862 lines
50 KiB
JavaScript
862 lines
50 KiB
JavaScript
exports.newTradingExecution = function newTradingExecution(bot, logger, tradingEngineModule) {
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/*
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The Trading Execution modules manages the execution of orders against the exchanges.
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*/
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const MODULE_NAME = 'Trading Execution'
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let thisObject = {
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runExecution: runExecution,
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initialize: initialize,
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finalize: finalize
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}
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let tradingEngine
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let tradingSystem
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let sessionParameters
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const EXCHANGE_API_MODULE = require('./ExchangeAPI.js')
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let exchangeAPIModule = EXCHANGE_API_MODULE.newExchangeAPI(bot, logger)
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const ANNOUNCEMENTS_MODULE = require('./Announcements.js')
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let announcementsModule = ANNOUNCEMENTS_MODULE.newAnnouncements(bot, logger)
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return thisObject
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function initialize() {
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tradingSystem = bot.simulationState.tradingSystem
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tradingEngine = bot.simulationState.tradingEngine
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sessionParameters = bot.SESSION.parameters
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exchangeAPIModule.initialize()
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announcementsModule.initialize()
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}
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function finalize() {
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tradingSystem = undefined
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tradingEngine = undefined
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sessionParameters = undefined
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exchangeAPIModule.finalize()
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exchangeAPIModule = undefined
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announcementsModule.finalize()
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announcementsModule = undefined
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}
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async function runExecution(
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executionNode,
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stageIsClosing,
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tradingEngineStage
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) {
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try {
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/* Trading Engine Stage Validations */
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if (tradingEngineStage.stageBaseAsset === undefined) { badDefinitionUnhandledException(undefined, 'stageBaseAsset === undefined', tradingEngineStage) }
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if (tradingEngineStage.stageBaseAsset.targetSize === undefined) { badDefinitionUnhandledException(undefined, 'stageBaseAsset.targetSize === undefined', tradingEngineStage) }
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if (tradingEngineStage.stageBaseAsset.sizePlaced === undefined) { badDefinitionUnhandledException(undefined, 'stageBaseAsset.sizePlaced === undefined', tradingEngineStage) }
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if (tradingEngineStage.stageBaseAsset.sizeFilled === undefined) { badDefinitionUnhandledException(undefined, 'stageBaseAsset.sizeFilled === undefined', tradingEngineStage) }
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if (tradingEngineStage.stageBaseAsset.feesPaid === undefined) { badDefinitionUnhandledException(undefined, 'stageBaseAsset.feesPaid === undefined', tradingEngineStage) }
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if (tradingEngineStage.stageQuotedAsset === undefined) { badDefinitionUnhandledException(undefined, 'stageQuotedAsset === undefined', tradingEngineStage) }
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if (tradingEngineStage.stageQuotedAsset.targetSize === undefined) { badDefinitionUnhandledException(undefined, 'stageQuotedAsset.targetSize === undefined', tradingEngineStage) }
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if (tradingEngineStage.stageQuotedAsset.sizePlaced === undefined) { badDefinitionUnhandledException(undefined, 'stageQuotedAsset.sizePlaced === undefined', tradingEngineStage) }
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if (tradingEngineStage.stageQuotedAsset.sizeFilled === undefined) { badDefinitionUnhandledException(undefined, 'stageQuotedAsset.sizeFilled === undefined', tradingEngineStage) }
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if (tradingEngineStage.stageQuotedAsset.feesPaid === undefined) { badDefinitionUnhandledException(undefined, 'stageQuotedAsset.feesPaid === undefined', tradingEngineStage) }
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await checkExecutionAlgorithms(executionNode)
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async function checkExecutionAlgorithms(executionNode) {
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for (let i = 0; i < executionNode.executionAlgorithms.length; i++) {
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let executionAlgorithm = executionNode.executionAlgorithms[i]
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await checkOrders(executionAlgorithm.marketBuyOrders, executionAlgorithm, executionNode)
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await checkOrders(executionAlgorithm.marketSellOrders, executionAlgorithm, executionNode)
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await checkOrders(executionAlgorithm.limitBuyOrders, executionAlgorithm, executionNode)
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await checkOrders(executionAlgorithm.limitSellOrders, executionAlgorithm, executionNode)
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}
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}
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async function checkOrders(orders, executionAlgorithm, executionNode) {
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for (let i = 0; i < orders.length; i++) {
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let tradingSystemOrder = orders[i]
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/* Trading System Validations */
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if (tradingSystemOrder.config.percentageOfAlgorithmSize === undefined) { badDefinitionUnhandledException(undefined, 'tradingSystemOrder.config.percentageOfAlgorithmSize === undefined', tradingSystemOrder) }
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if (tradingSystemOrder.referenceParent === undefined) { badDefinitionUnhandledException(undefined, 'tradingSystemOrder.referenceParent === undefined', tradingSystemOrder) }
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let tradingEngineOrder = tradingEngineModule.getNodeById(tradingSystemOrder.referenceParent.id)
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/* Trading Engine Order Validations */
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if (tradingEngineOrder.serialNumber === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.serialNumber === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.identifier === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.identifier === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.exchangeId === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.exchangeId === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.begin === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.begin === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.end === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.end === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.rate === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.rate === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.status === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.status === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.algorithmName === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.algorithmName === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderCounters === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderCounters === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderCounters.periods === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderCounters.periods === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderStatistics.days === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderStatistics.days === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderStatistics.percentageFilled === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderStatistics.percentageFilled === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderStatistics.actualRate === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderStatistics.actualRate === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderBaseAsset.size === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderBaseAsset.size === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderBaseAsset.sizeFilled === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderBaseAsset.sizeFilled === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderBaseAsset.feesPaid === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderBaseAsset.feesPaid === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderQuotedAsset.size === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderQuotedAsset.size === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderQuotedAsset.sizeFilled === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderQuotedAsset.sizeFilled === undefined', tradingEngineOrder) }
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if (tradingEngineOrder.orderQuotedAsset.feesPaid === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderQuotedAsset.feesPaid === undefined', tradingEngineOrder) }
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switch (tradingEngineOrder.status.value) {
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case 'Not Open': {
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{
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/* When the stage is closing we can not create new orders */
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if (stageIsClosing === true) { continue }
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/*
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Check if we can create an order based on the config value for spawnMultipleOrders.
