1293 lines
67 KiB
JavaScript
1293 lines
67 KiB
JavaScript
exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineModule) {
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/*
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The Trading Orders modules manages the execution of orders against the exchanges.
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*/
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const MODULE_NAME = 'Trading Orders'
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let thisObject = {
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mantain: mantain,
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reset: reset,
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checkOrders: checkOrders,
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initialize: initialize,
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finalize: finalize
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}
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let tradingEngine
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let tradingSystem
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let sessionParameters
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const EXCHANGE_API_MODULE = require('./ExchangeAPI.js')
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let exchangeAPIModule = EXCHANGE_API_MODULE.newExchangeAPI(bot, logger)
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const ANNOUNCEMENTS_MODULE = require('./Announcements.js')
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let announcementsModule = ANNOUNCEMENTS_MODULE.newAnnouncements(bot, logger)
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return thisObject
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function initialize() {
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tradingSystem = bot.simulationState.tradingSystem
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tradingEngine = bot.simulationState.tradingEngine
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sessionParameters = bot.SESSION.parameters
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exchangeAPIModule.initialize()
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announcementsModule.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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sessionParameters = undefined
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exchangeAPIModule.finalize()
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exchangeAPIModule = undefined
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announcementsModule.finalize()
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announcementsModule = undefined
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}
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function mantain() {
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mantainReset(true, false)
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}
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function reset() {
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mantainReset(false, true)
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}
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function mantainReset(mantain, reset) {
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if (tradingEngine.current.strategy.index.value === tradingEngine.current.strategy.index.config.initialValue) { return }
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let stageNode
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let executionNode
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stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
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executionNode = stageNode.openExecution
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processExecutionNode(executionNode, tradingEngine.current.strategyOpenStage.status.value)
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stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].closeStage
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executionNode = stageNode.closeExecution
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processExecutionNode(executionNode, tradingEngine.current.strategyCloseStage.status.value)
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function processExecutionNode(executionNode, stageStatus) {
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preocessExecutionAlgorithms(executionNode)
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function preocessExecutionAlgorithms(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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processOrders(executionAlgorithm.marketBuyOrders)
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processOrders(executionAlgorithm.marketSellOrders)
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processOrders(executionAlgorithm.limitBuyOrders)
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processOrders(executionAlgorithm.limitSellOrders)
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}
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}
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function processOrders(orders) {
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for (let i = 0; i < orders.length; i++) {
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let tradingSystemOrder = orders[i]
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if (tradingSystemOrder.referenceParent === undefined) {
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badDefinitionUnhandledException(undefined, 'tradingSystemOrder.referenceParent === undefined', tradingSystemOrder)
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}
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let tradingEngineOrder = tradingEngineModule.getNodeById(tradingSystemOrder.referenceParent.id)
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if (tradingEngineOrder.status === undefined) {
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badDefinitionUnhandledException(undefined, 'tradingEngineOrder.status === undefined', tradingEngineOrder)
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}
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if (mantain === true) {
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updateCounters(tradingEngineOrder)
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updateEnds(tradingEngineOrder)
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updateStatistics(tradingEngineOrder)
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}
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if (reset === true) {
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resetTradingEngineDataStructure(tradingEngineOrder, tradingSystemOrder, stageStatus)
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}
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}
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}
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}
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}
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async function checkOrders(tradingEngineStage, 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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tradingSystemValidations(tradingSystemOrder)
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let tradingEngineOrder = tradingEngineModule.getNodeById(tradingSystemOrder.referenceParent.id)
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tradingEngineValidations(tradingEngineOrder)
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switch (tradingEngineOrder.status.value) {
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case 'Not Open': {
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{
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/* During the First cycle we can not create new orders. That is reserved for the Second cycle. */
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if (tradingEngine.current.episode.cycle.value === 'First') { continue }
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/* When the stage is closing we can not create new orders */
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if (tradingEngineStage.status.value === 'Closing') { continue }
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/*
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Check if we can create an order based on the config value for spawnMultipleOrders.
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Trading System Orders that cannot spawn more than one Trading Engine Order needs to check if
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at the Trading Engine Order the lock is Open or Closed.
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*/
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if (tradingSystemOrder.config.spawnMultipleOrders !== true) {
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if (tradingEngineOrder.lock.value === 'Closed') {
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tradingSystem.infos.push(['Order ' + tradingSystemOrder.name + ' skipped because lock was closed.'])
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continue
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}
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}
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/* Check if we need to Create this Order */
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let situationName = await 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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await tryToOpenOrder(tradingEngineStage, executionAlgorithm, 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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/* During the Second cycle we can not cancel orders. That is reserved for the First cycle. */
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if (tradingEngine.current.episode.cycle.value === 'Second') { continue }
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/* Simulate Events that happens at the Exchange, if needed. */
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simulateExchangeEvents(tradingEngineStage, tradingSystemOrder, tradingEngineOrder)
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/* Check Events that happens at the Exchange, if needed. */
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let allGood = await checkExchangeEvents(tradingEngineStage, tradingSystemOrder, tradingEngineOrder)
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if (allGood !== true) {
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/*
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For some reason we could not check the order at the exchange, so we will not even check if we
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need to cancel it, since we could end up with inconsisten information at the accounting level.
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*/
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if (tradingSystemOrder.cancelOrderEvent !== undefined) {
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tradingSystem.warnings.push([tradingSystemOrder.cancelOrderEvent.id, 'Skipping Cancel Event Checking because cheking the order at the exchange failed.'])
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}
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return
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}
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/* Check if we need to cancel the order */
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await checkCancelOrderEvent(tradingEngineStage, executionAlgorithm, executionNode, tradingEngineOrder, tradingSystemOrder)
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/*
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If by this time the order is closed, we need to clone it and get the close
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to the Last node at the Trading Engine data structure.
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*/
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if (tradingEngineOrder.status.value === 'Closed') {
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switch (tradingEngineOrder.type) {
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case 'Market Order': {
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tradingEngineModule.cloneValues(tradingEngineOrder, tradingEngine.last.marketOrders)
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break
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}
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case 'Limit Order': {
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tradingEngineModule.cloneValues(tradingEngineOrder, tradingEngine.last.limitOrders)
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break
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}
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}
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}
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}
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}
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}
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}
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async function checkCancelOrderEvent(tradingEngineStage, executionAlgorithm, executionNode, tradingEngineOrder, tradingSystemOrder) {
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/*
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In the previous steps, we might have discovered that the order was cancelled
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at the exchange, or filled, so the order might still not be Open.
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If the stage is closing or the order is not Open, we wont be cancelling orders
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based on defined events.
