438 lines
24 KiB
JavaScript
438 lines
24 KiB
JavaScript
exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILITIES) {
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/*
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This Module represents the trading simulacion. Escentially a loop through a set of candles and
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the execution at each loop cycle of the Trading System Protocol.
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*/
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const FULL_LOG = true
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const MODULE_NAME = 'Trading Simulation -> ' + bot.SESSION.name
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let thisObject = {
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finalize: finalize,
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runSimulation: runSimulation
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}
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let utilities = UTILITIES.newCloudUtilities(bot, logger)
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return thisObject
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function finalize() {
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thisObject = undefined
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}
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function runSimulation(
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chart,
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outputDatasetsMap,
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callback,
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callBackFunction) {
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try {
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let tradingSystem = bot.simulationState.tradingSystem
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let tradingEngine = bot.simulationState.tradingEngine
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let sessionParameters = bot.SESSION.parameters
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> initialDatetime = ' + sessionParameters.timeRange.config.initialDatetime) }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> finalDatetime = ' + sessionParameters.timeRange.config.finalDatetime) }
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/* These are the Modules we will need to run the Simulation */
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const TRADING_ENGINE_MODULE = require('./TradingEngine.js')
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let tradingEngineModule = TRADING_ENGINE_MODULE.newTradingEngine(bot, logger)
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tradingEngineModule.initialize()
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const TRADING_RECORDS_MODULE = require('./TradingRecords.js')
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let tradingRecordsModule = TRADING_RECORDS_MODULE.newTradingRecords(bot, logger)
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tradingRecordsModule.initialize(outputDatasetsMap)
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const TRADING_SYSTEM_MODULE = require('./TradingSystem.js')
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let tradingSystemModule = TRADING_SYSTEM_MODULE.newTradingSystem(bot, logger, tradingEngineModule)
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tradingSystemModule.initialize()
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const TRADING_EPISODE_MODULE = require('./TradingEpisode.js')
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let tradingEpisodeModule = TRADING_EPISODE_MODULE.newTradingEpisode(bot, logger)
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tradingEpisodeModule.initialize()
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/* Setting up the candles array: The whole simulation is based on the array of candles at the time-frame defined at the session parameters. */
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let propertyName = 'at' + sessionParameters.timeFrame.config.label.replace('-', '')
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let candles = chart[propertyName].candles
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/* Variables needed for heartbeat functionality */
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let heartBeatDate
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let previousHeartBeatDate
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let firstLoopExecution = true
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initializeLoop()
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function initializeLoop() {
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if (bot.FIRST_EXECUTION === false && tradingEngine.last.candle !== undefined) {
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/* Estimate the Initial Candle based on the last candle saved at tradingEngine */
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let firstBegin = candles[0].begin
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let lastBegin = tradingEngine.last.candle.begin
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let diff = lastBegin - firstBegin
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let amount = diff / sessionParameters.timeFrame.config.value
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tradingEngine.current.episode.candle.index.value = Math.trunc(amount) + 1 // Because we need to start from the next candle
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if (tradingEngine.current.episode.candle.index.value < 0 || tradingEngine.current.episode.candle.index.value > candles.length - 1) {
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logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> Cannot resume simulation.')
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logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> tradingEngine.current.episode.candle.index.value = ' + tradingEngine.current.episode.candle.index.value)
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logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> firstBegin = ' + firstBegin)
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logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> lastBegin = ' + lastBegin)
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logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> diff = ' + diff)
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logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> amount = ' + amount)
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callBackFunction(global.DEFAULT_FAIL_RESPONSE)
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return
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}
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} else {
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/* Estimate Initial Candle based on the timeRage configured for the session. */
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let firstEnd = candles[0].end
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let targetEnd = sessionParameters.timeRange.config.initialDatetime
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let diff = targetEnd - firstEnd
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let amount = diff / sessionParameters.timeFrame.config.value
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tradingEngine.current.episode.candle.index.value = Math.trunc(amount)
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if (tradingEngine.current.episode.candle.index.value < 0) { tradingEngine.current.episode.candle.index.value = 0 }
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if (tradingEngine.current.episode.candle.index.value > candles.length - 1) {
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/*
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This will happen when the sessionParameters.timeRange.config.initialDatetime is beyond the last candle available,
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meaning that the dataSet needs to be updated with more up-to-date data.
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*/
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tradingEngine.current.episode.candle.index.value = candles.length - 1
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}
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}
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loop()
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}
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async function loop() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Processing candle # ' + tradingEngine.current.episode.candle.index.value) }
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let candle = candles[tradingEngine.current.episode.candle.index.value] // This is the current candle the Simulation is working at.
