462 lines
21 KiB
JavaScript
462 lines
21 KiB
JavaScript
exports.newTradingExecution = function newTradingExecution(bot, logger, tradingEngineModule) {
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/*
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The Trading Execution modules manages the execution of orders against the exchanges.
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*/
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const MODULE_NAME = 'Trading Execution'
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let thisObject = {
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checkExecution: checkExecution,
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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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const EXCHANGE_API_MODULE = require('./ExchangeAPI.js')
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let exchangeAPIModule = EXCHANGE_API_MODULE.newExchangeAPI(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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exchangeAPIModule.initialize()
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}
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function finalize() {
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tradingSystem = undefined
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tradingEngine = undefined
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exchangeAPIModule.finalize()
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exchangeAPIModule = undefined
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}
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function checkExecution(executionNode, stageIsOpening, stageIsClosing, stageSizeLimit, stageOrdersSize, stageFilledSize) {
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/* Enforcing Precision Limit */
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stageSizeLimit.value = global.PRECISE(stageSizeLimit.value, 10)
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stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
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stageFilledSize.value = global.PRECISE(stageFilledSize.value, 10)
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checkExecutionAlgorithms(executionNode)
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function checkExecutionAlgorithms(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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checkOrders(executionAlgorithm.marketBuyOrders, executionAlgorithm, executionNode)
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checkOrders(executionAlgorithm.marketSellOrders, executionAlgorithm, executionNode)
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checkOrders(executionAlgorithm.limitBuyOrders, executionAlgorithm, executionNode)
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checkOrders(executionAlgorithm.limitSellOrders, executionAlgorithm, executionNode)
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}
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}
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function checkOrders(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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/* Trading System Validations */
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if (tradingSystemOrder.config.positionSizePercentage === undefined) { continue }
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if (tradingSystemOrder.referenceParent === undefined) { continue }
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let tradingEngineOrder = tradingEngineModule.getNodeById(tradingSystemOrder.referenceParent.id)
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/* Trading Engine Validations */
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if (tradingEngineOrder.serialNumber === undefined) { continue }
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if (tradingEngineOrder.identifier === undefined) { continue }
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if (tradingEngineOrder.exchangeId === undefined) { continue }
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if (tradingEngineOrder.begin === undefined) { continue }
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if (tradingEngineOrder.end === undefined) { continue }
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if (tradingEngineOrder.rate === undefined) { continue }
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if (tradingEngineOrder.size === undefined) { continue }
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if (tradingEngineOrder.status === undefined) { continue }
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if (tradingEngineOrder.algorithmName === undefined) { continue }
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if (tradingEngineOrder.orderCounters === undefined) { continue }
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if (tradingEngineOrder.orderCounters.periods === undefined) { continue }
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if (tradingEngineOrder.orderStatistics.days === undefined) { continue }
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if (tradingEngineOrder.orderStatistics.percentageFilled === undefined) { continue }
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if (tradingEngineOrder.orderStatistics.actualRate === undefined) { continue }
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if (tradingEngineOrder.orderStatistics.feesPaid === undefined) { continue }
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switch (tradingEngineOrder.status.value) {
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case 'Not Open': {
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{
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/* Check if we need to Create this Order */
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if (stageIsClosing === true) { continue }
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let situationName = checkOrderEvent(tradingSystemOrder.createOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
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if (situationName !== undefined) {
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/* Open a new order */
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openOrder(tradingSystemOrder, tradingEngineOrder, situationName)
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}
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}
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break
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}
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case 'Open': {
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tradingEngineOrder.end.value = tradingEngine.current.candle.end.value
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tradingEngineOrder.orderCounters.periods.value++
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tradingEngineOrder.orderStatistics.days.value = tradingEngineOrder.orderCounters.periods.value * sessionParameters.timeFrame.config.value / global.ONE_DAY_IN_MILISECONDS
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/* Simulate Events that happens at the Exchange, if needed. */
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simulateExchangeEvents(tradingSystemOrder, tradingEngineOrder)
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/* Check Events that happens at the Exchange, if needed. */
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checkExchangeEvents(tradingSystemOrder, tradingEngineOrder)
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/* If the stage is closing or the order is not still Open, we wont be cancelling orders based on defined events */
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if (stageIsClosing !== true && tradingEngineOrder.status.value === 'Open') {
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/* Check if we need to Cancel this Order */
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let situationName = checkOrderEvent(tradingSystemOrder.cancelOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
