Superalgos/TaskServer/LowFrequencyTrading/TradingEpisode.js

exports.newTradingEpisode = function newTradingEpisode(bot, logger) {
    /*
    This module packages all functions related to Episodes.
    */
    const MODULE_NAME = 'Trading Episode'
    let thisObject = {
        openEpisode: openEpisode,
        closingEpisode: closingEpisode,
        closeEpisode: closeEpisode,
        updateEnds: updateEnds,
        resetTradingEngineDataStructure: resetTradingEngineDataStructure,
        updateCounters: updateCounters,
        updateStatistics: updateStatistics,
        calculateResults: calculateResults,
        calculateStatistics: calculateStatistics,
        initialize: initialize,
        finalize: finalize
    }

    let tradingEngine
    let tradingSystem
    let sessionParameters

    return thisObject

    function initialize() {
        tradingSystem = bot.simulationState.tradingSystem
        tradingEngine = bot.simulationState.tradingEngine
        sessionParameters = bot.SESSION.parameters
    }

    function finalize() {
        tradingEngine = undefined
        tradingSystem = undefined
        sessionParameters = undefined
    }

    function openEpisode() {

        /* Recording the opening at the Trading Engine Data Structure */
        tradingEngine.current.episode.status.value = 'Open'
        tradingEngine.current.episode.serialNumber.value = 1
        tradingEngine.current.episode.identifier.value = global.UNIQUE_ID()
        tradingEngine.current.episode.begin.value = tradingEngine.current.candle.begin.value
        tradingEngine.current.episode.beginRate.value = tradingEngine.current.candle.close.value
    }

    function closingEpisode(exitType) {
        tradingEngine.current.episode.status.value = 'Closing'
        tradingEngine.current.episode.exitType.value = exitType
    }

    function closeEpisode() {
        tradingEngine.current.episode.status.value = 'Closed'
        tradingEngine.current.episode.end.value = tradingEngine.current.candle.end.value
        tradingEngine.current.episode.endRate.value = tradingEngine.current.candle.close.value
    }

    function resetEpisode() {
        tradingEngine.current.episode.initialize(tradingEngine.current.episode)
    }

    function updateEnds() {
        if (tradingEngine.current.episode.status.value === 'Open') {
            tradingEngine.current.episode.end.value = tradingEngine.current.candle.end.value
            tradingEngine.current.episode.endRate.value = tradingEngine.current.candle.close.value
        }
    }

    function resetTradingEngineDataStructure() {
        if (tradingEngine.current.episode.status.value === 'Closed') {
            resetEpisode()
        }
    }

    function updateCounters() {
        if (tradingEngine.current.episode.status.value === 'Open') {
            tradingEngine.current.episode.episodeCounters.periods.value++
        }
    }

    function updateStatistics() {

        /* Daus Calculation */
        tradingEngine.current.episode.episodeStatistics.days.value =
            tradingEngine.current.episode.episodeCounters.periods.value *
            sessionParameters.timeFrame.config.value /
            global.ONE_DAY_IN_MILISECONDS
    }

    function calculateStatistics() {

        /* Updating Profit Loss */
        tradingEngine.current.episode.episodeStatistics.profitLoss.value =
            tradingEngine.current.episode.episodeBaseAsset.profitLoss.value * tradingEngine.current.candle.close.value +
            tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value

        tradingEngine.current.episode.episodeStatistics.profitLoss.value = global.PRECISE(tradingEngine.current.episode.episodeStatistics.profitLoss.value, 10)

        /* Updating ROI */
        tradingEngine.current.episode.episodeStatistics.ROI.value =
            (
                sessionParameters.sessionBaseAsset.config.initialBalance * tradingEngine.current.candle.close.value +
                tradingEngine.current.episode.episodeBaseAsset.profitLoss.value * tradingEngine.current.candle.close.value +
                sessionParameters.sessionQuotedAsset.config.initialBalance +
                tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value
            ) / (
                sessionParameters.sessionBaseAsset.config.initialBalance * tradingEngine.current.candle.close.value +
                sessionParameters.sessionQuotedAsset.config.initialBalance
            ) - 1

        tradingEngine.current.episode.episodeStatistics.ROI.value = global.PRECISE(tradingEngine.current.episode.episodeStatistics.ROI.value, 10)

        /* Updating Anualized Rate Of Return */
        tradingEngine.current.episode.episodeStatistics.anualizedRateOfReturn.value =
            tradingEngine.current.episode.episodeStatistics.ROI.value /
            tradingEngine.current.episode.episodeStatistics.days.value * 365

        tradingEngine.current.episode.episodeStatistics.anualizedRateOfReturn.value = global.PRECISE(tradingEngine.current.episode.episodeStatistics.anualizedRateOfReturn.value, 10)

