506 lines
28 KiB
JavaScript
506 lines
28 KiB
JavaScript
exports.newUserBot = function newUserBot(bot, logger, COMMONS, UTILITIES, BLOB_STORAGE, FILE_STORAGE) {
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const FULL_LOG = true;
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const LOG_FILE_CONTENT = false;
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const MODULE_NAME = "User Bot";
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const TRADES_FOLDER_NAME = "Trades";
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const CANDLES_FOLDER_NAME = "Candles";
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const BOLLINGER_BANDS_FOLDER_NAME = "Bollinger-Bands";
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const PERCENTAGE_BANDWIDTH_FOLDER_NAME = "Percentage-Bandwidth";
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const commons = COMMONS.newCommons(bot, logger, UTILITIES);
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thisObject = {
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initialize: initialize,
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start: start
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};
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let oliviaStorage = BLOB_STORAGE.newBlobStorage(bot, logger);
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let chrisStorage = BLOB_STORAGE.newBlobStorage(bot, logger);
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let utilities = UTILITIES.newCloudUtilities(bot, logger);
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let statusDependencies;
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return thisObject;
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function initialize(pStatusDependencies, pMonth, pYear, 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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statusDependencies = pStatusDependencies;
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commons.initializeStorage(oliviaStorage, chrisStorage, onInizialized);
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function onInizialized(err) {
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if (err.result === global.DEFAULT_OK_RESPONSE.result) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] initialize -> onInizialized -> Initialization Succeed."); }
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callBackFunction(global.DEFAULT_OK_RESPONSE);
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} else {
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logger.write(MODULE_NAME, "[ERROR] initialize -> onInizialized -> err = " + err.message);
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callBackFunction(err);
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}
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}
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] initialize -> err = " + err.message);
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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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This process is going to do the following:
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Read the candles from Olivia and produce the bollinger bands out of them.
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*/
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function start(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 market = global.MARKET;
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buildBands();
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function buildBands() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> Entering function."); }
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try {
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let n;
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periodsLoop();
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function periodsLoop() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> periodsLoop -> Entering function."); }
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/*
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We will iterate through all posible periods.
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*/
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n = 0 // loop Variable representing each possible period as defined at the periods array.
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loopBody();
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> periodsLoop -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function loopBody() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> Entering function."); }
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const outputPeriod = global.marketFilesPeriods[n][0];
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const timePeriod = global.marketFilesPeriods[n][1];
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nextCandleFile();
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function nextCandleFile() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> Entering function."); }
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let fileName = market.assetA + '_' + market.assetB + ".json";
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let filePathRoot = bot.devTeam + "/" + "AAOlivia" + "." + bot.version.major + "." + bot.version.minor + "/" + global.PLATFORM_CONFIG.codeName + "." + global.PLATFORM_CONFIG.version.major + "." + global.PLATFORM_CONFIG.version.minor + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
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let filePath = filePathRoot + "/Output/" + CANDLES_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timePeriod;
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oliviaStorage.getTextFile(filePath, fileName, onFileReceived, true);
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function onFileReceived(err, text) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> text = " + text); }
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> err = " + err.message);
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callBackFunction(err);
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return;
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}
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let marketFile = JSON.parse(text);
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let candles = [];
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buildCandles();
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function buildCandles() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> buildCandles -> Entering function."); }
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try {
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for (let i = 0; i < marketFile.length; i++) {
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let candle = {
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open: undefined,
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close: undefined,
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min: 10000000000000,
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max: 0,
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begin: undefined,
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end: undefined,
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direction: undefined
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};
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candle.min = marketFile[i][0];
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candle.max = marketFile[i][1];
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candle.open = marketFile[i][2];
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candle.close = marketFile[i][3];
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candle.begin = marketFile[i][4];
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candle.end = marketFile[i][5];
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candles.push(candle);
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}
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buildBands();
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> buildCandles -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function buildBands() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> buildBands -> Entering function."); }
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let bandsArray = [];
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let pBArray = [];
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let numberOfPeriodsBB = 20;
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let numberOfStandardDeviations = 2;
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let numberOfPeriodsPB = 5;
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/* Building bands */
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let band;
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for (let i = numberOfPeriodsBB - 1; i < candles.length; i++) { // Go through all the candles to generate a band segment for each of them.
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let movingAverage = 0;
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for (let j = i - numberOfPeriodsBB + 1; j < i + 1; j++) { // go through the last numberOfPeriodsBB candles to calculate the moving average.
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movingAverage = movingAverage + candles[j].close;
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}
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movingAverage = movingAverage / numberOfPeriodsBB;
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let standardDeviation = 0;
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for (let j = i - numberOfPeriodsBB + 1; j < i + 1; j++) { // go through the last numberOfPeriodsBB candles to calculate the standard deviation.
