993 lines
50 KiB
JavaScript
993 lines
50 KiB
JavaScript
exports.newUserBot = function newUserBot(bot, logger, COMMONS, UTILITIES, fileStorage) {
|
|
|
|
const FULL_LOG = true;
|
|
const LOG_FILE_CONTENT = false;
|
|
|
|
const MODULE_NAME = "User Bot";
|
|
|
|
const SIMULATED_RECORDS_FOLDER_NAME = "Trading-Simulation";
|
|
const CONDITIONS_FOLDER_NAME = "Simulation-Conditions";
|
|
const STRATEGIES_FOLDER_NAME = "Simulation-Strategies";
|
|
const TRADES_FOLDER_NAME = "Simulation-Trades";
|
|
|
|
const ONE_DAY_IN_MILISECONDS = 24 * 60 * 60 * 1000;
|
|
|
|
let commons = COMMONS.newCommons(bot, logger, UTILITIES);
|
|
|
|
thisObject = {
|
|
initialize: initialize,
|
|
finalize: finalize,
|
|
start: start
|
|
};
|
|
|
|
let utilities = UTILITIES.newCloudUtilities(bot, logger);
|
|
|
|
let assistant;
|
|
|
|
return thisObject;
|
|
|
|
function initialize(callBackFunction, pAssistant) {
|
|
|
|
try {
|
|
|
|
logger.fileName = MODULE_NAME;
|
|
logger.initialize();
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] initialize -> Entering function."); }
|
|
|
|
assistant = pAssistant;
|
|
|
|
callBackFunction(global.DEFAULT_OK_RESPONSE);
|
|
|
|
} catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] initialize -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
|
|
function finalize() {
|
|
commons.finalize()
|
|
commons = undefined
|
|
utilities = undefined
|
|
assistant = undefined
|
|
thisObject = undefined
|
|
}
|
|
|
|
function start(multiPeriodDataFiles, timePeriod, timePeriodLabel, currentDay, interExecutionMemory, callBackFunction) {
|
|
|
|
try {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> Entering function."); }
|
|
|
|
let market = global.MARKET;
|
|
let dataFile;
|
|
|
|
let recordsArray
|
|
let conditionsArray
|
|
let strategiesArray
|
|
let tradesArray
|
|
|
|
let tradingSystem = {};
|
|
|
|
for (let j = 0; j < global.marketFilesPeriods.length; j++) {
|
|
|
|
let mapKey = marketFilesPeriods[j][1]
|
|
let dataFiles = multiPeriodDataFiles.get(mapKey)
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> Building Dataset for timePeriod = " + mapKey); }
|
|
|
|
if (dataFiles) {
|
|
for (let i = 0; i < 5; i++) {
|
|
|
|
dataFile = dataFiles[i];
|
|
|
|
switch (i) {
|
|
case 0: {
|
|
commons.buildBollingerBandsArray(dataFile, mapKey, callBackFunction);
|
|
break;
|
|
}
|
|
case 1: {
|
|
commons.buildPercentageBandwidthArray(dataFile, mapKey, callBackFunction);
|
|
break;
|
|
}
|
|
case 2: {
|
|
commons.buildBollingerChannelsArray(dataFile, mapKey, callBackFunction);
|
|
break;
|
|
}
|
|
case 3: {
|
|
commons.buildBollingerSubChannelsArray(dataFile, mapKey, callBackFunction);
|
|
break;
|
|
}
|
|
case 4: {
|
|
commons.buildCandles(dataFile, mapKey, callBackFunction);
|
|
break;
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
for (let j = 0; j < global.dailyFilePeriods.length; j++) {
|
|
|
|
let mapKey = global.dailyFilePeriods[j][1]
|
|
let dataFiles = multiPeriodDataFiles.get(mapKey)
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> Building Dataset for timePeriod = " + mapKey); }
|
|
|
|
if (dataFiles) {
|
|
for (let i = 0; i < 5; i++) {
|
|
|
|
dataFile = dataFiles[i];
|
|
|
|
switch (i) {
|
|
case 0: {
|
|
commons.buildBollingerBandsArray(dataFile, mapKey, callBackFunction);
|
|
break;
|
|
}
|
|
case 1: {
|
|
commons.buildPercentageBandwidthArray(dataFile, mapKey, callBackFunction);
|
|
break;
|
|
}
|
|
case 2: {
|
|
commons.buildBollingerChannelsArray(dataFile, mapKey, callBackFunction);
|
|
break;
|
|
}
|
|
case 3: {
|
|
commons.buildBollingerSubChannelsArray(dataFile, mapKey, callBackFunction);
|
|
break;
|
|
}
|
|
case 4: {
|
|
commons.buildCandles(dataFile, mapKey, callBackFunction);
|
|
break;
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
commons.runSimulation(
