572 lines
31 KiB
JavaScript
572 lines
31 KiB
JavaScript
exports.newMultiPeriodDaily = function newMultiPeriodDaily(bot, logger, UTILITIES, FILE_STORAGE) {
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const FULL_LOG = true;
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const MODULE_NAME = "Multi Period Daily";
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const GMT_SECONDS = ':00.000 GMT+0000';
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thisObject = {
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initialize: initialize,
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finalize: finalize,
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start: start
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};
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let utilities = UTILITIES.newCloudUtilities(logger)
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let fileStorage = FILE_STORAGE.newFileStorage(logger)
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let statusDependencies;
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let dataDependenciesModule;
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let dataFiles = new Map;
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let indicatorOutputModule;
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let bootstrappingTheProcess = false
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let processConfig;
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let beginingOfMarket
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return thisObject;
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function initialize(pProcessConfig, pStatusDependencies, pDataDependencies, callBackFunction) {
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logger.fileName = MODULE_NAME;
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logger.initialize()
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statusDependencies = pStatusDependencies;
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dataDependenciesModule = pDataDependencies;
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processConfig = pProcessConfig;
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let INDICATOR_OUTPUT_MODULE = require("./IndicatorOutput")
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indicatorOutputModule = INDICATOR_OUTPUT_MODULE.newIndicatorOutput(bot, logger, UTILITIES, FILE_STORAGE)
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indicatorOutputModule.initialize(callBackFunction)
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}
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function finalize() {
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dataFiles = undefined
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statusDependencies = undefined
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dataDependenciesModule = undefined
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indicatorOutputModule = undefined
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fileStorage = undefined
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processConfig = undefined
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thisObject = undefined
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}
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function start(callBackFunction) {
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try {
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let market = bot.market;
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/* Context Variables */
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let contextVariables = {
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lastFile: undefined, // Datetime of the last file files sucessfully produced by this process.
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dateBeginOfMarket: undefined, // Datetime of the first trade file in the whole market history.
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dateEndOfMarket: undefined // Datetime of the last file available to be used as an input of this process.
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};
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let previousDay; // Holds the date of the previous day relative to the processing date.
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let interExecutionMemoryArray;
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getContextVariables()
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function getContextVariables() {
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try {
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let thisReport;
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let reportKey;
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let statusReport;
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/*
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We look first for the bot who knows the begining of the market in order to get when the market starts.
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*/
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statusReport = statusDependencies.reportsByMainUtility.get("Market Starting Point")
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if (statusReport === undefined) { // This means the status report does not exist, that could happen for instance at the begining of a month.
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logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> Market Starting Point -> Status Report does not exist or Market Starting Point not defined. Retrying Later. ")
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callBackFunction(global.DEFAULT_RETRY_RESPONSE)
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return
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}
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if (statusReport.status === "Status Report is corrupt.") {
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logger.write(MODULE_NAME, "[ERROR] start -> getContextVariables -> Can not continue because dependecy Status Report is corrupt. ")
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callBackFunction(global.DEFAULT_RETRY_RESPONSE)
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return
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}
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thisReport = statusReport.file;
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if (thisReport.beginingOfMarket === undefined) {
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logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> Undefined Last File. -> reportKey = " + reportKey)
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logger.write(MODULE_NAME, "[HINT] start -> getContextVariables -> It is too early too run this process since the trade history of the market is not there yet.")
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let customOK = {
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result: global.CUSTOM_OK_RESPONSE.result,
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message: "Dependency does not exist."
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}
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logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> customOK = " + customOK.message)
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callBackFunction(customOK)
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return
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}
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contextVariables.dateBeginOfMarket = new Date(thisReport.beginingOfMarket.year + "-" + thisReport.beginingOfMarket.month + "-" + thisReport.beginingOfMarket.days + " " + thisReport.beginingOfMarket.hours + ":" + thisReport.beginingOfMarket.minutes + GMT_SECONDS)
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/*
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Here we get the status report from the bot who knows which is the end of the market.
