToStrategyValues === true) {
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addValues(strategyKeys, strategyValues)
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}
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if (addToPositionValues === true) {
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addValues(positionKeys, positionValues)
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}
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function addValues(keys, values) {
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existingKey = keys.get(key)
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if (existingKey === undefined) { // means that at the current loop this property of this product was not used before.
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keys.set(key, key)
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if (createHeaders === true) {
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snapshots.headers.push(key)
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}
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try {
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let value = eval(instruction)
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values.push(value)
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} catch (err) {
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tradingSystem.errors.push([nodeWithCode.id, 'Instruction ' + instruction + ' evalueates with error ' + err.message])
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values.push(0)
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}
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}
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}
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}
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}
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} catch (err) {
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tradingSystem.errors.push([nodeWithCode.id, err.message])
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[ERROR] runSimulation -> addCodeToSnapshot -> nodeWithCode.code = ' + nodeWithCode.code)
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[ERROR] runSimulation -> addCodeToSnapshot -> err = ' + err.stack)
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}
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}
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function getResults(openDatetime, closeDatetime) {
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let closeHeaders = ['Trade Number', 'Open Datetime', 'Close Datetime', 'Strategy Name', 'Trigger On Situation', 'Take Position Situation', 'Result In Base Asset', 'Result In Quoted Asset', 'ROI in Base Asset', 'ROI in Quoted Asset', 'Exit Type']
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closeValues = [
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tradingEngine.current.episode.episodeCounters.positions.value, // Position Number
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(new Date(openDatetime)).toISOString(), // Open Datetime
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(new Date(closeDatetime)).toISOString(), // Open Datetime
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tradingEngine.current.strategy.strategyName.value, // Strategy Name
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tradingEngine.current.strategy.situationName.value, // Trigger On Situation
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tradingEngine.current.position.situationName.value, // Take Position Situation
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tradingEngine.current.position.positionBaseAsset.hitFail.value, // Result in Base Asset
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tradingEngine.current.position.positionQuotedAsset.hitFail.value, // Result in Base Asset
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tradingEngine.current.position.positionBaseAsset.ROI.value, // ROI in Base Asseet
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tradingEngine.current.position.positionQuotedAsset.ROI.value, // ROI in Quoted Asset
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tradingEngine.current.position.exitType.value // Exit Type
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]
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if (createCloseHeaders === true) {
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snapshots.headers = closeHeaders.concat(JSON.parse(JSON.stringify(snapshots.headers)))
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createCloseHeaders = false
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}
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}
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function writeSnapshotFiles() {
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if (sessionParameters.snapshots !== undefined) {
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if (sessionParameters.snapshots.config.strategy === true) {
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writeSnapshotFile(snapshots.strategies, 'Strategies')
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}
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}
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if (sessionParameters.snapshots !== undefined) {
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if (sessionParameters.snapshots.config.strategy === true) {
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writeSnapshotFile(snapshots.positions, 'Positions')
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}
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}
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}
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function writeSnapshotFile(snapshotArray, pFileName) {
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try {
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const FILE_STORAGE = require('../FileStorage.js');
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let fileStorage = FILE_STORAGE.newFileStorage();
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let fileContent = "";
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let separator = "\r\n";
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parseRecord(snapshots.headers)
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for (let i = 0; i < snapshotArray.length; i++) {
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let record = snapshotArray[i];
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parseRecord(record)
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}
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function parseRecord(record) {
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for (let j = 0; j < record.length; j++) {
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let property = record[j]
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fileContent = fileContent + '' + property
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if (j !== record.length - 1) {
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fileContent = fileContent + ","
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}
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}
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fileContent = fileContent + separator
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}
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fileContent = "" + fileContent + "";
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let fileName = pFileName + '.csv';
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let filePath = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).FILE_PATH_ROOT + "/Output/" + TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_FOLDER_NAME + "/" + SNAPSHOTS_FOLDER_NAME;
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filePath += '/' + fileName
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fileStorage.createTextFile(filePath, fileContent + '\n', onFileCreated);
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function onFileCreated(err) {
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if (err.result !== TS.projects.superalgos.globals.standardResponses.DEFAULT_OK_RESPONSE.result) {
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, "[ERROR] writeSnapshotFile -> onFileCreated -> err = " + err.stack);
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, "[ERROR] writeSnapshotFile -> onFileCreated -> filePath = " + filePath);
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, "[ERROR] writeSnapshotFile -> onFileCreated -> market = " + TS.projects.superalgos.globals.taskConstants.TASK_NODE.parentNode.parentNode.parentNode.referenceParent.baseAsset.referenceParent.config.codeName + "_" + TS.projects.superalgos.globals.taskConstants.TASK_NODE.parentNode.parentNode.parentNode.referenceParent.quotedAsset.referenceParent.config.codeName);
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}
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}
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}
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catch (err) {
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, "[ERROR] writeSnapshotFile -> err = " + err.stack);
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}
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}
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} |