|
|
timePeriod,
|
|
timePeriodLabel,
|
|
currentDay,
|
|
interExecutionMemory,
|
|
assistant,
|
|
writeFiles,
|
|
callBackFunction)
|
|
|
|
function writeFiles(pTradingSystem, pRecordsArray, pConditionsArray, pStrategiesArray, pTradesArray) {
|
|
|
|
tradingSystem = pTradingSystem
|
|
recordsArray = pRecordsArray
|
|
conditionsArray = pConditionsArray
|
|
strategiesArray = pStrategiesArray
|
|
tradesArray = pTradesArray
|
|
|
|
if (timePeriod > global.dailyFilePeriods[0][0]) {
|
|
writeMarketFiles()
|
|
} else {
|
|
writeDailyFiles()
|
|
}
|
|
}
|
|
|
|
function writeMarketFiles() {
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> Entering function."); }
|
|
|
|
writeRecordsFile();
|
|
|
|
function writeRecordsFile() {
|
|
|
|
try {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeRecordsFile -> Entering function."); }
|
|
|
|
let separator = "";
|
|
let fileRecordCounter = 0;
|
|
|
|
let fileContent = "";
|
|
|
|
for (let i = 0; i < recordsArray.length; i++) {
|
|
|
|
let record = recordsArray[i];
|
|
|
|
fileContent = fileContent + separator + '[' +
|
|
record.begin + "," +
|
|
record.end + "," +
|
|
record.type + "," +
|
|
record.marketRate + "," +
|
|
record.amount + "," +
|
|
record.balanceA + "," +
|
|
record.balanceB + "," +
|
|
record.profit + "," +
|
|
record.lastTradeProfitLoss + "," +
|
|
record.stopLoss + "," +
|
|
record.roundtrips + "," +
|
|
record.hits + "," +
|
|
record.fails + "," +
|
|
record.hitRatio + "," +
|
|
record.ROI + "," +
|
|
record.periods + "," +
|
|
record.days + "," +
|
|
record.anualizedRateOfReturn + "," +
|
|
record.positionRate + "," +
|
|
record.lastTradeROI + "," +
|
|
record.strategy + "," +
|
|
record.strategyStageNumber + "," +
|
|
record.takeProfit + "," +
|
|
record.stopLossPhase + "," +
|
|
record.takeProfitPhase + "," +
|
|
JSON.stringify(record.executionRecord) + "," +
|
|
record.positionSize + "," +
|
|
record.initialBalanceA + "," +
|
|
record.minimumBalanceA + "," +
|
|
record.maximumBalanceA + "," +
|
|
record.initialBalanceB + "," +
|
|
record.minimumBalanceB + "," +
|
|
record.maximumBalanceB + "," +
|
|
record.baseAsset + "," +
|
|
record.positionPeriods + "," +
|
|
record.positionDays + "," +
|
|
record.distanceToLastTriggerOn + "," +
|
|
record.distanceToLastTriggerOff + "," +
|
|
record.distanceToLastTakePosition + "," +
|
|
record.distanceToLastClosePosition + "]";
|
|
|
|
if (separator === "") { separator = ","; }
|
|
|
|
fileRecordCounter++;
|
|
|
|
}
|
|
|
|
fileContent = "[" + fileContent + "]";
|
|
|
|
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
|
|
|
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
|
let filePath = filePathRoot + "/Output/" + bot.SESSION.folderName + "/" + SIMULATED_RECORDS_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timePeriodLabel;
|
|
filePath += '/' + fileName
|
|
|
|
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
|
|
|
|
function onFileCreated(err) {
|
|
|
|
try {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeRecordsFile -> onFileCreated -> Entering function."); }
|
|
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeRecordsFile -> onFileCreated -> fileContent = " + fileContent); }
|
|
|
|
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
|
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeRecordsFile -> onFileCreated -> err = " + err.stack);
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeRecordsFile -> onFileCreated -> filePath = " + filePath);
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeRecordsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
|
|
|
callBackFunction(err);
|
|
return;
|
|
|
|
}
|
|
|
|
writeConditionsFile();
|
|
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeRecordsFile -> onFileCreated -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeRecordsFile -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