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*/
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statusReport = statusDependencies.reportsByMainUtility.get("Market Ending Point")
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if (statusReport === undefined) { // This means the status report does not exist, that could happen for instance at the begining of a month.
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logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> Market Ending Point -> Status Report does not exist or Market Ending Point not defined. Retrying Later. ")
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callBackFunction(global.DEFAULT_RETRY_RESPONSE)
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return
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}
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if (statusReport.status === "Status Report is corrupt.") {
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logger.write(MODULE_NAME, "[ERROR] start -> getContextVariables -> Can not continue because dependecy Status Report is corrupt. ")
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callBackFunction(global.DEFAULT_RETRY_RESPONSE)
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return
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}
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thisReport = statusReport.file;
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if (thisReport.lastFile === undefined) {
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logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> Undefined Last File. -> reportKey = " + reportKey)
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let customOK = {
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result: global.CUSTOM_OK_RESPONSE.result,
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message: "Dependency not ready."
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}
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logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> customOK = " + customOK.message)
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callBackFunction(customOK)
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return
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}
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contextVariables.dateEndOfMarket = new Date(thisReport.lastFile.valueOf())
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/* Finally we get our own Status Report. */
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statusReport = statusDependencies.reportsByMainUtility.get("Self Reference")
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if (statusReport === undefined) { // This means the status report does not exist, that could happen for instance at the begining of a month.
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logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> Self Reference -> Status Report does not exist or Self Reference not defined. Retrying Later. ")
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callBackFunction(global.DEFAULT_RETRY_RESPONSE)
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return
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}
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if (statusReport.status === "Status Report is corrupt.") {
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logger.write(MODULE_NAME, "[ERROR] start -> getContextVariables -> Can not continue because self dependecy Status Report is corrupt. Aborting Process.")
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callBackFunction(global.DEFAULT_FAIL_RESPONSE)
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return
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}
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thisReport = statusReport.file;
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if (thisReport.lastFile !== undefined) {
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beginingOfMarket = new Date(thisReport.beginingOfMarket)
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if (beginingOfMarket.valueOf() !== contextVariables.dateBeginOfMarket.valueOf()) { // Reset Mechanism for Begining of the Market
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logger.write(MODULE_NAME, "[INFO] start -> getContextVariables -> Reset Mechanism for Begining of the Market Activated. -> reportKey = " + reportKey)
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beginingOfMarket = new Date(contextVariables.dateBeginOfMarket.valueOf())
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startFromBegining()
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return
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}
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if (bot.hasTheBotJustStarted === true && processConfig.framework.startDate !== undefined && processConfig.framework.startDate.resumeExecution === false) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> getContextVariables -> Starting from the begining because bot has just started and resume execution was true.") }
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startFromBegining()
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return
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}
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contextVariables.lastFile = new Date(thisReport.lastFile)
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interExecutionMemoryArray = thisReport.interExecutionMemoryArray;
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processTimeFrames()
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} else {
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/*
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In the case when there is no status report, we assume like the last processed file is the one on the date of Begining of Market.
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*/
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> getContextVariables -> Starting from the begining of the market because own status report not found or lastFile was undefined.") }
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beginingOfMarket = new Date(contextVariables.dateBeginOfMarket.valueOf())
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startFromBegining()
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}
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function startFromBegining() {
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contextVariables.lastFile = new Date(contextVariables.dateBeginOfMarket.getUTCFullYear() + "-" + (contextVariables.dateBeginOfMarket.getUTCMonth() + 1) + "-" + contextVariables.dateBeginOfMarket.getUTCDate() + " " + "00:00" + GMT_SECONDS)
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> getContextVariables -> startFromBegining -> contextVariables.lastFile = " + contextVariables.lastFile) }
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/*
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The first time the process is running is the right time to create the data structure that is going to be shared across different executions.
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This data structure has one object per each timeFrame.
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*/
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interExecutionMemoryArray = []
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/*
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Also, we will remember that we are bootstrapping the process, this will allow us, to advanceTime if necesary.
