814 lines
35 KiB
JavaScript
814 lines
35 KiB
JavaScript
exports.newTradingSystem = function newTradingSystem(bot, logger) {
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const MODULE_NAME = 'Trading System'
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const FULL_LOG = true
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let thisObject = {
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evalConditions: evalConditions,
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evalFormulas: evalFormulas,
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checkTriggerOn: checkTriggerOn,
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checkTriggerOff: checkTriggerOff,
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checkTakePosition: checkTakePosition,
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checkStopPhases: checkStopPhases,
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calculateStopLoss: calculateStopLoss,
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checkTakeProfitPhases: checkTakeProfitPhases,
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calculateTakeProfit: calculateTakeProfit,
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checkStopLossOrTakeProfitWasHit: checkStopLossOrTakeProfitWasHit,
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getPositionSize: getPositionSize,
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getPositionRate: getPositionRate,
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initialize: initialize,
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finalize: finalize
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}
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let chart
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let candle
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let tradingSystem
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let tradingEngine
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let conditions = new Map()
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let conditionsValues = []
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let conditionsErrors = []
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let formulas = new Map()
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let formulasValues = []
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let formulasErrors = []
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return thisObject
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function initialize(pChart, pCandle) {
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chart = pChart
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candle = pCandle
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tradingSystem = bot.TRADING_SYSTEM
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tradingEngine = bot.TRADING_ENGINE
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}
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function finalize() {
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chart = undefined
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candle = undefined
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tradingSystem = undefined
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tradingEngine = undefined
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conditions = undefined
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conditionsValues = undefined
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conditionsErrors = undefined
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formulas = undefined
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formulasValues = undefined
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formulasErrors = undefined
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}
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function evalConditions() {
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evalNode(bot.TRADING_SYSTEM, 'Conditions')
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}
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function evalFormulas() {
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evalNode(bot.TRADING_SYSTEM, 'Formulas')
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}
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function evalNode(node, evaluating) {
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if (node === undefined) { return }
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/* Here we check if there is a codition to be evaluated */
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if (node.type === 'Condition' && evaluating === 'Conditions') {
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if (node.code !== undefined) {
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/* We will eval this condition */
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evalCondition(node)
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}
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}
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/* Here we check if there is a formula to be evaluated */
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if (node.type === 'Formula' && evaluating === 'Formulas') {
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if (node.code !== undefined) {
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/* We will eval this condition */
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evalFormula(node)
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}
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}
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/* Now we go down through all this node children */
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let nodeDefinition = bot.APP_SCHEMA_MAP.get(node.type)
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if (nodeDefinition === undefined) { return }
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if (nodeDefinition.properties !== undefined) {
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let previousPropertyName // Since there are cases where there are many properties with the same name,because they can hold nodes of different types but only one at the time, we have to avoind counting each property of those as individual children.
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for (let i = 0; i < nodeDefinition.properties.length; i++) {
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let property = nodeDefinition.properties[i]
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switch (property.type) {
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case 'node': {
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if (property.name !== previousPropertyName) {
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if (node[property.name] !== undefined) {
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evalNode(node[property.name])
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}
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previousPropertyName = property.name
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}
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break
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}
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case 'array': {
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if (node[property.name] !== undefined) {
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let nodePropertyArray = node[property.name]
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object[property.name] = []
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for (let m = 0; m < nodePropertyArray.length; m++) {
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evalNode(nodePropertyArray[m])
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}
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}
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break
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}
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}
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}
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}
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}
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function evalCondition(node) {
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let value
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let error
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] evalCondition -> code = ' + node.code) }
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value = eval(node.code)
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} catch (err) {
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/*
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One possible error is that the conditions references a .previous that is undefined. This
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will not be considered an error.
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*/
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value = false
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if (node.code.indexOf('previous') > -1 && err.message.indexOf('of undefined') > -1 ||
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node.code.indexOf('chart') > -1 && err.message.indexOf('of undefined') > -1
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) {
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/*
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We are not going to set an error for the casess we are using previous and the error is that the indicator is undefined.