|
|
function writeConditionsFile() {
|
|
|
|
try {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeConditionsFile -> Entering function."); }
|
|
|
|
let separator = "";
|
|
let fileRecordCounter = 0;
|
|
|
|
let fileContent = "";
|
|
|
|
for (let i = 0; i < conditionsArray.length; i++) {
|
|
|
|
let record = conditionsArray[i];
|
|
|
|
let conditions = "";
|
|
let conditionsSeparator = "";
|
|
|
|
for (let j = 0; j < record.length - 3; j++) {
|
|
conditions = conditions + conditionsSeparator + record[j];
|
|
if (conditionsSeparator === "") { conditionsSeparator = ","; }
|
|
}
|
|
|
|
conditions = conditions + conditionsSeparator + '[' + record[record.length - 3] + ']'; // The last item contains an Array of condition values.
|
|
conditions = conditions + conditionsSeparator + '[' + record[record.length - 2] + ']'; // The last item contains an Array of formulaErrors.
|
|
conditions = conditions + conditionsSeparator + '[' + record[record.length - 1] + ']'; // The last item contains an Array of formulaValues.
|
|
|
|
fileContent = fileContent + separator + '[' + conditions + ']';
|
|
|
|
if (separator === "") { separator = ","; }
|
|
|
|
fileRecordCounter++;
|
|
|
|
}
|
|
|
|
fileContent = "[" + fileContent + "]";
|
|
fileContent = "[" + JSON.stringify(tradingSystem) + "," + fileContent + "]";
|
|
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
|
|
|
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
|
let filePath = filePathRoot + "/Output/" + bot.SESSION.folderName + "/" + CONDITIONS_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timePeriodLabel;
|
|
filePath += '/' + fileName
|
|
|
|
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
|
|
|
|
function onFileCreated(err) {
|
|
|
|
try {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeConditionsFile -> onFileCreated -> Entering function."); }
|
|
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeConditionsFile -> onFileCreated -> fileContent = " + fileContent); }
|
|
|
|
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
|
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeConditionsFile -> onFileCreated -> err = " + err.stack);
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeConditionsFile -> onFileCreated -> filePath = " + filePath);
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeConditionsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
|
|
|
callBackFunction(err);
|
|
return;
|
|
|
|
}
|
|
|
|
writeStrategiesFile();
|
|
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeConditionsFile -> onFileCreated -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeConditionsFile -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
|
|
function writeStrategiesFile() {
|
|
|
|
try {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeStrategiesFile -> Entering function."); }
|
|
|
|
let separator = "";
|
|
let fileRecordCounter = 0;
|
|
|
|
let fileContent = "";
|
|
|
|
for (let i = 0; i < strategiesArray.length; i++) {
|
|
let record = strategiesArray[i];
|
|
|
|
fileContent = fileContent + separator + '[' +
|
|
record.begin + "," +
|
|
record.end + "," +
|
|
record.status + "," +
|
|
record.number + "," +
|
|
record.beginRate + "," +
|
|
record.endRate + "]";
|
|
|
|
if (separator === "") { separator = ","; }
|
|
|
|
fileRecordCounter++;
|
|
|
|
}
|
|
|
|
fileContent = "[" + fileContent + "]";
|
|
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
|
|
|
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
|
let filePath = filePathRoot + "/Output/" + bot.SESSION.folderName + "/" + STRATEGIES_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timePeriodLabel;
|
|
filePath += '/' + fileName
|
|
|
|