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Trading System Orders that cannot spawn more than one Trading Engine Order needs to check if
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at the Trading Engine Order the lock is Open or Closed.
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*/
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if (tradingSystemOrder.config.spawnMultipleOrders !== true) {
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if (tradingEngineOrder.identifier.value === 'Closed') {
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continue
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}
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}
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/* Check if we need to Create this Order */
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let situationName = checkOrderEvent(tradingSystemOrder.createOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
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if (situationName !== undefined) {
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/* Open a new order */
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await tryToOpenOrder(executionAlgorithm, tradingSystemOrder, tradingEngineOrder, situationName)
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}
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}
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break
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}
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case 'Open': {
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/* Update this order properties */
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tradingEngineOrder.end.value = tradingEngine.current.episode.candle.end.value
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tradingEngineOrder.orderCounters.periods.value++
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tradingEngineOrder.orderStatistics.days.value = tradingEngineOrder.orderCounters.periods.value * sessionParameters.timeFrame.config.value / global.ONE_DAY_IN_MILISECONDS
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/* Simulate Events that happens at the Exchange, if needed. */
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simulateExchangeEvents(tradingSystemOrder, tradingEngineOrder)
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/* Check Events that happens at the Exchange, if needed. */
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await checkExchangeEvents(tradingSystemOrder, tradingEngineOrder)
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/*
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In the previous steps, we might have discovered that the order was cancelled
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at the exchange, or filled, so the order might still not be Open.
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If the stage is closing or the order is not Open, we wont be cancelling orders
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based on defined events.
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*/
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if (stageIsClosing !== true && tradingEngineOrder.status.value === 'Open') {
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/* Check if we need to Cancel this Order */
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let situationName = checkOrderEvent(tradingSystemOrder.cancelOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
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if (situationName !== undefined) {
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/* Simulate Order Cancelation, if needed. */
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simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
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/* Cancel the order at the Exchange, if needed. */
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await exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
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}
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}
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}
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}
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}
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}
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async function tryToOpenOrder(executionAlgorithm, tradingSystemOrder, tradingEngineOrder, situationName) {
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calculateOrderRate()
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calculateOrderSize()
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/* Check Size: We are not going to create Orders which size is equal or less to zero. */
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if (tradingEngineOrder.orderBaseAsset.size.value <= 0 || tradingEngineOrder.orderQuotedAsset.size.value <= 0) { return }
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/* Place Order at the Exchange, if needed. */
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let result = await createOrderAtExchange(tradingSystemOrder, tradingEngineOrder)
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if (result !== true) { return }
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/* Update Stage Placed Size */
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tradingEngineStage.stageBaseAsset.sizePlaced.value = tradingEngineStage.stageBaseAsset.sizePlaced.value + tradingEngineOrder.orderBaseAsset.size.value
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tradingEngineStage.stageBaseAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageBaseAsset.sizePlaced.value, 10)
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tradingEngineStage.stageQuotedAsset.sizePlaced.value = tradingEngineStage.stageQuotedAsset.sizePlaced.value + tradingEngineOrder.orderQuotedAsset.size.value
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tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
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/* Updating Episode Counters */
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tradingEngine.current.episode.episodeCounters.orders.value++
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/* Initialize this */
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tradingEngine.current.episode.distanceToEvent.createOrder.value = 1
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/* Create Order Procedure */
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tradingEngineOrder.status.value = 'Open'
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tradingEngineOrder.identifier.value = global.UNIQUE_ID()
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tradingEngineOrder.begin.value = tradingEngine.current.episode.candle.begin.value
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tradingEngineOrder.end.value = tradingEngine.current.episode.candle.end.value
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tradingEngineOrder.serialNumber.value = tradingEngine.current.episode.episodeCounters.orders.value
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tradingEngineOrder.orderName.value = tradingSystemOrder.name
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tradingEngineOrder.algorithmName.value = executionAlgorithm.name