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*/
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if (tradingEngineStage.status.value !== 'Closing' && tradingEngineOrder.status.value === 'Open') {
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/* Check if we need to Cancel this Order */
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let situationName = await checkOrderEvent(tradingSystemOrder.cancelOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
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if (situationName !== undefined) {
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/* Simulate Order Cancelation, if needed. */
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simulateCancelOrder(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
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/* Cancel the order at the Exchange, if needed. */
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await exchangeCancelOrder(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
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await updateEndsWithCycle(tradingEngineOrder)
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}
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}
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}
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function tradingSystemValidations(tradingSystemOrder) {
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/* Trading System Validations */
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if (tradingSystemOrder.config.percentageOfAlgorithmSize === undefined) { badDefinitionUnhandledException(undefined, 'tradingSystemOrder.config.percentageOfAlgorithmSize === undefined', tradingSystemOrder) }
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if (tradingSystemOrder.referenceParent === undefined) { badDefinitionUnhandledException(undefined, 'tradingSystemOrder.referenceParent === undefined', tradingSystemOrder) }
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}
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function tradingEngineValidations(tradingEngineOrder) {
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/* Trading Engine Order Validations */
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if (tradingEngineOrder.serialNumber === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.serialNumber === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.identifier === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.identifier === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.exchangeId === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.exchangeId === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.begin === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.begin === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.end === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.end === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.rate === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.rate === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.status === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.status === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.algorithmName === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.algorithmName === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderCounters === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderCounters === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderCounters.periods === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderCounters.periods === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderStatistics.days === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderStatistics.days === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderStatistics.percentageFilled === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderStatistics.percentageFilled === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderStatistics.actualRate === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderStatistics.actualRate === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderBaseAsset.size === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderBaseAsset.size === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderBaseAsset.sizeFilled === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderBaseAsset.sizeFilled === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderBaseAsset.feesPaid === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderBaseAsset.feesPaid === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderQuotedAsset.size === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderQuotedAsset.size === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderQuotedAsset.sizeFilled === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderQuotedAsset.sizeFilled === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderQuotedAsset.feesPaid === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderQuotedAsset.feesPaid === undefined', tradingEngineOrder) }
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}
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async function tryToOpenOrder(tradingEngineStage, executionAlgorithm, tradingSystemOrder, tradingEngineOrder, situationName) {
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await calculateOrderRate()
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await calculateOrderSize()
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/* Check Size: We are not going to create Orders which size is equal or less to zero. */
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if (tradingEngineOrder.orderBaseAsset.size.value <= 0 || tradingEngineOrder.orderQuotedAsset.size.value <= 0) {
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tradingSystem.warnings.push([tradingSystemOrder.id, 'Could not open this order because its size would be zero.'])
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return
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}
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/* Place Order at the Exchange, if needed. */
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let result = await createOrderAtExchange(tradingSystemOrder, tradingEngineOrder)
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if (result !== true) {
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tradingSystem.warnings.push([tradingSystemOrder.id, 'Could not open this order because something failed placing the order at the Exchange.'])
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return
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}
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/* Update Stage Placed Size */
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tradingEngineStage.stageBaseAsset.sizePlaced.value = tradingEngineStage.stageBaseAsset.sizePlaced.value + tradingEngineOrder.orderBaseAsset.size.value
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tradingEngineStage.stageBaseAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageBaseAsset.sizePlaced.value, 10)
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tradingEngineStage.stageQuotedAsset.sizePlaced.value = tradingEngineStage.stageQuotedAsset.sizePlaced.value + tradingEngineOrder.orderQuotedAsset.size.value
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tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
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/* Updating Episode Counters */
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tradingEngine.current.episode.episodeCounters.orders.value++
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/* Initialize this */
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tradingEngine.current.episode.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.episode.cycle.begin.value
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tradingEngineOrder.end.value = tradingEngine.current.episode.cycle.end.value
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tradingEngineOrder.serialNumber.value = tradingEngine.current.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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async function calculateOrderRate() {
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/* Optional Rate Definition */
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if (tradingSystemOrder.type === 'Limit Buy Order' || tradingSystemOrder.type === 'Limit Sell Order') {
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if (tradingSystemOrder.orderRate === undefined) { badDefinitionUnhandledException(undefined, 'tradingSystemOrder.orderRate === undefined', tradingSystemOrder) }
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if (tradingSystemOrder.orderRate.formula === undefined) { badDefinitionUnhandledException(undefined, 'tradingSystemOrder.orderRate.formula === undefined', tradingSystemOrder) }
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/* Extract the rate value from the user-defined formula */
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tradingEngineOrder.rate.value = tradingSystem.formulas.get(tradingSystemOrder.orderRate.formula.id)
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/* Final rate validations */
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if (tradingEngineOrder.rate.value === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.rate.value === undefined', tradingSystemOrder) }
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if (isNaN(tradingEngineOrder.rate.value) === true) { badDefinitionUnhandledException(undefined, 'isNaN(tradingEngineOrder.rate.value) === true', tradingSystemOrder) }
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if (tradingEngineOrder.rate.value <= 0) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.rate.value <= 0', tradingSystemOrder) }
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tradingEngineOrder.rate.value = global.PRECISE(tradingEngineOrder.rate.value, 10)
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} else {
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/*
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For Market Orders, the rate is irrelevant, since it is not sent to the Exchange.
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We store at this field the last know price as a reference.
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*/
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tradingEngineOrder.rate.value = tradingEngine.current.episode.candle.close.value
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}
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}
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async function calculateOrderSize() {
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/* Validate that this config exists */
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if (executionAlgorithm.config.percentageOfStageTargetSize === undefined) { badDefinitionUnhandledException(undefined, 'executionAlgorithm.config.percentageOfStageTargetSize === undefined', executionAlgorithm) }
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if (isNaN(executionAlgorithm.config.percentageOfStageTargetSize) === true) { badDefinitionUnhandledException(undefined, 'isNaN(executionAlgorithm.config.percentageOfStageTargetSize) === true', executionAlgorithm) }
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let algorithmSizeInBaseAsset = tradingEngineStage.stageBaseAsset.targetSize.value * executionAlgorithm.config.percentageOfStageTargetSize / 100
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let algorithmSizeInQuotedAsset = tradingEngineStage.stageQuotedAsset.targetSize.value * executionAlgorithm.config.percentageOfStageTargetSize / 100
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/* Validate that this config exists */
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if (tradingSystemOrder.config.percentageOfAlgorithmSize === undefined) { badDefinitionUnhandledException(undefined, 'tradingSystemOrder.config.percentageOfAlgorithmSize === undefined', tradingSystemOrder) }
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if (isNaN(tradingSystemOrder.config.percentageOfAlgorithmSize) === true) { badDefinitionUnhandledException(undefined, 'isNaN(tradingSystemOrder.config.percentageOfAlgorithmSize) === true', tradingSystemOrder) }
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/*
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The Size calculation depends on how the user defined the size of the position.
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The user could have defined the size of the position in Base Asset or Quoted Asset.
