1072 lines
58 KiB
JavaScript
1072 lines
58 KiB
JavaScript
exports.newTradingOrders = function (processIndex, 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(processIndex, bot, logger)
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const ANNOUNCEMENTS_MODULE = require('./Announcements.js')
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let announcementsModule = ANNOUNCEMENTS_MODULE.newAnnouncements(processIndex, 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 = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
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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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simulateCheckExchangeEvents(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(
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[
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tradingSystemOrder.cancelOrderEvent.id,
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'Skipping Cancel Event Checking because cheking the order at the exchange failed.'
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]
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)
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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.orderBaseAsset.actualSize === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderBaseAsset.actualSize === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderBaseAsset.amountReceived === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderBaseAsset.amountReceived === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderBaseAsset.feesToBePaid === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderBaseAsset.feesToBePaid === 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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if (tradingEngineOrder.orderQuotedAsset.actualSize === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderQuotedAsset.actualSize === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderQuotedAsset.amountReceived === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderQuotedAsset.amountReceived === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderQuotedAsset.feesToBePaid === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderQuotedAsset.feesToBePaid === 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) {
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tradingSystem.warnings.push(
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[
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[tradingEngineOrder.orderBaseAsset.size.id, tradingSystemOrder.id],
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'Could not open this order because its size is zero.'
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]
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)
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return
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}
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if (tradingEngineOrder.orderQuotedAsset.size.value <= 0) {
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tradingSystem.warnings.push(
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[
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[tradingEngineOrder.orderQuotedAsset.size.id, tradingSystemOrder.id ],
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'Could not open this order because its size is zero.'
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]
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)
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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(
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[
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[tradingSystemOrder.id, tradingEngineOrder],
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'Could not open this order because something failed placing the order at the Exchange.'
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]
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)
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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 = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(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 = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(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 = TS.projects.superalgos.utilities.miscellaneousFunctions.genereteUniqueId()
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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 = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(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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let algorithmSizeInBaseAsset
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let algorithmSizeInQuotedAsset
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requiredConfigurationValidation()
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notPassingTargetSizeValidation()
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notNegativeBalanceValidation()
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function requiredConfigurationValidation() {
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/* Validate that this config exists */
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if (executionAlgorithm.config.percentageOfStageTargetSize === undefined) {
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badDefinitionUnhandledException(undefined, 'executionAlgorithm.config.percentageOfStageTargetSize === undefined', executionAlgorithm)
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}
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if (isNaN(executionAlgorithm.config.percentageOfStageTargetSize) === true) {
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badDefinitionUnhandledException(undefined, 'isNaN(executionAlgorithm.config.percentageOfStageTargetSize) === true', executionAlgorithm)
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}
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algorithmSizeInBaseAsset = tradingEngineStage.stageBaseAsset.targetSize.value * executionAlgorithm.config.percentageOfStageTargetSize / 100
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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) {
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badDefinitionUnhandledException(undefined, 'tradingSystemOrder.config.percentageOfAlgorithmSize === undefined', tradingSystemOrder)
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}
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if (isNaN(tradingSystemOrder.config.percentageOfAlgorithmSize) === true) {
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badDefinitionUnhandledException(undefined, 'isNaN(tradingSystemOrder.config.percentageOfAlgorithmSize) === true', tradingSystemOrder)
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}
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}
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function notPassingTargetSizeValidation() {
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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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tradingEngineOrder.orderBaseAsset.size.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderBaseAsset.size.value, 10)
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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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let previousValue = tradingEngineOrder.orderBaseAsset.size.value
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tradingEngineOrder.orderBaseAsset.size.value =
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tradingEngineStage.stageBaseAsset.targetSize.value -
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tradingEngineStage.stageBaseAsset.sizePlaced.value
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tradingSystem.warnings.push(
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[
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[tradingEngineStage.stageBaseAsset.targetSize.id, tradingEngineOrder.orderBaseAsset.size.id, tradingEngineStage.stageBaseAsset.sizePlaced.id],
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'Order size (' + previousValue + ') shrinked (' + tradingEngineOrder.orderBaseAsset.size.value + ') so that the Size Placed (' + tradingEngineStage.stageBaseAsset.sizePlaced.value + ') does not exceed the Target Size (' + tradingEngineStage.stageBaseAsset.targetSize.value + ') for the stage.'
