769 lines
39 KiB
JavaScript
769 lines
39 KiB
JavaScript
exports.newTradingExecution = function newTradingExecution(bot, logger, tradingEngineModule) {
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/*
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The Trading Execution modules manages the execution of orders against the exchanges.
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*/
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const MODULE_NAME = 'Trading Execution'
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let thisObject = {
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checkExecution: checkExecution,
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initialize: initialize,
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finalize: finalize
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}
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let tradingEngine
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let tradingSystem
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let sessionParameters
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const EXCHANGE_API_MODULE = require('./ExchangeAPI.js')
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let exchangeAPIModule = EXCHANGE_API_MODULE.newExchangeAPI(bot, logger)
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const ANNOUNCEMENTS_MODULE = require('./Announcements.js')
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let announcementsModule = ANNOUNCEMENTS_MODULE.newAnnouncements(bot, logger)
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return thisObject
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function initialize() {
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tradingSystem = bot.simulationState.tradingSystem
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tradingEngine = bot.simulationState.tradingEngine
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sessionParameters = bot.SESSION.parameters
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exchangeAPIModule.initialize()
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announcementsModule.initialize()
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}
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function finalize() {
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tradingSystem = undefined
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tradingEngine = undefined
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sessionParameters = undefined
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exchangeAPIModule.finalize()
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exchangeAPIModule = undefined
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announcementsModule.finalize()
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announcementsModule = undefined
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}
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async function checkExecution(
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executionNode,
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stageIsOpening,
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stageIsClosing,
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stageSizeLimitInBaseAsset,
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stageSizeLimitInQuotedAsset,
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tradingEngineStage
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) {
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/* Trading Stage Validations */
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if (tradingEngineStage.stageBaseAsset === undefined) { continue }
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if (tradingEngineStage.stageBaseAsset.size === undefined) { continue }
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if (tradingEngineStage.stageBaseAsset.sizeFilled === undefined) { continue }
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if (tradingEngineStage.stageBaseAsset.amountReceived === undefined) { continue }
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if (tradingEngineStage.stageBaseAsset.feesPaid === undefined) { continue }
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if (tradingEngineStage.stageQuotedAsset === undefined) { continue }
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if (tradingEngineStage.stageQuotedAsset.size === undefined) { continue }
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if (tradingEngineStage.stageQuotedAsset.sizeFilled === undefined) { continue }
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if (tradingEngineStage.stageQuotedAsset.amountReceived === undefined) { continue }
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if (tradingEngineStage.stageQuotedAsset.feesPaid === undefined) { continue }
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/*
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The user choice of asset to define the size of the position,
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defines the asset that will track the information kept about the
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stage at the trading engine data structure. We set this asset
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to be used here in this way:
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*/
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let tradingEngineStageAsset
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if (tradingEngine.current.position.positionBaseAsset.size.value > 0) {
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tradingEngineStageAsset = tradingEngineStage.stageBaseAsset
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} else {
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tradingEngineStageAsset = tradingEngineStage.stageQuotedAsset
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}
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/*
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The asset type of the position size chosen by the user, also defines
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the stage limit to be on the same asset type.
