519 lines
27 KiB
JavaScript
519 lines
27 KiB
JavaScript
exports.newTradingSession = function newTradingSession(bot, parentLogger) {
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const MODULE_NAME = "Trading Session"
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let thisObject = {
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initialize: initialize
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}
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const SOCIAL_BOTS_MODULE = require('./SocialBots.js')
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let socialBotsModule = SOCIAL_BOTS_MODULE.newSocialBots(bot, parentLogger)
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return thisObject;
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function initialize(pProcessConfig, callBackFunction) {
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try {
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/* Initialize this info so that everything is logged propeerly */
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bot.TRADING_SESSION = {
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name: bot.processNode.session.name,
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id: bot.processNode.session.id
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}
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/* Set the folderName for early logging */
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if (bot.processNode.session.config.folderName === undefined) {
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bot.TRADING_SESSION.folderName = bot.processNode.session.type.replace(' ', '-').replace(' ', '-') + '-' + bot.TRADING_SESSION.id
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} else {
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bot.TRADING_SESSION.folderName = bot.processNode.session.type.replace(' ', '-').replace(' ', '-') + '-' + bot.processNode.session.config.folderName
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}
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/* Check if there is a session */
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if (bot.processNode.session === undefined) {
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parentLogger.write(MODULE_NAME, "[ERROR] initialize -> Cannot run without a Session.");
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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return;
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}
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/* Listen to event to start or stop the session. */
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bot.TRADING_SESSIONKey = bot.processNode.session.name + '-' + bot.processNode.session.type + '-' + bot.processNode.session.id
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global.SESSION_MAP.set(bot.TRADING_SESSIONKey, bot.TRADING_SESSIONKey)
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global.EVENT_SERVER_CLIENT_MODULE.listenToEvent(bot.TRADING_SESSIONKey, 'Trading Session Status', undefined, bot.TRADING_SESSIONKey, undefined, onSessionStatus)
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global.EVENT_SERVER_CLIENT_MODULE.listenToEvent(bot.TRADING_SESSIONKey, 'Run Trading Session', undefined, bot.TRADING_SESSIONKey, undefined, onSessionRun)
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global.EVENT_SERVER_CLIENT_MODULE.listenToEvent(bot.TRADING_SESSIONKey, 'Stop Trading Session', undefined, bot.TRADING_SESSIONKey, undefined, onSessionStop)
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global.EVENT_SERVER_CLIENT_MODULE.listenToEvent(bot.TRADING_SESSIONKey, 'Resume Trading Session', undefined, bot.TRADING_SESSIONKey, undefined, onSessionResume)
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/* Connect this here so that it is accesible from other places */
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bot.TRADING_SESSIONError = sessionError
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bot.TRADING_SESSIONWarning = sessionWarning
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bot.TRADING_SESSIONInfo = sessionInfo
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/* Heartbeats sent to the UI */
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bot.TRADING_SESSIONHeartBeat = sessionHeartBeat
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callBackFunction(global.DEFAULT_OK_RESPONSE)
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return
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function onSessionStatus() {
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if (bot.TRADING_SESSION_STATUS === 'Running') {
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let event = {
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status: 'Trading Session Runnning'
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}
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global.EVENT_SERVER_CLIENT_MODULE.raiseEvent(bot.TRADING_SESSIONKey, 'Status Response', event)
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} else {
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let event = {
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status: 'Trading Session Not Runnning'
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}
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global.EVENT_SERVER_CLIENT_MODULE.raiseEvent(bot.TRADING_SESSIONKey, 'Status Response', event)
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}
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}
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function onSessionRun(message) {
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try {
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/* This happens when the UI is reloaded, the session was running and tries to run it again. */
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if (bot.TRADING_SESSION_STATUS === 'Idle' || bot.TRADING_SESSION_STATUS === 'Running') {
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parentLogger.write(MODULE_NAME, "[WARN] onSessionRun -> Event received to run the Session while it was already running. ")
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return
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}
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/* We are going to run the Definition comming at the event. */
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bot.TRADING_SYSTEM = JSON.parse(message.event.tradingSystem)
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bot.TRADING_ENGINE = JSON.parse(message.event.tradingEngine)
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bot.TRADING_SESSION = JSON.parse(message.event.session)
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bot.DEPENDENCY_FILTER = JSON.parse(message.event.dependencyFilter)
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bot.RESUME = false
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bot.FIRST_EXECUTION = true
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bot.TRADING_SESSION.stop = stopSession // stop function
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setUpSessionFolderName()
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/* We validate all parameters received and complete some that might be missing if needed. */
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if (checkParemeters() === false) { return }