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*/
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} else {
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error = err.message
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node.error = error
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}
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}
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conditions.set(node.id, value)
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if (value === true) {
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conditionsValues.push(1)
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} else {
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conditionsValues.push(0)
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}
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formulasErrors.push(error)
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] evalCondition -> value = ' + value) }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] evalCondition -> error = ' + error) }
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}
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function evalFormula(node) {
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let value
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let error
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] evalFormula -> code = ' + node.code) }
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value = eval(node.code)
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} catch (err) {
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/*
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One possible error is that the formula references a .previous that is undefined. This
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will not be considered an error.
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*/
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value = false
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if (node.code.indexOf('previous') > -1 && err.message.indexOf('of undefined') > -1 ||
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node.code.indexOf('chart') > -1 && err.message.indexOf('of undefined') > -1
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) {
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/*
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We are not going to set an error for the casess we are using previous and the error is that the indicator is undefined.
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*/
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} else {
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error = err.message
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node.error = error
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}
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}
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formulas.set(node.id, value)
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if (value === true) {
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formulaValues.push(1)
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} else {
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formulaValues.push(0)
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}
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formulasErrors.push(error)
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] evalFormula -> value = ' + value) }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] evalFormula -> error = ' + error) }
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}
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function checkTriggerOn() {
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/* Trigger On Conditions */
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if (
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tradingEngine.current.strategy.stageType.value === 'No Stage' &&
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tradingEngine.current.strategy.index.value === -1
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) {
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/*
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Here we need to pick a strategy, or if there is not suitable strategy for the current
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market conditions, we pass until the next period.
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To pick a new strategy we will evaluate what we call the trigger on. Once we enter
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into one strategy, we will ignore market conditions for others. However there is also
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a strategy trigger off which can be hit before taking a position. If hit, we would
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be outside a strategy again and looking for the condition to enter all over again.
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*/
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for (let j = 0; j < tradingSystem.strategies.length; j++) {
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if ( // If a strategy was already picked during the loop, we exit it
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tradingEngine.current.strategy.stageType.value !== 'No Stage' ||
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tradingEngine.current.strategy.index.value !== -1
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) { continue }
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let strategy = tradingSystem.strategies[j]
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let triggerStage = strategy.triggerStage
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if (triggerStage !== undefined) {
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if (triggerStage.triggerOn !== undefined) {
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for (let k = 0; k < triggerStage.triggerOn.situations.length; k++) {
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let situation = triggerStage.triggerOn.situations[k]
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let passed
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if (situation.conditions.length > 0) {
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passed = true
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}
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for (let m = 0; m < situation.conditions.length; m++) {
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let condition = situation.conditions[m]
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let value = false
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if (conditions.get(condition.id) !== undefined) {
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value = conditions.get(condition.id).value
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}
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if (value === false) { passed = false }
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}
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if (passed) {
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tradingEngine.current.strategy.stageType.value = 'Trigger Stage'
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checkAnnouncements(triggerStage)
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tradingEngine.current.strategy.index.value = j
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tradingEngine.current.strategy.begin.value = candle.begin
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tradingEngine.current.strategy.beginRate.value = candle.min
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tradingEngine.current.strategy.endRate.value = candle.min // In case the strategy does not get exited
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tradingEngine.current.strategy.situationName.value = situation.name
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tradingEngine.current.strategy.strategyName.value = strategy.name
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tradingEngine.current.distanceToEvent.triggerOn.value = 1
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checkAnnouncements(triggerStage.triggerOn)
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saveAsLastTriggerOnSnapshot = true
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Entering into Strategy: ' + strategy.name) }
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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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function checkTriggerOff() {
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/* Trigger Off Condition */
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if (tradingEngine.current.strategy.stageType.value === 'Trigger Stage') {
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let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
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let triggerStage = strategy.triggerStage
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if (triggerStage !== undefined) {
