974 lines
49 KiB
JavaScript
974 lines
49 KiB
JavaScript
exports.newTradingBot = function newTradingBot(bot, logger, UTILITIES, FILE_STORAGE) {
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const FULL_LOG = true;
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const LOG_FILE_CONTENT = false;
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const ONE_DAY_IN_MILISECONDS = 24 * 60 * 60 * 1000;
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const MODULE_NAME = "Trading Bot";
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let thisObject = {
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initialize: initialize,
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finalize: finalize,
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start: start
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};
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let utilities = UTILITIES.newCloudUtilities(logger);
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let fileStorage = FILE_STORAGE.newFileStorage(logger);
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const COMMONS = require('./Commons.js');
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let commons = COMMONS.newCommons(bot, logger, UTILITIES, FILE_STORAGE);
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let assistant;
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return thisObject;
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function finalize() {
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thisObject = undefined
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utilities = undefined
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fileStorage = undefined
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commons = undefined
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}
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function initialize(pAssistant, callBackFunction) {
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try {
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logger.fileName = MODULE_NAME;
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logger.initialize();
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] initialize -> Entering function."); }
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assistant = pAssistant;
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callBackFunction(global.DEFAULT_OK_RESPONSE);
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] initialize -> err = " + err.stack);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function start(multiPeriodDataFiles, timeFrame, timeFrameLabel, currentDay, interExecutionMemory, callBackFunction) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> Entering function."); }
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let chart = {}
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let mainDependency = {}
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let processingDailyFiles
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if (currentDay !== undefined) {
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processingDailyFiles = true
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} else {
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processingDailyFiles = false
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}
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/* The first phase here is about checking that we have everything we need at the definition level. */
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let dataDependencies = bot.processNode.referenceParent.processDependencies.dataDependencies
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if (commons.validateDataDependencies(dataDependencies, callBackFunction) !== true) {return}
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let outputDatasets = bot.processNode.referenceParent.processOutput.outputDatasets
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if (commons.validateOutputDatasets(outputDatasets, callBackFunction) !== true) { return }
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/* The second phase is about transforming the inputs into a format that can be used to apply the user defined code. */
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for (let j = 0; j < global.marketFilesPeriods.length; j++) {
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let timeFrameLabel = marketFilesPeriods[j][1]
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let dataFiles = multiPeriodDataFiles.get(timeFrameLabel)
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let products = {}
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> Inflating Data Files for timeFrame = " + timeFrameLabel); }
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if (dataFiles !== undefined) {
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commons.inflateDatafiles(dataFiles, dataDependencies, products, mainDependency, timeFrame)
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let propertyName = 'at' + timeFrameLabel.replace('-', '');
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chart[propertyName] = products
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}
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}
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for (let j = 0; j < global.dailyFilePeriods.length; j++) {
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let timeFrameLabel = global.dailyFilePeriods[j][1]
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let dataFiles = multiPeriodDataFiles.get(timeFrameLabel)
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let products = {}
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> Inflating Data Files for timeFrame = " + timeFrameLabel); }
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if (dataFiles !== undefined) {
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commons.inflateDatafiles(dataFiles, dataDependencies, products, mainDependency, timeFrame)
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let propertyName = 'at' + timeFrameLabel.replace('-', '');
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chart[propertyName] = products
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}
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}
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/* From here we have more or less the same we used to have at JASON */
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const TRADING_SIMULATION = require('./TradingSimulation.js');
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let tradingSimulation = TRADING_SIMULATION.newTradingSimulation(bot, logger, UTILITIES);
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let market = global.MARKET;
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const SIMULATED_RECORDS_FOLDER_NAME = "Trading-Simulation";
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const CONDITIONS_FOLDER_NAME = "Simulation-Conditions";
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const STRATEGIES_FOLDER_NAME = "Simulation-Strategies";
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const TRADES_FOLDER_NAME = "Simulation-Trades";
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const ONE_DAY_IN_MILISECONDS = 24 * 60 * 60 * 1000;
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let recordsArray
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let conditionsArray
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let strategiesArray
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let tradesArray
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let tradingSystem = {};
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tradingSimulation.runSimulation(
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chart,
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dataDependencies,
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timeFrame,
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timeFrameLabel,
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currentDay,
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interExecutionMemory,
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assistant,
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writeFiles,
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callBackFunction)
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function writeFiles(pTradingSystem, pRecordsArray, pConditionsArray, pStrategiesArray, pTradesArray) {
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tradingSystem = pTradingSystem
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recordsArray = pRecordsArray