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socialBotsModule.initialize()
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let allGood
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switch (bot.TRADING_SESSION.type) {
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case 'Backtesting Session': {
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allGood = startBackTesting(message)
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break
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}
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case 'Live Trading Session': {
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allGood = startLiveTrading(message)
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break
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}
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case 'Fordward Testing Session': {
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allGood = startFordwardTesting(message)
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break
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}
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case 'Paper Trading Session': {
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allGood = startPaperTrading(message)
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break
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}
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}
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if (allGood === true) {
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bot.TRADING_SESSION_STATUS = 'Idle'
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bot.STOP_SESSION = false
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} else {
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bot.STOP_SESSION = true
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parentLogger.write(MODULE_NAME, '[IMPORTANT] onSessionRun -> Stopping the Session now. ')
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}
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socialBotsModule.sendMessage(bot.TRADING_SESSION.type + " '" + bot.TRADING_SESSION.name + "' is starting.")
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} catch (err) {
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parentLogger.write(MODULE_NAME, "[ERROR] initialize -> onSessionRun -> err = " + err.stack);
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}
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}
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function onSessionStop() {
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stopSession('Session Stopped From the User Interface.')
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}
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function onSessionResume(message) {
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try {
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if (bot.TRADING_SESSION.stop === undefined) {
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parentLogger.write(MODULE_NAME, "[WARN] onSessionResume -> Event received to resume the Session that have never be ran before. ")
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return
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}
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/* This happens when the UI is reloaded, the session was running and tries to run it again. */
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if (bot.TRADING_SESSION_STATUS === 'Idle' || bot.TRADING_SESSION_STATUS === 'Running') {
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parentLogger.write(MODULE_NAME, "[WARN] onSessionResume -> Event received to resume the Session while it was already running. ")
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return
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}
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bot.RESUME = true
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bot.STOP_SESSION = false
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socialBotsModule.sendMessage(bot.TRADING_SESSION.type + " '" + bot.TRADING_SESSION.name + "' is resuming.")
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} catch (err) {
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parentLogger.write(MODULE_NAME, "[ERROR] initialize -> onSessionResume -> err = " + err.stack);
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}
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}
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function stopSession(commandOrigin) {
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socialBotsModule.sendMessage(bot.TRADING_SESSION.type + " '" + bot.TRADING_SESSION.name + "' is stopping " + commandOrigin)
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socialBotsModule.finalize()
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bot.STOP_SESSION = true
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parentLogger.write(MODULE_NAME, '[IMPORTANT] stopSession -> Stopping the Session now. ')
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sessionInfo(bot.TRADING_SESSION, commandOrigin)
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}
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function setUpSessionFolderName() {
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/*
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The session object is overwritten when the session is run. For that reason we
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need to setup again the folder name at the Session level.
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Set the folderName for logging, reports, context and data output
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*/
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let config
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if (bot.TRADING_SESSION.config !== undefined) {
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config = bot.TRADING_SESSION.config
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if (config.folderName === undefined) {
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bot.TRADING_SESSION.folderName = bot.processNode.session.type.replace(' ', '-').replace(' ', '-') + '-' + bot.TRADING_SESSION.id
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} else {
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bot.TRADING_SESSION.folderName = bot.processNode.session.type.replace(' ', '-').replace(' ', '-') + '-' + bot.processNode.session.config.folderName
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}
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}
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}
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function checkParemeters() {
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/*
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Here we check all the Session Parameters received. If something critical is missing we abort returning false. If something
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non critical is missing, we complete it with a default value.
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*/
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if (bot.TRADING_SESSION.tradingParameters === undefined) {
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let errorMessage = "Session Node with no Parameters."