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if (triggerStage.triggerOff !== undefined) {
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for (let k = 0; k < triggerStage.triggerOff.situations.length; k++) {
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let situation = triggerStage.triggerOff.situations[k]
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let passed
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if (situation.conditions.length > 0) {
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passed = true
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}
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for (let m = 0; m < situation.conditions.length; m++) {
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let condition = situation.conditions[m]
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let value = false
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if (conditions.get(condition.id) !== undefined) {
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value = conditions.get(condition.id).value
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}
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if (value === false) { passed = false }
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}
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if (passed) {
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tradingEngine.current.strategy.end.value = candle.end
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tradingEngine.current.strategy.endRate.value = candle.min
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tradingEngine.current.strategy.status.value = 'Closed'
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tradingEngine.current.strategy.stageType.value = 'No Stage'
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tradingEngine.current.strategy.index.value = -1
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tradingEngine.current.distanceToEvent.triggerOff.value = 1
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checkAnnouncements(triggerStage.triggerOff)
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Exiting Strategy: ' + strategy.name) }
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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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function checkTakePosition() {
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/* Take Position Condition */
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if (tradingEngine.current.strategy.stageType.value === 'Trigger Stage') {
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let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
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let triggerStage = strategy.triggerStage
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if (triggerStage !== undefined) {
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if (triggerStage.takePosition !== undefined) {
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for (let k = 0; k < triggerStage.takePosition.situations.length; k++) {
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let situation = triggerStage.takePosition.situations[k]
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let passed
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if (situation.conditions.length > 0) {
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passed = true
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}
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for (let m = 0; m < situation.conditions.length; m++) {
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let condition = situation.conditions[m]
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let value = false
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if (conditions.get(condition.id) !== undefined) {
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value = conditions.get(condition.id).value
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}
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if (value === false) { passed = false }
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}
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if (passed) {
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tradingEngine.current.strategy.stageType.value = 'Open Stage'
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checkAnnouncements(strategy.openStage)
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tradingEngine.current.position.stopLossStage.value = 'Open Stage'
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tradingEngine.current.position.takeProfitStage.value = 'Open Stage'
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tradingEngine.current.position.stopLossPhase.value = 0
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tradingEngine.current.position.takeProfitPhase.value = 0
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tradingEngine.current.position.situationName.value = situation.name
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checkAnnouncements(triggerStage.takePosition)
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saveAsLastTakePositionSnapshot = true
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Conditions at the Take Position Event were met.') }
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return true
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}
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}
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}
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}
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}
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return false
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}
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function checkStopPhases() {
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let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
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let openStage = strategy.openStage
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let manageStage = strategy.manageStage
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let parentNode
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let j = tradingEngine.current.strategy.index.value
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let p
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if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Open Stage' && openStage !== undefined) {
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if (openStage.initialDefinition !== undefined) {
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if (openStage.initialDefinition.stopLoss !== undefined) {
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parentNode = openStage.initialDefinition
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p = tradingEngine.current.position.stopLoss.stopLossPhase.value
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}
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}
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}
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if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Manage Stage' && manageStage !== undefined) {
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if (manageStage.stopLoss !== undefined) {
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parentNode = manageStage
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p = tradingEngine.current.position.stopLoss.stopLossPhase.value - 1
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}
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}
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if (parentNode !== undefined) {
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let phase = parentNode.stopLoss.phases[p]
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/* Check the next Phase Event. */
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let nextPhaseEvent = phase.nextPhaseEvent
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if (nextPhaseEvent !== undefined) {
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for (let k = 0; k < nextPhaseEvent.situations.length; k++) {
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let situation = nextPhaseEvent.situations[k]
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let passed
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if (situation.conditions.length > 0) {
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passed = true
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}
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for (let m = 0; m < situation.conditions.length; m++) {
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let condition = situation.conditions[m]
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let value = false
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if (conditions.get(condition.id) !== undefined) {
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value = conditions.get(condition.id).value
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}