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tradingEngineOrder.situationName.value = situationName
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function calculateOrderRate() {
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/* By default this is the order rate and it is the rate that applies to Market Orders */
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tradingEngineOrder.rate.value = tradingEngine.current.episode.candle.close.value
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/* Optional Rate Definition */
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if (tradingSystemOrder.orderRate !== undefined) {
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if (tradingSystemOrder.orderRate.formula !== undefined) {
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tradingEngineOrder.rate.value = tradingSystem.formulas.get(tradingSystemOrder.orderRate.formula.id)
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if (tradingEngineOrder.rate.value === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.rate.value === undefined', tradingEngineOrder) }
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if (isNaN(tradingEngineOrder.rate.value) === true) { badDefinitionUnhandledException(undefined, 'isNaN(tradingEngineOrder.rate.value) === true', tradingEngineOrder) }
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if (tradingEngineOrder.rate.value <= 0) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.rate.value <= 0', tradingEngineOrder) }
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tradingEngineOrder.rate.value = global.PRECISE(tradingEngineOrder.rate.value, 10)
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}
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}
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}
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function calculateOrderSize() {
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/* Validate that this config exists */
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if (executionAlgorithm.config.percentageOfStageTargetSize === undefined) { badDefinitionUnhandledException(undefined, 'executionAlgorithm.config.percentageOfStageTargetSize === undefined', executionAlgorithm) }
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if (isNaN(executionAlgorithm.config.percentageOfStageTargetSize) === true) { badDefinitionUnhandledException(undefined, 'isNaN(executionAlgorithm.config.percentageOfStageTargetSize) === true', executionAlgorithm) }
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let algorithmSizeInBaseAsset = tradingEngineStage.stageBaseAsset.targetSize.value * executionAlgorithm.config.percentageOfStageTargetSize / 100
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let algorithmSizeInQuotedAsset = tradingEngineStage.stageQuotedAsset.targetSize.value * executionAlgorithm.config.percentageOfStageTargetSize / 100
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/* Validate that this config exists */
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if (tradingSystemOrder.config.percentageOfAlgorithmSize === undefined) { badDefinitionUnhandledException(undefined, 'tradingSystemOrder.config.percentageOfAlgorithmSize === undefined', tradingSystemOrder) }
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if (isNaN(tradingSystemOrder.config.percentageOfAlgorithmSize) === true) { badDefinitionUnhandledException(undefined, 'isNaN(tradingSystemOrder.config.percentageOfAlgorithmSize) === true', tradingSystemOrder) }
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/* Size in Base Asset */
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tradingEngineOrder.orderBaseAsset.size.value = algorithmSizeInBaseAsset * tradingSystemOrder.config.percentageOfAlgorithmSize / 100
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/* Size in Quoted Asset */
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tradingEngineOrder.orderQuotedAsset.size.value = algorithmSizeInQuotedAsset * tradingSystemOrder.config.percentageOfAlgorithmSize / 100
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/* Check that the Size calculated would not surpass Stage Target Size */
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if (
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tradingEngineOrder.orderBaseAsset.size.value + tradingEngineStage.stageBaseAsset.sizePlaced.value >
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tradingEngineStage.stageBaseAsset.targetSize.value
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) {
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tradingEngineOrder.orderBaseAsset.size.value = tradingEngineStage.stageBaseAsset.targetSize.value - tradingEngineStage.stageBaseAsset.sizePlaced.value
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}
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if (
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tradingEngineOrder.orderQuotedAsset.size.value + tradingEngineStage.stageQuotedAsset.sizePlaced.value >
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tradingEngineStage.stageQuotedAsset.targetSize.value
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) {
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tradingEngineOrder.orderQuotedAsset.size.value = tradingEngineStage.stageQuotedAsset.targetSize.value - tradingEngineStage.stageQuotedAsset.sizePlaced.value
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}
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tradingEngineOrder.orderBaseAsset.size.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.size.value, 10)
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tradingEngineOrder.orderQuotedAsset.size.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.size.value, 10)
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}
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async function createOrderAtExchange(tradingSystemOrder, tradingEngineOrder) {
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/* Filter by Session Type */
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switch (bot.SESSION.type) {
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case 'Backtesting Session': {
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return true
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}
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case 'Live Trading Session': {
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break
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}
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case 'Fordward Testing Session': {
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break
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}
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case 'Paper Trading Session': {
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return true
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}
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}
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let orderId = await exchangeAPIModule.createOrder(tradingSystemOrder, tradingEngineOrder)
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if (orderId !== undefined) {
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tradingEngineOrder.exchangeId.value = orderId
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return true