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
|
|
|
|
function onFileCreated(err) {
|
|
|
|
try {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeStrategiesFile -> onFileCreated -> Entering function."); }
|
|
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeStrategiesFile -> onFileCreated -> fileContent = " + fileContent); }
|
|
|
|
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
|
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeStrategiesFile -> onFileCreated -> err = " + err.stack);
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeStrategiesFile -> onFileCreated -> filePath = " + filePath);
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeStrategiesFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
|
|
|
callBackFunction(err);
|
|
return;
|
|
|
|
}
|
|
|
|
writeTradesFile();
|
|
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeStrategiesFile -> onFileCreated -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeStrategiesFile -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
|
|
function writeTradesFile() {
|
|
|
|
try {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeTradesFile -> Entering function."); }
|
|
|
|
let separator = "";
|
|
let fileRecordCounter = 0;
|
|
|
|
let fileContent = "";
|
|
|
|
for (let i = 0; i < tradesArray.length; i++) {
|
|
|
|
let record = tradesArray[i];
|
|
if (record.stopRate === undefined) { record.stopRate = 0 }
|
|
|
|
fileContent = fileContent + separator + '[' +
|
|
record.begin + "," +
|
|
record.end + "," +
|
|
record.status + "," +
|
|
record.lastTradeROI + "," +
|
|
record.beginRate + "," +
|
|
record.endRate + "," +
|
|
record.exitType + "]";
|
|
|
|
if (separator === "") { separator = ","; }
|
|
|
|
fileRecordCounter++;
|
|
|
|
}
|
|
|
|
fileContent = "[" + fileContent + "]";
|
|
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
|
|
|
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
|
let filePath = filePathRoot + "/Output/" + bot.SESSION.folderName + "/" + TRADES_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timePeriodLabel;
|
|
filePath += '/' + fileName
|
|
|
|
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
|
|
|
|
function onFileCreated(err) {
|
|
|
|
try {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeTradesFile -> onFileCreated -> Entering function."); }
|
|
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeTradesFile -> onFileCreated -> fileContent = " + fileContent); }
|
|
|
|
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
|
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeTradesFile -> onFileCreated -> err = " + err.stack);
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeTradesFile -> onFileCreated -> filePath = " + filePath);
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeTradesFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
|
|
|
callBackFunction(err);
|
|
return;
|
|
|
|
}
|
|
|
|
/* Emit event that signals that simulation files were updated */
|
|
global.SYSTEM_EVENT_HANDLER.raiseEvent('Jason-Multi-Period', 'Simulation Files Updated')
|
|
|
|
callBackFunction(global.DEFAULT_OK_RESPONSE);
|
|
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeTradesFile -> onFileCreated -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeTradesFile -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
|
|
}
|
|
|
|
function writeDailyFiles() {
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> Entering function."); }
|
|
|
|
writeRecordsFile();
|
|
|
|
/* TODO : NEXT function is a work in progress, not used today */
|
|
function writeFinalResults() {
|
|
|
|
try {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeFinalResults -> Entering function."); }
|
|
|
|
if ( // We only write this file if we are at the head of the market.