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if (value === false) { passed = false }
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}
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if (passed) {
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tradingEngine.current.position.stopLoss.stopLossPhase.value++
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tradingEngine.current.position.stopLoss.stopLossStage.value = 'Manage Stage'
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if (tradingEngine.current.position.takeProfit.takeProfitPhase.value > 0) {
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tradingEngine.current.strategy.stageType.value = 'Manage Stage'
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checkAnnouncements(manageStage, 'Take Profit')
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}
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checkAnnouncements(nextPhaseEvent)
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return
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}
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}
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}
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/* Check the Move to Phase Events. */
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for (let n = 0; n < phase.moveToPhaseEvents.length; n++) {
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let moveToPhaseEvent = phase.moveToPhaseEvents[n]
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if (moveToPhaseEvent !== undefined) {
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for (let k = 0; k < moveToPhaseEvent.situations.length; k++) {
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let situation = moveToPhaseEvent.situations[k]
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let passed
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if (situation.conditions.length > 0) {
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passed = true
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}
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for (let m = 0; m < situation.conditions.length; m++) {
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let condition = situation.conditions[m]
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let value = false
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if (conditions.get(condition.id) !== undefined) {
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value = conditions.get(condition.id).value
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}
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if (value === false) { passed = false }
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}
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if (passed) {
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let moveToPhase = moveToPhaseEvent.referenceParent
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if (moveToPhase !== undefined) {
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for (let q = 0; q < parentNode.stopLoss.phases.length; q++) {
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if (parentNode.stopLoss.phases[q].id === moveToPhase.id) {
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tradingEngine.current.position.stopLoss.stopLossPhase.value = q + 1
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}
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}
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} else {
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moveToPhaseEvent.error = 'This Node needs to reference a Phase.'
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continue
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}
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tradingEngine.current.position.stopLoss.stopLossStage.value = 'Manage Stage'
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if (tradingEngine.current.position.takeProfit.takeProfitPhase.value > 0) {
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tradingEngine.current.strategy.stageType.value = 'Manage Stage'
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checkAnnouncements(manageStage, 'Take Profit')
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}
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checkAnnouncements(moveToPhaseEvent)
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return
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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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function calculateStopLoss() {
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let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
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let openStage = strategy.openStage
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let manageStage = strategy.manageStage
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let phase
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let key
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if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Open Stage' && openStage !== undefined) {
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if (openStage.initialDefinition !== undefined) {
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if (openStage.initialDefinition.stopLoss !== undefined) {
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phase = openStage.initialDefinition.stopLoss.phases[tradingEngine.current.position.stopLoss.stopLossPhase.value]
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key = tradingEngine.current.strategy.index.value + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'stopLoss' + '-' + (tradingEngine.current.position.stopLoss.stopLossPhase.value)
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}
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}
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}
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if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Manage Stage' && manageStage !== undefined) {
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if (manageStage.stopLoss !== undefined) {
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phase = manageStage.stopLoss.phases[tradingEngine.current.position.stopLoss.stopLossPhase.value - 1]
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key = tradingEngine.current.strategy.index.value + '-' + 'manageStage' + '-' + 'stopLoss' + '-' + (tradingEngine.current.position.stopLoss.stopLossPhase.value - 1)
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}
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}
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if (phase !== undefined) {
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if (phase.formula !== undefined) {
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let previousValue = tradingEngine.current.position.stopLoss.value
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tradingEngine.current.position.stopLoss.value = formulas.get(key)
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if (tradingEngine.current.position.stopLoss.value !== previousValue) {
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checkAnnouncements(phase, tradingEngine.current.position.stopLoss.value)
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}
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}
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}
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}
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function checkTakeProfitPhases() {
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let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
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let openStage = strategy.openStage
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let manageStage = strategy.manageStage
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let parentNode
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let j = tradingEngine.current.strategy.index.value
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let p
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if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Open Stage' && openStage !== undefined) {
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if (openStage.initialDefinition !== undefined) {
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if (openStage.initialDefinition.takeProfit !== undefined) {
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parentNode = openStage.initialDefinition
|
|
p = tradingEngine.current.position.takeProfit.takeProfitPhase.value
|
|
}
|
|
}
|
|
}
|
|
|
|
if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Manage Stage' && manageStage !== undefined) {
|
|
if (manageStage.takeProfit !== undefined) {
|
|
parentNode = manageStage
|
|
p = tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1
|
|
}
|
|
}
|
|
|
|
if (parentNode !== undefined) {
|
|
let phase = parentNode.takeProfit.phases[p]
|
|
if (phase === undefined) { return } // trying to jump to a phase that does not exists.