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}
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}
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}
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function simulateExchangeEvents(tradingSystemOrder, tradingEngineOrder) {
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/* Filter by Session Type */
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switch (bot.SESSION.type) {
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case 'Backtesting Session': {
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break
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}
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case 'Live Trading Session': {
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return
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}
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case 'Fordward Testing Session': {
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return
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}
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case 'Paper Trading Session': {
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break
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}
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}
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/* Filter by what is defined at the Strategy */
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if (tradingSystemOrder.simulatedExchangeEvents === undefined) {
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badDefinitionUnhandledException(undefined, 'tradingSystemOrder.simulatedExchangeEvents === undefined', tradingSystemOrder)
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}
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let previousBaseAssetSizeFilled = tradingEngineOrder.orderBaseAsset.sizeFilled.value
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let previousQuotedAssetSizeFilled = tradingEngineOrder.orderQuotedAsset.sizeFilled.value
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let previousBaseAssetFeesPaid = tradingEngineOrder.orderBaseAsset.feesPaid.value
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let previousQuotedAssetFeesPaid = tradingEngineOrder.orderQuotedAsset.feesPaid.value
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actualRateSimulation()
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feesPaidSimulation()
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percentageFilledSimulation()
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sizeFilledSimulation()
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doTheAccounting(
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tradingSystemOrder,
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tradingEngineOrder,
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previousBaseAssetSizeFilled,
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previousQuotedAssetSizeFilled,
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previousBaseAssetFeesPaid,
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previousQuotedAssetFeesPaid
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)
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/* If the Stage is Closing and this order is still open, we need to cancel it now */
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if (stageIsClosing === true && tradingEngineOrder.status.value !== 'Closed') {
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simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Closing Stage')
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}
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function actualRateSimulation() {
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/* Actual Rate Simulation */
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let calculatedBasedOnTradingSystem = false
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/* Based on the Trading System Definition */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
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/* Calculate this only once for this order */
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if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.orderStatistics.actualRate.config.initialValue) {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingSystem.formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
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if (tradingEngineOrder.orderStatistics.actualRate.value !== undefined) {
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calculatedBasedOnTradingSystem = true
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}
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}
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}
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}
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/* Based on the Session Parameters Definition */
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if (calculatedBasedOnTradingSystem === false) {
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switch (tradingEngineOrder.type) {
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case 'Market Order': {
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/* Actual Rate is simulated based on the Session Paremeters */
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let slippageAmount = tradingEngineOrder.rate.value * bot.SESSION.parameters.slippage.config.positionRate / 100
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switch (tradingSystemOrder.type) {
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case 'Market Sell Order': {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value - slippageAmount
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break
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}
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case 'Market Buy Order': {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value + slippageAmount
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break
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}
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}
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break
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}
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case 'Limit Order': {
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/* In Limit Orders the actual rate is the rate of the order, there is no slippage */
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value
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break
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}
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}
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}
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tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
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}
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function feesPaidSimulation() {
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/* Fees Paid Simulation */
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let calculatedBasedOnTradingSystem = false
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/* Based on the Trading System Definition */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage !== undefined) {