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parentLogger.write(MODULE_NAME, "[ERROR] initialize -> checkParemeters -> " + errorMessage)
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bot.TRADING_SESSIONError(bot.TRADING_SESSION, errorMessage)
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return false
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}
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/* Time Range */
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if (bot.TRADING_SESSION.tradingParameters.timeRange === undefined) { // if the Time Range is missing we create a default one.
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bot.TRADING_SESSION.tradingParameters.timeRange = {
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name: 'Missing Time Range',
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type: 'Time Range',
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config: {
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initialDatetime: (new Date()).valueOf(),
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finalDatetime: (new Date()).valueOf() + global.ONE_YEAR_IN_MILISECONDS
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}
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}
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} else {
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/* Check that we received valid dates */
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if (bot.TRADING_SESSION.type === 'Backtesting Session') {
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if (isNaN(new Date(bot.TRADING_SESSION.tradingParameters.timeRange.config.initialDatetime)).valueOf()) {
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let errorMessage = "sessionParameters.timeRange.config.initialDatetime is not a valid date."
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parentLogger.write(MODULE_NAME, "[ERROR] initialize -> checkParemeters -> " + errorMessage)
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bot.TRADING_SESSIONError(bot.TRADING_SESSION.tradingParameters, errorMessage)
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return false
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}
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}
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if (isNaN(new Date(bot.TRADING_SESSION.tradingParameters.timeRange.config.finalDatetime)).valueOf()) {
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let errorMessage = "sessionParameters.timeRange.config.initialDatetime is not a valid date."
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parentLogger.write(MODULE_NAME, "[ERROR] initialize -> checkParemeters -> " + errorMessage)
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bot.TRADING_SESSIONError(bot.TRADING_SESSION.tradingParameters, errorMessage)
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return false
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}
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}
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/* Session Type Forced Values */
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let today = (new Date()).valueOf()
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let aYearAgo = today - global.ONE_YEAR_IN_MILISECONDS
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let aYearFromNow = today + global.ONE_YEAR_IN_MILISECONDS
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switch (bot.TRADING_SESSION.type) {
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case 'Backtesting Session': {
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useDefaultDatetimes(aYearAgo, today)
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break
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}
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case 'Live Trading Session': {
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useDefaultDatetimes(today, aYearFromNow)
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break
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}
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case 'Fordward Testing Session': {
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useDefaultDatetimes(today, aYearFromNow)
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break
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}
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case 'Paper Trading Session': {
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useDefaultDatetimes(today, aYearFromNow)
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break
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}
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}
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function useDefaultDatetimes(initialDefault, finalDefault) {
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/*
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Note that inside the system, we are going to deal with these
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dates in their numeric value representation.
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*/
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/* Initial Datetime */
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if (bot.TRADING_SESSION.type === 'Backtesting Session') {
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if (bot.TRADING_SESSION.tradingParameters.timeRange.config.initialDatetime === undefined) {
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bot.TRADING_SESSION.tradingParameters.timeRange.config.initialDatetime = initialDefault
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} else {
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bot.TRADING_SESSION.tradingParameters.timeRange.config.initialDatetime = (new Date(bot.TRADING_SESSION.tradingParameters.timeRange.config.initialDatetime)).valueOf()
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}
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} else {
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/* Non backtest session can start from the past only if explicitly configured that way */
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if (bot.TRADING_SESSION.tradingParameters.timeRange.config.initialDatetime === undefined || bot.TRADING_SESSION.tradingParameters.timeRange.config.allowStartingFromThePast !== true) {
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bot.TRADING_SESSION.tradingParameters.timeRange.config.initialDatetime = initialDefault
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} else {
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bot.TRADING_SESSION.tradingParameters.timeRange.config.initialDatetime = (new Date(bot.TRADING_SESSION.tradingParameters.timeRange.config.initialDatetime)).valueOf()
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}
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}
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/* Final Datetime */
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if (bot.TRADING_SESSION.tradingParameters.timeRange.config.finalDatetime === undefined) {
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bot.TRADING_SESSION.tradingParameters.timeRange.config.finalDatetime = finalDefault
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} else {
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bot.TRADING_SESSION.tradingParameters.timeRange.config.finalDatetime = (new Date(bot.TRADING_SESSION.tradingParameters.timeRange.config.finalDatetime)).valueOf()
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}
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}
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/* Time Frame */
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if (bot.TRADING_SESSION.tradingParameters.timeFrame === undefined) {
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let errorMessage = "Session Parameters Node with no Time Frame."
