1365 lines
49 KiB
JavaScript
1365 lines
49 KiB
JavaScript
const axios = require('axios')
|
|
const auth = require('./utils/auth')
|
|
|
|
exports.newCommons = function newCommons(bot, logger, UTILITIES) {
|
|
|
|
const { orderMessage } = require("@superalgos/mqservice")
|
|
|
|
const {
|
|
MESSAGE_ENTITY, MESSAGE_TYPE, ORDER_CREATOR, ORDER_TYPE,
|
|
ORDER_OWNER, ORDER_DIRECTION, ORDER_STATUS, ORDER_EXIT_OUTCOME,
|
|
createMessage, getMessage, getExpandedMessage
|
|
} = orderMessage.newOrderMessage()
|
|
|
|
|
|
const FULL_LOG = true;
|
|
const LOG_FILE_CONTENT = false;
|
|
|
|
const MODULE_NAME = "Commons";
|
|
const ONE_DAY_IN_MILISECONDS = 24 * 60 * 60 * 1000;
|
|
const GMT_SECONDS = ':00.000 GMT+0000';
|
|
|
|
let thisObject = {
|
|
initializeData: initializeData,
|
|
runSimulation: runSimulation,
|
|
buildLRC: buildLRC,
|
|
buildPercentageBandwidthMap: buildPercentageBandwidthMap,
|
|
buildBollingerBandsMap: buildBollingerBandsMap,
|
|
buildBollingerChannelsArray: buildBollingerChannelsArray,
|
|
buildBollingerSubChannelsArray: buildBollingerSubChannelsArray,
|
|
buildCandles: buildCandles
|
|
};
|
|
|
|
let utilities = UTILITIES.newCloudUtilities(bot, logger);
|
|
|
|
let LRCMap = new Map();
|
|
let percentageBandwidthMap = new Map();
|
|
let bollingerBandsMap = new Map();
|
|
let bollingerChannelsArray = [];
|
|
let bollingerSubChannelsArray = [];
|
|
|
|
let candles = [];
|
|
|
|
return thisObject;
|
|
|
|
function initializeData() {
|
|
|
|
LRCMap = new Map();
|
|
percentageBandwidthMap = new Map();
|
|
bollingerBandsMap = new Map();
|
|
bollingerChannelsArray = [];
|
|
bollingerSubChannelsArray = [];
|
|
|
|
candles = [];
|
|
}
|
|
|
|
async function runSimulation(
|
|
recordsArray,
|
|
conditionsArray,
|
|
strategiesArray,
|
|
tradesArray,
|
|
lastObjectsArray,
|
|
tradingSystem,
|
|
timePeriod,
|
|
currentDay,
|
|
startDate,
|
|
endDate,
|
|
interExecutionMemory,
|
|
callback) {
|
|
|
|
try {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> Entering function."); }
|
|
|
|
tradingSystem.strategies = await getStrategies();
|
|
|
|
/* Initial Values */
|
|
|
|
let initialDate = startDate;
|
|
let initialBalanceA = 1;
|
|
let minimunBalanceA = 0.5;
|
|
|
|
/* Strategy and Phases */
|
|
|
|
let strategyNumber = 0;
|
|
let strategyPhase = 0; // So far we will consider 5 possible phases: 0 = Initial state, 1 = Signal to buy, 2 = Buy, 3 = After Buy, 4 = Sell.
|
|
|
|
/* Stop Loss Management */
|
|
|
|
const MIN_STOP_LOSS_VALUE = 1 // We can not let the stop be zero to avoid division by 0 error or infinity numbers as a result.
|
|
let previousStopLoss = 0;
|
|
let stopLoss = 0;
|
|
let stopLossPhase = 0;
|
|
|
|
/* Buy Order Management */
|
|
|
|
const MIN_BUY_ORDER_VALUE = 1 // We can not let the buy order be zero to avoid division by 0 error or infinity numbers as a result.
|
|
let previousTakeProfit = 0;
|
|
let takeProfit = 0;
|
|
let takeProfitPhase = 0;
|
|
|
|
/* Building records */
|
|
|
|
let positionRate = 0;
|
|
let positionSize = 0;
|
|
let sellInstant;
|
|
|
|
let previousBalanceAssetA = 0;
|
|
let hitRatio = 0;
|
|
let ROI = 0;
|
|
let days = 0;
|
|
let anualizedRateOfReturn = 0;
|
|
let type = '""';
|
|
let marketRate = 0;
|
|
|
|
/* In some cases we need to know if we are positioned at the last candle of the calendar day, for that we need thse variables. */
|
|
|
|
let lastInstantOfTheDay = currentDay.valueOf() + ONE_DAY_IN_MILISECONDS - 1;
|
|
let lastCandle = candles[candles.length - 1];
|
|
|
|
/* These 2 objects will allow us to create separate files for each one of them. */
|
|
|
|
let currentStrategy = {
|
|
begin: 0,
|
|
end: 0,
|
|
status: 0,
|
|
number: 0
|
|
}
|
|
|
|
let currentTrade = {
|
|
begin: 0,
|
|
end: 0,
|
|
status: 0,
|
|
profit: 0,
|
|
exitType: 0,
|
|
beginRate: 0,
|
|
endRate: 0
|
|
}
|
|
|
|
/*
|
|
The following counters need to survive multiple executions of the similator and keep themselves reliable.
|
|
This is challenging when the simulation is executed using Daily Files, since each execution means a new
|
|
day and these counters are meant to be kept along the whole market.
|
|
|
|
To overcome this problem, we use the interExecutionMemory to record the values of the current execution
|
|
when finish. But there are a few details:
|
|
|
|
1. When the process is at the head of the market, it executes multple times at the same day.
|
|
2. The same code serves execution from Market Files.
|
|
3. In Daily Files we are receiving candles from the current day and previous day, so we need to take care of
|
|
not adding to the counters duplicate info when processing the day before candles.