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*/
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let stageSizeLimit
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if (tradingEngine.current.position.positionBaseAsset.size.value > 0) {
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stageSizeLimit = stageSizeLimitInBaseAsset
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} else {
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stageSizeLimit = stageSizeLimitInQuotedAsset
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}
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await checkExecutionAlgorithms(executionNode)
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async function checkExecutionAlgorithms(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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await checkOrders(executionAlgorithm.marketBuyOrders, executionAlgorithm, executionNode)
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await checkOrders(executionAlgorithm.marketSellOrders, executionAlgorithm, executionNode)
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await checkOrders(executionAlgorithm.limitBuyOrders, executionAlgorithm, executionNode)
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await checkOrders(executionAlgorithm.limitSellOrders, executionAlgorithm, executionNode)
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}
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}
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async function checkOrders(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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/* Trading System Validations */
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if (tradingSystemOrder.config.positionSizePercentage === undefined) { continue }
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if (tradingSystemOrder.referenceParent === undefined) { continue }
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let tradingEngineOrder = tradingEngineModule.getNodeById(tradingSystemOrder.referenceParent.id)
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/* Trading Engine Validations */
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if (tradingEngineOrder.serialNumber === undefined) { continue }
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if (tradingEngineOrder.identifier === undefined) { continue }
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if (tradingEngineOrder.exchangeId === undefined) { continue }
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if (tradingEngineOrder.begin === undefined) { continue }
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if (tradingEngineOrder.end === undefined) { continue }
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if (tradingEngineOrder.rate === undefined) { continue }
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if (tradingEngineOrder.status === undefined) { continue }
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if (tradingEngineOrder.algorithmName === undefined) { continue }
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if (tradingEngineOrder.orderCounters === undefined) { continue }
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if (tradingEngineOrder.orderCounters.periods === undefined) { continue }
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if (tradingEngineOrder.orderStatistics.days === undefined) { continue }
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if (tradingEngineOrder.orderStatistics.percentageFilled === undefined) { continue }
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if (tradingEngineOrder.orderStatistics.actualRate === undefined) { continue }
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if (tradingEngineOrder.orderStatistics.feesPaid === undefined) { continue }
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if (tradingEngineOrder.orderBaseAsset.size === undefined) { continue }
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if (tradingEngineOrder.orderBaseAsset.sizeFilled === undefined) { continue }
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if (tradingEngineOrder.orderBaseAsset.amountReceived === undefined) { continue }
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if (tradingEngineOrder.orderBaseAsset.feesPaid === undefined) { continue }
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if (tradingEngineOrder.orderQuotedAsset.size === undefined) { continue }
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if (tradingEngineOrder.orderQuotedAsset.sizeFilled === undefined) { continue }
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if (tradingEngineOrder.orderQuotedAsset.amountReceived === undefined) { continue }
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if (tradingEngineOrder.orderQuotedAsset.feesPaid === undefined) { continue }
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/*
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The asset type of the position size chosen by the user, defines
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the asset at the order data strutcture where information is going to
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be stored.
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*/
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let traingEngineOrderAsset
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if (tradingEngine.current.position.positionBaseAsset.size.value > 0) {
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traingEngineOrderAsset = tradingEngineOrder.orderBaseAsset
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} else {
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traingEngineOrderAsset = tradingEngineOrder.orderQuotedAsset
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}
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switch (tradingEngineOrder.status.value) {
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case 'Not Open': {
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{
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/* When the stage is closing we can not create new orders */
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if (stageIsClosing === true) { 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.identifier.value === '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 = 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 openOrder(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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tradingEngineOrder.end.value = tradingEngine.current.candle.end.value
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tradingEngineOrder.orderCounters.periods.value++
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tradingEngineOrder.orderStatistics.days.value = tradingEngineOrder.orderCounters.periods.value * sessionParameters.timeFrame.config.value / global.ONE_DAY_IN_MILISECONDS
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/* Simulate Events that happens at the Exchange, if needed. */
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simulateExchangeEvents(tradingSystemOrder, tradingEngineOrder)
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/* Check Events that happens at the Exchange, if needed. */
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await checkExchangeEvents(tradingSystemOrder, tradingEngineOrder)
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/* If the stage is closing or the order is not still Open, we wont be cancelling orders based on defined events */
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if (stageIsClosing !== true && tradingEngineOrder.status.value === 'Open') {
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/* Check if we need to Cancel this Order */
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let situationName = checkOrderEvent(tradingSystemOrder.cancelOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
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if (situationName !== undefined) {
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simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
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await exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
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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 openOrder(executionAlgorithm, tradingSystemOrder, tradingEngineOrder, situationName) {
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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 (traingEngineOrderAsset.size.value <= 0) { return }
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calculateOrderRate()
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/* Place Order at the Exchange */
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let result = await createOrderAtExchange(tradingSystemOrder, tradingEngineOrder)
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if (result !== true) { return }
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/* Update Stage Counters */
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tradingEngineStageAsset.value = tradingEngineStageAsset.value + tradingEngineOrder.size.value
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tradingEngineStageAsset.value = global.PRECISE(tradingEngineStageAsset.value, 10)
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/* Updating Episode Counters */
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tradingEngine.episode.episodeCounters.orders.value++
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/* Initialize this */
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tradingEngine.current.distanceToEvent.createOrder.value = 1
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/* Create Order Procedure */
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tradingEngineOrder.status.value = 'Open'
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tradingEngineOrder.identifier.value = global.UNIQUE_ID()
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tradingEngineOrder.begin.value = tradingEngine.current.candle.begin.value
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tradingEngineOrder.end.value = tradingEngine.current.candle.end.value
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tradingEngineOrder.serialNumber.value = tradingEngine.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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function calculateOrderSize() {
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/*
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If the position size was defined in Base Asset, then
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the algorithm needs to define its size also in Base Asset.