        /* Updating Hit or Fail */
        if (tradingEngine.current.episode.episodeStatistics.profitLoss.value > 0) {
            tradingEngine.current.episode.episodeStatistics.hitFail.value = 'Hit'
        } else {
            tradingEngine.current.episode.episodeStatistics.hitFail.value = 'Fail'
        }
    }

    function calculateResults() {

        /* Updating Hits & Fails */
        if (tradingEngine.current.position.positionBaseAsset.profitLoss.value > 0) {
            tradingEngine.current.episode.episodeBaseAsset.hits.value++
        } else {
            tradingEngine.current.episode.episodeBaseAsset.fails.value++
        }
        if (tradingEngine.current.position.positionQuotedAsset.profitLoss.value > 0) {
            tradingEngine.current.episode.episodeQuotedAsset.hits.value++
        } else {
            tradingEngine.current.episode.episodeQuotedAsset.fails.value++
        }

        /* Updating Profit Loss */
        tradingEngine.current.episode.episodeBaseAsset.profitLoss.value =
            tradingEngine.current.balance.baseAsset.value -
            sessionParameters.sessionBaseAsset.config.initialBalance

        tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value =
            tradingEngine.current.balance.quotedAsset.value -
            sessionParameters.sessionQuotedAsset.config.initialBalance

        tradingEngine.current.episode.episodeBaseAsset.profitLoss.value = global.PRECISE(tradingEngine.current.episode.episodeBaseAsset.profitLoss.value, 10)
        tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value = global.PRECISE(tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value, 10)

        /* Updating ROI */
        tradingEngine.current.episode.episodeBaseAsset.ROI.value =
            (sessionParameters.sessionBaseAsset.config.initialBalance + tradingEngine.current.episode.episodeBaseAsset.profitLoss.value) /
            sessionParameters.sessionBaseAsset.config.initialBalance - 1

        tradingEngine.current.episode.episodeQuotedAsset.ROI.value =
            (sessionParameters.sessionQuotedAsset.config.initialBalance + tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value) /
            sessionParameters.sessionQuotedAsset.config.initialBalance - 1

        tradingEngine.current.episode.episodeBaseAsset.ROI.value = global.PRECISE(tradingEngine.current.episode.episodeBaseAsset.ROI.value, 10)
        tradingEngine.current.episode.episodeQuotedAsset.ROI.value = global.PRECISE(tradingEngine.current.episode.episodeQuotedAsset.ROI.value, 10)

        /* Updating Hit Ratio */
        tradingEngine.current.episode.episodeBaseAsset.hitRatio.value =
            tradingEngine.current.episode.episodeBaseAsset.hits.value /
            tradingEngine.current.episode.episodeCounters.positions.value

        tradingEngine.current.episode.episodeQuotedAsset.hitRatio.value =
            tradingEngine.current.episode.episodeQuotedAsset.hits.value /
            tradingEngine.current.episode.episodeCounters.positions.value

        tradingEngine.current.episode.episodeBaseAsset.hitRatio.value = global.PRECISE(tradingEngine.current.episode.episodeBaseAsset.hitRatio.value, 10)
        tradingEngine.current.episode.episodeQuotedAsset.hitRatio.value = global.PRECISE(tradingEngine.current.episode.episodeQuotedAsset.hitRatio.value, 10)

        /* Updating Anualized Rate Of Return */
        tradingEngine.current.episode.episodeBaseAsset.anualizedRateOfReturn.value =
            tradingEngine.current.episode.episodeBaseAsset.ROI.value /
            tradingEngine.current.episode.episodeStatistics.days.value * 365

        tradingEngine.current.episode.episodeQuotedAsset.anualizedRateOfReturn.value =
            tradingEngine.current.episode.episodeQuotedAsset.ROI.value /
            tradingEngine.current.episode.episodeStatistics.days.value * 365

        tradingEngine.current.episode.episodeBaseAsset.anualizedRateOfReturn.value = global.PRECISE(tradingEngine.current.episode.episodeBaseAsset.anualizedRateOfReturn.value, 10)
        tradingEngine.current.episode.episodeQuotedAsset.anualizedRateOfReturn.value = global.PRECISE(tradingEngine.current.episode.episodeQuotedAsset.anualizedRateOfReturn.value, 10)

        /* Updating Hit or Fail */
        if (tradingEngine.current.episode.episodeBaseAsset.profitLoss.value > 0) {
            tradingEngine.current.episode.episodeBaseAsset.hitFail.value = 'Hit'
        } else {
            tradingEngine.current.episode.episodeBaseAsset.hitFail.value = 'Fail'
        }
        if (tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value > 0) {
            tradingEngine.current.episode.episodeQuotedAsset.hitFail.value = 'Hit'
        } else {
            tradingEngine.current.episode.episodeQuotedAsset.hitFail.value = 'Fail'
        }
    }
}