|
|
|
|
/* Check the next Phase Event. */
|
|
let nextPhaseEvent = phase.nextPhaseEvent
|
|
if (nextPhaseEvent !== undefined) {
|
|
for (let k = 0; k < nextPhaseEvent.situations.length; k++) {
|
|
let situation = nextPhaseEvent.situations[k]
|
|
let passed
|
|
if (situation.conditions.length > 0) {
|
|
passed = true
|
|
}
|
|
|
|
for (let m = 0; m < situation.conditions.length; m++) {
|
|
let condition = situation.conditions[m]
|
|
let value = false
|
|
if (conditions.get(condition.id) !== undefined) {
|
|
value = conditions.get(condition.id).value
|
|
}
|
|
|
|
if (value === false) { passed = false }
|
|
}
|
|
|
|
if (passed) {
|
|
tradingEngine.current.position.takeProfit.takeProfitPhase.value++
|
|
tradingEngine.current.position.takeProfit.takeProfitStage.value = 'Manage Stage'
|
|
if (tradingEngine.current.position.stopLoss.stopLossPhase.value > 0) {
|
|
tradingEngine.current.strategy.stageType.value = 'Manage Stage'
|
|
checkAnnouncements(manageStage, 'Stop')
|
|
}
|
|
|
|
checkAnnouncements(nextPhaseEvent)
|
|
return
|
|
}
|
|
}
|
|
}
|
|
|
|
/* Check the Move to Phase Events. */
|
|
for (let n = 0; n < phase.moveToPhaseEvents.length; n++) {
|
|
let moveToPhaseEvent = phase.moveToPhaseEvents[n]
|
|
if (moveToPhaseEvent !== undefined) {
|
|
for (let k = 0; k < moveToPhaseEvent.situations.length; k++) {
|
|
let situation = moveToPhaseEvent.situations[k]
|
|
let passed
|
|
if (situation.conditions.length > 0) {
|
|
passed = true
|
|
}
|
|
|
|
for (let m = 0; m < situation.conditions.length; m++) {
|
|
|
|
let condition = situation.conditions[m]
|
|
let value = false
|
|
if (conditions.get(condition.id) !== undefined) {
|
|
value = conditions.get(condition.id).value
|
|
}
|
|
|
|
if (value === false) { passed = false }
|
|
}
|
|
|
|
if (passed) {
|
|
|
|
let moveToPhase = moveToPhaseEvent.referenceParent
|
|
if (moveToPhase !== undefined) {
|
|
for (let q = 0; q < parentNode.takeProfit.phases.length; q++) {
|
|
if (parentNode.takeProfit.phases[q].id === moveToPhase.id) {
|
|
tradingEngine.current.position.takeProfit.takeProfitPhase.value = q + 1
|
|
}
|
|
}
|
|
} else {
|
|
moveToPhaseEvent.error = 'This Node needs to reference a Phase.'