|
|
|
|
To overcome these challenges we record the values of the counters and variables on the interExecutionMemory only when
|
|
the day is complete and if we have a currentDay. That menas that for Market Files we will never use
|
|
interExecutionMemory.
|
|
*/
|
|
|
|
let balanceAssetA = initialBalanceA;
|
|
let balanceAssetB = 0;
|
|
|
|
let lastProfit = 0;
|
|
let profit = 0;
|
|
let lastProfitPercent = 0;
|
|
|
|
let roundtrips = 0;
|
|
let fails = 0;
|
|
let hits = 0;
|
|
let periods = 0;
|
|
|
|
/* Message to the Simulation Executor */
|
|
|
|
let orderId = 0;
|
|
let messageId = 0;
|
|
|
|
let yesterday = {};
|
|
|
|
yesterday.balanceAssetA = balanceAssetA;
|
|
yesterday.balanceAssetB = balanceAssetB;
|
|
|
|
yesterday.lastProfit = 0;
|
|
yesterday.profit = 0;
|
|
yesterday.lastProfitPercent = 0;
|
|
|
|
yesterday.Roundtrips = 0;
|
|
yesterday.fails = 0;
|
|
yesterday.hits = 0;
|
|
yesterday.Periods = 0;
|
|
|
|
yesterday.orderId = 0;
|
|
yesterday.messageId = 0;
|
|
|
|
yesterday.hitRatio = 0;
|
|
yesterday.ROI = 0;
|
|
yesterday.anualizedRateOfReturn = 0;
|
|
|
|
if (interExecutionMemory.roundtrips === undefined) {
|
|
|
|
/* Initialize the data structure we will use inter execution. */
|
|
|
|
interExecutionMemory.balanceAssetA = balanceAssetA;
|
|
interExecutionMemory.balanceAssetB = balanceAssetB;
|
|
|
|
interExecutionMemory.lastProfit = lastProfit;
|
|
interExecutionMemory.profit = profit;
|
|
interExecutionMemory.lastProfitPercent = lastProfitPercent;
|
|
|
|
interExecutionMemory.roundtrips = 0;
|
|
interExecutionMemory.fails = 0;
|
|
interExecutionMemory.hits = 0;
|
|
interExecutionMemory.periods = 0;
|
|
|
|
interExecutionMemory.orderId = 0;
|
|
interExecutionMemory.messageId = 0;
|
|
|
|
interExecutionMemory.hitRatio = 0;
|
|
interExecutionMemory.ROI = 0;
|
|
interExecutionMemory.anualizedRateOfReturn = 0;
|
|
|
|
} else {
|
|
|
|
/* We get the initial values from the day previous to the candles we receive at the current execution */
|
|
|
|
if (currentDay.valueOf() >= startDate.valueOf() + ONE_DAY_IN_MILISECONDS) { // Only after the first day we start grabbing the balance from this memory.
|
|
|
|
balanceAssetA = interExecutionMemory.balanceAssetA;
|
|
balanceAssetB = interExecutionMemory.balanceAssetB;
|
|
|
|
yesterday.balanceAssetA = balanceAssetA;
|
|
yesterday.balanceAssetB = balanceAssetB;
|
|
|
|
}
|
|
|
|
lastProfit = interExecutionMemory.lastProfit;
|
|
profit = interExecutionMemory.profit;
|
|
lastProfitPercent = interExecutionMemory.lastProfitPercent;
|
|
|
|
roundtrips = interExecutionMemory.roundtrips;
|
|
fails = interExecutionMemory.fails;
|
|
hits = interExecutionMemory.hits;
|
|
periods = interExecutionMemory.periods;
|
|
|
|
orderId = interExecutionMemory.orderId;
|
|
messageId = interExecutionMemory.messageId;
|
|
|
|
hitRatio = interExecutionMemory.hitRatio;
|
|
ROI = interExecutionMemory.ROI;
|
|
anualizedRateOfReturn = interExecutionMemory.anualizedRateOfReturn;
|
|
|
|
yesterday.hitRatio = hitRatio;
|
|
yesterday.ROI = ROI;
|
|
yesterday.anualizedRateOfReturn = anualizedRateOfReturn;
|
|
|
|
}
|
|
|
|
/* Main Simulation Loop: We go thourgh all the candles at this time period. */
|
|
|
|
for (let i = 0; i < candles.length; i++) {
|
|
|
|
/* Update all the data objects available for the simulation. */
|
|
|
|
let candle = candles[i];
|
|
let percentageBandwidth = percentageBandwidthMap.get(candle.begin);
|
|
let bollingerBand = bollingerBandsMap.get(candle.begin);
|
|
//let LRC = LRCMap.get(candle.begin);
|
|
|
|
//if (LRC === undefined) { continue; }
|
|
if (percentageBandwidth === undefined) { continue; } // percentageBandwidth might start after the first few candles.