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*/
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switch (tradingEngineStage.stageDefinedIn.value) {
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case 'Base Asset': {
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/* Size in Base Asset */
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tradingEngineOrder.orderBaseAsset.size.value = algorithmSizeInBaseAsset * tradingSystemOrder.config.percentageOfAlgorithmSize / 100
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/* Check that the Size calculated would not surpass Stage Target Size */
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if (
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tradingEngineOrder.orderBaseAsset.size.value + tradingEngineStage.stageBaseAsset.sizePlaced.value >
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tradingEngineStage.stageBaseAsset.targetSize.value
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) {
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tradingEngineOrder.orderBaseAsset.size.value = tradingEngineStage.stageBaseAsset.targetSize.value - tradingEngineStage.stageBaseAsset.sizePlaced.value
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}
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/* Size in Quoted Asset */
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tradingEngineOrder.orderQuotedAsset.size.value = tradingEngineOrder.orderBaseAsset.size.value * tradingEngineOrder.rate.value
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break
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}
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case 'Quoted Asset': {
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/* Size in Quoted Asset */
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tradingEngineOrder.orderQuotedAsset.size.value = algorithmSizeInQuotedAsset * tradingSystemOrder.config.percentageOfAlgorithmSize / 100
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/* Check that the Size calculated would not surpass Stage Target Size */
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if (
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tradingEngineOrder.orderQuotedAsset.size.value + tradingEngineStage.stageQuotedAsset.sizePlaced.value >
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tradingEngineStage.stageQuotedAsset.targetSize.value
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) {
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tradingEngineOrder.orderQuotedAsset.size.value = tradingEngineStage.stageQuotedAsset.targetSize.value - tradingEngineStage.stageQuotedAsset.sizePlaced.value
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}
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/* Size in Base Asset */
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tradingEngineOrder.orderBaseAsset.size.value = tradingEngineOrder.orderQuotedAsset.size.value / tradingEngineOrder.rate.value
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break
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}
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}
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tradingEngineOrder.orderBaseAsset.size.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.size.value, 10)
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tradingEngineOrder.orderQuotedAsset.size.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.size.value, 10)
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}
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async 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 = await 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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}
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function simulateExchangeEvents(tradingEngineStage, 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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let previousQuotedAssetSize = tradingEngineOrder.orderQuotedAsset.size.value
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let previousBaseAssetSizeFilled = tradingEngineOrder.orderBaseAsset.sizeFilled.value
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let previousQuotedAssetSizeFilled = tradingEngineOrder.orderQuotedAsset.sizeFilled.value
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let previousBaseAssetFeesPaid = tradingEngineOrder.orderBaseAsset.feesPaid.value
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let previousQuotedAssetFeesPaid = tradingEngineOrder.orderQuotedAsset.feesPaid.value
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actualRateSimulation()
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percentageFilledSimulation()
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feesPaidSimulation()
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sizeFilledSimulation()
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doTheAccounting(
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tradingEngineStage,
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tradingSystemOrder,
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tradingEngineOrder,
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previousBaseAssetSizeFilled,
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previousQuotedAssetSizeFilled,
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previousBaseAssetFeesPaid,
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previousQuotedAssetFeesPaid
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)
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/* If the Stage is Closing and this order is still open, we need to cancel it now */
|
|
if (tradingEngineStage.status.value === 'Closing' && tradingEngineOrder.status.value !== 'Closed') {
|
|
simulateCancelOrder(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, 'Closing Stage')
|
|
}
|
|
|
|
function actualRateSimulation() {
|
|
/* Actual Rate Simulation */
|
|
let calculatedBasedOnTradingSystem = false
|
|
|
|
basedOnTradingSystem()
|
|
basedOnSessionParameters()
|
|
considerBestMatchWithOrderBook()
|
|
recalculateQuotedAsset()
|
|
recalculateSizePlaced()
|
|
|
|
function basedOnTradingSystem() {
|
|
/* Based on the Trading System Definition */
|
|
if (tradingSystemOrder.simulatedExchangeEvents !== undefined) {
|
|
if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
|
|
if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
|
|
/* Calculate this only once for this order */
|
|
if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.orderStatistics.actualRate.config.initialValue) {
|
|
tradingEngineOrder.orderStatistics.actualRate.value = tradingSystem.formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
|
|
if (tradingEngineOrder.orderStatistics.actualRate.value !== undefined) {
|
|
calculatedBasedOnTradingSystem = true
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function basedOnSessionParameters() {
|
|
/* Based on the Session Parameters Definition */
|
|
if (calculatedBasedOnTradingSystem === false) {
|
|
switch (tradingEngineOrder.type) {
|
|
case 'Market Order': {
|
|
/* Actual Rate is simulated based on the Session Paremeters */
|
|
let slippageAmount = tradingEngineOrder.rate.value * sessionParameters.slippage.config.positionRate / 100
|
|
switch (tradingSystemOrder.type) {
|
|
case 'Market Sell Order': {
|
|
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value - slippageAmount
|
|
break
|
|
}
|
|
case 'Market Buy Order': {
|
|
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value + slippageAmount
|
|
break
|
|
}
|
|
}
|
|
break
|
|
}
|
|
case 'Limit Order': {
|
|
/* In Limit Orders the actual rate is the rate of the order, there is no slippage */
|
|
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value
|
|
break
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function considerBestMatchWithOrderBook() {
|
|
/*
|
|
Until here we have got the rate based on the formula definition or based on session parameters slippage.
|
|
THe last check is about watching what happened in the market. Let's remember that the exchange will
|
|
fill the order with the best possible matches at it's order book. That means that if the rate
|
|
we set for the order was too low (for a sale order) or too hight (for a buy order), the actual rate
|
|
should be better than expected.
|
|
*/
|
|
switch (true) {
|
|
case tradingSystemOrder.type === 'Market Buy Order' || tradingSystemOrder.type === 'Limit Buy Order': {
|
|
if (tradingEngineOrder.orderStatistics.actualRate.value > tradingEngine.current.episode.candle.max.value) {
|
|
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngine.current.episode.candle.max.value
|
|
}
|
|
break
|
|
}
|
|
case tradingSystemOrder.type === 'Market Sell Order' || tradingSystemOrder.type === 'Limit Sell Order': {
|
|
if (tradingEngineOrder.orderStatistics.actualRate.value < tradingEngine.current.episode.candle.min.value) {
|
|
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngine.current.episode.candle.min.value
|
|
}
|
|
break
|
|
}
|
|
}
|
|
tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
|
|
}
|
|
|
|
function recalculateQuotedAsset() {
|
|
/*
|
|
Recalculate the Quouted Asset Size based on the newly calculated Actual Rate.
|
|
*/
|
|
tradingEngineOrder.orderQuotedAsset.size.value = tradingEngineOrder.orderBaseAsset.size.value * tradingEngineOrder.orderStatistics.actualRate.value
|
|
tradingEngineOrder.orderQuotedAsset.size.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.size.value, 10)
|
|
}
|
|
|
|
function recalculateSizePlaced() {
|
|
/*
|
|
Recaulculate the Size Placed Based on the newly calculated Quoted Asset Size.
|
|
*/
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value =
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value -
|
|
previousQuotedAssetSize
|
|
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value =
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value +
|
|
tradingEngineOrder.orderQuotedAsset.size.value
|
|
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
|
|
}
|
|
}
|
|
|
|
function percentageFilledSimulation() {
|
|
/*
|
|
Order Filling Simulation: the way we are going to handle this is the following.