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Candle Begin @ ' + (new Date(candle.begin)).toLocaleString()) }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Candle End @ ' + (new Date(candle.end)).toLocaleString()) }
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tradingEngineModule.setCurrentCandle(candle) // We move the current candle we are standing at, to the trading engine data structure to make it available to anyone, including conditions and formulas.
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if (firstLoopExecution === true) {
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tradingEpisodeModule.openEpisode()
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firstLoopExecution = false
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}
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if (checkLastCandle() === false) {
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closeEpisode('Last Candle Reached')
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return
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}
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if (checkMinimunAndMaximunBalance() === false) {
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closeEpisode('Min or Max Balance Reached')
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return
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}
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if (checkInitialAndFinalDatetime() === false) {
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controlLoop()
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return
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}
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heartBeat()
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positionChartAtCurrentCandle()
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/* The chart was recalculated based on the current candle. */
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tradingSystemModule.updateChart(chart)
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/* Do the stuff needed previous to the run */
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tradingSystemModule.mantain()
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/* Episode Counters and Statistics update */
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tradingEpisodeModule.mantain()
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/* Run your maintaince procedure */
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tradingEngineModule.mantain()
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/* Run one cycle of the Trading System*/
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await tradingSystemModule.run()
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controlLoop()
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}
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function controlLoop() {
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/* Checking if we should continue processing this loop or not. */
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if (bot.STOP_SESSION === true) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this session.') }
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console.log('[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this session.')
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updateEpisode('Session Stopped')
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return
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}
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if (global.STOP_TASK_GRACEFULLY === true) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this task.') }
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console.log('[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this task.')
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updateEpisode('Task Stopped')
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return
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}
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if (tradingEngine.current.episode.candle.index.value + 1 < candles.length) {
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/* Add new records to the process output */
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tradingRecordsModule.appendRecords()
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tradingEngine.current.episode.candle.index.value++
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setImmediate(loop) // This will execute the next loop in the next iteration of the NodeJs event loop allowing for other callbacks to be executed.
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} else {
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closeEpisode('All Candles Processed')
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}
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}
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function closeEpisode(exitType) {
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tradingEpisodeModule.updateExitType(exitType)
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tradingEpisodeModule.closeEpisode()
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/* Add new records to the process output */
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tradingRecordsModule.appendRecords()
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afterLoop()
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}
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function updateEpisode(exitType) {
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tradingEpisodeModule.updateExitType(exitType)
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/* Add new records to the process output */
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tradingRecordsModule.appendRecords()
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afterLoop()
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}
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function afterLoop() {
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tradingEngineModule.finalize()
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tradingSystemModule.finalize()
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tradingRecordsModule.finalize()
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tradingEpisodeModule.finalize()
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tradingEngineModule = undefined
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tradingSystemModule = undefined
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tradingRecordsModule = undefined
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tradingEpisodeModule = undefined
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callback()
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}
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function heartBeat() {
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/* We will produce a simulation level heartbeat in order to inform the user this is running. */
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heartBeatDate = new Date(Math.trunc(tradingEngine.current.episode.candle.begin.value / global.ONE_DAY_IN_MILISECONDS) * global.ONE_DAY_IN_MILISECONDS)
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if (heartBeatDate.valueOf() !== previousHeartBeatDate) {
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let processingDate = heartBeatDate.getUTCFullYear() + '-' + utilities.pad(heartBeatDate.getUTCMonth() + 1, 2) + '-' + utilities.pad(heartBeatDate.getUTCDate(), 2)
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Simulation ' + bot.sessionKey + ' Loop # ' + tradingEngine.current.episode.candle.index.value + ' @ ' + processingDate) }
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/* Telling the world we are alive and doing well */
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let fromDate = new Date(sessionParameters.timeRange.config.initialDatetime)
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let lastDate = new Date(sessionParameters.timeRange.config.finalDatetime)
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let currentDateString = heartBeatDate.getUTCFullYear() + '-' + utilities.pad(heartBeatDate.getUTCMonth() + 1, 2) + '-' + utilities.pad(heartBeatDate.getUTCDate(), 2)
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let currentDate = new Date(heartBeatDate)
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let percentage = global.getPercentage(fromDate, currentDate, lastDate)
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bot.processHeartBeat(currentDateString, percentage)
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if (global.areEqualDates(currentDate, new Date()) === false) {
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logger.newInternalLoop(bot.codeName, bot.process, currentDate, percentage)
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}
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}
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previousHeartBeatDate = heartBeatDate.valueOf()
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}
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function positionChartAtCurrentCandle() {
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/*
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In conditions and Formulas, we want users to have an easy sintax to refer to indicators. In order to achieve that, we need the user to have
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easy access to the current candle for instance, or the current bollinger band, meaning the one the Simulation is currently standing at.