|
|
if (candle.begin < initialDate.valueOf()) { continue; }
|
|
|
|
periods++;
|
|
days = periods * timePeriod / ONE_DAY_IN_MILISECONDS;
|
|
|
|
if (currentDay !== undefined) {
|
|
if (candle.end < currentDay.valueOf()) {
|
|
yesterday.Periods++;
|
|
}
|
|
}
|
|
|
|
let channel = getElement(bollingerChannelsArray, candle.begin, candle.end);
|
|
let subChannel = getElement(bollingerSubChannelsArray, candle.begin, candle.end);
|
|
|
|
let lastObjects = {
|
|
candle: clone(candle),
|
|
//LRC: clone(LRC),
|
|
bollingerBand: clone(bollingerBand),
|
|
percentageBandwidth: clone(percentageBandwidth),
|
|
channel: clone(channel),
|
|
subChannel: clone(subChannel)
|
|
}
|
|
|
|
function clone(obj) {
|
|
if (null == obj || "object" != typeof obj) return obj;
|
|
var copy = obj.constructor();
|
|
for (var attr in obj) {
|
|
if (obj.hasOwnProperty(attr)) copy[attr] = obj[attr];
|
|
}
|
|
return copy;
|
|
}
|
|
|
|
lastObjects.candle.previous = undefined;
|
|
//lastObjects.LRC.previous = undefined;
|
|
lastObjects.bollingerBand.previous = undefined;
|
|
lastObjects.percentageBandwidth.previous = undefined;
|
|
lastObjects.channel.previous = undefined;
|
|
lastObjects.subChannel.previous = undefined;
|
|
|
|
lastObjectsArray.push(lastObjects);
|
|
|
|
if (lastObjectsArray.length > 5) {
|
|
lastObjectsArray.splice(0,1);
|
|
}
|
|
|
|
let conditions = new Map; // Here we store the conditions values that will be use in the simulator for decision making.
|
|
let conditionsArrayRecord = []; // These are the records that will be saved in a file for the plotter to consume.
|
|
let conditionsArrayValues = []; // Here we store the conditions values that will be written on file for the plotter.
|
|
|
|
/* We define and evaluate all conditions to be used later during the simulation loop. */
|
|
|
|
conditionsArrayRecord.push(candle.begin);
|
|
conditionsArrayRecord.push(candle.end);
|
|
|
|
for (let j = 0; j < tradingSystem.strategies.length; j++) {
|
|
|
|
let strategy = tradingSystem.strategies[j];
|
|
|
|
for (let k = 0; k < strategy.triggerOn.situations.length; k++) {
|
|
|
|
let situation = strategy.triggerOn.situations[k];
|
|
|
|
for (let m = 0; m < situation.conditions.length; m++) {
|
|
|
|
let condition = situation.conditions[m];
|
|
let key = strategy.name + '-' + situation.name + '-' + condition.name;
|
|
|
|
newCondition(key, condition.code);
|
|
}
|
|
}
|
|
|
|
for (let k = 0; k < strategy.triggerOff.situations.length; k++) {
|
|
|
|
let situation = strategy.triggerOff.situations[k];
|
|
|
|
for (let m = 0; m < situation.conditions.length; m++) {
|
|
|
|
let condition = situation.conditions[m];
|
|
let key = strategy.name + '-' + situation.name + '-' + condition.name;
|
|
|
|
newCondition(key, condition.code);
|
|
}
|
|
}
|
|
|
|
for (let k = 0; k < strategy.takePosition.situations.length; k++) {
|
|
|
|
let situation = strategy.takePosition.situations[k];
|
|
|
|
for (let m = 0; m < situation.conditions.length; m++) {
|
|
|
|
let condition = situation.conditions[m];
|
|
let key = strategy.name + '-' + situation.name + '-' + condition.name;
|
|
|
|
newCondition(key, condition.code);
|
|
}
|
|
}
|
|
|
|
for (let p = 0; p < strategy.stopLoss.phases.length; p++) {
|
|
|
|
let phase = strategy.stopLoss.phases[p];
|
|
|
|
for (let k = 0; k < phase.situations.length; k++) {
|
|
|
|
let situation = phase.situations[k];
|
|
|
|
for (let m = 0; m < situation.conditions.length; m++) {
|
|
|
|
let condition = situation.conditions[m];
|
|
let key = strategy.name + '-' + phase.name + '-' + situation.name + '-' + condition.name;
|
|
|
|
newCondition(key, condition.code);
|
|
}
|
|
}
|
|
}
|
|
|
|
for (let p = 0; p < strategy.takeProfit.phases.length; p++) {
|
|
|
|
let phase = strategy.takeProfit.phases[p];
|
|
|
|
for (let k = 0; k < phase.situations.length; k++) {
|
|
|
|
let situation = phase.situations[k];
|
|
|
|
for (let m = 0; m < situation.conditions.length; m++) {
|
|
|
|
let condition = situation.conditions[m];
|
|
let key = strategy.name + '-' + phase.name + '-' + situation.name + '-' + condition.name;
|
|
|
|
newCondition(key, condition.code);
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function newCondition(key, code) {
|
|
|
|
let condition;
|
|
let value = false;
|
|
|
|
try {
|
|
value = eval(code);
|
|
} catch (err) {
|
|
/*
|
|
One possible error is that the conditions references a .previous that is undefined. For this
|
|
reason and others, we will simply set the value to false.
|
|
*/
|
|
value = false
|
|
}
|
|
|
|
condition = {
|
|
key: key,
|
|
value: value
|
|
};
|
|
|
|
conditions.set(condition.key, condition);
|
|
|
|
if (condition.value) {
|
|
conditionsArrayValues.push(1);
|
|
} else {
|
|
conditionsArrayValues.push(0);
|
|
}
|
|
}
|
|
|
|
|
|
/* Strategy Enter Condition */
|
|
|
|
if (strategyNumber === 0 &&
|
|
balanceAssetA > minimunBalanceA) {
|
|
|
|
/*
|
|
Here we need to pick a strategy, or if there is not suitable strategy for the current
|
|
market conditions, we pass until the next period.
|
|
|
|
To pick a new strategy we will evaluate what we call an entering condition. Once we enter
|
|
into one strategy, we will ignore market conditions for others. However there is also
|
|
a strategy exit condition which can be hit before entering into a trade. If hit, we would
|
|
be outside a strategy again and looking for the condition to enter all over again.