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standardDeviation = standardDeviation + Math.pow (candles[j].close - movingAverage, 2);
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}
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standardDeviation = standardDeviation / numberOfPeriodsBB;
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standardDeviation = Math.sqrt(standardDeviation);
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if (standardDeviation === 0) { standardDeviation = 0.000000001; } // This is to prevent a division by zero later.
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band = {
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begin: candles[i].begin,
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end: candles[i].end,
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movingAverage: movingAverage,
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standardDeviation: standardDeviation,
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deviation: standardDeviation * numberOfStandardDeviations
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};
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bandsArray.push(band);
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/* Calculating %B */
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let lowerBB;
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let upperBB;
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lowerBB = band.movingAverage - band.deviation;
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upperBB = band.movingAverage + band.deviation;
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let value = (candles[i].close - lowerBB) / (upperBB - lowerBB) * 100;
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/* Moving Average Calculation */
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let numberOfPreviousPeriods;
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let currentPosition = pBArray.length;
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if (currentPosition < numberOfPeriodsPB) { // Avoinding to get into negative array indexes
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numberOfPreviousPeriods = currentPosition;
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} else {
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numberOfPreviousPeriods = numberOfPeriodsPB;
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}
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movingAverage = 0;
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for (let j = currentPosition - numberOfPreviousPeriods; j < currentPosition; j++) { // go through the last numberOfPeriodsPBs to calculate the moving average.
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movingAverage = movingAverage + pBArray[j].value;
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}
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movingAverage = movingAverage + value;
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movingAverage = movingAverage / (numberOfPreviousPeriods + 1);
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let bandwidth = (upperBB- lowerBB) / band.movingAverage;
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let percentageBandwidth = {
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begin: candles[i].begin,
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end: candles[i].end,
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value: value,
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movingAverage: movingAverage,
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bandwidth: bandwidth
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};
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pBArray.push(percentageBandwidth);
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}
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writeBandsFile(bandsArray, pBArray);
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> buildBands -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function writeBandsFile(pBands, pPB) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writeBandsFile -> 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 (i = 0; i < pBands.length; i++) {
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let band = pBands[i];
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fileContent = fileContent + separator + '[' +
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band.begin + "," +
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band.end + "," +
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band.movingAverage + "," +
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band.standardDeviation + "," +
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band.deviation + "]";
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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.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.PLATFORM_CONFIG.codeName + "." + global.PLATFORM_CONFIG.version.major + "." + global.PLATFORM_CONFIG.version.minor + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
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let filePath = filePathRoot + "/Output/" + BOLLINGER_BANDS_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timePeriod;
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chrisStorage.createTextFile(filePath, fileName, 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 -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writeBandsFile -> onFileCreated -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writeBandsFile -> 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 -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writeBandsFile -> onFileCreated -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writeBandsFile -> onFileCreated -> filePath = " + filePath);
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writeBandsFile -> 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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writePBFile(pPB);
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writeBandsFile -> onFileCreated -> err = " + err.message);
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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 -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writeBandsFile -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function writePBFile(pPercentageBandwidths) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writePBFile -> 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 (i = 0; i < pPercentageBandwidths.length; i++) {
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let pB = pPercentageBandwidths[i];
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fileContent = fileContent + separator + '[' +
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pB.begin + "," +
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pB.end + "," +
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pB.value + "," +
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pB.movingAverage + "," +
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pB.bandwidth + "]";
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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.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.PLATFORM_CONFIG.codeName + "." + global.PLATFORM_CONFIG.version.major + "." + global.PLATFORM_CONFIG.version.minor + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
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let filePath = filePathRoot + "/Output/" + PERCENTAGE_BANDWIDTH_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timePeriod;
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chrisStorage.createTextFile(filePath, fileName, 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 -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writePBFile -> onFileCreated -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writePBFile -> 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 -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writePBFile -> onFileCreated -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writePBFile -> onFileCreated -> filePath = " + filePath);
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writePBFile -> 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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controlLoop();
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writePBFile -> onFileCreated -> err = " + err.message);
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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 -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writePBFile -> err = " + err.message);
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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 -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> err = " + err.message);
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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 -> buildBands -> loopBody -> nextCandleFile -> err = " + err.message);
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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 -> buildBands -> loopBody -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function controlLoop() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> controlLoop -> Entering function."); }
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n++;
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if (n < global.marketFilesPeriods.length) {
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loopBody();
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} else {
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writeStatusReport(callBackFunction);
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}
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> controlLoop -> err = " + err.message);
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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 -> buildBands -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function writeStatusReport(callBack) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStatusReport -> Entering function."); }
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try {
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let reportKey = "AAMasters" + "-" + "AAChris" + "-" + "Multi-Period-Market" + "-" + "dataSet.V1";
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let thisReport = statusDependencies.statusReports.get(reportKey);
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thisReport.file.lastExecution = bot.processDatetime;
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thisReport.save(callBack);
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeStatusReport -> err = " + err.message);
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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 -> err = " + err.message);
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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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