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conditionsArray = pConditionsArray
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strategiesArray = pStrategiesArray
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tradesArray = pTradesArray
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if (timeFrame > global.dailyFilePeriods[0][0]) {
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writeMarketFiles()
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} else {
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writeDailyFiles()
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}
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}
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function writeMarketFiles() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> Entering function."); }
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writeRecordsFile();
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function writeRecordsFile() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeRecordsFile -> Entering function."); }
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let separator = "";
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let fileRecordCounter = 0;
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let fileContent = "";
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for (let i = 0; i < recordsArray.length; i++) {
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let record = recordsArray[i];
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fileContent = fileContent + separator + '[' +
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record.begin + "," +
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record.end + "," +
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record.type + "," +
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record.marketRate + "," +
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record.amount + "," +
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record.balanceA + "," +
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record.balanceB + "," +
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record.profit + "," +
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record.lastTradeProfitLoss + "," +
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record.stopLoss + "," +
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record.roundtrips + "," +
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record.hits + "," +
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record.fails + "," +
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record.hitRatio + "," +
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record.ROI + "," +
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record.periods + "," +
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record.days + "," +
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record.anualizedRateOfReturn + "," +
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record.positionRate + "," +
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record.lastTradeROI + "," +
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record.strategy + "," +
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record.strategyStageNumber + "," +
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record.takeProfit + "," +
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record.stopLossPhase + "," +
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record.takeProfitPhase + "," +
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JSON.stringify(record.executionRecord) + "," +
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record.positionSize + "," +
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record.initialBalanceA + "," +
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record.minimumBalanceA + "," +
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record.maximumBalanceA + "," +
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record.initialBalanceB + "," +
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record.minimumBalanceB + "," +
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record.maximumBalanceB + "," +
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record.baseAsset + "," +
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record.positionPeriods + "," +
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record.positionDays + "," +
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record.distanceToLastTriggerOn + "," +
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record.distanceToLastTriggerOff + "," +
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record.distanceToLastTakePosition + "," +
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record.distanceToLastClosePosition + "]";
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if (separator === "") { separator = ","; }
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fileRecordCounter++;
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}
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fileContent = "[" + fileContent + "]";
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let fileName = '' + market.assetA + '_' + market.assetB + '.json';
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let filePathRoot = bot.dataMine + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
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let filePath = filePathRoot + "/Output/" + bot.SESSION.folderName + "/" + SIMULATED_RECORDS_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timeFrameLabel;
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filePath += '/' + fileName
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fileStorage.createTextFile(bot.dataMine, filePath, fileContent + '\n', onFileCreated);
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function onFileCreated(err) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeRecordsFile -> onFileCreated -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeRecordsFile -> onFileCreated -> fileContent = " + fileContent); }
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeRecordsFile -> onFileCreated -> err = " + err.stack);
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeRecordsFile -> onFileCreated -> filePath = " + filePath);
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeRecordsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
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callBackFunction(err);
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return;
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}
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writeConditionsFile();
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeRecordsFile -> onFileCreated -> err = " + err.stack);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeRecordsFile -> err = " + err.stack);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function writeConditionsFile() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeConditionsFile -> Entering function."); }
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let separator = "";
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let fileRecordCounter = 0;
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let fileContent = "";
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for (let i = 0; i < conditionsArray.length; i++) {
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let record = conditionsArray[i];
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let conditions = "";
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let conditionsSeparator = "";
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for (let j = 0; j < record.length - 3; j++) {
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conditions = conditions + conditionsSeparator + record[j];
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if (conditionsSeparator === "") { conditionsSeparator = ","; }
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}
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conditions = conditions + conditionsSeparator + '[' + record[record.length - 3] + ']'; // The last item contains an Array of condition values.
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conditions = conditions + conditionsSeparator + '[' + record[record.length - 2] + ']'; // The last item contains an Array of formulaErrors.
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conditions = conditions + conditionsSeparator + '[' + record[record.length - 1] + ']'; // The last item contains an Array of formulaValues.