|
|
Math.trunc(currentDay.valueOf() / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS
|
|
!==
|
|
Math.trunc((new Date()).valueOf() / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS
|
|
) {
|
|
writeRecordsFile();
|
|
return;
|
|
}
|
|
|
|
let separator = "";
|
|
let fileRecordCounter = 0;
|
|
|
|
let fileContent = "";
|
|
|
|
for (let i = 0; i < recordsArray.length; i++) {
|
|
|
|
let record = recordsArray[i];
|
|
|
|
/* Will only add to the file the records of the current day */
|
|
|
|
if (record.begin < currentDay.valueOf()) { continue; }
|
|
|
|
fileContent = fileContent + separator + '[' +
|
|
record.begin + "," +
|
|
record.end + "," +
|
|
record.type + "," +
|
|
record.marketRate + "," +
|
|
record.amount + "," +
|
|
record.balanceA + "," +
|
|
record.balanceB + "," +
|
|
record.profit + "," +
|
|
record.lastTradeProfitLoss + "," +
|
|
record.stopLoss + "," +
|
|
record.roundtrips + "," +
|
|
record.hits + "," +
|
|
record.fails + "," +
|
|
record.hitRatio + "," +
|
|
record.ROI + "," +
|
|
record.periods + "," +
|
|
record.days + "," +
|
|
record.anualizedRateOfReturn + "," +
|
|
record.positionRate + "," +
|
|
record.lastTradeROI + "," +
|
|
record.strategy + "," +
|
|
record.strategyStageNumber + "," +
|
|
record.takeProfit + "," +
|
|
record.stopLossPhase + "," +
|
|
record.takeProfitPhase + "," +
|
|
JSON.stringify(record.executionRecord) + "," +
|
|
record.positionSize + "," +
|
|
record.initialBalanceA + "," +
|
|
record.minimumBalanceA + "," +
|
|
record.maximumBalanceA + "," +
|
|
record.initialBalanceB + "," +
|
|
record.minimumBalanceB + "," +
|
|
record.maximumBalanceB + "," +
|
|
record.baseAsset + "," +
|
|
record.positionPeriods + "," +
|
|
record.positionDays + "]";
|
|
|
|
if (separator === "") { separator = ","; }
|
|
|
|
fileRecordCounter++;
|
|
|
|
}
|
|
|
|
fileContent = "[" + fileContent + "]";
|
|
|
|
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
|
|
|
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
|
let filePath = filePathRoot + "/Output/" + bot.SESSION.folderName + "/" + SIMULATED_RECORDS_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + timePeriodLabel;
|
|
filePath += '/' + fileName
|
|
|
|
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
|
|
|
|
function onFileCreated(err) {
|
|
|
|
try {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeFinalResults -> onFileCreated -> Entering function."); }
|
|
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeFinalResults -> onFileCreated -> fileContent = " + fileContent); }
|
|
|
|
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
|
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeFinalResults -> onFileCreated -> err = " + err.stack);
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeFinalResults -> onFileCreated -> filePath = " + filePath);
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeFinalResults -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
|
|
|
callBackFunction(err);
|
|
return;
|
|
|
|
}
|
|
|
|
writeRecordsFile();
|
|
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeFinalResults -> onFileCreated -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeFinalResults -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
|
|
function writeRecordsFile() {
|
|
|
|
try {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeRecordsFile -> Entering function."); }
|
|
|
|
let separator = "";
|
|
let fileRecordCounter = 0;
|
|
|
|
let fileContent = "";
|
|
|
|
for (let i = 0; i < recordsArray.length; i++) {
|
|
|
|
let record = recordsArray[i];
|
|
|
|
/* Will only add to the file the records of the current day */
|
|
|
|
if (record.begin < currentDay.valueOf()) { continue; }
|
|
|
|
fileContent = fileContent + separator + '[' +
|
|
record.begin + "," +
|
|
record.end + "," +
|
|
record.type + "," +
|
|
record.marketRate + "," +
|
|
record.amount + "," +
|
|
record.balanceA + "," +
|
|
record.balanceB + "," +
|
|
record.profit + "," +
|
|
record.lastTradeProfitLoss + "," +
|
|
record.stopLoss + "," +
|
|
record.roundtrips + "," +
|
|
record.hits + "," +
|
|
record.fails + "," +
|
|
record.hitRatio + "," +
|
|
record.ROI + "," +
|
|
record.periods + "," +
|
|
record.days + "," +
|
|
record.anualizedRateOfReturn + "," +
|
|
record.positionRate + "," +
|
|
record.lastTradeROI + "," +
|
|
record.strategy + "," +
|
|
record.strategyStageNumber + "," +
|
|
record.takeProfit + "," +
|
|
record.stopLossPhase + "," +
|
|
record.takeProfitPhase + "," +
|
|
JSON.stringify(record.executionRecord) + "," +
|
|
record.positionSize + "," +
|
|
record.initialBalanceA + "," +
|
|
record.minimumBalanceA + "," +
|
|
record.maximumBalanceA + "," +
|
|
record.initialBalanceB + "," +
|
|
record.minimumBalanceB + "," +
|
|
record.maximumBalanceB + "," +
|
|
record.baseAsset + "," +
|
|
record.positionPeriods + "," +
|
|
record.positionDays + "]";
|
|
|
|