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The same if it was deined in Quoted Asset.
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*/
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let sizeFormula
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if (tradingEngine.current.position.positionBaseAsset.size.value > 0) {
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/* Position was defined in Base Asset */
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if (executionAlgorithm.sizeInBaseAsset !== undefined) {
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if (executionAlgorithm.sizeInBaseAsset.formula !== undefined) {
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sizeFormula = executionAlgorithm.sizeInBaseAsset.formula
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} else {
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const errorText = 'Size In Base Asset needs a child Formula. Fix this please.'
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tradingSystem.errors.push([executionAlgorithm.sizeInBaseAsset.id, errorText])
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throw (errorText)
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}
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} else {
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const errorText = 'Execution Algorithm needs a child Size In Base Asset. Fix this please.'
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tradingSystem.errors.push([executionAlgorithm.id, errorText])
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throw (errorText)
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}
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} else {
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/* Position was defined in Quoted Asset */
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if (executionAlgorithm.sizeInQuotedAsset !== undefined) {
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if (executionAlgorithm.sizeInQuotedAsset.formula !== undefined) {
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sizeFormula = executionAlgorithm.sizeInQuotedAsset.formula
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} else {
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const errorText = 'Size In Quoted Asset needs a child Formula. Fix this please.'
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tradingSystem.errors.push([executionAlgorithm.sizeInQuotedAsset.id, errorText])
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throw (errorText)
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}
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} else {
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const errorText = 'Execution Algorithm needs a child Size In Quoted Asset. Fix this please.'
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tradingSystem.errors.push([executionAlgorithm.id, errorText])
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throw (errorText)
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}
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}
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/* Order Size Calculation */
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let algorithmSize = tradingSystem.formulas.get(sizeFormula.id)
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if (algorithmSize === undefined) {
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const errorText = 'Execution Algorithm Size cannot be undefined. Fix this please.'
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tradingSystem.errors.push([sizeFormula.id, errorText])
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throw (errorText)
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}
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/* Validate that this config exists */
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if (tradingSystemOrder.config.positionSizePercentage === undefined) {
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const errorText = 'Config positionSizePercentage does not exist. Fix this please.'
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tradingSystem.errors.push([tradingSystemOrder.id, errorText])
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throw (errorText)
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}
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traingEngineOrderAsset.size.value = algorithmSize * tradingSystemOrder.config.positionSizePercentage / 100
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traingEngineOrderAsset.size.value = global.PRECISE(traingEngineOrderAsset.size.value, 10)
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/* Check against the Stage Size Limit */
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if (tradingEngineStageAsset.size.value + traingEngineOrderAsset.size.value > stageSizeLimit.value) {
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/* We reduce the size to the remaining size of the position. */
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traingEngineOrderAsset.size.value = stageSizeLimit.value - tradingEngineStageAsset.value
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traingEngineOrderAsset.size.value = global.PRECISE(traingEngineOrderAsset.size.value, 10)
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}
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}
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function calculateOrderRate() {
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/* Order Rate Calculation */
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tradingEngineOrder.rate.value = tradingEngine.current.position.rate.value // By default this is the order rate.