|
|
For buy orders we are going to check if the price was below the order rate, and
|
|
for sell orders we are going to check if the price was above the order rate.
|
|
|
|
If we have a partial filling defined we are going to use it to estimate how much
|
|
of the order we will consider filled.
|
|
*/
|
|
let orderWasHit
|
|
switch (tradingSystemOrder.type) {
|
|
case 'Limit Buy Order': {
|
|
if (tradingEngine.current.episode.candle.min.value <= tradingEngineOrder.rate.value) {
|
|
orderWasHit = true
|
|
}
|
|
break
|
|
}
|
|
case 'Limit Sell Order': {
|
|
if (tradingEngine.current.episode.candle.max.value >= tradingEngineOrder.rate.value) {
|
|
orderWasHit = true
|
|
}
|
|
break
|
|
}
|
|
case 'Market Buy Order': {
|
|
orderWasHit = true
|
|
break
|
|
}
|
|
case 'Market Sell Order': {
|
|
orderWasHit = true
|
|
break
|
|
}
|
|
}
|
|
if (orderWasHit === true) {
|
|
let calculatedBasedOnTradingSystem = false
|
|
|
|
/* Based on the Trading System Definition */
|
|
if (tradingSystemOrder.simulatedExchangeEvents !== undefined) {
|
|
if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill !== undefined) {
|
|
if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability !== undefined) {
|
|
|
|
/* Percentage Filled */
|
|
let percentageFilled = tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability * 100
|
|
if (tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled > 100) {
|
|
percentageFilled = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
|
|
}
|
|
tradingEngineOrder.orderStatistics.percentageFilled.value = tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled
|
|
tradingEngineOrder.orderStatistics.percentageFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
|
|
calculatedBasedOnTradingSystem = true
|
|
}
|
|
}
|
|
}
|
|
/*
|
|
If there is no definition for this at the trading system we will assume orders
|
|
are 100% filled every single time.
|
|
*/
|
|
if (calculatedBasedOnTradingSystem === false) {
|
|
/* We will assume that 100% of the order was filled */
|
|
tradingEngineOrder.orderStatistics.percentageFilled.value = 100
|
|
}
|
|
/* Check if we need to close the order */
|
|
if (tradingEngineOrder.orderStatistics.percentageFilled.value === 100) {
|
|
|
|
/* Close this Order */
|
|
tradingEngineOrder.status.value = 'Closed'
|
|
tradingEngineOrder.exitType.value = 'Filled'
|
|
|
|
/* Initialize this */
|
|
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
|
|
|
updateEndsWithCycle(tradingEngineOrder)
|
|
tradingSystem.infos.push([tradingSystemOrder.id, 'percentageFilledSimulation -> Closing Order with Exit Type ' + tradingEngineOrder.exitType.value])
|
|
}
|
|
}
|
|
}
|
|
|
|
function feesPaidSimulation() {
|
|
/*
|
|
The way the Fess Paid are calculated is as follows: From the order size we apply the % of fee,
|
|
that would give us the total fees for that order. To that we apply the % filled of the orders,
|
|
that give use the final result of the fees paid for the current % filled.
|
|
|
|
But before that, we will see if there is an specific definition on how to simulate the fees for
|
|
this order, or if there is not, we use the fees session parameters definitions.
|
|
*/
|
|
|
|
/* Based on the Trading System Definition */
|
|
if (tradingSystemOrder.simulatedExchangeEvents !== undefined) {
|
|
if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid !== undefined) {
|
|
if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage !== undefined) {
|
|
applyFeePercentage(tradingEngineOrder, tradingSystemOrder, tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage)
|
|
return
|
|
}
|
|
}
|
|
}
|
|
|
|
/*
|
|
Another way to simulate the Fees Paid is by using the Session Paremeters configuration for Fees.
|
|
*/
|
|
switch (tradingEngineOrder.type) {
|
|
case 'Market Order': {
|
|
applyFeePercentage(tradingEngineOrder, tradingSystemOrder, sessionParameters.feeStructure.config.taker)
|
|
break
|
|
}
|
|
case 'Limit Order': {
|
|
applyFeePercentage(tradingEngineOrder, tradingSystemOrder, sessionParameters.feeStructure.config.maker)
|
|
break
|
|
}
|
|
}
|
|
}
|
|
|
|
function sizeFilledSimulation() {
|
|
/* Size Filled */
|
|
tradingEngineOrder.orderBaseAsset.sizeFilled.value =
|
|
tradingEngineOrder.orderBaseAsset.size.value *
|
|
tradingEngineOrder.orderStatistics.percentageFilled.value / 100
|
|
|
|
tradingEngineOrder.orderQuotedAsset.sizeFilled.value =
|
|
tradingEngineOrder.orderQuotedAsset.size.value *
|
|
tradingEngineOrder.orderStatistics.percentageFilled.value / 100
|
|
|
|
tradingEngineOrder.orderBaseAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.sizeFilled.value, 10)
|
|
tradingEngineOrder.orderQuotedAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.sizeFilled.value, 10)
|
|
}
|
|
}
|
|
|
|
async function checkExchangeEvents(tradingEngineStage, tradingSystemOrder, tradingEngineOrder) {
|
|
|
|
/* Filter by Session Type */
|
|
switch (bot.SESSION.type) {
|
|
case 'Backtesting Session': {
|
|
return true
|
|
}
|
|
case 'Live Trading Session': {
|
|
break
|
|
}
|
|
case 'Fordward Testing Session': {
|
|
break
|
|
}
|
|
case 'Paper Trading Session': {
|
|
return true
|
|
}
|
|
}
|
|
|
|
let order = await exchangeAPIModule.getOrder(tradingSystemOrder, tradingEngineOrder)
|
|
|
|
if (order === undefined) {
|
|
tradingSystem.warnings.push([tradingSystemOrder.id, 'Could not verify the status of this order at the exchange.'])