if (separator === "") { separator = ","; }
|
|
|
|
fileRecordCounter++;
|
|
|
|
}
|
|
|
|
fileContent = "[" + fileContent + "]";
|
|
|
|
let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
|
|
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
|
|
|
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
|
let filePath = filePathRoot + "/Output/" + bot.SESSION.folderName + "/" + SIMULATED_RECORDS_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + timePeriodLabel + "/" + dateForPath;
|
|
filePath += '/' + fileName
|
|
|
|
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
|
|
|
|
function onFileCreated(err) {
|
|
|
|
try {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeRecordsFile -> onFileCreated -> Entering function."); }
|
|
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeRecordsFile -> onFileCreated -> fileContent = " + fileContent); }
|
|
|
|
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
|
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeRecordsFile -> onFileCreated -> err = " + err.stack);
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeRecordsFile -> onFileCreated -> filePath = " + filePath);
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeRecordsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
|
|
|
callBackFunction(err);
|
|
return;
|
|
|
|
}
|
|
|
|
writeConditionsFile();
|
|
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeRecordsFile -> onFileCreated -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeRecordsFile -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
|
|
function writeConditionsFile() {
|
|
|
|
try {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeConditionsFile -> Entering function."); }
|
|
|
|
let separator = "";
|
|
let fileRecordCounter = 0;
|
|
|
|
let fileContent = "";
|
|
|
|
for (let i = 0; i < conditionsArray.length; i++) {
|
|
|
|
let record = conditionsArray[i];
|
|
|
|
/* Will only add to the file the records of the current day */
|
|
|
|
if (record.begin < currentDay.valueOf()) { continue; }
|
|
|
|
let conditions = "";
|
|
let conditionsSeparator = "";
|
|
|
|
/* Will only add to the file the records of the current day */
|
|
|
|
if (record.begin < currentDay.valueOf()) { continue; }
|
|
|
|
for (let j = 0; j < record.length - 3; j++) {
|
|
conditions = conditions + conditionsSeparator + record[j];
|
|
if (conditionsSeparator === "") { conditionsSeparator = ","; }
|
|
}
|
|
|
|
conditions = conditions + conditionsSeparator + '[' + record[record.length - 3] + ']'; // The last item contains an Array of condition values.
|
|
conditions = conditions + conditionsSeparator + '[' + record[record.length - 2] + ']'; // The last item contains an Array of formulaErrors.
|
|
conditions = conditions + conditionsSeparator + '[' + record[record.length - 1] + ']'; // The last item contains an Array of formulaValues.
|
|
|
|
fileContent = fileContent + separator + '[' + conditions + ']';
|
|
|
|
if (separator === "") { separator = ","; }
|
|
|
|
fileRecordCounter++;
|
|
|
|
}
|
|
|
|
fileContent = "[" + fileContent + "]";
|
|
fileContent = "[" + JSON.stringify(tradingSystem) + "," + fileContent + "]";
|
|
|
|
let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
|
|
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
|
|
|
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
|
let filePath = filePathRoot + "/Output/" + bot.SESSION.folderName + "/" + CONDITIONS_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + timePeriodLabel + "/" + dateForPath;
|
|
filePath += '/' + fileName
|
|
|
|
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
|
|
|
|
function onFileCreated(err) {
|
|
|
|
try {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeConditionsFile -> onFileCreated -> Entering function."); }
|
|
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeConditionsFile -> onFileCreated -> fileContent = " + fileContent); }
|
|
|
|
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
|
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeConditionsFile -> onFileCreated -> err = " + err.stack);
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeConditionsFile -> onFileCreated -> filePath = " + filePath);
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeConditionsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
|
|
|
callBackFunction(err);
|
|
return;
|
|
|
|
}
|
|
|
|
writeStrategiesFile();
|
|
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeConditionsFile -> onFileCreated -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeConditionsFile -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
|
|
function writeStrategiesFile() {
|
|
|
|
try {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeStrategiesFile -> Entering function."); }
|
|
|
|
let separator = "";
|
|
let fileRecordCounter = 0;
|
|
|
|
let fileContent = "";
|
|
|
|
for (let i = 0; i < strategiesArray.length; i++) {