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if (tradingSystemOrder.positionRate !== undefined) {
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if (tradingSystemOrder.positionRate.formula !== undefined) {
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tradingEngineOrder.rate.value = tradingSystem.formulas.get(tradingSystemOrder.positionRate.formula.id)
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if (tradingEngineOrder.rate.value === undefined) {
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const errorText = 'Rate cannot be undefined. Fix this please.'
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tradingSystem.errors.push([tradingSystemOrder.positionRate.formula.id, errorText])
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throw (errorText)
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}
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if (tradingEngineOrder.rate.value <= 0) {
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const errorText = 'Rate cannot be less or equal to zero. Fix this please.'
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tradingSystem.errors.push([tradingSystemOrder.positionRate.formula.id, errorText])
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throw (errorText)
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}
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tradingEngineOrder.rate.value = global.PRECISE(tradingEngineOrder.rate.value, 10)
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}
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}
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}
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}
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async function createOrderAtExchange(tradingSystemOrder, tradingEngineOrder) {
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/* Filter by Session Type */
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switch (bot.SESSION.type) {
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case 'Backtesting Session': {
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return true
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}
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case 'Live Trading Session': {
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break
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}
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case 'Fordward Testing Session': {
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break
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}
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case 'Paper Trading Session': {
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return true
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}
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}
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let orderId = await exchangeAPIModule.createOrder(tradingSystemOrder, tradingEngineOrder)
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if (orderId !== undefined) {
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tradingEngineOrder.exchangeId.value = orderId
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return true
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}
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}
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function simulateExchangeEvents(tradingSystemOrder, tradingEngineOrder) {
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/* Filter by Session Type */
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switch (bot.SESSION.type) {
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case 'Backtesting Session': {
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break
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}
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case 'Live Trading Session': {
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return
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}
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case 'Fordward Testing Session': {
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return
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}
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case 'Paper Trading Session': {
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break
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}
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}
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/* Filter by what is defined at the Strategy */
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if (tradingSystemOrder.simulatedExchangeEvents === undefined) { return }
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let previousSizeFilled = tradingEngineOrder.orderStatistics.sizeFilled.value
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let previousPercentageFilled = tradingEngineOrder.orderStatistics.percentageFilled.value
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let previousAmountReceived = tradingEngineOrder.orderStatistics.amountReceived.value
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let previousFeesPaid = tradingEngineOrder.orderStatistics.feesPaid.value
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actualRateSimulation()
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feesPaidSimulation()
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orderFillingSimulation()
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sizeFilledSimulation()
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amountReceivedSimulation()