|
|
|
|
*/
|
|
|
|
checkEntryPoints();
|
|
|
|
function checkEntryPoints() {
|
|
|
|
for (let j = 0; j < tradingSystem.strategies.length; j++) {
|
|
|
|
let strategy = tradingSystem.strategies[j];
|
|
|
|
for (let k = 0; k < strategy.triggerOn.situations.length; k++) {
|
|
|
|
let situation = strategy.triggerOn.situations[k];
|
|
let passed = true;
|
|
|
|
for (let m = 0; m < situation.conditions.length; m++) {
|
|
|
|
let condition = situation.conditions[m];
|
|
let key = strategy.name + '-' + situation.name + '-' + condition.name
|
|
|
|
let value = conditions.get(key).value;
|
|
|
|
if (value === false) { passed = false; }
|
|
}
|
|
|
|
if (passed) {
|
|
|
|
strategyPhase = 1;
|
|
strategyNumber = j + 1;
|
|
currentStrategy.begin = candle.begin;
|
|
currentStrategy.beginRate = candle.min;
|
|
currentStrategy.endRate = candle.min; // In case the strategy does not get exited
|
|
return;
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
/* Strategy Exit Condition */
|
|
|
|
if (strategyPhase === 1) {
|
|
|
|
checkExitPoints();
|
|
|
|
function checkExitPoints() {
|
|
|
|
let strategy = tradingSystem.strategies[strategyNumber - 1];
|
|
|
|
for (let k = 0; k < strategy.triggerOff.situations.length; k++) {
|
|
|
|
let situation = strategy.triggerOff.situations[k];
|
|
let passed = true;
|
|
|
|
for (let m = 0; m < situation.conditions.length; m++) {
|
|
|
|
let condition = situation.conditions[m];
|
|
let key = strategy.name + '-' + situation.name + '-' + condition.name
|
|
|
|
let value = conditions.get(key).value;
|
|
|
|
if (value === false) { passed = false; }
|
|
}
|
|
|
|
if (passed) {
|
|
|
|
currentStrategy.number = strategyNumber - 1
|
|
currentStrategy.end = candle.end;
|
|
currentStrategy.endRate = candle.min;
|
|
currentStrategy.status = 1;
|
|
strategyPhase = 0;
|
|
strategyNumber = 0;
|
|
|
|
return;
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
/* Checking if Stop or Take Profit were hit */
|
|
|
|
if (strategyPhase === 3) {
|
|
|
|
/* Checking what happened since the last execution. We need to know if the Stop Loss
|
|
or our Buy Order were hit. */
|
|
|
|
/* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */
|
|
|
|
if (candle.max >= stopLoss) {
|
|
|
|
balanceAssetA = balanceAssetB / stopLoss;
|
|
balanceAssetB = 0;
|
|
|
|
if (currentDay !== undefined) {
|
|
if (sellInstant < currentDay.valueOf()) {
|
|
yesterday.balanceAssetA = balanceAssetA;
|
|
yesterday.balanceAssetB = balanceAssetB;
|
|
}
|
|
}
|
|
|
|
marketRate = stopLoss;
|
|
type = '"Buy@StopLoss"';
|
|
strategyPhase = 4;
|
|
currentTrade.end = candle.end;
|
|
currentTrade.status = 1;
|
|
currentTrade.exitType = 1;
|
|
currentTrade.endRate = stopLoss;
|
|
|
|
currentStrategy.number = strategyNumber - 1
|
|
currentStrategy.end = candle.end;
|
|
currentStrategy.endRate = candle.min;
|
|
currentStrategy.status = 1;
|
|
}
|
|
|
|
/* Buy Order condition: Here we verify if the Buy Order was filled or not. */
|
|
|
|
if (candle.min <= takeProfit) {
|
|
|
|
balanceAssetA = balanceAssetB / takeProfit;
|
|
balanceAssetB = 0;
|
|
|
|
if (currentDay !== undefined) {
|
|
if (sellInstant < currentDay.valueOf()) {
|
|
yesterday.balanceAssetA = balanceAssetA;
|
|
yesterday.balanceAssetB = balanceAssetB;
|
|
|
|
}
|
|
}
|
|
|
|
marketRate = takeProfit;
|
|
type = '"Buy@TakeProfit"';
|
|
strategyPhase = 4;
|
|
currentTrade.end = candle.end;
|
|
currentTrade.status = 1;
|
|
currentTrade.exitType = 2;
|
|
currentTrade.endRate = takeProfit;
|
|
|
|
currentStrategy.number = strategyNumber - 1
|
|
currentStrategy.end = candle.end;
|
|
currentStrategy.endRate = candle.min;
|
|
currentStrategy.status = 1;
|
|
}
|
|
}
|
|
|
|
/* Trade Enter Condition */
|
|
|
|
if (strategyPhase === 1) {
|
|
|
|
checkSellPoints();
|
|
|
|
function checkSellPoints() {
|
|
|
|
let strategy = tradingSystem.strategies[strategyNumber - 1];
|
|
|
|
for (let k = 0; k < strategy.takePosition.situations.length; k++) {
|
|
|
|
let situation = strategy.takePosition.situations[k];
|
|
let passed = true;
|
|
|
|
for (let m = 0; m < situation.conditions.length; m++) {
|
|
|
|
let condition = situation.conditions[m];
|
|
let key = strategy.name + '-' + situation.name + '-' + condition.name
|
|
|
|
let value = conditions.get(key).value;
|
|
|
|
if (value === false) { passed = false; }
|
|
}
|
|
|
|
if (passed) {
|
|
|
|
type = '"Sell"';
|
|
|
|
strategyPhase = 2;
|
|
stopLossPhase = 1;
|
|
takeProfitPhase = 1;
|
|
currentTrade.begin = candle.begin;
|
|
currentTrade.beginRate = candle.close;
|
|
return;
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
/* Stop Loss Management */
|
|
|
|
if (strategyPhase === 3) {
|
|
|
|
checkStopPhases()
|
|
checkStopLoss();
|
|
|
|
}
|
|
|
|
function checkStopPhases() {
|
|
|
|
let strategy = tradingSystem.strategies[strategyNumber - 1];
|
|
let phase = strategy.stopLoss.phases[stopLossPhase - 1];
|
|
|
|
for (let k = 0; k < phase.situations.length; k++) {
|
|
|
|
let situation = phase.situations[k];
|
|
let passed = true;
|
|
|
|
for (let m = 0; m < situation.conditions.length; m++) {
|
|
|
|
let condition = situation.conditions[m];
|
|
let key = strategy.name + '-' + phase.name + '-' + situation.name + '-' + condition.name
|
|
|
|
let value = conditions.get(key).value;
|
|
|
|
if (value === false) { passed = false; }
|
|
}
|
|
|
|
if (passed) {
|
|
|
|
stopLossPhase++;
|
|
|
|
return;
|
|
}
|
|
}
|
|
}
|
|
|
|
function checkStopLoss() {
|
|
|
|
let strategy = tradingSystem.strategies[strategyNumber - 1];
|
|
let phase = strategy.stopLoss.phases[stopLossPhase - 1];
|
|
|
|
try {
|
|
stopLoss = eval(phase.code); // Here is where we apply the formula given for the stop loss for this phase.