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]
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)
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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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tradingEngineOrder.orderQuotedAsset.size.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderQuotedAsset.size.value, 10)
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/* Check that the Size calculated would not surpass Stage Target Size */
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if (
|
|
tradingEngineOrder.orderQuotedAsset.size.value + tradingEngineStage.stageQuotedAsset.sizePlaced.value >
|
|
tradingEngineStage.stageQuotedAsset.targetSize.value
|
|
) {
|
|
let previousValue = tradingEngineOrder.orderQuotedAsset.size.value
|
|
tradingEngineOrder.orderQuotedAsset.size.value =
|
|
tradingEngineStage.stageQuotedAsset.targetSize.value -
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value
|
|
|
|
tradingSystem.warnings.push(
|
|
[
|
|
[tradingEngineStage.stageQuotedAsset.targetSize.id, tradingEngineOrder.orderQuotedAsset.size.id, tradingEngineStage.stageQuotedAsset.sizePlaced.id],
|
|
'Order size (' + previousValue + ') shrinked (' + tradingEngineOrder.orderQuotedAsset.size.value + ') so that the Size Placed (' + tradingEngineStage.stageQuotedAsset.sizePlaced.value + ') does not exceed the Target Size (' + tradingEngineStage.stageQuotedAsset.targetSize.value + ') for the stage.'
|
|
]
|
|
)
|
|
}
|
|
|
|
/* Size in Base Asset */
|
|
tradingEngineOrder.orderBaseAsset.size.value = tradingEngineOrder.orderQuotedAsset.size.value / tradingEngineOrder.rate.value
|
|
|
|
break
|
|
}
|
|
}
|
|
}
|
|
|
|
function notNegativeBalanceValidation() {
|
|
/* Check that the Size calculated would not leave a negative balance */
|
|
switch (true) {
|
|
case tradingSystemOrder.type === 'Market Buy Order' || tradingSystemOrder.type === 'Limit Buy Order': {
|
|
if (
|
|
tradingEngine.current.episode.episodeQuotedAsset.balance.value - tradingEngineOrder.orderQuotedAsset.size.value < 0
|
|
) {
|
|
tradingSystem.warnings.push(
|
|
[
|
|
[tradingEngine.current.episode.episodeQuotedAsset.balance.id, tradingEngineOrder.orderQuotedAsset.size.id],
|
|
'Order Size Quoted Asset (' + tradingEngineOrder.orderQuotedAsset.size.value + ') changed to Balance Quoted Asset (' + tradingEngine.current.episode.episodeQuotedAsset.balance.value + ') so that the Balance does not drop below zero.'
|
|
]
|
|
)
|
|
|
|
tradingEngineOrder.orderQuotedAsset.size.value = tradingEngine.current.episode.episodeQuotedAsset.balance.value
|
|
tradingEngineOrder.orderBaseAsset.size.value = tradingEngineOrder.orderQuotedAsset.size.value / tradingEngineOrder.rate.value
|
|
}
|
|
break
|
|
}
|
|
case tradingSystemOrder.type === 'Market Sell Order' || tradingSystemOrder.type === 'Limit Sell Order': {
|
|
if (
|
|
tradingEngine.current.episode.episodeBaseAsset.balance.value - tradingEngineOrder.orderBaseAsset.size.value < 0
|
|
) {
|
|
tradingSystem.warnings.push(
|
|
[
|
|
[tradingEngine.current.episode.episodeBaseAsset.balance.id, tradingEngineOrder.orderBaseAsset.size.id],
|
|
'Order Size Base Asset (' + tradingEngineOrder.orderBaseAsset.size.value + ') changed to Balance Base Asset (' + tradingEngine.current.episode.episodeBaseAsset.balance.value + ') so that the Balance does not drop below zero.'