|
|
return false
|
|
}
|
|
|
|
const AT_EXCHANGE_STATUS = {
|
|
OPEN: 'open',
|
|
CLOSED: 'closed',
|
|
CANCELLED: 'canceled'
|
|
}
|
|
|
|
/* Status Checks */
|
|
if (order.remaining === 0 && order.status === AT_EXCHANGE_STATUS.CLOSED) {
|
|
/* Close this Order */
|
|
tradingEngineOrder.status.value = 'Closed'
|
|
tradingEngineOrder.exitType.value = 'Filled'
|
|
|
|
/* Initialize this */
|
|
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
|
|
|
await updateEndsWithCycle(tradingEngineOrder)
|
|
tradingSystem.infos.push([tradingSystemOrder.id, 'checkExchangeEvents -> Closing Order with Exit Type ' + tradingEngineOrder.exitType.value])
|
|
|
|
await syncWithExchange(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order)
|
|
return
|
|
}
|
|
|
|
if (order.remaining > 0 && order.status === AT_EXCHANGE_STATUS.CLOSED) {
|
|
/* Close this Order */
|
|
tradingEngineOrder.status.value = 'Closed'
|
|
tradingEngineOrder.exitType.value = 'Closed at the Exchange'
|
|
/* Initialize this */
|
|
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
|
|
|
await updateEndsWithCycle(tradingEngineOrder)
|
|
tradingSystem.infos.push([tradingSystemOrder.id, 'checkExchangeEvents -> Closing Order with Exit Type ' + tradingEngineOrder.exitType.value])
|
|
|
|
await syncWithExchange(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order)
|
|
await recalculateStageSize(tradingEngineStage, tradingEngineOrder)
|
|
return
|
|
}
|
|
|
|
if (order.status === AT_EXCHANGE_STATUS.CANCELLED) {
|
|
/* Close this Order */
|
|
tradingEngineOrder.status.value = 'Closed'
|
|
/*
|
|
We must be carefull here not to overide an already defined exitType. It can happen
|
|
for instance that the order was cancellerd from the bot, but veryfing the cancellation
|
|
was not possible because of a connection to the exchange problem. In that case
|
|
the exit type was defined but the order was kept open until the verification could be done.
|
|
*/
|
|
if (tradingEngineOrder.exitType.value === tradingEngineOrder.exitType.config.initialValue) {
|
|
tradingEngineOrder.exitType.value = 'Cancelled at the Exchange'
|
|
}
|
|
/* Initialize this */
|
|
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
|
|
|
await updateEndsWithCycle(tradingEngineOrder)
|
|
tradingSystem.infos.push([tradingSystemOrder.id, 'checkExchangeEvents -> Closing Order with Exit Type ' + tradingEngineOrder.exitType.value])
|
|
|
|
await syncWithExchange(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order)
|
|
await recalculateStageSize(tradingEngineStage, tradingEngineOrder)
|
|
return
|
|
}
|
|
|
|
/*
|
|
If the order happens to be at least partially filled, there is a syncronization work
|
|
we need to do, that includes discovering which is the Actual Rate the order is being filled,
|
|
the Fees Paid and many other thing we need to account for.
|
|
*/
|
|
if (order.filled > 0) {
|
|
await syncWithExchange(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order)
|
|
}
|
|
|
|
/*
|
|
Forced Cancellation Check: Here we check if we need to cancel this order because the
|
|
stage is closing.
|
|
*/
|
|
if (tradingEngineStage.status.value === 'Closing' && tradingEngineOrder.status.value !== 'Closed') {
|
|
await exchangeCancelOrder(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, 'Closing Stage')
|
|
}
|
|
|
|
return true
|
|
}
|
|
|
|
async function syncWithExchange(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order) {
|
|
|
|
let previousBaseAssetSize = tradingEngineOrder.orderBaseAsset.size.value
|
|
let previousQuotedAssetSize = tradingEngineOrder.orderQuotedAsset.size.value
|
|
let previousBaseAssetSizeFilled = tradingEngineOrder.orderBaseAsset.sizeFilled.value
|
|
let previousQuotedAssetSizeFilled = tradingEngineOrder.orderQuotedAsset.sizeFilled.value
|
|
let previousBaseAssetFeesPaid = tradingEngineOrder.orderBaseAsset.feesPaid.value
|
|
let previousQuotedAssetFeesPaid = tradingEngineOrder.orderQuotedAsset.feesPaid.value
|
|
|
|
await actualSizeCalculation()
|
|
await actualRateCalculation()
|
|
await percentageFilledCalculation()
|
|
await feesPaidCalculation()
|
|
await sizeFilledCalculation()
|
|
|
|
await doTheAccounting(
|
|
tradingEngineStage,
|
|
tradingSystemOrder,
|
|
tradingEngineOrder,
|
|
previousBaseAssetSizeFilled,
|
|
previousQuotedAssetSizeFilled,
|
|
previousBaseAssetFeesPaid,
|
|
previousQuotedAssetFeesPaid
|
|
)
|
|
|
|
return
|
|
|
|
async function actualSizeCalculation() {
|
|
/*
|
|
When we submit the order to the exchange, we do it specifying the order size
|
|
in Base Asset. The exchange might take that size or might change it a little
|
|
bit if for example, if it does not accept as many decimals as we are sending.
|
|
If we identify the situation in which the size accepted is different than the
|
|
size we have accounted for, we need to make several adjustments so that the
|
|
accounting syncronizes with reality.
|
|
*/
|
|
if (tradingEngineOrder.orderBaseAsset.size.value === order.amount) { return }
|
|
/*
|
|
We will sync the Base Asset size, and recalculate the Quoted Asset size too.
|
|
*/
|
|
tradingEngineOrder.orderBaseAsset.size.value = order.amount
|
|
tradingEngineOrder.orderQuotedAsset.size.value = tradingEngineOrder.orderBaseAsset.size.value * tradingEngineOrder.rate.value
|
|
|
|
tradingEngineOrder.orderBaseAsset.size.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.size.value, 10)
|
|
tradingEngineOrder.orderQuotedAsset.size.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.size.value, 10)
|
|
/*
|
|
Finaly we need to unaccount the previous size placed and correctly account
|
|
for the the new sizes we now have.
|
|
*/
|
|
tradingEngineStage.stageBaseAsset.sizePlaced.value =
|
|
tradingEngineStage.stageBaseAsset.sizePlaced.value -
|
|
previousBaseAssetSize
|
|
|
|
tradingEngineStage.stageBaseAsset.sizePlaced.value =
|
|
tradingEngineStage.stageBaseAsset.sizePlaced.value +
|
|
tradingEngineOrder.orderBaseAsset.size.value
|
|
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value =
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value -
|
|
previousQuotedAssetSize
|
|
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value =
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value +
|
|
tradingEngineOrder.orderQuotedAsset.size.value
|
|
|
|
tradingEngineStage.stageBaseAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageBaseAsset.sizePlaced.value, 10)
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
|
|
|
|
previousBaseAssetSize = tradingEngineOrder.orderBaseAsset.size.value
|
|
previousQuotedAssetSize = tradingEngineOrder.orderQuotedAsset.size.value
|
|
}
|
|
|
|
async function actualRateCalculation() {
|
|
/*
|
|
Actual Rate Calculation: Let's remember that the exchange may not take the rate
|
|
we send it with the order (in Limit orders) and for any reason change it a little bit.
|
|
For example we might have sent a rate with too many decimals and the exchange truncate
|
|
them. Another thing that might happen is that we send a rate that is matching orders already
|
|
at the order book. In this case we would get an actual rate not only different than the one
|
|
we sent, but also, better since the trading engine inside the exchange would match out orders
|
|
with the first orders best by price.
|
|
|
|
In the case of Market Orders we don't even send a rate. For all those reason
|
|
we get and store the Actual Rate at which the order was filled.
|
|
*/
|
|
if (order.average !== undefined) {
|
|
/*
|
|
We will use the average whenever is available.
|
|
*/
|
|
tradingEngineOrder.orderStatistics.actualRate.value = order.average
|
|
} else {
|
|
/*
|
|
Otherwise we use the order.price.