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parentLogger.write(MODULE_NAME, "[ERROR] initialize -> checkParemeters -> " + errorMessage)
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bot.TRADING_SESSIONError(bot.TRADING_SESSION.tradingParameters, errorMessage)
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return false
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}
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if (bot.TRADING_SESSION.tradingParameters.timeFrame.config.label === undefined) {
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let errorMessage = "Session Parameters Node with no Time Frame Label configuration."
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parentLogger.write(MODULE_NAME, "[ERROR] initialize -> checkParemeters -> " + errorMessage)
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bot.TRADING_SESSIONError(bot.TRADING_SESSION.tradingParameters.timeFrame, errorMessage)
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return false
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}
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bot.TRADING_SESSION.tradingParameters.timeFrame.config.value = getTimeFrameFromLabel(bot.TRADING_SESSION.tradingParameters.timeFrame.config.label)
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if (bot.TRADING_SESSION.tradingParameters.timeFrame.config.value === undefined) {
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let errorMessage = "Config error: label value not recognized. Try 01-min or 01-hs for example."
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parentLogger.write(MODULE_NAME, "[ERROR] initialize -> checkParemeters -> " + errorMessage)
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bot.TRADING_SESSIONError(bot.TRADING_SESSION.tradingParameters.timeFrame, errorMessage)
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return false
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}
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/* Session Base Asset */
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if (bot.TRADING_SESSION.tradingParameters.sessionBaseAsset === undefined) {
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let errorMessage = "Session Parameters Node with no Session Base Asset."
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parentLogger.write(MODULE_NAME, "[ERROR] initialize -> checkParemeters -> " + errorMessage)
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bot.TRADING_SESSIONError(bot.TRADING_SESSION.tradingParameters, errorMessage)
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return false
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}
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if (bot.TRADING_SESSION.tradingParameters.sessionBaseAsset.config.initialBalance === undefined) {
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let errorMessage = "Session Parameters Session Base Asset with no initialBalance configuration."
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parentLogger.write(MODULE_NAME, "[ERROR] initialize -> checkParemeters -> " + errorMessage)
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bot.TRADING_SESSIONError(bot.TRADING_SESSION.tradingParameters.sessionBaseAsset, errorMessage)
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return false
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}
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/* Session Quoted Asset */
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if (bot.TRADING_SESSION.tradingParameters.sessionQuotedAsset === undefined) {
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let errorMessage = "Session Parameters Node with no Session Quoted Asset."
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parentLogger.write(MODULE_NAME, "[ERROR] initialize -> checkParemeters -> " + errorMessage)
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bot.TRADING_SESSIONError(bot.TRADING_SESSION.tradingParameters, errorMessage)
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return false
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}
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if (bot.TRADING_SESSION.tradingParameters.sessionQuotedAsset.config.initialBalance === undefined) {
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let errorMessage = "Session Parameters Session Quoted Asset with no initialBalance configuration."
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parentLogger.write(MODULE_NAME, "[ERROR] initialize -> checkParemeters -> " + errorMessage)
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bot.TRADING_SESSIONError(bot.TRADING_SESSION.tradingParameters.sessionQuotedAsset, errorMessage)
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return false
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}
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/* Slippage */
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if (bot.TRADING_SESSION.tradingParameters.slippage === undefined) { // if the Slippage is missing we create a default one.
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bot.TRADING_SESSION.tradingParameters.slippage = {
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name: 'Missing Slippage',
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type: 'Slippage',
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config: {
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marketOrderRate: 0,
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stopLoss: 0,
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takeProfit: 0
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}
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}
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}
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if (bot.TRADING_SESSION.tradingParameters.slippage.config.marketOrderRate === undefined) { // if the marketOrderRate is missing we create a default one.