|
|
} catch (err) {
|
|
/*
|
|
If the code produces an exception, we are covered.
|
|
*/
|
|
}
|
|
|
|
if (stopLoss < MIN_STOP_LOSS_VALUE) {
|
|
stopLoss = MIN_STOP_LOSS_VALUE
|
|
}
|
|
|
|
}
|
|
|
|
/* Take Profit Management */
|
|
|
|
if (strategyPhase === 3) {
|
|
|
|
checkTakeProfitPhases();
|
|
checkTakeProfit();
|
|
|
|
}
|
|
|
|
function checkTakeProfitPhases() {
|
|
|
|
let strategy = tradingSystem.strategies[strategyNumber - 1];
|
|
let phase = strategy.takeProfit.phases[takeProfitPhase - 1];
|
|
|
|
for (let k = 0; k < phase.situations.length; k++) {
|
|
|
|
let situation = phase.situations[k];
|
|
let passed = true;
|
|
|
|
for (let m = 0; m < situation.conditions.length; m++) {
|
|
|
|
let condition = situation.conditions[m];
|
|
let key = strategy.name + '-' + phase.name + '-' + situation.name + '-' + condition.name
|
|
|
|
let value = conditions.get(key).value;
|
|
|
|
if (value === false) { passed = false; }
|
|
}
|
|
|
|
if (passed) {
|
|
|
|
takeProfitPhase++;
|
|
|
|
return;
|
|
}
|
|
}
|
|
}
|
|
|
|
function checkTakeProfit() {
|
|
|
|
let strategy = tradingSystem.strategies[strategyNumber - 1];
|
|
let phase = strategy.takeProfit.phases[takeProfitPhase - 1];
|
|
|
|
try {
|
|
takeProfit = eval(phase.code); // Here is where we apply the formula given for the buy order at this phase.
|
|
} catch (err) {
|
|
/*
|
|
If the code produces an exception, we are covered.
|
|
*/
|
|
}
|
|
|
|
if (takeProfit < MIN_BUY_ORDER_VALUE) {
|
|
takeProfit = MIN_BUY_ORDER_VALUE
|
|
}
|
|
}
|
|
|
|
/* Entering into a Trade */
|
|
|
|
if (strategyPhase === 2) {
|
|
|
|
marketRate = candle.close;
|
|
positionRate = marketRate;
|
|
positionSize = balanceAssetA;
|
|
|
|
stopLoss = positionRate + positionRate * 1 / 100;
|
|
previousStopLoss = stopLoss;
|
|
|
|
checkStopLoss();
|
|
checkTakeProfit();
|
|
|
|
previousBalanceAssetA = balanceAssetA;
|
|
lastProfit = 0;
|
|
lastProfitPercent = 0;
|
|
|
|
balanceAssetB = balanceAssetA * marketRate;
|
|
balanceAssetA = 0;
|
|
|
|
sellInstant = candle.end;
|
|
|
|
if (currentDay !== undefined) {
|
|
if (sellInstant < currentDay.valueOf()) {
|
|
yesterday.balanceAssetA = balanceAssetA;
|
|
yesterday.balanceAssetB = balanceAssetB;
|
|
|
|
yesterday.lastProfit = lastProfit;
|
|
yesterday.lastProfitPercent = lastProfitPercent;
|
|
}
|
|
}
|
|
|
|
addRecord();
|
|
|
|
strategyPhase = 3;
|
|
continue;
|
|
}
|
|
|
|
/* Exiting a Trade */
|
|
|
|
if (strategyPhase === 4) {
|
|
|
|
roundtrips++;
|
|
|
|
if (currentDay !== undefined) {
|
|
if (sellInstant < currentDay.valueOf()) {
|
|
yesterday.Roundtrips++;
|
|
}
|
|
}
|
|
|
|
lastProfit = balanceAssetA - previousBalanceAssetA;
|
|
lastProfitPercent = lastProfit / previousBalanceAssetA * 100;
|
|
if (isNaN(lastProfitPercent)) { lastProfitPercent = 0; }
|
|
profit = balanceAssetA - initialBalanceA;
|
|
|
|
if (currentDay !== undefined) {
|
|
if (sellInstant < currentDay.valueOf()) {
|
|
yesterday.lastProfit = lastProfit;
|
|
yesterday.profit = profit;
|
|
yesterday.lastProfitPercent = lastProfitPercent;
|
|
}
|
|
}
|
|
|
|
currentTrade.lastProfitPercent = lastProfitPercent;
|
|
currentTrade.stopRate = stopLoss;
|
|
|
|
//if (isNaN(ROI)) { ROI = 0; }
|
|
|
|
if (lastProfit > 0) {
|
|
hits++;
|
|
|
|
if (currentDay !== undefined) {
|
|
if (sellInstant < currentDay.valueOf()) {
|
|
yesterday.hits++;
|
|
}
|
|
}
|
|
|
|
} else {
|
|
fails++;
|
|
|
|
if (currentDay !== undefined) {
|
|
if (sellInstant < currentDay.valueOf()) {
|
|
yesterday.fails++;
|
|
}
|
|
}
|
|
}
|
|
|
|
ROI = (initialBalanceA + profit) / initialBalanceA - 1;
|
|
hitRatio = hits / roundtrips;
|
|
anualizedRateOfReturn = ROI / days * 365;
|
|
|
|
if (currentDay !== undefined) {
|
|
if (sellInstant < currentDay.valueOf()) {
|
|
yesterday.ROI = ROI;
|
|
yesterday.hitRatio = hitRatio;
|
|
yesterday.anualizedRateOfReturn = anualizedRateOfReturn;
|
|
}
|
|
}
|
|
|
|
|
|
addRecord();
|
|
|
|
strategyNumber = 0;
|
|
stopLoss = 0;
|
|
positionRate = 0;
|
|
positionSize = 0;
|
|
sellInstant = undefined;
|
|
takeProfit = 0;
|
|
strategyPhase = 0;
|
|
stopLossPhase = 0;
|
|
takeProfitPhase = 0;
|
|
continue;
|
|
|
|
}
|
|
|
|
/* Not a buy or sell condition */
|
|
|
|
marketRate = candle.close;
|
|
addRecord();
|
|
|
|
function addRecord() {
|
|
|
|
// Since we are going to write the message to a file that the Simulation Executor is going to read, we use the abbreviations.