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if (tradingEngineOrder.orderBaseAsset.feesPaid.value === tradingEngineOrder.orderBaseAsset.feesPaid.config.initialValue) {
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tradingEngineOrder.orderBaseAsset.feesPaid.value =
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tradingEngineOrder.orderBaseAsset.size.value *
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tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100
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calculatedBasedOnTradingSystem = true
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}
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if (tradingEngineOrder.orderQuotedAsset.feesPaid.value === tradingEngineOrder.orderQuotedAsset.feesPaid.config.initialValue) {
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tradingEngineOrder.orderQuotedAsset.feesPaid.value =
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tradingEngineOrder.orderQuotedAsset.size.value *
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tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100
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calculatedBasedOnTradingSystem = true
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}
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}
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}
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/* Based on the Session Parameters Definition */
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if (calculatedBasedOnTradingSystem === false) {
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/* Fees are simulated based on the Session Paremeters */
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switch (tradingEngineOrder.type) {
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case 'Market Order': {
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tradingEngineOrder.orderBaseAsset.feesPaid.value =
|
|
tradingEngineOrder.orderBaseAsset.size.value *
|
|
bot.SESSION.parameters.feeStructure.config.taker / 100
|
|
|
|
tradingEngineOrder.orderQuotedAsset.feesPaid.value =
|
|
tradingEngineOrder.orderQuotedAsset.size.value *
|
|
bot.SESSION.parameters.feeStructure.config.taker / 100
|
|
|
|
break
|
|
}
|
|
case 'Limit Order': {
|
|
|
|
tradingEngineOrder.orderBaseAsset.feesPaid.value =
|
|
tradingEngineOrder.orderBaseAsset.size.value *
|
|
bot.SESSION.parameters.feeStructure.config.maker / 100
|
|
|
|
tradingEngineOrder.orderQuotedAsset.feesPaid.value =
|
|
tradingEngineOrder.orderQuotedAsset.size.value *
|
|
bot.SESSION.parameters.feeStructure.config.maker / 100
|
|
|
|
break
|
|
}
|
|
}
|
|
}
|
|
tradingEngineOrder.orderBaseAsset.feesPaid.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.feesPaid.value, 10)
|
|
tradingEngineOrder.orderQuotedAsset.feesPaid.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.feesPaid.value, 10)
|
|
}
|
|
|
|
function percentageFilledSimulation() {
|
|
/* Order Filling Simulation */
|
|
if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill !== undefined) {
|
|
if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability !== undefined) {
|
|
|
|
/* Percentage Filled */
|
|
let percentageFilled = tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability * 100
|
|
if (tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled > 100) {
|
|
percentageFilled = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
|
|
}
|
|
tradingEngineOrder.orderStatistics.percentageFilled.value = tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled
|
|
tradingEngineOrder.orderStatistics.percentageFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
|
|
|
|
/* Check if we need to close */
|
|
if (tradingEngineOrder.orderStatistics.percentageFilled.value === 100) {
|
|
|
|
/* Close this Order */
|
|
tradingEngineOrder.status.value = 'Closed'
|
|
tradingEngineOrder.exitType.value = 'Filled'
|
|
|
|
/* Initialize this */
|
|
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function sizeFilledSimulation() {
|
|
/* Size Filled */
|
|
tradingEngineOrder.orderBaseAsset.sizeFilled.value =
|
|
(tradingEngineOrder.orderBaseAsset.size.value - tradingEngineOrder.orderBaseAsset.feesPaid.value) *
|
|
tradingEngineOrder.orderStatistics.percentageFilled.value / 100
|
|
|
|
tradingEngineOrder.orderQuotedAsset.sizeFilled.value =
|
|
(tradingEngineOrder.orderQuotedAsset.size.value - tradingEngineOrder.orderQuotedAsset.feesPaid.value) *
|
|
tradingEngineOrder.orderStatistics.percentageFilled.value / 100
|
|
|
|
tradingEngineOrder.orderBaseAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.sizeFilled.value, 10)
|
|
tradingEngineOrder.orderQuotedAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.sizeFilled.value, 10)
|
|
}
|
|
}
|
|
|
|
async function checkExchangeEvents(tradingSystemOrder, tradingEngineOrder) {
|
|
|
|
/* Filter by Session Type */
|
|
switch (bot.SESSION.type) {
|
|
case 'Backtesting Session': {
|
|
return true
|
|
}
|
|
case 'Live Trading Session': {
|
|
break
|
|
}
|
|
case 'Fordward Testing Session': {
|
|
break
|
|
}
|
|
case 'Paper Trading Session': {
|
|
return true
|
|
}
|
|
}
|
|
|
|
let order = await exchangeAPIModule.getOrder(tradingSystemOrder, tradingEngineOrder)
|
|
|
|
if (order === undefined) { return }
|
|
|
|
const AT_EXCHANGE_STATUS = {
|
|
OPEN: 'open',
|
|
CLOSED: 'closed',
|
|
CANCELLED: 'canceled'
|
|
}
|
|
|
|
/* Status Checks */
|
|
if (order.remaining === 0 && order.status === AT_EXCHANGE_STATUS.CLOSED) {
|
|
|
|
/* Close this Order */
|
|
tradingEngineOrder.status.value = 'Closed'
|
|
tradingEngineOrder.exitType.value = 'Filled'
|
|
|
|
/* Initialize this */
|
|
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
|
}
|
|
if (order.remaining > 0 && order.status === AT_EXCHANGE_STATUS.CLOSED) {
|
|
|
|
/* Close this Order */
|
|
tradingEngineOrder.status.value = 'Closed'
|
|
tradingEngineOrder.exitType.value = 'Closed at the Exchange'
|
|
|
|
/* Initialize this */
|
|
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
|
}
|
|
if (order.status === AT_EXCHANGE_STATUS.CANCELLED) {
|
|
|
|
/* Close this Order */
|
|
tradingEngineOrder.status.value = 'Closed'
|
|
tradingEngineOrder.exitType.value = 'Cancelled at the Exchange'
|
|
|
|
/* Initialize this */
|
|
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
|
}
|
|
|
|
syncWithExchange(tradingSystemOrder, tradingEngineOrder, order)
|
|
|
|
/* Forced Cancellation Check */
|
|
if (stageIsClosing === true && tradingEngineOrder.status.value !== 'Closed') {
|
|
await exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Closing Stage')
|
|
}
|
|
}
|
|
|
|
function syncWithExchange(tradingSystemOrder, tradingEngineOrder, order) {
|
|
|
|
let previousBaseAssetSizeFilled = tradingEngineOrder.orderBaseAsset.sizeFilled.value
|
|
let previousQuotedAssetSizeFilled = tradingEngineOrder.orderQuotedAsset.sizeFilled.value
|
|
let previousBaseAssetFeesPaid = tradingEngineOrder.orderBaseAsset.feesPaid.value
|
|
let previousQuotedAssetFeesPaid = tradingEngineOrder.orderQuotedAsset.feesPaid.value
|
|
|
|
/* Actual Rate Calculation */
|
|
tradingEngineOrder.orderStatistics.actualRate.value = order.price
|
|
tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
|
|
|
|
/* Fees Paid Calculation */
|
|
/*
|
|
As a response from the exchange we can not always get the fees.
|
|
For that reason we need to estimate them base of the information that we do have.