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bot.TRADING_SESSION.tradingParameters.slippage.config.marketOrderRate = 0
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}
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if (bot.TRADING_SESSION.tradingParameters.slippage.config.stopLoss === undefined) { // if the stopLoss is missing we create a default one.
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bot.TRADING_SESSION.tradingParameters.slippage.config.stopLoss = 0
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}
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if (bot.TRADING_SESSION.tradingParameters.slippage.config.takeProfit === undefined) { // if the takeProfit is missing we create a default one.
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bot.TRADING_SESSION.tradingParameters.slippage.config.takeProfit = 0
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}
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/* Fee Structure */
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if (bot.TRADING_SESSION.tradingParameters.feeStructure === undefined) { // if the Fee Structure is missing we create a default one.
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bot.TRADING_SESSION.tradingParameters.feeStructure = {
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name: 'Missing Fee Structure',
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type: 'Fee Structure',
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config: {
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maker: 0,
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taker: 0
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}
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}
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}
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if (bot.TRADING_SESSION.tradingParameters.feeStructure.config.maker === undefined) { // if the maker is missing we create a default one.
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bot.TRADING_SESSION.tradingParameters.feeStructure.config.maker = 0
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}
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if (bot.TRADING_SESSION.tradingParameters.feeStructure.config.taker === undefined) { // if the taker is missing we create a default one.
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bot.TRADING_SESSION.tradingParameters.feeStructure.config.taker = 0
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}
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return true
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}
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function startBackTesting(message) {
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return true
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}
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function startLiveTrading(message) {
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if (bot.KEY === undefined || bot.SECRET === undefined) {
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let errorMessage = "Key 'codeName' or 'secret' not provided. Plese check that and try again."
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parentLogger.write(MODULE_NAME, "[ERROR] initialize -> startLiveTrading -> " + errorMessage)
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bot.TRADING_SESSIONError(bot.TRADING_SESSION, errorMessage)
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return false
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}
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return true
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}
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function startFordwardTesting(message) {
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if (bot.KEY === undefined || bot.SECRET === undefined) {
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parentLogger.write(MODULE_NAME, "[WARN] initialize -> startFordwardTesting -> Key name or Secret not provided, not possible to run the process in Forward Testing mode.")
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console.log("Key 'codeName' or 'secret' not provided. Plese check that and try again.")
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return false
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}
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/* Reduce the balance */
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let balancePercentage = 1 // This is the default value
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if (bot.TRADING_SESSION.config.balancePercentage !== undefined) {
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balancePercentage = bot.TRADING_SESSION.config.balancePercentage
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}
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bot.TRADING_SESSION.tradingParameters.sessionBaseAsset.config.initialBalance = bot.TRADING_SESSION.tradingParameters.sessionBaseAsset.config.initialBalance * balancePercentage / 100