|
|
let messageType;
|
|
let message;
|
|
let simulationRecord;
|
|
let orderRecord;
|
|
|
|
messageId++;
|
|
|
|
if (strategyPhase === 2 || strategyPhase === 3) {
|
|
|
|
if (strategyPhase === 2) {
|
|
messageType = MESSAGE_TYPE.Order;
|
|
orderId++;
|
|
}
|
|
if (strategyPhase === 3) {
|
|
messageType = MESSAGE_TYPE.OrderUpdate;
|
|
}
|
|
|
|
orderRecord = createMessage(
|
|
messageId,
|
|
MESSAGE_ENTITY.SimulationEngine,
|
|
MESSAGE_ENTITY.SimulationExecutor,
|
|
messageType,
|
|
(new Date()).valueOf(),
|
|
orderId.toString(),
|
|
ORDER_CREATOR.SimulationEngine,
|
|
(new Date()).valueOf(),
|
|
ORDER_OWNER.User,
|
|
global.EXCHANGE_NAME,
|
|
"BTC_USDT",
|
|
0,
|
|
ORDER_TYPE.Limit,
|
|
marketRate,
|
|
stopLoss,
|
|
takeProfit,
|
|
ORDER_DIRECTION.Sell,
|
|
-1,
|
|
ORDER_STATUS.Signaled,
|
|
0,
|
|
"")
|
|
|
|
}
|
|
else {
|
|
|
|
orderRecord = createMessage(
|
|
messageId,
|
|
MESSAGE_ENTITY.SimulationEngine,
|
|
MESSAGE_ENTITY.SimulationExecutor,
|
|
MESSAGE_TYPE.HeartBeat,
|
|
(new Date()).valueOf(),
|
|
"",
|
|
"",
|
|
0,
|
|
"",
|
|
"",
|
|
"",
|
|
0,
|
|
"",
|
|
0,
|
|
0,
|
|
0,
|
|
"",
|
|
0,
|
|
"",
|
|
0,
|
|
"")
|
|
}
|
|
|
|
simulationRecord = {
|
|
begin: candle.begin,
|
|
end: candle.end,
|
|
type: type,
|
|
marketRate: marketRate,
|
|
amount: 1,
|
|
balanceA: balanceAssetA,
|
|
balanceB: balanceAssetB,
|
|
profit: profit,
|
|
lastProfit: lastProfit,
|
|
stopLoss: stopLoss,
|
|
roundtrips: roundtrips,
|
|
hits: hits,
|
|
fails: fails,
|
|
hitRatio: hitRatio,
|
|
ROI: ROI,
|
|
periods: periods,
|
|
days: days,
|
|
anualizedRateOfReturn: anualizedRateOfReturn,
|
|
positionRate: positionRate,
|
|
lastProfitPercent: lastProfitPercent,
|
|
strategy: strategyNumber,
|
|
strategyPhase: strategyPhase,
|
|
takeProfit: takeProfit,
|
|
stopLossPhase: stopLossPhase,
|
|
takeProfitPhase: takeProfitPhase,
|
|
orderRecord: orderRecord,
|
|
positionSize: positionSize
|
|
}
|
|
|
|
recordsArray.push(simulationRecord);
|
|
|
|
previousStopLoss = stopLoss;
|
|
|
|
type = '""';
|
|
|
|
/* Prepare the information for the Conditions File */
|
|
|
|
conditionsArrayRecord.push(strategyNumber);
|
|
conditionsArrayRecord.push(strategyPhase);
|
|
conditionsArrayRecord.push(stopLossPhase);
|
|
conditionsArrayRecord.push(takeProfitPhase);
|
|
conditionsArrayRecord.push(conditionsArrayValues);
|
|
|
|
conditionsArray.push(conditionsArrayRecord);
|
|
|
|
/* Prepare the information for the Strategies File*/
|
|
|
|
if (
|
|
(currentStrategy.begin !== 0 && currentStrategy.end !== 0) ||
|
|
(currentStrategy.begin !== 0 && i === candles.length - 1 && lastCandle.end !== lastInstantOfTheDay)
|
|
) {
|
|
|
|
strategiesArray.push(currentStrategy);
|
|
|
|
currentStrategy = {
|
|
begin: 0,
|
|
end: 0,
|
|
status: 0,
|
|
number: 0,
|
|
beginRate: 0,
|
|
endRate: 0
|
|
}
|
|
}
|
|
|
|
/* Prepare the information for the Trades File */
|
|
|
|
if (
|
|
(currentTrade.begin !== 0 && currentTrade.end !== 0) ||
|
|
(currentTrade.begin !== 0 && i === candles.length - 1 && lastCandle.end !== lastInstantOfTheDay)
|
|
) {
|
|
|
|
currentTrade.profit = lastProfit;
|
|
|
|
tradesArray.push(currentTrade);
|
|
|
|
currentTrade = {
|
|
begin: 0,
|
|
end: 0,
|
|
status: 0,
|
|
lastProfitPercent: 0,
|
|
exitType: 0,
|
|
beginRate: 0,
|
|
endRate: 0
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
/*
|
|
Before returning we need to see if we have to record some of our counters at the interExecutionMemory.