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It can happen that a process depends on data from another process that does not produce a file during the first day, or even more days,
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in that situation we want the process not to just wait for that data that will never arrive, but to advance time until it finds valid data.
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*/
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bootstrappingTheProcess = true
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for (let i = 0; i < global.dailyFilePeriods.length; i++) {
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let emptyObject = {};
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interExecutionMemoryArray.push(emptyObject)
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}
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processTimeFrames()
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}
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> getContextVariables -> err = " + err.stack)
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if (err.message === "Cannot read property 'file' of undefined") {
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logger.write(MODULE_NAME, "[HINT] start -> getContextVariables -> Check the bot configuration to see if all of its statusDependencies declarations are correct. ")
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logger.write(MODULE_NAME, "[HINT] start -> getContextVariables -> Dependencies loaded -> keys = " + JSON.stringify(statusDependencies.keys))
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}
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callBackFunction(global.DEFAULT_FAIL_RESPONSE)
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}
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}
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function processTimeFrames() {
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let n;
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let botNeverRan = true;
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bot.multiPeriodDailyProcessDatetime = new Date(contextVariables.lastFile.valueOf() - ONE_DAY_IN_MILISECONDS) // Go back one day to start well when we advance time at the begining of the loop.
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let fromDate = new Date(bot.multiPeriodDailyProcessDatetime.valueOf())
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let lastDate = new Date()
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advanceTime()
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function advanceTime() {
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bot.multiPeriodDailyProcessDatetime = new Date(bot.multiPeriodDailyProcessDatetime.valueOf() + ONE_DAY_IN_MILISECONDS)
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previousDay = new Date(bot.multiPeriodDailyProcessDatetime.valueOf() - ONE_DAY_IN_MILISECONDS)
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimeFrames -> advanceTime -> bot.multiPeriodDailyProcessDatetime = " + bot.multiPeriodDailyProcessDatetime) }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimeFrames -> advanceTime -> previousDay = " + previousDay) }
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/* Validation that we are not going past the head of the market. */
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if (bot.multiPeriodDailyProcessDatetime.valueOf() > contextVariables.dateEndOfMarket.valueOf()) {
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const logText = "Head of the market found @ " + previousDay.getUTCFullYear() + "/" + (previousDay.getUTCMonth() + 1) + "/" + previousDay.getUTCDate() + ".";
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimeFrames -> advanceTime -> " + logText) }
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callBackFunction(global.DEFAULT_OK_RESPONSE)
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return
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}
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/* Telling the world we are alive and doing well */
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let currentDateString = bot.multiPeriodDailyProcessDatetime.getUTCFullYear() + '-' + utilities.pad(bot.multiPeriodDailyProcessDatetime.getUTCMonth() + 1, 2) + '-' + utilities.pad(bot.multiPeriodDailyProcessDatetime.getUTCDate(), 2)
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let currentDate = new Date(bot.multiPeriodDailyProcessDatetime)
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let percentage = global.getPercentage(fromDate, currentDate, lastDate)
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bot.processHeartBeat(currentDateString, percentage)
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if (global.areEqualDates(currentDate, new Date()) === false) {
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logger.newInternalLoop(bot.codeName, bot.process, currentDate, percentage)
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}
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checkStopTaskGracefully()
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}
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function checkStopTaskGracefully() {
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/* Validation that we dont need to stop. */
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if (global.STOP_TASK_GRACEFULLY === true) {
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callBackFunction(global.DEFAULT_OK_RESPONSE)
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return
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}
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timeFramesLoop()
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}
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function timeFramesLoop() {
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/*
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We will iterate through all posible timeFrames.
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*/
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n = 0 // loop Variable representing each possible period as defined at the timeFrames array.