|
|
CCXT provides order.amount which represents the size we set for the order minus the
|
|
fees taken by the exchange, all denominated in Base Asset.
|
|
In this way if we substract to the order size this order.amount
|
|
we can get the fees. All this is denominated in base asset because that is how CCXT works.
|
|
The fees then can be estimated in Quoted Asset using the Actual Rate.
|
|
*/
|
|
tradingEngineOrder.orderBaseAsset.feesPaid.value = tradingEngineOrder.orderBaseAsset.size.value - order.amount
|
|
tradingEngineOrder.orderBaseAsset.feesPaid.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.feesPaid.value, 10)
|
|
tradingEngineOrder.orderQuotedAsset.feesPaid.value = tradingEngineOrder.orderBaseAsset.feesPaid.value * tradingEngineOrder.orderStatistics.actualRate.value
|
|
tradingEngineOrder.orderQuotedAsset.feesPaid.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.feesPaid.value, 10)
|
|
|
|
/* Percentage Filled Calculation */
|
|
tradingEngineOrder.orderStatistics.percentageFilled.value = order.filled * 100 / (order.filled + order.remaining)
|
|
tradingEngineOrder.orderStatistics.percentageFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
|
|
|
|
/* Size Filled Calculation */
|
|
/*
|
|
CCXT returns order.filled with an amount denominated in Base Asset. We will
|
|
take it from there for our Order Base Asset. For our Order Quoted Asset we
|
|
will use the field order.cost.
|
|
*/
|
|
tradingEngineOrder.orderBaseAsset.sizeFilled.value = order.filled
|
|
tradingEngineOrder.orderBaseAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.sizeFilled.value, 10)
|
|
tradingEngineOrder.orderQuotedAsset.sizeFilled.value = order.cost
|
|
tradingEngineOrder.orderQuotedAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.sizeFilled.value, 10)
|
|
|
|
doTheAccounting(
|
|
tradingSystemOrder,
|
|
tradingEngineOrder,
|
|
previousBaseAssetSizeFilled,
|
|
previousQuotedAssetSizeFilled,
|
|
previousBaseAssetFeesPaid,
|
|
previousQuotedAssetFeesPaid
|
|
)
|
|
}
|
|
|
|
function doTheAccounting(
|
|
tradingSystemOrder,
|
|
tradingEngineOrder,
|
|
previousBaseAssetSizeFilled,
|
|
previousQuotedAssetSizeFilled,
|
|
previousBaseAssetFeesPaid,
|
|
previousQuotedAssetFeesPaid
|
|
) {
|
|
|
|
updateStageAssets()
|
|
updateBalances()
|
|
|
|
function updateStageAssets() {
|
|
/* Stage Base Asset: Undo the previous accounting */
|
|
tradingEngineStage.stageBaseAsset.sizeFilled.value =
|
|
tradingEngineStage.stageBaseAsset.sizeFilled.value -
|
|
previousBaseAssetSizeFilled
|
|
|
|
tradingEngineStage.stageBaseAsset.feesPaid.value =
|
|
tradingEngineStage.stageBaseAsset.feesPaid.value -
|
|
previousBaseAssetFeesPaid
|
|
|
|
/* Stage Base Asset: Account the current filling and fees */
|
|
tradingEngineStage.stageBaseAsset.sizeFilled.value =
|
|
tradingEngineStage.stageBaseAsset.sizeFilled.value +
|
|
tradingEngineOrder.orderBaseAsset.sizeFilled.value
|
|
|
|
tradingEngineStage.stageBaseAsset.feesPaid.value =
|
|
tradingEngineStage.stageBaseAsset.feesPaid.value +
|
|
tradingEngineOrder.orderBaseAsset.feesPaid.value
|
|
|
|
/* Stage Quote Asset: Undo the previous accounting */
|
|
tradingEngineStage.stageQuotedAsset.sizeFilled.value =
|
|
tradingEngineStage.stageQuotedAsset.sizeFilled.value -
|
|
previousQuotedAssetSizeFilled
|
|
|
|
tradingEngineStage.stageQuotedAsset.feesPaid.value =
|
|
tradingEngineStage.stageQuotedAsset.feesPaid.value -
|
|
previousQuotedAssetFeesPaid
|
|
|
|
/* Stage Quote Asset: Account the current filling and fees */
|
|
tradingEngineStage.stageQuotedAsset.sizeFilled.value =
|
|
tradingEngineStage.stageQuotedAsset.sizeFilled.value +
|
|
tradingEngineOrder.orderQuotedAsset.sizeFilled.value
|
|
|
|
tradingEngineStage.stageQuotedAsset.feesPaid.value =
|
|
tradingEngineStage.stageQuotedAsset.feesPaid.value +
|
|
tradingEngineOrder.orderQuotedAsset.feesPaid.value
|
|
|
|
tradingEngineStage.stageBaseAsset.sizeFilled.value = global.PRECISE(tradingEngineStage.stageBaseAsset.sizeFilled.value, 10)
|
|
tradingEngineStage.stageBaseAsset.feesPaid.value = global.PRECISE(tradingEngineStage.stageBaseAsset.feesPaid.value, 10)
|
|
|
|
tradingEngineStage.stageQuotedAsset.sizeFilled.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizeFilled.value, 10)
|
|
tradingEngineStage.stageQuotedAsset.feesPaid.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.feesPaid.value, 10)
|