|
|
continue
|
|
}
|
|
|
|
tradingEngine.current.position.takeProfit.takeProfitStage.value = 'Manage Stage'
|
|
if (tradingEngine.current.position.stopLoss.stopLossPhase.value > 0) {
|
|
tradingEngine.current.strategy.stageType.value = 'Manage Stage'
|
|
checkAnnouncements(manageStage, 'Stop')
|
|
}
|
|
|
|
checkAnnouncements(moveToPhaseEvent)
|
|
return
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function calculateTakeProfit() {
|
|
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
|
|
let openStage = strategy.openStage
|
|
let manageStage = strategy.manageStage
|
|
let phase
|
|
let key
|
|
|
|
if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Open Stage' && openStage !== undefined) {
|
|
if (openStage.initialDefinition !== undefined) {
|
|
if (openStage.initialDefinition.takeProfit !== undefined) {
|
|
phase = openStage.initialDefinition.takeProfit.phases[tradingEngine.current.position.takeProfit.takeProfitPhase.value]
|
|
key = tradingEngine.current.strategy.index.value + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'takeProfit' + '-' + (tradingEngine.current.position.takeProfit.takeProfitPhase.value)
|
|
}
|
|
}
|
|
}
|
|
|
|
if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Manage Stage' && manageStage !== undefined) {
|
|
if (manageStage.takeProfit !== undefined) {
|
|
phase = manageStage.takeProfit.phases[tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1]
|
|
key = tradingEngine.current.strategy.index.value + '-' + 'manageStage' + '-' + 'takeProfit' + '-' + (tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1)
|
|
}
|
|
}
|
|
|
|
if (phase !== undefined) {
|
|
if (phase.formula !== undefined) {
|
|
let previousValue = tradingEngine.current.position.stopLoss.value
|
|
|
|
tradingEngine.current.position.takeProfit.value = formulas.get(key)
|
|
|
|
if (tradingEngine.current.position.takeProfit.value !== previousValue) {
|
|
checkAnnouncements(phase, tradingEngine.current.position.takeProfit.value)
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function checkStopLossOrTakeProfitWasHit() {
|
|
{
|
|
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
|
|
|
|
/* Checking what happened since the last execution. We need to know if the Stop Loss
|
|
or our Take Profit were hit. */
|
|
|
|
/* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */
|
|
|
|
if (
|
|
(sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset && candle.max >= tradingEngine.current.position.stopLoss.value) ||
|
|
(sessionParameters.sessionBaseAsset.name !== bot.market.marketBaseAsset && candle.min <= tradingEngine.current.position.stopLoss.value)
|
|
) {
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Stop Loss was hit.') }
|
|
/*
|
|
Hit Point Validation
|
|
|
|
This prevents misscalculations when a formula places the stop loss in this case way beyond the market price.
|
|
If we take the stop loss value at those situation would be a huge distortion of facts.
|
|
*/
|
|
|
|
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
|
if (tradingEngine.current.position.stopLoss.value < candle.min) {
|
|
tradingEngine.current.position.stopLoss.value = candle.min
|
|
}
|
|
} else {
|
|
if (tradingEngine.current.position.stopLoss.value > candle.max) {
|
|
tradingEngine.current.position.stopLoss.value = candle.max
|
|
}
|
|
}
|
|
|
|
let slippedStopLoss = tradingEngine.current.position.stopLoss.value
|
|
|
|
/* Apply the Slippage */
|
|
let slippageAmount = slippedStopLoss * bot.VALUES_TO_USE.slippage.stopLoss / 100
|
|
|
|
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
|
slippedStopLoss = slippedStopLoss + slippageAmount
|
|
} else {
|
|
slippedStopLoss = slippedStopLoss - slippageAmount
|
|
}
|
|
|
|
tradingEngine.current.position.endRate.value = slippedStopLoss
|
|
|
|
tradingEngine.current.strategy.stageType.value = 'Close Stage'
|
|
checkAnnouncements(strategy.closeStage, 'Stop')
|
|
|
|
tradingEngine.current.position.stopLoss.stopLossStage.value = 'No Stage'
|
|
tradingEngine.current.position.takeProfit.takeProfitStage.value = 'No Stage'
|
|
tradingEngine.current.position.end.value = candle.end
|
|
tradingEngine.current.position.status.value = 1
|
|
tradingEngine.current.position.exitType.value = 1
|
|
|
|
return true
|
|
}
|
|
|
|
/* Take Profit condition: Here we verify if the Take Profit was hit or not. */
|
|
|
|
if (
|
|
(sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset && candle.min <= tradingEngine.current.position.takeProfit.value) ||
|
|
(sessionParameters.sessionBaseAsset.name !== bot.market.marketBaseAsset && candle.max >= tradingEngine.current.position.takeProfit.value)
|
|
) {
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Take Profit was hit.') }
|
|
/*
|
|
Hit Point Validation:
|
|
|
|
This prevents misscalculations when a formula places the take profit in this case way beyond the market price.