|
|
]
|
|
)
|
|
|
|
tradingEngineOrder.orderBaseAsset.size.value = tradingEngine.current.episode.episodeBaseAsset.balance.value
|
|
tradingEngineOrder.orderQuotedAsset.size.value = tradingEngineOrder.orderBaseAsset.size.value * tradingEngineOrder.rate.value
|
|
}
|
|
break
|
|
}
|
|
}
|
|
}
|
|
|
|
tradingEngineOrder.orderBaseAsset.size.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderBaseAsset.size.value, 10)
|
|
tradingEngineOrder.orderQuotedAsset.size.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderQuotedAsset.size.value, 10)
|
|
}
|
|
|
|
async function createOrderAtExchange(tradingSystemOrder, tradingEngineOrder) {
|
|
|
|
/* Filter by Session Type */
|
|
switch (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.type) {
|
|
case 'Backtesting Session': {
|
|
return true
|
|
}
|
|
case 'Live Trading Session': {
|
|
break
|
|
}
|
|
case 'Fordward Testing Session': {
|
|
break
|
|
}
|
|
case 'Paper Trading Session': {
|
|
return true
|
|
}
|
|
}
|
|
|
|
let orderId = await exchangeAPIModule.createOrder(tradingSystemOrder, tradingEngineOrder)
|
|
|
|
if (orderId !== undefined) {
|
|
tradingEngineOrder.exchangeId.value = orderId
|
|
return true
|
|
}
|
|
}
|
|
}
|
|
|
|
async function checkExchangeEvents(tradingEngineStage, tradingSystemOrder, tradingEngineOrder) {
|
|
|
|
/* Filter by Session Type */
|
|
switch (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.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, tradingEngineOrder.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
|
|
}
|
|
|
|
function simulateCheckExchangeEvents(tradingEngineStage, tradingSystemOrder, tradingEngineOrder) {
|
|
|
|
/* Filter by Session Type */
|
|
switch (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.type) {
|
|
case 'Backtesting Session': {
|
|
break
|
|
}
|
|
case 'Live Trading Session': {
|
|
return
|
|
}
|
|
case 'Fordward Testing Session': {
|
|
return
|
|
}
|
|
case 'Paper Trading Session': {
|
|
break
|
|
}
|
|
}
|
|
|
|
simulateSyncWithExchange(tradingEngineStage, tradingSystemOrder, tradingEngineOrder)
|
|
|
|
/* 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])
|
|
}
|
|
|
|
/* 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 simulateSyncWithExchange(tradingEngineStage, tradingSystemOrder, tradingEngineOrder) {
|
|
|
|
let previousBaseAssetSizeFilled = tradingEngineOrder.orderBaseAsset.sizeFilled.value
|
|
let previousQuotedAssetSizeFilled = tradingEngineOrder.orderQuotedAsset.sizeFilled.value
|
|
let previousBaseAssetFeesPaid = tradingEngineOrder.orderBaseAsset.feesPaid.value
|
|
let previousQuotedAssetFeesPaid = tradingEngineOrder.orderQuotedAsset.feesPaid.value
|
|
|
|
const ORDERS_SIMULATIONS_MODULE = require('./OrdersSimulations.js')
|
|
let ordersSimulationsModule = ORDERS_SIMULATIONS_MODULE.newOrdersSimulations(processIndex, bot, logger)
|
|
ordersSimulationsModule.initialize()
|
|
|
|
ordersSimulationsModule.actualSizeSimulation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, applyFeePercentage)
|
|
ordersSimulationsModule.actualRateSimulation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, applyFeePercentage)
|
|
ordersSimulationsModule.feesToBePaidSimulation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, applyFeePercentage)
|
|
ordersSimulationsModule.percentageFilledSimulation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, applyFeePercentage)
|
|
ordersSimulationsModule.feesPaidSimulation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, applyFeePercentage)
|
|
ordersSimulationsModule.sizeFilledSimulation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, applyFeePercentage)
|
|
ordersSimulationsModule.amountReceivedSimulation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, applyFeePercentage)
|
|
|
|
ordersSimulationsModule.finalize()
|
|
|
|
doTheAccounting(
|
|
tradingEngineStage,
|
|
tradingSystemOrder,
|
|
tradingEngineOrder,
|
|
previousBaseAssetSizeFilled,
|
|
previousQuotedAssetSizeFilled,
|
|
previousBaseAssetFeesPaid,
|
|
previousQuotedAssetFeesPaid
|
|
)
|
|
}
|
|
|
|
async function syncWithExchange(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order) {
|
|
|
|
let previousBaseAssetSizeFilled = tradingEngineOrder.orderBaseAsset.sizeFilled.value
|
|
let previousQuotedAssetSizeFilled = tradingEngineOrder.orderQuotedAsset.sizeFilled.value
|
|
let previousBaseAssetFeesPaid = tradingEngineOrder.orderBaseAsset.feesPaid.value
|
|
let previousQuotedAssetFeesPaid = tradingEngineOrder.orderQuotedAsset.feesPaid.value
|
|
|
|
const ORDERS_CALCULATIONS_MODULE = require('./OrdersCalculations.js')
|
|
let ordersCalculationsModule = ORDERS_CALCULATIONS_MODULE.newOrdersCalculations(processIndex, bot, logger)
|
|
ordersCalculationsModule.initialize()
|
|
|
|
await ordersCalculationsModule.actualSizeCalculation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order, applyFeePercentage)