|
}
|
|
|
|
function updateBalances() {
|
|
/* Balances Update */
|
|
switch (true) {
|
|
case tradingSystemOrder.type === 'Market Buy Order' || tradingSystemOrder.type === 'Limit Buy Order': {
|
|
|
|
/* Balance Base Asset: Undo the previous accounting */
|
|
tradingEngine.current.episode.episodeBaseAsset.balance.value =
|
|
tradingEngine.current.episode.episodeBaseAsset.balance.value -
|
|
previousBaseAssetSizeFilled
|
|
|
|
/* Balance Base Asset: Account the current filling and fees */
|
|
tradingEngine.current.episode.episodeBaseAsset.balance.value =
|
|
tradingEngine.current.episode.episodeBaseAsset.balance.value +
|
|
tradingEngineOrder.orderBaseAsset.sizeFilled.value
|
|
|
|
/* Balance Quoted Asset: Undo the previous accounting */
|
|
tradingEngine.current.episode.episodeQuotedAsset.balance.value =
|
|
tradingEngine.current.episode.episodeQuotedAsset.balance.value +
|
|
previousQuotedAssetSizeFilled +
|
|
previousQuotedAssetFeesPaid
|
|
|
|
/* Balance Quoted Asset: Account the current filling and fees */
|
|
tradingEngine.current.episode.episodeQuotedAsset.balance.value =
|
|
tradingEngine.current.episode.episodeQuotedAsset.balance.value -
|
|
tradingEngineOrder.orderQuotedAsset.sizeFilled.value -
|
|
tradingEngineOrder.orderQuotedAsset.feesPaid.value
|
|
break
|
|
}
|
|
case tradingSystemOrder.type === 'Market Sell Order' || tradingSystemOrder.type === 'Limit Sell Order': {
|
|
|
|
/* Balance Base Asset: Undo the previous accounting */
|
|
tradingEngine.current.episode.episodeBaseAsset.balance.value =
|
|
tradingEngine.current.episode.episodeBaseAsset.balance.value +
|
|
previousBaseAssetSizeFilled +
|
|
previousBaseAssetFeesPaid
|
|
|
|
/* Balance Base Asset: Account the current filling and fees */
|
|
tradingEngine.current.episode.episodeBaseAsset.balance.value =
|
|
tradingEngine.current.episode.episodeBaseAsset.balance.value -
|
|
tradingEngineOrder.orderBaseAsset.sizeFilled.value -
|
|
tradingEngineOrder.orderBaseAsset.feesPaid.value
|
|
|
|
/* Balance Quoted Asset: Undo the previous accounting */
|
|
tradingEngine.current.episode.episodeQuotedAsset.balance.value =
|
|
tradingEngine.current.episode.episodeQuotedAsset.balance.value -
|
|
previousQuotedAssetSizeFilled
|
|
|
|
/* Balance Quoted Asset: Account the current filling and fees */
|
|
tradingEngine.current.episode.episodeQuotedAsset.balance.value =
|
|
tradingEngine.current.episode.episodeQuotedAsset.balance.value +
|
|
tradingEngineOrder.orderQuotedAsset.sizeFilled.value
|
|
break
|
|
}
|
|
}
|
|
tradingEngine.current.episode.episodeBaseAsset.balance.value = global.PRECISE(tradingEngine.current.episode.episodeBaseAsset.balance.value, 10)
|
|
tradingEngine.current.episode.episodeQuotedAsset.balance.value = global.PRECISE(tradingEngine.current.episode.episodeQuotedAsset.balance.value, 10)
|
|
}
|
|
|
|
}
|
|
|
|
function simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, exitType) {
|
|
|
|
/* Filter by Session Type */
|
|
switch (bot.SESSION.type) {
|
|
case 'Backtesting Session': {
|
|
break
|
|
}
|
|
case 'Live Trading Session': {
|
|
return
|
|
}
|
|
case 'Fordward Testing Session': {
|
|
return
|
|
}
|
|
case 'Paper Trading Session': {
|
|
break
|
|
}
|
|
}
|
|
|
|
/* Close this Order */
|
|
tradingEngineOrder.status.value = 'Closed'
|
|
tradingEngineOrder.exitType.value = exitType
|
|
|
|
/* Initialize this */
|
|
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
|
|
|
recalculateStageSize(tradingEngineOrder)
|
|
}
|
|
|
|
async function exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder, exitType) {
|
|
|
|
/* Filter by Session Type */
|
|
switch (bot.SESSION.type) {
|
|
case 'Backtesting Session': {
|
|
return
|
|
}
|
|
case 'Live Trading Session': {
|
|
break
|
|
}
|
|
case 'Fordward Testing Session': {
|
|
break
|
|
}
|
|
case 'Paper Trading Session': {
|
|
return
|
|
}
|
|
}
|
|
|
|
/* Check if we can cancel the order at the Exchange. */
|
|
let result = await exchangeAPIModule.cancelOrder(tradingSystemOrder, tradingEngineOrder)
|
|
if (result === true) {
|
|
/* Close this Order */
|
|
tradingEngineOrder.status.value = 'Closed'
|
|
tradingEngineOrder.exitType.value = exitType
|
|
|
|
/* Initialize this */
|
|
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
|
|
|
|
/*
|
|
Perhaps the order was filled a bit more between the last time we checked and when it was cancelled.