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if (situationName !== undefined) {
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simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
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exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
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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 openOrder(tradingSystemOrder, tradingEngineOrder, situationName) {
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/* Order Size Calculation */
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tradingEngineOrder.size.value = tradingSystem.formulas.get(executionAlgorithm.positionSize.formula.id) * tradingSystemOrder.config.positionSizePercentage / 100
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if (stageOrdersSize.value + tradingEngineOrder.size.value > stageSizeLimit.value) {
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/* We reduce the size to the remaining size of the position. */
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tradingEngineOrder.size.value = stageSizeLimit.value - stageOrdersSize.value
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tradingEngineOrder.size.value = global.PRECISE(tradingEngineOrder.size.value, 10)
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}
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/* Check Order Size */
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if (tradingEngineOrder.size.value <= 0) { return }
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/* Place Order at the Exchange */
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if (createOrderAtExchange(tradingSystemOrder, tradingEngineOrder) !== true) { return }
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/* Updating Episode Counters */
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tradingEngine.episode.episodeCounters.orders.value++
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/* Initialize this */
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tradingEngine.current.distanceToEvent.createOrder.value = 1
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/* Create Order Procedure */
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tradingEngineOrder.status.value = 'Open'
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tradingEngineOrder.identifier.value = global.UNIQUE_ID()
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tradingEngineOrder.begin.value = tradingEngine.current.candle.begin.value
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tradingEngineOrder.end.value = tradingEngine.current.candle.end.value
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tradingEngineOrder.serialNumber.value = tradingEngine.episode.episodeCounters.orders.value
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tradingEngineOrder.orderName.value = tradingSystemOrder.name
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tradingEngineOrder.algorithmName.value = executionAlgorithm.name
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tradingEngineOrder.situationName.value = situationName
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/* Order Rate Calculation */
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tradingEngineOrder.rate.value = tradingEngine.current.position.rate.value // By default this is the order rate.
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if (tradingSystemOrder.positionRate !== undefined) {
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if (tradingSystemOrder.positionRate.formula !== undefined) {
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tradingEngineOrder.rate.value = tradingSystem.formulas.get(tradingSystemOrder.positionRate.formula.id)
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tradingEngineOrder.rate.value = global.PRECISE(tradingEngineOrder.rate.value, 10)
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}
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}
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/* Update Stage Orders Size */
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stageOrdersSize.value = stageOrdersSize.value + tradingEngineOrder.size.value
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stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
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}
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function createOrderAtExchange(tradingSystemOrder, tradingEngineOrder) {
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/* Filter by Session Type */
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switch (bot.SESSION.type) {
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case 'Backtesting Session': {
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return true
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}
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case 'Live Trading Session': {
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break
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}
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case 'Fordward Testing Session': {
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break
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}
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case 'Paper Trading Session': {
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return true
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}
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}
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let orderId = exchangeAPIModule.createOrder(tradingSystemOrder, tradingEngineOrder)
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if (orderId !== undefined) {
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tradingEngineOrder.exchangeId.value = orderId
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return true
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}
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}
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function simulateExchangeEvents(tradingSystemOrder, tradingEngineOrder) {
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/* Filter by Session Type */
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switch (bot.SESSION.type) {
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case 'Backtesting Session': {
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break
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}
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case 'Live Trading Session': {
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return
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}
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case 'Fordward Testing Session': {
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return
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}
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case 'Paper Trading Session': {
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break
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}
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}
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/* Filter by what is defined at the Strategy */
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if (tradingSystemOrder.simulatedExchangeEvents === undefined) { return }
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/* Partial Fill Simulation */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability !== undefined) {
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/* Percentage Filled Calculation */
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let percentageFilled = tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability * 100
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if (tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled > 100) {
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percentageFilled = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
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}