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doTheAccounting(tradingSystemOrder, tradingEngineOrder, previousSizeFilled, previousPercentageFilled, previousAmountReceived, previousFeesPaid)
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/* If the Stage is Closing and this order is still open, we need to cancel it now */
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if (stageIsClosing === true && tradingEngineOrder.status.value !== 'Closed') {
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simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Closing Stage')
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}
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function actualRateSimulation() {
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/* Actual Rate Simulation */
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let calculatedBasedOnTradingSystem = false
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/* Based on the Trading System Definition */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
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/* Calculate this only once for this order */
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if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.orderStatistics.actualRate.config.initialValue) {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingSystem.formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
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if (tradingEngineOrder.orderStatistics.actualRate.value !== undefined) {
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calculatedBasedOnTradingSystem = true
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}
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}
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}
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}
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/* Based on the Session Parameters Definition */
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if (calculatedBasedOnTradingSystem === false) {
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switch (tradingEngineOrder.type) {
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case 'Market Order': {
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/* Actual Rate is simulated based on the Session Paremeters */
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let slippageAmount = tradingEngineOrder.rate.value * bot.SESSION.parameters.slippage.config.positionRate / 100
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switch (tradingSystemOrder.type) {
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case 'Market Sell Order': {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value - slippageAmount
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break
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}
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case 'Market Buy Order': {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value + slippageAmount
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break
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}
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}
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break
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}
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case 'Limit Order': {
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/* In Limit Orders the actual rate is the rate of the order, there is no slippage */
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value
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break
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}
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}
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}
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tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
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}
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function feesPaidSimulation() {
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/* Fees Paid Simulation */
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let calculatedBasedOnTradingSystem = false
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/* Based on the Trading System Definition */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage !== undefined) {
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if (tradingEngineOrder.orderStatistics.feesPaid.value === tradingEngineOrder.orderStatistics.feesPaid.config.initialValue) {
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tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value * tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100
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calculatedBasedOnTradingSystem = true
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}
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}
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}
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/* Based on the Session Parameters Definition */
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if (calculatedBasedOnTradingSystem === false) {
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/* Fees are simulated based on the Session Paremeters */
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switch (tradingEngineOrder.type) {
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case 'Market Order': {
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tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value * bot.SESSION.parameters.feeStructure.config.taker / 100
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break
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}