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timeFramesLoopBody()
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}
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function timeFramesLoopBody() {
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const timeFrame = global.dailyFilePeriods[n][0]
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const timeFrameLabel = global.dailyFilePeriods[n][1]
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/* Check Time Frames Filter */
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if (bot.dailyTimeFrames !== undefined) {
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if (bot.dailyTimeFrames.includes(timeFrameLabel) === false) {
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/* We are not going to process this Time Frame */
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timeFramesControlLoop()
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return
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}
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}
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if (processConfig.framework.validPeriods !== undefined) {
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let validPeriod = false;
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for (let i = 0; i < processConfig.framework.validPeriods.length; i++) {
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let period = processConfig.framework.validPeriods[i]
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if (period === timeFrameLabel) { validPeriod = true }
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}
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if (validPeriod === false) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimeFrames -> timeFramesLoopBody -> Discarding period for not being listed as a valid period. -> timeFrameLabel = " + timeFrameLabel) }
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timeFramesControlLoop()
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return
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}
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}
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let dependencyIndex = 0
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dataFiles = new Map()
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dependencyLoopBody()
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function dependencyLoopBody() {
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let dependency = dataDependenciesModule.nodeArray[dependencyIndex]
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if (dependency === undefined) {
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logger.write(MODULE_NAME, "[ERROR] start -> processTimeFrames -> timeFramesLoopBody -> dependencyLoopBody -> You need to add at least one Data Dependency to the process Multi Period Daily. Aborting process.")
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callBackFunction(global.DEFAULT_FAIL_RESPONSE)
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return
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}
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let datasetModule = dataDependenciesModule.dataSetsModulesArray[dependencyIndex]
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let previousFile
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let currentFile
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if (bot.multiPeriodDailyProcessDatetime.valueOf() > contextVariables.dateBeginOfMarket.valueOf()) {
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getPreviousFile()
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} else {
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previousFile = []
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getCurrentFile()
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}
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function getPreviousFile() {
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let dateForPath = previousDay.getUTCFullYear() + '/' + utilities.pad(previousDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(previousDay.getUTCDate(), 2)
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let filePath
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if (dependency.referenceParent.config.codeName === "Multi-Period-Daily") {
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filePath = dependency.referenceParent.parentNode.config.codeName + '/' + dependency.referenceParent.config.codeName + "/" + timeFrameLabel + "/" + dateForPath;
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} else {
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filePath = dependency.referenceParent.parentNode.config.codeName + '/' + dependency.referenceParent.config.codeName + "/" + dateForPath;
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}
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let fileName = "Data.json"
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datasetModule.getTextFile(filePath, fileName, onFileReceived)
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function onFileReceived(err, text) {
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if ((err.message === "File does not exist." && botNeverRan === true) || err.code === 'The specified key does not exist.') {
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/*
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Sometimes one of the dependencies of an indicator for some reasons are not calculated from the begining of the market.
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When that happens we can not find those files. What we do in this situation is to move the time fordward until we can find
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all the dependencies and the first run of the bot is successful.
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After that, we will not accept more missing files on any of the dependencies, and if any is missing we will abort the processing.
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*/
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logger.write(MODULE_NAME, "[WARN] start -> processTimeFrames -> timeFramesLoopBody -> dependencyLoopBody -> getPreviousFile -> onFileReceived -> Skipping day because file " + filePath + "/" + fileName + " was not found.")