|
|
To sync our accounting, we need to check the order one last time and if it changed, fix it.
|
|
*/
|
|
|
|
let order = await exchangeAPIModule.getOrder(tradingSystemOrder, tradingEngineOrder)
|
|
|
|
if (order === undefined) { return }
|
|
|
|
syncWithExchange(tradingSystemOrder, tradingEngineOrder, order)
|
|
|
|
recalculateStageSize()
|
|
}
|
|
}
|
|
|
|
function recalculateStageSize(tradingEngineOrder) {
|
|
/*
|
|
Since the order is Cancelled, we need to adjust the stage size. Remember that the Stage Size
|
|
accumulates for each asset, the order size placed at the exchange. A cancelation means that
|
|
only the part filled can be considered placed, so we need to substract from the stage size
|
|
the remainder. To achieve this with the information we currently have, we are going first
|
|
to unaccount the order size, and the account only the sizeFilled + the feesPaid.
|
|
*/
|
|
tradingEngineStage.stageBaseAsset.size.value =
|
|
tradingEngineStage.stageBaseAsset.size.value -
|
|
tradingEngineOrder.orderBaseAsset.size.value
|
|
tradingEngineStage.stageQuotedAsset.size.value =
|
|
tradingEngineStage.stageQuotedAsset.size.value -
|
|
tradingEngineOrder.orderQuotedAsset.size.value
|
|
|
|
tradingEngineStage.stageBaseAsset.size.value =
|
|
tradingEngineStage.stageBaseAsset.size.value +
|
|
tradingEngineOrder.orderBaseAsset.sizeFilled.value +
|
|
tradingEngineOrder.orderBaseAsset.feesPaid.value
|
|
tradingEngineStage.stageQuotedAsset.size.value =
|
|
tradingEngineStage.stageQuotedAsset.size.value +
|
|
tradingEngineOrder.orderQuotedAsset.sizeFilled.value +
|
|
tradingEngineOrder.orderQuotedAsset.feesPaid.value
|
|
|
|
tradingEngineStage.stageBaseAsset.size.value = global.PRECISE(tradingEngineStage.stageBaseAsset.size.value, 10)
|
|
tradingEngineStage.stageQuotedAsset.size.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.size.value, 10)
|
|
}
|
|
|
|
function checkOrderEvent(event, order, executionAlgorithm, executionNode) {
|
|
if (event !== undefined) {
|
|
for (let k = 0; k < event.situations.length; k++) {
|
|
let situation = event.situations[k]
|
|
let passed
|
|
if (situation.conditions.length > 0) {
|
|
passed = true
|
|
}
|
|
|
|
passed = tradingSystem.checkConditions(situation, passed)
|
|
|
|
tradingSystem.values.push([situation.id, passed])
|
|
if (passed) {
|
|
tradingSystem.highlights.push(situation.id)
|
|
tradingSystem.highlights.push(event.id)
|
|
tradingSystem.highlights.push(order.id)
|
|
tradingSystem.highlights.push(executionAlgorithm.id)
|
|
tradingSystem.highlights.push(executionNode.id)
|
|
|
|
announcementsModule.makeAnnoucements(event)
|
|
return situation.name // if the event is triggered, we return the name of the situation that passed
|
|
}
|
|
}
|
|
}
|
|
}
|
|
} catch (err) {
|
|
if (typeof err === 'string' || err instanceof String) {
|
|
logger.write(MODULE_NAME, '[ERROR] runExecution -> err = ' + err)
|
|
}
|
|
if (err.stack !== undefined) {
|
|
logger.write(MODULE_NAME, '[ERROR] runExecution -> err = ' + err.stack)
|
|
}
|
|
}
|
|
}
|
|
|
|
function badDefinitionUnhandledException(err, message, node) {
|
|
tradingSystem.errors.push([node.id, message])
|
|
|
|
logger.write(MODULE_NAME, "[ERROR] -> " + message);
|
|
logger.write(MODULE_NAME, "[ERROR] -> node.name = " + node.name);
|
|
logger.write(MODULE_NAME, "[ERROR] -> node.type = " + node.type);
|
|
logger.write(MODULE_NAME, "[ERROR] -> node.config = " + JSON.stringify(node.config));
|
|
if (err !== undefined) {
|
|
logger.write(MODULE_NAME, "[ERROR] -> err.stack = " + err.stack);
|
|
}
|
|
throw 'It is not safe to continue with a Definition Error like this. Please fix the problem and try again.'
|
|
}
|
|
}
|
|
|