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fileContent = fileContent + separator + '[' + conditions + ']';
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if (separator === "") { separator = ","; }
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fileRecordCounter++;
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}
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fileContent = "[" + fileContent + "]";
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fileContent = "[" + JSON.stringify(tradingSystem) + "," + fileContent + "]";
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let fileName = '' + market.assetA + '_' + market.assetB + '.json';
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let filePathRoot = bot.dataMine + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
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let filePath = filePathRoot + "/Output/" + bot.SESSION.folderName + "/" + CONDITIONS_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timeFrameLabel;
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filePath += '/' + fileName
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fileStorage.createTextFile(bot.dataMine, filePath, fileContent + '\n', onFileCreated);
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function onFileCreated(err) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeConditionsFile -> onFileCreated -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeConditionsFile -> onFileCreated -> fileContent = " + fileContent); }
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeConditionsFile -> onFileCreated -> err = " + err.stack);
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeConditionsFile -> onFileCreated -> filePath = " + filePath);
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeConditionsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
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callBackFunction(err);
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return;
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}
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writeStrategiesFile();
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeConditionsFile -> onFileCreated -> err = " + err.stack);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeConditionsFile -> err = " + err.stack);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function writeStrategiesFile() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeStrategiesFile -> Entering function."); }
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let separator = "";
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let fileRecordCounter = 0;
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let fileContent = "";
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for (let i = 0; i < strategiesArray.length; i++) {
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let record = strategiesArray[i];
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fileContent = fileContent + separator + '[' +
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record.begin + "," +
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record.end + "," +
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record.status + "," +
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record.number + "," +
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record.beginRate + "," +
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record.endRate + "]";
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if (separator === "") { separator = ","; }
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fileRecordCounter++;
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}
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fileContent = "[" + fileContent + "]";
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let fileName = '' + market.assetA + '_' + market.assetB + '.json';
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let filePathRoot = bot.dataMine + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
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let filePath = filePathRoot + "/Output/" + bot.SESSION.folderName + "/" + STRATEGIES_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timeFrameLabel;
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filePath += '/' + fileName
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fileStorage.createTextFile(bot.dataMine, filePath, fileContent + '\n', onFileCreated);
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function onFileCreated(err) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeStrategiesFile -> onFileCreated -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeStrategiesFile -> onFileCreated -> fileContent = " + fileContent); }
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeStrategiesFile -> onFileCreated -> err = " + err.stack);
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeStrategiesFile -> onFileCreated -> filePath = " + filePath);
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeStrategiesFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
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callBackFunction(err);
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return;
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}
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writeTradesFile();
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeStrategiesFile -> onFileCreated -> err = " + err.stack);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeStrategiesFile -> err = " + err.stack);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function writeTradesFile() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeTradesFile -> Entering function."); }
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let separator = "";
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let fileRecordCounter = 0;
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let fileContent = "";
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for (let i = 0; i < tradesArray.length; i++) {
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let record = tradesArray[i];
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if (record.stopRate === undefined) { record.stopRate = 0 }
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fileContent = fileContent + separator + '[' +
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record.begin + "," +
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record.end + "," +
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record.status + "," +
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record.lastTradeROI + "," +
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record.beginRate + "," +
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record.endRate + "," +
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record.exitType + "]";
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if (separator === "") { separator = ","; }
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fileRecordCounter++;
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}
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fileContent = "[" + fileContent + "]";
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let fileName = '' + market.assetA + '_' + market.assetB + '.json';
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let filePathRoot = bot.dataMine + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
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let filePath = filePathRoot + "/Output/" + bot.SESSION.folderName + "/" + TRADES_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timeFrameLabel;
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filePath += '/' + fileName
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fileStorage.createTextFile(bot.dataMine, filePath, fileContent + '\n', onFileCreated);
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function onFileCreated(err) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeTradesFile -> onFileCreated -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeTradesFile -> onFileCreated -> fileContent = " + fileContent); }
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeTradesFile -> onFileCreated -> err = " + err.stack);
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeTradesFile -> onFileCreated -> filePath = " + filePath);
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeTradesFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
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callBackFunction(err);
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return;
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}
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/* Emit event that signals that simulation files were updated */
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global.SYSTEM_EVENT_HANDLER.raiseEvent('Jason-Multi-Period', 'Simulation Files Updated')
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callBackFunction(global.DEFAULT_OK_RESPONSE);
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeTradesFile -> onFileCreated -> err = " + err.stack);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeTradesFile -> err = " + err.stack);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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}
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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.dataMine + "/" + 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" + "/" + timeFrameLabel;
|
|
filePath += '/' + fileName
|
|
|
|
fileStorage.createTextFile(bot.dataMine, 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.dataMine + "/" + 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" + "/" + timeFrameLabel + "/" + dateForPath;
|
|
filePath += '/' + fileName
|
|
|
|
fileStorage.createTextFile(bot.dataMine, 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.dataMine + "/" + 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" + "/" + timeFrameLabel + "/" + dateForPath;
|
|
filePath += '/' + fileName
|
|
|
|
fileStorage.createTextFile(bot.dataMine, 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.dataMine + "/" + 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" + "/" + timeFrameLabel + "/" + dateForPath;
|
|
filePath += '/' + fileName
|
|
|
|
fileStorage.createTextFile(bot.dataMine, 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.dataMine + "/" + 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" + "/" + timeFrameLabel + "/" + dateForPath;
|
|
filePath += '/' + fileName
|
|
|
|
fileStorage.createTextFile(bot.dataMine, 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);
|
|
}
|
|
}
|
|
};
|
|
|