219 lines
9.0 KiB
JavaScript
219 lines
9.0 KiB
JavaScript
exports.newMarkovDecisionProcess = function newMarkovDecisionProcess(bot, logger) {
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/*
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We call the Trading Engine to the data structure that is needed in order to exevute the
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trading protocol with the specific rules defined at the Trading System.
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*/
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const MODULE_NAME = 'Markov Decision Process'
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let thisObject = {
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mantain: mantain,
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reset: reset,
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getNodeById: getNodeById,
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cloneValues: cloneValues,
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setCurrentCandle: setCurrentCandle,
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setCurrentCycle: setCurrentCycle,
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initializeNode: initializeNode,
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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 sessionParameters
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let nodesMap = new Map()
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return thisObject
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function initialize() {
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tradingEngine = bot.simulationState.tradingEngine
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sessionParameters = bot.LEARNING_SESSION.parameters
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initializeNodeMap(tradingEngine)
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if (bot.FIRST_EXECUTION === true) {
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/*
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Here we will go through all the nodes in the Trading Engine hiriarchy and
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apply the initial value to the value property when needed
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*/
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initializeNode(tradingEngine)
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}
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}
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function finalize() {
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tradingEngine = undefined
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sessionParameters = undefined
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nodesMap = undefined
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}
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function mantain() {
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}
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function reset() {
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}
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function getNodeById(NodeId) {
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return nodesMap.get(NodeId)
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}
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function setCurrentCandle(candle) {
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tradingEngine.current.episode.candle.begin.value = candle.begin
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tradingEngine.current.episode.candle.end.value = candle.end
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tradingEngine.current.episode.candle.open.value = candle.open
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tradingEngine.current.episode.candle.close.value = candle.close
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tradingEngine.current.episode.candle.min.value = candle.min
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tradingEngine.current.episode.candle.max.value = candle.max
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}
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function setCurrentCycle(cycle) {
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tradingEngine.current.episode.cycle.value = cycle
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tradingEngine.current.episode.cycle.lastBegin.value = tradingEngine.current.episode.cycle.begin.value
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tradingEngine.current.episode.cycle.lastEnd.value = tradingEngine.current.episode.cycle.end.value
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switch (cycle) {
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case 'First': {
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tradingEngine.current.episode.cycle.begin.value =
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tradingEngine.current.episode.candle.begin.value +
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sessionParameters.timeFrame.config.value
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tradingEngine.current.episode.cycle.end.value =
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tradingEngine.current.episode.candle.begin.value +
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sessionParameters.timeFrame.config.value +
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sessionParameters.timeFrame.config.value / 2 - 1
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break
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}
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case 'Second': {
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tradingEngine.current.episode.cycle.begin.value =
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tradingEngine.current.episode.candle.begin.value +
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sessionParameters.timeFrame.config.value +
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sessionParameters.timeFrame.config.value / 2
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tradingEngine.current.episode.cycle.end.value =
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tradingEngine.current.episode.candle.begin.value +
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sessionParameters.timeFrame.config.value +
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sessionParameters.timeFrame.config.value * 4 / 4 - 1
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break
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}
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}
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}
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function cloneValues(originNode, destinationNode) {
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if (originNode === undefined) { return }
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if (destinationNode === undefined) { return }
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/* Here copy the node value */
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destinationNode.value = originNode.value
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/* Now we go down through all the children of the origin node, assuming the destination node has the same children structure*/
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let nodeDefinition = global.APP_SCHEMA_MAP.get(originNode.type)
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if (nodeDefinition === undefined) { return }
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if (nodeDefinition.properties !== undefined) {
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let previousPropertyName // Since there are cases where there are many properties with the same name,because they can hold nodes of different types but only one at the time, we have to avoind counting each property of those as individual children.
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for (let i = 0; i < nodeDefinition.properties.length; i++) {
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let property = nodeDefinition.properties[i]
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switch (property.type) {
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case 'node': {
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if (property.name !== previousPropertyName) {
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if (originNode[property.name] !== undefined && destinationNode[property.name] !== undefined) {
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cloneValues(originNode[property.name], destinationNode[property.name])
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}
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previousPropertyName = property.name
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}
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break
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}
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case 'array': {
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if (originNode[property.name] !== undefined && destinationNode[property.name] !== undefined) {
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let originNodePropertyArray = originNode[property.name]
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let destinationNodePropertyArray = destinationNode[property.name]
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for (let m = 0; m < originNodePropertyArray.length; m++) {
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cloneValues(originNodePropertyArray[m], destinationNodePropertyArray[m])
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}
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}
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break
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}
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}
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}
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}
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}
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function initializeNodeMap(node) {
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if (node === undefined) { return }
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/* Add to Node Map */
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nodesMap.set(node.id, node)
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/* Now we go down through all this node children */
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let nodeDefinition = global.APP_SCHEMA_MAP.get(node.type)
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if (nodeDefinition === undefined) { return }
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if (nodeDefinition.properties !== undefined) {
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let previousPropertyName // Since there are cases where there are many properties with the same name,because they can hold nodes of different types but only one at the time, we have to avoind counting each property of those as individual children.
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for (let i = 0; i < nodeDefinition.properties.length; i++) {
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let property = nodeDefinition.properties[i]
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switch (property.type) {
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case 'node': {
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if (property.name !== previousPropertyName) {
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if (node[property.name] !== undefined) {
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initializeNodeMap(node[property.name])
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}
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previousPropertyName = property.name
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}
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break
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}
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case 'array': {
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if (node[property.name] !== undefined) {
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let nodePropertyArray = node[property.name]
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for (let m = 0; m < nodePropertyArray.length; m++) {
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initializeNodeMap(nodePropertyArray[m])
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}
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}
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break
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}
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}
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}
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}
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}
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function initializeNode(node) {
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if (node === undefined) { return }
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/* Here we initialize the node value */
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if (node.config !== undefined) {
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if (node.config.initialValue !== undefined) {
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node.value = node.config.initialValue
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}
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}
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/* Now we go down through all this node children */
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let nodeDefinition = global.APP_SCHEMA_MAP.get(node.type)
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if (nodeDefinition === undefined) { return }
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if (nodeDefinition.properties !== undefined) {
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let previousPropertyName // Since there are cases where there are many properties with the same name,because they can hold nodes of different types but only one at the time, we have to avoind counting each property of those as individual children.
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for (let i = 0; i < nodeDefinition.properties.length; i++) {
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let property = nodeDefinition.properties[i]
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switch (property.type) {
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case 'node': {
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if (property.name !== previousPropertyName) {
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if (node[property.name] !== undefined) {
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initializeNode(node[property.name])
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}
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previousPropertyName = property.name
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}
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break
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}
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case 'array': {
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if (node[property.name] !== undefined) {
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let nodePropertyArray = node[property.name]
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for (let m = 0; m < nodePropertyArray.length; m++) {
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initializeNode(nodePropertyArray[m])
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}
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}
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break
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}
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}
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}
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}
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}
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}
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