|
|
let record = strategiesArray[i];
|
|
|
|
/* Will only add to the file the records of the current day. In this case since objects can span more than one day, we add all of the objects that ends
|
|
at the current date. */
|
|
|
|
if (record.end < currentDay.valueOf()) { continue; }
|
|
|
|
fileContent = fileContent + separator + '[' +
|
|
record.begin + "," +
|
|
record.end + "," +
|
|
record.status + "," +
|
|
record.number + "," +
|
|
record.beginRate + "," +
|
|
record.endRate + "]";
|
|
|
|
if (separator === "") { separator = ","; }
|
|
|
|
fileRecordCounter++;
|
|
|
|
}
|
|
|
|
fileContent = "[" + fileContent + "]";
|
|
|
|
let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
|
|
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
|
|
|
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
|
let filePath = filePathRoot + "/Output/" + bot.SESSION.folderName + "/" + STRATEGIES_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + timePeriodLabel + "/" + dateForPath;
|
|
filePath += '/' + fileName
|
|
|
|
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
|
|
|
|
function onFileCreated(err) {
|
|
|
|
try {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeStrategiesFile -> onFileCreated -> Entering function."); }
|
|
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeStrategiesFile -> onFileCreated -> fileContent = " + fileContent); }
|
|
|
|
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
|
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeStrategiesFile -> onFileCreated -> err = " + err.stack);
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeStrategiesFile -> onFileCreated -> filePath = " + filePath);
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeStrategiesFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
|
|
|
callBackFunction(err);
|
|
return;
|
|
|
|
}
|
|
|
|
writeTradesFile();
|
|
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeStrategiesFile -> onFileCreated -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeStrategiesFile -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
|
|
function writeTradesFile() {
|
|
|
|
try {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeTradesFile -> Entering function."); }
|
|
|
|
let separator = "";
|
|
let fileRecordCounter = 0;
|
|
|
|
let fileContent = "";
|
|
|
|
for (let i = 0; i < tradesArray.length; i++) {
|
|
|
|
let record = tradesArray[i];
|
|
|
|
/* Will only add to the file the records of the current day. In this case since objects can span more than one day, we add all of the objects that ends
|
|
at the current date. */
|
|
|
|
if (record.end < currentDay.valueOf()) { continue; }
|
|
if (record.stopRate === undefined) { record.stopRate = 0 }
|
|
|
|
fileContent = fileContent + separator + '[' +
|
|
record.begin + "," +
|
|
record.end + "," +
|
|
record.status + "," +
|
|
record.lastTradeROI + "," +
|
|
record.beginRate + "," +
|
|
record.endRate + "," +
|
|
record.exitType + "]";
|
|
|
|
if (separator === "") { separator = ","; }
|
|
|
|
fileRecordCounter++;
|
|
|
|
}
|
|
|
|
fileContent = "[" + fileContent + "]";
|
|
|
|
let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
|
|
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
|
|
|
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
|
let filePath = filePathRoot + "/Output/" + bot.SESSION.folderName + "/" + TRADES_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + timePeriodLabel + "/" + dateForPath;
|
|
filePath += '/' + fileName
|
|
|
|
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
|
|
|
|
function onFileCreated(err) {
|
|
|
|
try {
|
|
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeTradesFile -> onFileCreated -> Entering function."); }
|
|
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeTradesFile -> onFileCreated -> fileContent = " + fileContent); }
|
|
|
|
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
|
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeTradesFile -> onFileCreated -> err = " + err.stack);
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeTradesFile -> onFileCreated -> filePath = " + filePath);
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeTradesFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
|
|
|
callBackFunction(err);
|
|
return;
|
|
|
|
}
|
|
|
|
/* Emit event that signals that simulation files were updated */
|
|
global.SYSTEM_EVENT_HANDLER.raiseEvent('Jason-Multi-Period', 'Simulation Files Updated')
|
|
|
|
callBackFunction(global.DEFAULT_OK_RESPONSE);
|
|
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeTradesFile -> onFileCreated -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeTradesFile -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
|
|
}
|
|
}
|
|
catch (err) {
|
|
logger.write(MODULE_NAME, "[ERROR] start -> err = " + err.stack);
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
|
}
|
|
}
|
|
};
|