|
|
*/
|
|
tradingEngineOrder.orderStatistics.actualRate.value = order.price
|
|
}
|
|
|
|
tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
|
|
|
|
if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.rate.value) { return }
|
|
/*
|
|
Now we know the Actual Rate at which the order was filled. Since the actual rate
|
|
is not the same as the Rate we defined for the order, we need to syncronize
|
|
the Order Size for Quoted Asset since it was calculated with the Order Size that we
|
|
now know it is not the once really used at the exchange. We will recalculate the
|
|
Order Size in Quoted Asset and not in Base Asset, since the Order Size in Base Asset
|
|
is the one we sent to the exchange, so that is fixed, regardless of how we initially
|
|
got the Order Size in Base Asset, eigher from direct imput from the user or calculated
|
|
from the Order Size in Quoted Asset input it by the user. So here we go.
|
|
*/
|
|
tradingEngineOrder.orderQuotedAsset.size.value = tradingEngineOrder.orderBaseAsset.size.value * tradingEngineOrder.orderStatistics.actualRate.value
|
|
tradingEngineOrder.orderQuotedAsset.size.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.size.value, 10)
|
|
/*
|
|
Great, this up-to-date order size in Base Asset and the Actual Rate can now be used for example to calculate
|
|
the orders fees in Quoted Assets, and it is perfectly accurate. The next problem
|
|
we need to fix is that the sizePlaced for Quoted Asset that we already have calculated
|
|
was based on the Order Rate, not the Actual Rate, so we need to fix that by anuncounting
|
|
the previous size and accounting the new one, all this only for Quoted Asset.
|
|
*/
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value =
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value -
|
|
previousQuotedAssetSize
|
|
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value =
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value +
|
|
tradingEngineOrder.orderQuotedAsset.size.value
|
|
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
|
|
}
|
|
|
|
async function percentageFilledCalculation() {
|
|
/* Percentage Filled Calculation */
|
|
tradingEngineOrder.orderStatistics.percentageFilled.value = order.filled * 100 / (order.filled + order.remaining)
|
|
tradingEngineOrder.orderStatistics.percentageFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
|
|
}
|
|
|
|
async function feesPaidCalculation() {
|
|
/*
|
|
The exchange fees are taken from the Base Asset or the Quoted Asset depending if we
|
|
are buying or selling. Within the order information received we can not see the fees paid so we need to
|
|
calculate them by ourselves. To do this it is needed to be used the Session Fees Parameters.
|
|
*/
|
|
switch (tradingEngineOrder.type) {
|
|
case 'Market Order': {
|
|
await applyFeePercentage(tradingEngineOrder, tradingSystemOrder, sessionParameters.feeStructure.config.taker)
|
|
break
|
|
}
|
|
case 'Limit Order': {
|
|
await applyFeePercentage(tradingEngineOrder, tradingSystemOrder, sessionParameters.feeStructure.config.maker)
|
|
break
|
|
}
|
|
}
|
|
}
|
|
|
|
async function sizeFilledCalculation() {
|
|
/*
|
|
CCXT returns order.filled with an amount denominated in Base Asset. We will
|
|
take it from there for our Order Base Asset. The amount in order.filled does
|
|
not account for the fees, which is exactly what we need in this case.
|
|
*/
|
|
tradingEngineOrder.orderBaseAsset.sizeFilled.value = order.filled
|
|
tradingEngineOrder.orderBaseAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.sizeFilled.value, 10)
|
|
/*
|
|
For Quoted Asset, CCXT does not return any field with the size filled, so we
|
|
need to calculate that by ourselves. Since we know the Size in Quoted Asset thet
|
|
is already adjusted with the Actual Rate and the Percentage Filled, we will use all
|
|
this in this formula to get the Size Filled in Quoted Asset.
|
|
*/
|
|
tradingEngineOrder.orderQuotedAsset.sizeFilled.value =
|
|
tradingEngineOrder.orderQuotedAsset.size.value * tradingEngineOrder.orderStatistics.percentageFilled.value / 100
|
|
|
|
tradingEngineOrder.orderQuotedAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.sizeFilled.value, 10)
|
|
}
|
|
}
|
|
|
|
async function doTheAccounting(
|
|
tradingEngineStage,
|
|
tradingSystemOrder,
|
|
tradingEngineOrder,
|
|
previousBaseAssetSizeFilled,
|
|
previousQuotedAssetSizeFilled,
|
|
previousBaseAssetFeesPaid,
|
|
previousQuotedAssetFeesPaid
|
|
) {
|
|
|
|
await updateStageAssets()
|
|
await updateBalances()
|
|
|
|
async function updateStageAssets() {
|
|
/* Stage Base Asset: Undo the previous accounting */
|
|
tradingEngineStage.stageBaseAsset.sizeFilled.value =
|
|
tradingEngineStage.stageBaseAsset.sizeFilled.value -
|
|
previousBaseAssetSizeFilled
|
|
|
|
tradingEngineStage.stageBaseAsset.feesPaid.value =
|
|
tradingEngineStage.stageBaseAsset.feesPaid.value -
|
|
previousBaseAssetFeesPaid
|
|
|
|
/* Stage Base Asset: Account the current filling and fees */
|
|
tradingEngineStage.stageBaseAsset.sizeFilled.value =
|
|
tradingEngineStage.stageBaseAsset.sizeFilled.value +
|
|
tradingEngineOrder.orderBaseAsset.sizeFilled.value
|
|
|
|
tradingEngineStage.stageBaseAsset.feesPaid.value =
|
|
tradingEngineStage.stageBaseAsset.feesPaid.value +
|
|
tradingEngineOrder.orderBaseAsset.feesPaid.value
|
|
|
|
/* Stage Quote Asset: Undo the previous accounting */
|
|
tradingEngineStage.stageQuotedAsset.sizeFilled.value =
|
|
tradingEngineStage.stageQuotedAsset.sizeFilled.value -
|
|
previousQuotedAssetSizeFilled
|
|
|
|
tradingEngineStage.stageQuotedAsset.feesPaid.value =
|
|
tradingEngineStage.stageQuotedAsset.feesPaid.value -
|
|
previousQuotedAssetFeesPaid
|
|
|
|
/* Stage Quote Asset: Account the current filling and fees */
|
|
tradingEngineStage.stageQuotedAsset.sizeFilled.value =
|
|
tradingEngineStage.stageQuotedAsset.sizeFilled.value +
|
|
tradingEngineOrder.orderQuotedAsset.sizeFilled.value
|
|
|
|
tradingEngineStage.stageQuotedAsset.feesPaid.value =
|
|
tradingEngineStage.stageQuotedAsset.feesPaid.value +
|
|
tradingEngineOrder.orderQuotedAsset.feesPaid.value
|
|
|
|
tradingEngineStage.stageBaseAsset.sizeFilled.value = global.PRECISE(tradingEngineStage.stageBaseAsset.sizeFilled.value, 10)
|
|
tradingEngineStage.stageBaseAsset.feesPaid.value = global.PRECISE(tradingEngineStage.stageBaseAsset.feesPaid.value, 10)
|
|
|
|
tradingEngineStage.stageQuotedAsset.sizeFilled.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizeFilled.value, 10)
|
|
tradingEngineStage.stageQuotedAsset.feesPaid.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.feesPaid.value, 10)
|
|
}
|
|
|
|
async function updateBalances() {
|
|
/* Balances Update */
|
|
switch (true) {
|
|
/*
|
|
Let's remember that for Buy orders, the fees are paid in Base Asset. So we
|
|
actually don't receive the whole Size Filled in Base Asset, but the Size
|
|
Filled minus the Fees Paid. For the case of Quoted Asset, we actually
|
|
need to susbstract the whole Size Filled from the balance.