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case 'Limit Order': {
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tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value * bot.SESSION.parameters.feeStructure.config.maker / 100
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break
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}
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}
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}
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tradingEngineOrder.orderStatistics.feesPaid.value = global.PRECISE(tradingEngineOrder.orderStatistics.feesPaid.value, 10)
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}
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function orderFillingSimulation() {
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/* Order Filling Simulation */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability !== undefined) {
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/* Percentage Filled */
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let percentageFilled = tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability * 100
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if (tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled > 100) {
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percentageFilled = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
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}
|
|
tradingEngineOrder.orderStatistics.percentageFilled.value = tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled
|
|
tradingEngineOrder.orderStatistics.percentageFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
|
|
|
|
/* Check if we need to close */
|
|
if (tradingEngineOrder.orderStatistics.percentageFilled.value === 100) {
|
|
|
|
/* Close this Order */
|
|
tradingEngineOrder.status.value = 'Closed'
|
|
tradingEngineOrder.exitType.value = 'Filled'
|
|
|
|
/* Initialize this */
|
|
tradingEngine.current.distanceToEvent.closeOrder.value = 1
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function sizeFilledSimulation() {
|
|
/* Size Filled */
|
|
tradingEngineOrder.orderStatistics.sizeFilled.value = tradingEngineOrder.size.value * tradingEngineOrder.orderStatistics.percentageFilled.value / 100
|
|
tradingEngineOrder.orderStatistics.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.sizeFilled.value, 10)
|
|
}
|
|
|
|
function amountReceivedSimulation() {
|
|
/* Amount Received */
|
|
let calculatedBasedOnOrderDefinition = false
|
|
|
|
/* Based on the Order Definition */
|
|
if (tradingSystemOrder.simulatedExchangeEvents !== undefined) {
|
|
if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
|
|
if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
|
|
let simulatedActualRate = tradingSystem.formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
|
|
if (simulatedActualRate !== undefined) {
|
|
tradingEngineOrder.orderStatistics.amountReceived.value = tradingEngineOrder.orderStatistics.sizeFilled.value * simulatedActualRate
|
|
tradingEngineOrder.orderStatistics.amountReceived.value = global.PRECISE(tradingEngineOrder.orderStatistics.amountReceived.value, 10)
|
|
calculatedBasedOnOrderDefinition = true
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
/* Based on Candle Close Value */
|
|
if (calculatedBasedOnOrderDefinition === false) {
|
|
let simulatedActualRate = tradingEngine.current.candle.close.value
|
|
tradingEngineOrder.orderStatistics.amountReceived.value = tradingEngineOrder.orderStatistics.sizeFilled.value * simulatedActualRate
|
|
tradingEngineOrder.orderStatistics.amountReceived.value = global.PRECISE(tradingEngineOrder.orderStatistics.amountReceived.value, 10)
|
|
}
|
|
}
|
|
}
|
|
|
|
async function checkExchangeEvents(tradingSystemOrder, tradingEngineOrder) {
|
|
|
|
/* Filter by Session Type */
|
|
switch (bot.SESSION.type) {
|
|
case 'Backtesting Session': {
|
|
return true
|
|
}
|
|
case 'Live Trading Session': {
|
|
break
|
|
}
|
|
case 'Fordward Testing Session': {
|
|
break
|
|
}
|
|
case 'Paper Trading Session': {
|
|
return true
|
|
}
|
|
}
|
|
|
|
let order = await exchangeAPIModule.getOrder(tradingSystemOrder, tradingEngineOrder)
|
|
|
|
if (order === undefined) { return }
|
|
|
|
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.distanceToEvent.closeOrder.value = 1
|
|
}
|
|
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.distanceToEvent.closeOrder.value = 1
|
|
}
|
|
if (order.status === AT_EXCHANGE_STATUS.CANCELLED) {
|
|
|
|
/* Close this Order */
|
|
tradingEngineOrder.status.value = 'Closed'
|
|
tradingEngineOrder.exitType.value = 'Cancelled at the Exchange'
|
|
|
|
/* Initialize this */
|
|
tradingEngine.current.distanceToEvent.closeOrder.value = 1
|
|
}
|
|
|
|
syncWithExchange(tradingSystemOrder, tradingEngineOrder, order)
|
|
|
|
/* Forced Cancellation Check */
|
|
if (stageIsClosing === true && tradingEngineOrder.status.value !== 'Closed') {
|
|
await exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Closing Stage')
|
|
}
|
|
}
|
|
|
|
function syncWithExchange(tradingSystemOrder, tradingEngineOrder, order) {
|
|
|
|
let previousSizeFilled = tradingEngineOrder.orderStatistics.sizeFilled.value
|
|
let previousPercentageFilled = tradingEngineOrder.orderStatistics.percentageFilled.value
|
|
let previousAmountReceived = tradingEngineOrder.orderStatistics.amountReceived.value
|
|
let previousFeesPaid = tradingEngineOrder.orderStatistics.feesPaid.value
|
|
|
|
/* Fees Paid */
|
|
tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value - order.amount
|
|
tradingEngineOrder.orderStatistics.feesPaid.value = global.PRECISE(tradingEngineOrder.orderStatistics.feesPaid.value, 10)