|
|
If we take the stop loss value at those situation would be a huge distortion of facts.
|
|
*/
|
|
|
|
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
|
if (tradingEngine.current.position.takeProfit.value > candle.max) {
|
|
tradingEngine.current.position.takeProfit.value = candle.max
|
|
}
|
|
} else {
|
|
if (tradingEngine.current.position.takeProfit.value < candle.min) {
|
|
tradingEngine.current.position.takeProfit.value = candle.min
|
|
}
|
|
}
|
|
|
|
let slippedTakeProfit = tradingEngine.current.position.takeProfit.value
|
|
/* Apply the Slippage */
|
|
let slippageAmount = slippedTakeProfit * bot.VALUES_TO_USE.slippage.takeProfit / 100
|
|
|
|
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
|
slippedTakeProfit = slippedTakeProfit + slippageAmount
|
|
} else {
|
|
slippedTakeProfit = slippedTakeProfit - slippageAmount
|
|
}
|
|
|
|
tradingEngine.current.position.endRate.value = slippedTakeProfit
|
|
|
|
tradingEngine.current.strategy.stageType.value = 'Close Stage'
|
|
checkAnnouncements(strategy.closeStage, 'Take Profit')
|
|
|
|
tradingEngine.current.position.stopLoss.stopLossStage.value = 'No Stage'
|
|
tradingEngine.current.position.takeProfit.takeProfitStage.value = 'No Stage'
|
|
|
|
tradingEngine.current.position.end.value = candle.end
|
|
tradingEngine.current.position.status.value = 1
|
|
tradingEngine.current.position.exitType.value = 2
|
|
|
|
addToSnapshots = true
|
|
return true
|
|
}
|
|
}
|
|
return false
|
|
}
|
|
|
|
function getPositionSize() {
|
|
let balance
|
|
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
|
balance = tradingEngine.current.balance.baseAsset.value
|
|
} else {
|
|
balance = tradingEngine.current.balance.quotedAsset.value
|
|
}
|
|
const DEFAULT_VALUE = balance
|
|
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
|
|
|
|
if (strategy.openStage === undefined) return { DEFAULT_VALUE }
|
|
if (strategy.openStage.initialDefinition === undefined) return { DEFAULT_VALUE }
|
|
if (strategy.openStage.initialDefinition.positionSize === undefined) return { DEFAULT_VALUE }
|
|
if (strategy.openStage.initialDefinition.positionSize.formula === undefined) return { DEFAULT_VALUE }
|
|
|
|
let value = formulas.get(strategy.openStage.initialDefinition.positionSize.formula.id)
|
|
if (value === undefined) return { DEFAULT_VALUE }
|
|
return value
|
|
}
|
|
|
|
function getPositionRate() {
|
|
const DEFAULT_VALUE = candle.close
|
|
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
|
|
|
|
if (strategy.openStage === undefined) return { DEFAULT_VALUE }
|
|
if (strategy.openStage.initialDefinition === undefined) return { DEFAULT_VALUE }
|
|
if (strategy.openStage.initialDefinition.positionRate === undefined) return { DEFAULT_VALUE }
|
|
if (strategy.openStage.initialDefinition.positionRate.formula === undefined) return { DEFAULT_VALUE }
|
|
|
|
let value = formulas.get(strategy.openStage.initialDefinition.positionRate.formula.id)
|
|
if (value === undefined) return { DEFAULT_VALUE }
|
|
return value
|
|
}
|
|
}
|
|
|