|
|
*/
|
|
case tradingSystemOrder.type === 'Market Buy Order' || tradingSystemOrder.type === 'Limit Buy Order': {
|
|
|
|
/* Balance Base Asset: Undo the previous accounting */
|
|
tradingEngine.current.episode.episodeBaseAsset.balance.value =
|
|
tradingEngine.current.episode.episodeBaseAsset.balance.value -
|
|
previousBaseAssetSizeFilled +
|
|
previousBaseAssetFeesPaid
|
|
|
|
/* Balance Base Asset: Account the current filling and fees */
|
|
tradingEngine.current.episode.episodeBaseAsset.balance.value =
|
|
tradingEngine.current.episode.episodeBaseAsset.balance.value +
|
|
tradingEngineOrder.orderBaseAsset.sizeFilled.value -
|
|
tradingEngineOrder.orderBaseAsset.feesPaid.value
|
|
|
|
/* Balance Quoted Asset: Undo the previous accounting */
|
|
tradingEngine.current.episode.episodeQuotedAsset.balance.value =
|
|
tradingEngine.current.episode.episodeQuotedAsset.balance.value +
|
|
previousQuotedAssetSizeFilled
|
|
|
|
/* Balance Quoted Asset: Account the current filling and fees */
|
|
tradingEngine.current.episode.episodeQuotedAsset.balance.value =
|
|
tradingEngine.current.episode.episodeQuotedAsset.balance.value -
|
|
tradingEngineOrder.orderQuotedAsset.sizeFilled.value
|
|
break
|
|
}
|
|
/*
|
|
For Sell orders, the fees are being paid in Quote Asset, so we never
|
|
acutally receive the whole Filled Size in Quote Asset, but the Filled
|
|
Size minus the Fees Paid. But we do expend the whole Filled Size in
|
|
Base Asset.
|
|
*/
|
|
case tradingSystemOrder.type === 'Market Sell Order' || tradingSystemOrder.type === 'Limit Sell Order': {
|
|
|
|
/* Balance Base Asset: Undo the previous accounting */
|
|
tradingEngine.current.episode.episodeBaseAsset.balance.value =
|
|
tradingEngine.current.episode.episodeBaseAsset.balance.value +
|
|
previousBaseAssetSizeFilled
|
|
|
|
/* Balance Base Asset: Account the current filling and fees */
|
|
tradingEngine.current.episode.episodeBaseAsset.balance.value =
|
|
tradingEngine.current.episode.episodeBaseAsset.balance.value -
|
|
tradingEngineOrder.orderBaseAsset.sizeFilled.value
|
|
|
|
/* Balance Quoted Asset: Undo the previous accounting */
|
|
tradingEngine.current.episode.episodeQuotedAsset.balance.value =
|
|
tradingEngine.current.episode.episodeQuotedAsset.balance.value -
|
|
previousQuotedAssetSizeFilled +
|
|
previousQuotedAssetFeesPaid
|
|
|
|
/* Balance Quoted Asset: Account the current filling and fees */
|
|
tradingEngine.current.episode.episodeQuotedAsset.balance.value =
|
|
tradingEngine.current.episode.episodeQuotedAsset.balance.value +
|
|
tradingEngineOrder.orderQuotedAsset.sizeFilled.value -
|
|
tradingEngineOrder.orderQuotedAsset.feesPaid.value
|
|
break
|
|
}
|
|
}
|
|
tradingEngine.current.episode.episodeBaseAsset.balance.value = global.PRECISE(tradingEngine.current.episode.episodeBaseAsset.balance.value, 10)
|
|
tradingEngine.current.episode.episodeQuotedAsset.balance.value = global.PRECISE(tradingEngine.current.episode.episodeQuotedAsset.balance.value, 10)
|
|
}
|
|
}
|
|
|
|
function simulateCancelOrder(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, exitType) {
|
|
|
|
/* Filter by Session Type */
|
|
switch (bot.SESSION.type) {
|
|
case 'Backtesting Session': {
|
|
break
|
|
}
|
|
case 'Live Trading Session': {
|
|
return
|
|
}
|
|
case 'Fordward Testing Session': {
|
|
return
|
|
}
|
|
case 'Paper Trading Session': {
|
|
break
|
|
}
|
|
}
|
|
|
|
/* Close this Order */
|
|
tradingEngineOrder.status.value = 'Closed'
|
|
tradingEngineOrder.exitType.value = exitType
|
|
|
|
/* Initialize this */
|
|
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
|
|
|
updateEndsWithCycle(tradingEngineOrder)
|
|
tradingSystem.infos.push([tradingSystemOrder.id, 'simulateCancelOrder -> Closing Order with Exit Type ' + tradingEngineOrder.exitType.value])
|
|
|
|
recalculateStageSize(tradingEngineStage, tradingEngineOrder)
|
|
}
|
|
|
|
async function exchangeCancelOrder(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, exitType) {
|
|
|
|
/* Filter by Session Type */
|
|
switch (bot.SESSION.type) {
|
|
case 'Backtesting Session': {
|
|
return
|
|
}
|
|
case 'Live Trading Session': {
|
|
break
|
|
}
|
|
case 'Fordward Testing Session': {
|
|
break
|
|
}
|
|
case 'Paper Trading Session': {
|
|
return
|
|
}
|
|
}
|
|
|
|
/* Check if we can cancel the order at the Exchange. */
|
|
let result = await exchangeAPIModule.cancelOrder(tradingSystemOrder, tradingEngineOrder)
|
|
if (result === true) {
|
|
|
|
/* At this point we know which is the exit type for this order */
|
|
tradingEngineOrder.exitType.value = exitType
|
|
|
|
/*
|
|
Perhaps the order was filled a bit more between the last time we checked and when it was cancelled.
|
|
To sync our accounting, we need to check the order one last time and if it changed, fix it.
|
|
*/
|
|
|
|
let order = await exchangeAPIModule.getOrder(tradingSystemOrder, tradingEngineOrder)
|
|
|
|
if (order === undefined) {
|
|
tradingSystem.warnings.push([tradingSystemOrder.id, 'Could not verify the status of this order at the exchange, and syncronize the accounting.'])
|
|
return false
|
|
}
|
|
|
|
/*
|
|
Close this Order. Note that we are not closing the order until we have the exchange
|
|
response with the order details that we can use to syncronize with our accoounting.