|
|
|
|
/* Percentage Filled */
|
|
tradingEngineOrder.orderStatistics.percentageFilled.value = order.filled * 100 / (order.filled + order.remaining)
|
|
tradingEngineOrder.orderStatistics.percentageFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
|
|
|
|
/* Size Filled */
|
|
tradingEngineOrder.orderStatistics.sizeFilled.value = order.filled
|
|
tradingEngineOrder.orderStatistics.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.sizeFilled.value, 10)
|
|
|
|
/* Amount Received */
|
|
tradingEngineOrder.orderStatistics.amountReceived.value = order.cost
|
|
tradingEngineOrder.orderStatistics.amountReceived.value = global.PRECISE(tradingEngineOrder.orderStatistics.amountReceived.value, 10)
|
|
|
|
/* Actual Rate */
|
|
tradingEngineOrder.orderStatistics.actualRate.value = order.price
|
|
tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
|
|
|
|
doTheAccounting(tradingSystemOrder, tradingEngineOrder, previousSizeFilled, previousPercentageFilled, previousAmountReceived, previousFeesPaid)
|
|
}
|
|
|
|
function doTheAccounting(tradingSystemOrder, tradingEngineOrder, previousSizeFilled, previousPercentageFilled, previousAmountReceived, previousFeesPaid) {
|
|
|
|
/* Unaccount for the previous Stage Filled Size */
|
|
stageFilledSize.value = stageFilledSize.value - tradingEngineOrder.size.value * previousPercentageFilled / 100
|
|
/* Account for the current Stage Filled Size */
|
|
stageFilledSize.value = stageFilledSize.value + tradingEngineOrder.size.value * tradingEngineOrder.orderStatistics.percentageFilled.value / 100
|
|
stageFilledSize.value = global.PRECISE(stageFilledSize.value, 10)
|
|
|
|
|
|
/* Balances Update */
|
|
switch (true) {
|
|
case tradingSystemOrder.type === 'Market Buy Order' || tradingSystemOrder.type === 'Limit Buy Order': {
|
|
|
|
/* Undo the previous accounting */
|
|
tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value - previousFeesPaid - previousSizeFilled
|
|
/* Account the current filling and fees */
|
|
tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + tradingEngineOrder.orderStatistics.sizeFilled.value + tradingEngineOrder.orderStatistics.feesPaid.value
|
|
|
|
/* Undo the previous accounting */
|
|
tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + previousAmountReceived
|
|
/* Account the current filling and fees */
|
|
tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value - tradingEngineOrder.orderStatistics.amountReceived.value
|
|
|
|
break
|
|
}
|
|
case tradingSystemOrder.type === 'Market Sell Order' || tradingSystemOrder.type === 'Limit Sell Order': {
|
|
|
|
/* Undo the previous accounting */
|
|
tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + previousFeesPaid + previousSizeFilled
|
|
/* Account the current filling and fees */
|
|
tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value - tradingEngineOrder.orderStatistics.sizeFilled.value - tradingEngineOrder.orderStatistics.feesPaid.value
|
|
|
|
/* Undo the previous accounting */
|
|
tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value - previousAmountReceived
|
|
/* Account the current filling and fees */
|
|
tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + tradingEngineOrder.orderStatistics.amountReceived.value
|
|
|
|
break
|
|
}
|
|
}
|
|
}
|
|
|
|
function simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, exitType) {
|
|
|
|
/* Filter by Session Type */
|
|
switch (bot.SESSION.type) {
|
|
case 'Backtesting Session': {
|
|
break
|
|
}
|
|
case 'Live Trading Session': {
|
|
return
|
|
}
|
|
case 'Fordward Testing Session': {
|
|
return
|
|
}
|
|
case 'Paper Trading Session': {
|
|
break
|
|
}
|
|
}
|
|
|
|
/* Close this Order */
|
|
tradingEngineOrder.status.value = 'Closed'
|
|
tradingEngineOrder.exitType.value = exitType
|
|
|
|
/* Initialize this */
|
|
tradingEngine.current.distanceToEvent.closeOrder.value = 1
|
|
|
|
/* Since the order was cancelled, we remove the unfilled amount of the order from here */
|
|
let unfilledPercentage = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
|
|
let unfilledSize = tradingEngineOrder.size.value * unfilledPercentage / 100
|
|
stageOrdersSize.value = stageOrdersSize.value - unfilledSize
|
|
stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
|
|
}
|
|
|
|
async function exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder, exitType) {
|
|
|
|
/* Filter by Session Type */
|
|
switch (bot.SESSION.type) {
|
|
case 'Backtesting Session': {
|
|
return
|
|
}
|
|
case 'Live Trading Session': {
|
|
break
|
|
}
|
|
case 'Fordward Testing Session': {
|
|
break
|
|
}
|
|
case 'Paper Trading Session': {
|
|
return
|
|
}
|
|
}
|
|
|
|
/* Check if we can cancel the order at the Exchange. */
|
|
let result = await exchangeAPIModule.cancelOrder(tradingSystemOrder, tradingEngineOrder)
|
|
if (result === true) {
|
|
/* Close this Order */
|
|
tradingEngineOrder.status.value = 'Closed'
|
|
tradingEngineOrder.exitType.value = exitType
|
|
|
|
/* Initialize this */
|
|
tradingEngine.current.distanceToEvent.closeOrder.value = 1
|
|
|
|
/* Since the order was cancelled, we remove the unfilled amount of the order from here */
|
|
let unfilledPercentage = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
|
|
let unfilledSize = tradingEngineOrder.size.value * unfilledPercentage / 100
|
|
stageOrdersSize.value = stageOrdersSize.value - unfilledSize
|
|
stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
|
|
|
|
/*
|
|
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) { return }
|
|
|
|
syncWithExchange(tradingSystemOrder, tradingEngineOrder, order)
|
|
}
|
|
}
|
|
|
|
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
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|