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advanceTime()
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return
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}
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if ((err.result === "Fail Because" && err.message === "File does not exist.") || err.code === 'The specified key does not exist.') {
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logger.write(MODULE_NAME, "[ERROR] start -> processTimeFrames -> timeFramesLoopBody -> dependencyLoopBody -> getPreviousFile -> onFileReceived -> err = " + err.stack)
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callBackFunction(global.DEFAULT_RETRY_RESPONSE)
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return
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}
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> processTimeFrames -> timeFramesLoopBody -> dependencyLoopBody -> getPreviousFile -> onFileReceived -> err = " + err.stack)
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callBackFunction(err)
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return
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}
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previousFile = JSON.parse(text)
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getCurrentFile()
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}
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}
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function getCurrentFile() {
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let dateForPath = bot.multiPeriodDailyProcessDatetime.getUTCFullYear() + '/' + utilities.pad(bot.multiPeriodDailyProcessDatetime.getUTCMonth() + 1, 2) + '/' + utilities.pad(bot.multiPeriodDailyProcessDatetime.getUTCDate(), 2)
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let filePath
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if (dependency.referenceParent.config.codeName === "Multi-Period-Daily") {
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filePath = dependency.referenceParent.parentNode.config.codeName + '/' + dependency.referenceParent.config.codeName + "/" + timeFrameLabel + "/" + dateForPath;
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} else {
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filePath = dependency.referenceParent.parentNode.config.codeName + '/' + dependency.referenceParent.config.codeName + "/" + dateForPath;
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}
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let fileName = "Data.json";
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datasetModule.getTextFile(filePath, fileName, onFileReceived)
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function onFileReceived(err, text) {
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if ((err.result === "Fail Because" && err.message === "File does not exist.") || err.code === 'The specified key does not exist.') {
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if (bootstrappingTheProcess === true) {
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/*
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In the special situation where we are running this process for the first time (no status report found),
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we will consider the possibility that a depanant process does not produce a file during the first day of the market,
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or even more than one day. That is why we are going to advance time here.
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*/
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advanceTime()
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return
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}
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logger.write(MODULE_NAME, "[ERROR] start -> processTimeFrames -> timeFramesLoopBody -> dependencyLoopBody -> getCurrentFile -> onFileReceived -> err = " + err.code)
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logger.write(MODULE_NAME, "[ERROR] start -> processTimeFrames -> timeFramesLoopBody -> dependencyLoopBody -> getCurrentFile -> onFileReceived -> filePath = " + filePath)
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logger.write(MODULE_NAME, "[ERROR] start -> processTimeFrames -> timeFramesLoopBody -> dependencyLoopBody -> getCurrentFile -> onFileReceived -> fileName = " + fileName)
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callBackFunction(global.DEFAULT_RETRY_RESPONSE)
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return
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}
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> processTimeFrames -> timeFramesLoopBody -> dependencyLoopBody -> getCurrentFile -> Not OK -> onFileReceived -> err = " + err.code)
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callBackFunction(err)
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return
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}
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currentFile = JSON.parse(text)
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let dataFile = previousFile.concat(currentFile)
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dataFiles.set(dependency.id, dataFile)
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dependencyControlLoop()
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}
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}
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}
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function dependencyControlLoop() {
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dependencyIndex++;
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if (dependencyIndex < dataDependenciesModule.nodeArray.length) {