|
|
To do that, the condition to be met is that this execution must include all candles of the currentDay.
|
|
*/
|
|
|
|
if (currentDay !== undefined) {
|
|
|
|
if (lastCandle.end === lastInstantOfTheDay) {
|
|
|
|
interExecutionMemory.balanceAssetA = yesterday.balanceAssetA;
|
|
interExecutionMemory.balanceAssetB = yesterday.balanceAssetB;
|
|
interExecutionMemory.lastProfit = yesterday.lastProfit;
|
|
interExecutionMemory.profit = yesterday.profit;
|
|
interExecutionMemory.lastProfitPercent = yesterday.lastProfitPercent;
|
|
|
|
interExecutionMemory.roundtrips = interExecutionMemory.roundtrips + yesterday.Roundtrips;
|
|
interExecutionMemory.fails = interExecutionMemory.fails + yesterday.fails;
|
|
interExecutionMemory.hits = interExecutionMemory.hits + yesterday.hits;
|
|
interExecutionMemory.periods = interExecutionMemory.periods + yesterday.Periods;
|
|
|
|
interExecutionMemory.messageId = interExecutionMemory.messageId + yesterday.messageId;
|
|
interExecutionMemory.orderId = interExecutionMemory.orderId + yesterday.orderId;
|
|
|
|
interExecutionMemory.hitRatio = yesterday.hitRatio;
|
|
interExecutionMemory.ROI = yesterday.ROI;
|
|
interExecutionMemory.anualizedRateOfReturn = yesterday.anualizedRateOfReturn;
|
|
}
|
|
}
|
|
|
|
callback();
|
|
|
|
function getElement(pArray, begin, end) {
|
|
|
|
let element;
|
|
|
|
for (let i = 0; i < pArray.length; i++) {
|
|
|
|
element = pArray[i];
|
|
|
|
if (begin >= element.begin && end <= element.end) {
|
|
return element
|
|
}
|
|
}
|
|
|
|
element = {
|
|
direction: 'unknown',
|
|
slope: 'unknown'
|
|
};
|
|
return element;
|
|
}
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] runSimulation -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
|
|
function buildLRC(dataFile, callBackFunction) {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] buildLRC -> Entering function."); }
|
|
|
|
try {
|
|
|
|
let previous;
|
|
|
|
for (let i = 0; i < dataFile.length; i++) {
|
|
|
|
let LRC = {
|
|
begin: dataFile[i][0],
|
|
end: dataFile[i][1],
|
|
_15: dataFile[i][2],
|
|
_30: dataFile[i][3],
|
|
_60: dataFile[i][4]
|
|
};
|
|
|
|
if (previous !== undefined) {
|
|
|
|
if (previous._15 > LRC._15) { LRC.direction15 = 'down'; }
|
|
if (previous._15 < LRC._15) { LRC.direction15 = 'up'; }
|
|
if (previous._15 === LRC._15) { LRC.direction15 = 'side'; }
|
|
|
|
if (previous._30 > LRC._30) { LRC.direction30 = 'down'; }
|
|
if (previous._30 < LRC._30) { LRC.direction30 = 'up'; }
|
|
if (previous._30 === LRC._30) { LRC.direction30 = 'side'; }
|
|
|
|
if (previous._60 > LRC._60) { LRC.direction60 = 'down'; }
|
|
if (previous._60 < LRC._60) { LRC.direction60 = 'up'; }
|
|
if (previous._60 === LRC._60) { LRC.direction60 = 'side'; }
|
|
|
|
}
|
|
|
|
LRC.previous = previous;
|
|
|
|
LRCMap.set(LRC.begin, LRC);
|
|
|
|
previous = LRC;
|
|
}
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] buildLRC -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
|
|
function buildPercentageBandwidthMap(dataFile, callBackFunction) {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] buildPercentageBandwidthMap -> Entering function."); }
|
|
|
|
try {
|
|
|
|
let previous;
|
|
|
|
for (let i = 0; i < dataFile.length; i++) {
|
|
|
|
let percentageBandwidth = {
|
|
begin: dataFile[i][0],
|
|
end: dataFile[i][1],
|
|
value: dataFile[i][2],
|
|
movingAverage: dataFile[i][3],
|
|
bandwidth: dataFile[i][4]
|
|
};
|
|
|
|
if (previous !== undefined) {
|
|
|
|
if (previous.movingAverage > percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'down'; }
|
|
if (previous.movingAverage < percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'up'; }
|
|
if (previous.movingAverage === percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'side'; }
|
|
|
|
}
|
|
|
|
percentageBandwidth.previous = previous;
|
|
|
|
percentageBandwidthMap.set(percentageBandwidth.begin, percentageBandwidth);
|
|
|
|
previous = percentageBandwidth;
|
|
}
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] buildPercentageBandwidthMap -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
|
|
function buildBollingerBandsMap(dataFile, callBackFunction) {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] buildBollingerBandsMap -> Entering function."); }
|
|
|
|
try {
|
|
|
|
let previous;
|
|
|
|
for (let i = 0; i < dataFile.length; i++) {
|
|
|
|
let bollingerBand = {
|
|
begin: dataFile[i][0],
|
|
end: dataFile[i][1],
|
|
movingAverage: dataFile[i][2],
|
|