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bot.TRADING_SESSION.tradingParameters.sessionQuotedAsset.config.initialBalance = bot.TRADING_SESSION.tradingParameters.sessionQuotedAsset.config.initialBalance * balancePercentage / 100
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bot.TRADING_SESSION.tradingParameters.sessionBaseAsset.config.minimumBalance = bot.TRADING_SESSION.tradingParameters.sessionBaseAsset.config.minimumBalance * balancePercentage / 100
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bot.TRADING_SESSION.tradingParameters.sessionQuotedAsset.config.minimumBalance = bot.TRADING_SESSION.tradingParameters.sessionQuotedAsset.config.minimumBalance * balancePercentage / 100
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bot.TRADING_SESSION.tradingParameters.sessionBaseAsset.config.maximumBalance = bot.TRADING_SESSION.tradingParameters.sessionBaseAsset.config.maximumBalance * balancePercentage / 100
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bot.TRADING_SESSION.tradingParameters.sessionQuotedAsset.config.maximumBalance = bot.TRADING_SESSION.tradingParameters.sessionQuotedAsset.config.maximumBalance * balancePercentage / 100
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pProcessConfig.normalWaitTime = bot.TRADING_SESSION.tradingParameters.timeFrame.config.value
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return true
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}
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function startPaperTrading(message) {
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return true
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}
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function getTimeFrameFromLabel(timeFrameLabel) {
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for (let i = 0; i < TS.projects.superalgos.globals.timeFrames.marketFilesPeriods().length; i++) {
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let value = TS.projects.superalgos.globals.timeFrames.marketFilesPeriods()[i][0]
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let label = TS.projects.superalgos.globals.timeFrames.marketFilesPeriods()[i][1]
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if (timeFrameLabel === label) {
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return value
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}
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}
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for (let i = 0; i < TS.projects.superalgos.globals.timeFrames.dailyFilePeriods().length; i++) {
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let value = TS.projects.superalgos.globals.timeFrames.dailyFilePeriods()[i][0]
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let label = TS.projects.superalgos.globals.timeFrames.dailyFilePeriods()[i][1]
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if (timeFrameLabel === label) {
|
|
return value
|
|
}
|
|
}
|
|
}
|
|
|
|
function sessionHeartBeat(processingDate, percentage, status) {
|
|
let event = {
|
|
seconds: (new Date()).getSeconds(),
|
|
processingDate: processingDate,
|
|
percentage: percentage,
|
|
status: status
|
|
}
|
|
global.EVENT_SERVER_CLIENT_MODULE.raiseEvent(bot.TRADING_SESSIONKey, 'Heartbeat', event)
|
|
|
|
if (global.STOP_TASK_GRACEFULLY === true) {
|
|
bot.STOP_SESSION = true
|
|
parentLogger.write(MODULE_NAME, '[IMPORTANT] sessionHeartBeat -> Stopping the Session now. ')
|
|
}
|
|
}
|
|
|
|
function sessionError(node, errorMessage) {
|
|
let event
|
|
if (node !== undefined) {
|
|
event = {
|
|
nodeName: node.name,
|
|
nodeType: node.type,
|
|
nodeId: node.id,
|
|
errorMessage: errorMessage
|
|
}
|
|
} else {
|
|
event = {
|
|
errorMessage: errorMessage
|
|
}
|
|
}
|
|
global.EVENT_SERVER_CLIENT_MODULE.raiseEvent(bot.TRADING_SESSIONKey, 'Error', event)
|
|
|
|
if (global.STOP_TASK_GRACEFULLY === true) {
|
|
bot.STOP_SESSION = true
|
|
parentLogger.write(MODULE_NAME, '[IMPORTANT] sessionError -> Stopping the Session now. ')
|
|
}
|
|
}
|
|
|
|
function sessionWarning(node, warningMessage) {
|
|
let event
|
|
if (node !== undefined) {
|
|
event = {
|
|
nodeName: node.name,
|
|
nodeType: node.type,
|
|
nodeId: node.id,
|
|
warningMessage: warningMessage
|
|
}
|
|
} else {
|
|
event = {
|
|
warningMessage: warningMessage
|
|
}
|
|
}
|
|
global.EVENT_SERVER_CLIENT_MODULE.raiseEvent(bot.TRADING_SESSIONKey, 'Warning', event)
|
|
|
|
if (global.STOP_TASK_GRACEFULLY === true) {
|
|
bot.STOP_SESSION = true
|
|
parentLogger.write(MODULE_NAME, '[IMPORTANT] sessionWarning -> Stopping the Session now. ')
|
|
}
|
|
}
|
|
|
|
function sessionInfo(node, infoMessage) {
|
|
let event
|
|
if (node !== undefined) {
|
|
event = {
|
|
nodeName: node.name,
|
|
nodeType: node.type,
|
|
nodeId: node.id,
|
|
infoMessage: infoMessage
|
|
}
|
|
} else {
|
|
event = {
|
|
infoMessage: infoMessage
|
|
}
|
|
}
|
|
global.EVENT_SERVER_CLIENT_MODULE.raiseEvent(bot.TRADING_SESSIONKey, 'Info', event)
|
|
|
|
if (global.STOP_TASK_GRACEFULLY === true) {
|
|
bot.STOP_SESSION = true
|
|
parentLogger.write(MODULE_NAME, '[IMPORTANT] sessionInfo -> Stopping the Session now. ')
|
|
}
|
|
}
|
|
|
|
} catch (err) {
|
|
parentLogger.write(MODULE_NAME, "[ERROR] initialize -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
};
|