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dependencyLoopBody()
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} else {
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generateOutput()
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}
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function generateOutput() {
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indicatorOutputModule.start(
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dataFiles,
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timeFrame,
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timeFrameLabel,
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bot.multiPeriodDailyProcessDatetime,
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interExecutionMemoryArray[n],
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onOutputGenerated)
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function onOutputGenerated(err) {
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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callBackFunction(err)
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return
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}
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botNeverRan = false;
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timeFramesControlLoop()
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}
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}
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}
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}
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function timeFramesControlLoop() {
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n++
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if (n < global.dailyFilePeriods.length) {
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timeFramesLoopBody()
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} else {
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n = 0;
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writeDataRanges(onWritten)
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function onWritten(err) {
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> processTimeFrames -> controlLoop -> onWritten -> err = " + err.stack)
|
|
callBackFunction(err)
|
|
return
|
|
}
|
|
writeStatusReport(bot.multiPeriodDailyProcessDatetime, advanceTime)
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function writeDataRanges(callBack) {
|
|
let outputDatasets = global.NODE_BRANCH_TO_ARRAY (bot.processNode.referenceParent.processOutput, 'Output Dataset')
|
|
let outputDatasetIndex = -1;
|
|
controlLoop()
|
|
|
|
function productLoopBody() {
|
|
let productCodeName = outputDatasets[outputDatasetIndex].referenceParent.parentNode.config.codeName;
|
|
writeDataRange(contextVariables.dateBeginOfMarket, bot.multiPeriodDailyProcessDatetime, productCodeName, controlLoop)
|
|
}
|
|
|
|
function controlLoop() {
|
|
outputDatasetIndex++
|
|
if (outputDatasetIndex < outputDatasets.length) {
|
|
productLoopBody()
|
|
} else {
|
|
callBack(global.DEFAULT_OK_RESPONSE)
|
|
}
|
|
}
|
|
}
|
|
|
|
function writeDataRange(pBegin, pEnd, productCodeName, callBack) {
|
|
let dataRange = {
|
|
begin: pBegin.valueOf(),
|
|
end: pEnd.valueOf() + ONE_DAY_IN_MILISECONDS
|
|
};
|
|
let fileContent = JSON.stringify(dataRange)
|
|
let fileName = '/Data.Range.json';
|
|
let filePath = bot.filePathRoot + "/Output/" + productCodeName + "/" + bot.process + fileName;
|
|
|
|
fileStorage.createTextFile(filePath, fileContent + '\n', onFileCreated)
|
|
|
|
function onFileCreated(err) {
|
|
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDataRange -> onFileCreated -> err = " + err.stack)
|
|
callBack(err)
|
|
return
|
|
}
|
|
let key = bot.dataMine + "-" + bot.codeName + "-" + productCodeName + "-" + bot.exchange + "-" + bot.market.baseAsset + '/' + bot.market.quotedAsset
|
|
let event = {
|
|
dateRange: dataRange
|
|
}
|
|
|
|
global.EVENT_SERVER_CLIENT.raiseEvent(key, 'Data Range Updated', event)
|
|
writeTimeFramesFile(productCodeName, callBack)
|
|
}
|
|
}
|
|
|
|
function writeTimeFramesFile(productCodeName, callBack) {
|
|
|
|
let timeFramesArray = []
|
|
for (let n = 0; n < global.dailyFilePeriods.length; n++) {
|
|
let timeFrameLabel = global.dailyFilePeriods[n][1]
|
|
|
|
/* Check Time Frames Filter */
|
|
if (bot.dailyTimeFrames !== undefined) {
|
|
if (bot.dailyTimeFrames.includes(timeFrameLabel) === true) {
|
|
timeFramesArray.push(timeFrameLabel)
|
|
}
|
|
} else {
|
|
timeFramesArray.push(timeFrameLabel)
|
|
}
|
|
}
|
|
|
|
let fileContent = JSON.stringify(timeFramesArray)
|
|
let fileName = '/Time.Frames.json';
|
|
let filePath = bot.filePathRoot + "/Output/" + productCodeName + "/" + bot.process + fileName;
|
|
|
|
fileStorage.createTextFile(filePath, fileContent + '\n', onFileCreated)
|
|
|
|
function onFileCreated(err) {
|
|
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeTimeFramesFiles -> onFileCreated -> err = " + err.stack)
|
|
callBack(err)
|
|
return
|
|
}
|
|
callBack(global.DEFAULT_OK_RESPONSE)
|
|
}
|
|
}
|
|
|
|
function writeStatusReport(lastFileDate, callBack) {
|
|
let reportKey = bot.dataMine + "-" + bot.codeName + "-" + "Multi-Period-Daily"
|
|
let thisReport = statusDependencies.statusReports.get(reportKey)
|
|
|
|
thisReport.file.lastExecution = bot.currentDaytime;
|
|
thisReport.file.lastFile = lastFileDate;
|
|
thisReport.file.interExecutionMemoryArray = interExecutionMemoryArray;
|
|
thisReport.file.beginingOfMarket = beginingOfMarket.toUTCString()
|
|
if (bot.dailyTimeFrames !== undefined) {
|
|
thisReport.file.timeFrames = bot.dailyTimeFrames
|
|
}
|
|
thisReport.save(callBack)
|
|
|
|
bot.hasTheBotJustStarted = false;
|
|
}
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> err = " + err.stack)
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE)
|
|
}
|
|
}
|
|
};
|