|
|
Otherwise if the connection to the exchange fails, we would have a closed order not
|
|
accounted in any way.
|
|
*/
|
|
tradingEngineOrder.status.value = 'Closed'
|
|
|
|
/* Initialize this */
|
|
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
|
|
|
await updateEndsWithCycle(tradingEngineOrder)
|
|
tradingSystem.infos.push([tradingSystemOrder.id, 'exchangeCancelOrder -> Closing Order with Exit Type ' + tradingEngineOrder.exitType.value])
|
|
|
|
await syncWithExchange(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order)
|
|
|
|
await recalculateStageSize(tradingEngineStage, tradingEngineOrder)
|
|
}
|
|
}
|
|
|
|
async function recalculateStageSize(tradingEngineStage, tradingEngineOrder) {
|
|
/*
|
|
Since the order is Cancelled, we need to adjust the stage sizePlaced. Remember that the Stage
|
|
Size Placed accumulates for each asset, the order size placed at the exchange. A cancelation means that
|
|
only the part filled can be considered placed, so we need to substract from the stage size
|
|
the remainder. To achieve this with the information we currently have, we are going first
|
|
to unaccount the order size, and the account only the sizeFilled + the feesPaid.
|
|
*/
|
|
tradingEngineStage.stageBaseAsset.sizePlaced.value =
|
|
tradingEngineStage.stageBaseAsset.sizePlaced.value -
|
|
tradingEngineOrder.orderBaseAsset.size.value
|
|
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value =
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value -
|
|
tradingEngineOrder.orderQuotedAsset.size.value
|
|
|
|
tradingEngineStage.stageBaseAsset.sizePlaced.value =
|
|
tradingEngineStage.stageBaseAsset.sizePlaced.value +
|
|
tradingEngineOrder.orderBaseAsset.sizeFilled.value
|
|
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value =
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value +
|
|
tradingEngineOrder.orderQuotedAsset.sizeFilled.value
|
|
|
|
tradingEngineStage.stageBaseAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageBaseAsset.sizePlaced.value, 10)
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
|
|
}
|
|
|
|
async function applyFeePercentage(tradingEngineOrder, tradingSystemOrder, feePercentage) {
|
|
switch (true) {
|
|
case tradingSystemOrder.type === 'Market Buy Order' || tradingSystemOrder.type === 'Limit Buy Order': {
|
|
/*
|
|
In this case the fees are taken from the Base Asset you receive.
|
|
*/
|
|
tradingEngineOrder.orderBaseAsset.feesPaid.value =
|
|
tradingEngineOrder.orderBaseAsset.size.value *
|
|
feePercentage / 100 *
|
|
tradingEngineOrder.orderStatistics.percentageFilled.value / 100
|
|
break
|
|
}
|
|
case tradingSystemOrder.type === 'Market Sell Order' || tradingSystemOrder.type === 'Limit Sell Order': {
|
|
/*
|
|
In this case the fees are taken from the Quoted Asset you receive.
|
|
*/
|
|
tradingEngineOrder.orderQuotedAsset.feesPaid.value =
|
|
tradingEngineOrder.orderQuotedAsset.size.value *
|
|
feePercentage / 100 *
|
|
tradingEngineOrder.orderStatistics.percentageFilled.value / 100
|
|
break
|
|
}
|
|
}
|
|
|
|
tradingEngineOrder.orderBaseAsset.feesPaid.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.feesPaid.value, 10)
|
|
tradingEngineOrder.orderQuotedAsset.feesPaid.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.feesPaid.value, 10)
|
|
}
|
|
|
|
async function checkOrderEvent(event, order, executionAlgorithm, executionNode) {
|
|
if (event !== undefined) {
|
|
for (let k = 0; k < event.situations.length; k++) {
|
|
let situation = event.situations[k]
|
|
let passed
|
|
if (situation.conditions.length > 0) {
|
|
passed = true
|
|
}
|
|
|
|
passed = tradingSystem.checkConditions(situation, passed)
|
|
|
|
tradingSystem.values.push([situation.id, passed])
|
|
if (passed) {
|
|
tradingSystem.highlights.push(situation.id)
|
|
tradingSystem.highlights.push(event.id)
|
|
tradingSystem.highlights.push(order.id)
|
|
tradingSystem.highlights.push(executionAlgorithm.id)
|
|
tradingSystem.highlights.push(executionNode.id)
|
|
|
|
announcementsModule.makeAnnoucements(event)
|
|
return situation.name // if the event is triggered, we return the name of the situation that passed
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function updateEnds(tradingEngineOrder) {
|
|
if (tradingEngineOrder.status.value === 'Open') {
|
|
tradingEngineOrder.end.value = tradingEngine.current.episode.candle.end.value
|
|
}
|
|
}
|
|
|
|
async function updateEndsWithCycle(tradingEngineOrder) {
|
|
tradingEngineOrder.end.value = tradingEngine.current.episode.cycle.end.value
|
|
}
|
|
|
|
function updateCounters(tradingEngineOrder) {
|
|
if (tradingEngineOrder.status.value === 'Open') {
|
|
tradingEngineOrder.orderCounters.periods.value++
|
|
}
|
|
}
|
|
|
|
function updateStatistics(tradingEngineOrder) {
|
|
tradingEngineOrder.orderStatistics.days.value = tradingEngineOrder.orderCounters.periods.value * sessionParameters.timeFrame.config.value / global.ONE_DAY_IN_MILISECONDS
|
|
tradingEngineOrder.orderStatistics.days.value = global.PRECISE(tradingEngineOrder.orderStatistics.days.value, 10)
|
|
}
|
|
|
|
function resetTradingEngineDataStructure(tradingEngineOrder, tradingSystemOrder, stageStatus) {
|
|
if (tradingEngineOrder.status.value === 'Closed') {
|
|
/* We reset the order data structure inside the Trading Engine to its initial value */
|
|
tradingEngineModule.initializeNode(tradingEngineOrder)
|
|
if (tradingSystemOrder.config.spawnMultipleOrders !== true) {
|
|
/*
|
|
We close the lock so as to prevent this data structure to be used again during this same stage execution.
|
|
*/
|
|
if (stageStatus === 'Open') {
|
|
tradingEngineOrder.lock.value = 'Closed'
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function badDefinitionUnhandledException(err, message, node) {
|
|
tradingSystem.errors.push([node.id, message])
|
|
|
|
logger.write(MODULE_NAME, "[ERROR] -> " + message);
|
|
logger.write(MODULE_NAME, "[ERROR] -> node.name = " + node.name);
|
|
logger.write(MODULE_NAME, "[ERROR] -> node.type = " + node.type);
|
|
logger.write(MODULE_NAME, "[ERROR] -> node.config = " + JSON.stringify(node.config));
|
|
if (err !== undefined) {
|
|
logger.write(MODULE_NAME, "[ERROR] -> err.stack = " + err.stack);
|
|
}
|
|
throw 'Please fix the problem and try again.'
|
|
}
|
|
}
|
|
|