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tradingEngineOrder.orderStatistics.percentageFilled.value = tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled
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if (tradingEngineOrder.orderStatistics.percentageFilled.value === 100) {
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/* Close this Order */
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tradingEngineOrder.status.value = 'Closed'
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tradingEngineOrder.exitType.value = 'Filled'
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/* Initialize this */
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tradingEngine.current.distanceToEvent.closeOrder.value = 1
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}
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/* Filled Size Calculation */
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stageFilledSize.value = stageFilledSize.value + tradingEngineOrder.size.value * percentageFilled / 100
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stageFilledSize.value = global.PRECISE(stageFilledSize.value, 10)
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if (stageIsClosing === true && tradingEngineOrder.status.value !== 'Closed') {
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simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Closing Stage')
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}
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}
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}
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/* Actual Rate Simulation */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
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if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.orderStatistics.actualRate.config.initialValue) {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingSystem.formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
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}
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}
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}
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/* Fees Paid Simulation */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage !== undefined) {
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if (tradingEngineOrder.orderStatistics.feesPaid.value === tradingEngineOrder.orderStatistics.feesPaid.config.initialValue) {
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tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value * tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100
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}
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}
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}
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}
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function checkExchangeEvents(tradingSystemOrder, tradingEngineOrder) {
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/* Filter by Session Type */
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switch (bot.SESSION.type) {
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case 'Backtesting Session': {
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return true
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}
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case 'Live Trading Session': {
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break
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}
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case 'Fordward Testing Session': {
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break
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}
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case 'Paper Trading Session': {
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return true
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}
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}
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let order = exchangeAPIModule.getOrder(tradingSystemOrder, tradingEngineOrder)
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if (order === undefined) { return }
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const AT_EXCHANGE_STATUS = {
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OPEN: 'open',
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CLOSED: 'closed',
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CANCELLED: 'canceled'
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}
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/* Status Checks */
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if (tradingEngineOrder.orderStatistics.percentageFilled.value === 100 && order.status === AT_EXCHANGE_STATUS.CLOSED) {
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/* Close this Order */
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tradingEngineOrder.status.value = 'Closed'
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tradingEngineOrder.exitType.value = 'Filled'
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/* Initialize this */
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tradingEngine.current.distanceToEvent.closeOrder.value = 1
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}
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if (tradingEngineOrder.orderStatistics.percentageFilled.value < 100 && order.status === AT_EXCHANGE_STATUS.CLOSED) {
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/* Close this Order */
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tradingEngineOrder.status.value = 'Closed'
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tradingEngineOrder.exitType.value = 'Closed at the Exchange'
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/* Initialize this */
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tradingEngine.current.distanceToEvent.closeOrder.value = 1
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}
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if (order.status === AT_EXCHANGE_STATUS.CANCELLED) {
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/* Close this Order */
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tradingEngineOrder.status.value = 'Closed'
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tradingEngineOrder.exitType.value = 'Cancelled at the Exchange'
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/* Initialize this */
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tradingEngine.current.distanceToEvent.closeOrder.value = 1
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}
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syncWithExchange(tradingSystemOrder, tradingEngineOrder, order)
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/* Forced Cancellation Check */
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if (stageIsClosing === true && tradingEngineOrder.status.value !== 'Closed') {
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exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Closing Stage')
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}
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}
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function syncWithExchange(tradingSystemOrder, tradingEngineOrder, order) {
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/* Percentage Filled */
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let currentPercentageFilled = tradingEngineOrder.orderStatistics.percentageFilled.value
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let percentageFilled = order.filled * 100 / tradingEngineOrder.size
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percentageFilled = global.PRECISE(percentageFilled.value, 10)
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tradingEngineOrder.orderStatistics.percentageFilled.value = percentageFilled
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/* Filled Size Calculation */
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stageFilledSize.value = stageFilledSize.value - tradingEngineOrder.size.value * currentPercentageFilled / 100 // First remove the current filled size