|
|
await ordersCalculationsModule.actualRateCalculation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order, applyFeePercentage)
|
|
await ordersCalculationsModule.feesToBePaidCalculation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order, applyFeePercentage)
|
|
await ordersCalculationsModule.percentageFilledCalculation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order, applyFeePercentage)
|
|
await ordersCalculationsModule.feesPaidCalculation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order, applyFeePercentage)
|
|
await ordersCalculationsModule.sizeFilledCalculation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order, applyFeePercentage)
|
|
await ordersCalculationsModule.amountReceivedCalculation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order, applyFeePercentage)
|
|
|
|
ordersCalculationsModule.finalize()
|
|
|
|
await doTheAccounting(
|
|
tradingEngineStage,
|
|
tradingSystemOrder,
|
|
tradingEngineOrder,
|
|
previousBaseAssetSizeFilled,
|
|
previousQuotedAssetSizeFilled,
|
|
previousBaseAssetFeesPaid,
|
|
previousQuotedAssetFeesPaid
|
|
)
|
|
}
|
|
|
|
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 = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageBaseAsset.sizeFilled.value, 10)
|
|
tradingEngineStage.stageBaseAsset.feesPaid.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageBaseAsset.feesPaid.value, 10)
|
|
|
|
tradingEngineStage.stageQuotedAsset.sizeFilled.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageQuotedAsset.sizeFilled.value, 10)
|
|
tradingEngineStage.stageQuotedAsset.feesPaid.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageQuotedAsset.feesPaid.value, 10)
|
|
}
|
|
|
|
async function updateBalances() {
|
|
/* Balances Update */
|
|
switch (true) {
|
|
/*
|
|
For Sell orders, the fees are being paid in Quote 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
|
|
}
|
|
/*
|
|
Let's remember that for Buy orders, the fees are paid in Base Asset.
|
|
*/
|
|
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
|
|
}
|
|
}
|
|
tradingEngine.current.episode.episodeBaseAsset.balance.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeBaseAsset.balance.value, 10)
|
|
tradingEngine.current.episode.episodeQuotedAsset.balance.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.episode.episodeQuotedAsset.balance.value, 10)
|
|
}
|
|
}
|
|
|
|
function simulateCancelOrder(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, exitType) {
|
|
|
|
/* Filter by Session Type */
|
|
switch (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.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 (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.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, tradingEngineOrder.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 actual size, and the account only the sizeFilled + the feesPaid.
|
|
*/
|
|
tradingEngineStage.stageBaseAsset.sizePlaced.value =
|
|
tradingEngineStage.stageBaseAsset.sizePlaced.value -
|
|
tradingEngineOrder.orderBaseAsset.actualSize.value
|
|
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value =
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value -
|
|
tradingEngineOrder.orderQuotedAsset.actualSize.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 = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageBaseAsset.sizePlaced.value, 10)
|
|
tradingEngineStage.stageQuotedAsset.sizePlaced.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
|
|
}
|
|
|
|
async function applyFeePercentage(feesNodePropertyName, tradingEngineOrder, tradingSystemOrder, feePercentage, percentageFilled) {
|
|
/*
|
|
The exchange fees are taken from the Base Asset or the Quoted Asset depending if we
|
|
are buying or selling.
|
|
*/
|
|
let feesNode
|
|
|
|
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 as a result of the trade at the exchange.
|
|
*/
|
|
feesNode = tradingEngineOrder.orderBaseAsset[feesNodePropertyName]
|
|
feesNode.value =
|
|
tradingEngineOrder.orderBaseAsset.actualSize.value *
|
|
feePercentage / 100 *
|
|
percentageFilled / 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 as a result of the trade at the exchange.
|
|
*/
|
|
feesNode = tradingEngineOrder.orderQuotedAsset[feesNodePropertyName]
|
|
feesNode.value =
|
|
tradingEngineOrder.orderQuotedAsset.actualSize.value *
|
|
feePercentage / 100 *
|
|
percentageFilled / 100
|
|
break
|
|
}
|
|
}
|
|
|
|
feesNode.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(feesNode.value, 10)
|
|
feesNode.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(feesNode.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 / TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS
|
|
tradingEngineOrder.orderStatistics.days.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(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.'
|
|
}
|
|
}
|
|
|