standardDeviation: dataFile[i][3],
|
|
deviation: dataFile[i][4]
|
|
};
|
|
|
|
if (previous !== undefined) {
|
|
|
|
if (previous.movingAverage > bollingerBand.movingAverage) { bollingerBand.direction = 'down'; }
|
|
if (previous.movingAverage < bollingerBand.movingAverage) { bollingerBand.direction = 'up'; }
|
|
if (previous.movingAverage === bollingerBand.movingAverage) { bollingerBand.direction = 'side'; }
|
|
|
|
}
|
|
|
|
bollingerBand.previous = previous;
|
|
|
|
bollingerBandsMap.set(bollingerBand.begin, bollingerBand);
|
|
|
|
previous = bollingerBand;
|
|
}
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] buildBollingerBandsMap -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
|
|
function buildBollingerChannelsArray(dataFile, callBackFunction) {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] buildBollingerChannelsArray -> Entering function."); }
|
|
|
|
try {
|
|
|
|
let previous;
|
|
|
|
for (let i = 0; i < dataFile.length; i++) {
|
|
|
|
let bollingerChannel = {
|
|
begin: dataFile[i][0],
|
|
end: dataFile[i][1],
|
|
direction: dataFile[i][2],
|
|
period: dataFile[i][3],
|
|
firstMovingAverage: dataFile[i][4],
|
|
lastMovingAverage: dataFile[i][5],
|
|
firstDeviation: dataFile[i][6],
|
|
lastDeviation: dataFile[i][7]
|
|
};
|
|
|
|
bollingerChannel.previous = previous;
|
|
|
|
bollingerChannelsArray.push(bollingerChannel);
|
|
|
|
previous = bollingerChannel;
|
|
}
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] buildBollingerChannelsArray -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
|
|
function buildBollingerSubChannelsArray(dataFile, callBackFunction) {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] buildBollingerSubChannelsArray -> Entering function."); }
|
|
|
|
try {
|
|
|
|
let previous;
|
|
|
|
for (let i = 0; i < dataFile.length; i++) {
|
|
|
|
let bollingerSubChannel = {
|
|
begin: dataFile[i][0],
|
|
end: dataFile[i][1],
|
|
direction: dataFile[i][2],
|
|
slope: dataFile[i][3],
|
|
period: dataFile[i][4],
|
|
firstMovingAverage: dataFile[i][5],
|
|
lastMovingAverage: dataFile[i][6],
|
|
firstDeviation: dataFile[i][7],
|
|
lastDeviation: dataFile[i][8]
|
|
};
|
|
|
|
bollingerSubChannel.previous = previous;
|
|
|
|
bollingerSubChannelsArray.push(bollingerSubChannel);
|
|
|
|
previous = bollingerSubChannel;
|
|
}
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] buildBollingerSubChannelsArray -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
|
|
function buildCandles(dataFile, callBackFunction) {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] buildCandles -> Entering function."); }
|
|
|
|
try {
|
|
|
|
let previous;
|
|
|
|
for (let i = 0; i < dataFile.length; i++) {
|
|
|
|
let candle = {
|
|
open: undefined,
|
|
close: undefined,
|
|
min: 10000000000000,
|
|
max: 0,
|
|
begin: undefined,
|
|
end: undefined,
|
|
direction: undefined
|
|
};
|
|
|
|
candle.min = dataFile[i][0];
|
|
candle.max = dataFile[i][1];
|
|
|
|
candle.open = dataFile[i][2];
|
|
candle.close = dataFile[i][3];
|
|
|
|
candle.begin = dataFile[i][4];
|
|
candle.end = dataFile[i][5];
|
|
|
|
if (candle.open > candle.close) { candle.direction = 'down'; }
|
|
if (candle.open < candle.close) { candle.direction = 'up'; }
|
|
if (candle.open === candle.close) { candle.direction = 'side'; }
|
|
|
|
candle.previous = previous;
|
|
|
|
candles.push(candle);
|
|
|
|
previous = candle;
|
|
}
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] buildCandles -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
|
|
async function getStrategies() {
|
|
|
|
try {
|
|
|
|
const accessToken = await auth.authenticate()
|
|
|
|
let fbSlug = bot.codeName
|
|
if (process.env.TEST_FB !== undefined) {
|
|
fbSlug = process.env.TEST_FB
|
|
}
|
|
|
|
const strategizerResponse = await axios({
|
|
url: process.env.GATEWAY_ENDPOINT,
|
|
method: 'post',
|
|
data: {
|
|
query: `
|
|
query($fbSlug: String!){
|
|
strategizer_TradingSystemByFb(fbSlug: $fbSlug){
|
|
id
|
|
fbSlug
|
|
data
|
|
}
|
|
}
|
|
`,
|
|
variables: {
|
|
fbSlug: fbSlug
|
|
},
|
|
},
|
|
headers: {
|
|
authorization: 'Bearer ' + accessToken
|
|
}
|
|
})
|
|
|
|
if (strategizerResponse.data.errors)
|
|
throw new Error(strategizerResponse.data.errors[0].message)
|
|
|
|
return strategizerResponse.data.data.strategizer_TradingSystemByFb.data.strategies;
|
|
|
|
} catch (error) {
|
|
throw new Error('There has been an error getting the strategy to run on the simulator. Error: ' + error)
|
|
}
|
|
}
|
|
};
|
|
|
|
|
|
|