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stageFilledSize.value = stageFilledSize.value + tradingEngineOrder.size.value * percentageFilled / 100 // Second add the new filled size
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stageFilledSize.value = global.PRECISE(stageFilledSize.value, 10)
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/* Actual Rate Simulation */
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tradingEngineOrder.orderStatistics.actualRate.value = order.cost / order.filled
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tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
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/* Fees Paid Simulation */
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tradingEngineOrder.orderStatistics.feesPaid.value = order.fee.rate
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tradingEngineOrder.orderStatistics.feesPaid.value = global.PRECISE(tradingEngineOrder.orderStatistics.feesPaid.value, 10)
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}
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function simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, exitType) {
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/* Filter by Session Type */
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switch (bot.SESSION.type) {
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case 'Backtesting Session': {
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break
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}
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case 'Live Trading Session': {
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return
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}
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case 'Fordward Testing Session': {
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return
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}
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case 'Paper Trading Session': {
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break
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}
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}
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/* Close this Order */
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tradingEngineOrder.status.value = 'Closed'
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tradingEngineOrder.exitType.value = exitType
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/* Initialize this */
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tradingEngine.current.distanceToEvent.closeOrder.value = 1
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/* Since the order was cancelled, we remove the unfilled amount of the order from here */
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let unfilledPercentage = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
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let unfilledSize = tradingEngineOrder.size.value * unfilledPercentage / 100
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stageOrdersSize.value = stageOrdersSize.value - unfilledSize
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stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
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}
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function exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder, exitType) {
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/* Filter by Session Type */
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switch (bot.SESSION.type) {
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case 'Backtesting Session': {
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return
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}
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case 'Live Trading Session': {
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break
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}
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case 'Fordward Testing Session': {
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break
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}
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case 'Paper Trading Session': {
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return
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}
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}
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/* Check if we can cancel the order at the Exchange. */
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if (exchangeAPIModule.exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder) === true) {
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/* Close this Order */
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tradingEngineOrder.status.value = 'Closed'
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tradingEngineOrder.exitType.value = exitType
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/* Initialize this */
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tradingEngine.current.distanceToEvent.closeOrder.value = 1
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/* Since the order was cancelled, we remove the unfilled amount of the order from here */
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let unfilledPercentage = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
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let unfilledSize = tradingEngineOrder.size.value * unfilledPercentage / 100
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stageOrdersSize.value = stageOrdersSize.value - unfilledSize
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stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
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/*
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Perhaps the order was filled a bit more between the last time we checked and when it was cancelled.
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To sync our accounting, we need to check the order one last time and if it changed, fix it.
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*/
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let order = exchangeAPIModule.getOrder(tradingSystemOrder, tradingEngineOrder)
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if (order === undefined) { return }
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const AT_EXCHANGE_STATUS = {
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OPEN: 'open',
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CLOSED: 'closed',
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CANCELLED: 'canceled'
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}
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syncWithExchange(tradingSystemOrder, tradingEngineOrder, order)
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}
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}
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function checkOrderEvent(event, order, executionAlgorithm, executionNode) {
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if (event !== undefined) {
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for (let k = 0; k < event.situations.length; k++) {
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let situation = event.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(event.id)
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tradingSystem.highlights.push(order.id)
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tradingSystem.highlights.push(executionAlgorithm.id)
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tradingSystem.highlights.push(executionNode.id)
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announcementsModule.makeAnnoucements(event)
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return situation.name // if the event is triggered, we return the name of the situation that passed
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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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