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For that reason we do the following processing, to have at the chart data structure the current objects of each indicator / time frame.
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*/
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let dataDependencies = bot.processNode.referenceParent.processDependencies.dataDependencies
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/* Finding the Current Element on Market Files */
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if (bot.processingDailyFiles) {
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for (let j = 0; j < global.dailyFilePeriods.length; j++) {
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let mapKey = dailyFilePeriods[j][1]
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let propertyName = 'at' + mapKey.replace('-', '')
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let thisChart = chart[propertyName]
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for (let k = 0; k < dataDependencies.length; k++) {
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let dataDependencyNode = dataDependencies[k]
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if (dataDependencyNode.referenceParent.config.codeName !== 'Multi-Period-Daily') { continue }
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let singularVariableName = dataDependencyNode.referenceParent.parentNode.config.singularVariableName
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let pluralVariableName = dataDependencyNode.referenceParent.parentNode.config.pluralVariableName
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if (thisChart[pluralVariableName] !== undefined) {
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let currentElement = getElement(thisChart[pluralVariableName], 'Daily' + '-' + mapKey + '-' + pluralVariableName)
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if (currentElement !== undefined) {
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thisChart[singularVariableName] = currentElement
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}
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}
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}
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}
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}
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/* Finding the Current Element on Market Files */
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for (let j = 0; j < global.marketFilesPeriods.length; j++) {
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let mapKey = marketFilesPeriods[j][1]
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let propertyName = 'at' + mapKey.replace('-', '')
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let thisChart = chart[propertyName]
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for (let k = 0; k < dataDependencies.length; k++) {
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let dataDependencyNode = dataDependencies[k]
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if (dataDependencyNode.referenceParent.config.codeName !== 'Multi-Period-Market') { continue }
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let singularVariableName = dataDependencyNode.referenceParent.parentNode.config.singularVariableName
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let pluralVariableName = dataDependencyNode.referenceParent.parentNode.config.pluralVariableName
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if (thisChart[pluralVariableName] !== undefined) {
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let currentElement = getElement(thisChart[pluralVariableName], 'Market' + '-' + mapKey + '-' + pluralVariableName)
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if (currentElement !== undefined) {
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thisChart[singularVariableName] = currentElement
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}
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}
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}
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}
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/* Finding the Current Element At Single Files*/
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let propertyName = 'atAnyTimeFrame'
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let thisChart = chart[propertyName]
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for (let k = 0; k < dataDependencies.length; k++) {
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let dataDependencyNode = dataDependencies[k]
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if (dataDependencyNode.referenceParent.config.codeName !== 'Single-File') { continue }
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let singularVariableName = dataDependencyNode.referenceParent.parentNode.config.singularVariableName
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let pluralVariableName = dataDependencyNode.referenceParent.parentNode.config.pluralVariableName
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let elementArray = thisChart[pluralVariableName]
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let currentElement
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if (elementArray !== undefined) {
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currentElement = elementArray[elementArray.length - 1]
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}
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thisChart[singularVariableName] = currentElement
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}
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}
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function getElement(pArray, datasetName) {
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if (pArray === undefined) { return }
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try {
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let element
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for (let i = 0; i < pArray.length; i++) {
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element = pArray[i]
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if (tradingEngine.current.episode.candle.end.value === element.end) { // when there is an exact match at the end we take that element
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return element
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} else {
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if (
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i > 0 &&
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element.end > tradingEngine.current.episode.candle.end.value
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) {
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let previousElement = pArray[i - 1]
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if (previousElement.end < tradingEngine.current.episode.candle.end.value) {
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return previousElement // If one elements goes into the future of currentCandle, then we stop and take the previous element.
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} else {
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return
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}
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}
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}
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}
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return
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} catch (err) {
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logger.write(MODULE_NAME, '[ERROR] runSimulation -> getElement -> datasetName = ' + datasetName)
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logger.write(MODULE_NAME, '[ERROR] runSimulation -> getElement -> err = ' + err.stack)
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callBackFunction(global.DEFAULT_FAIL_RESPONSE)
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}
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}
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function checkLastCandle() {
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/*
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We skip the candle at the head of the market because it has not closed yet. The procedure to determine if we are at the head of the market is different
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when we are processing Market Files than when we are processing Daily Files. TODO Check that the procedure is good for Beta 6
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*/
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if (bot.processingDailyFiles) { // We are processing Daily Files
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let candlesPerDay = global.ONE_DAY_IN_MILISECONDS / sessionParameters.timeFrame.config.value
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if (tradingEngine.current.episode.candle.index.value === candles.length - 1) {
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if ((candles.length < candlesPerDay) || (candles.length > candlesPerDay && candles.length < candlesPerDay * 2)) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> checkLastCandle -> Skipping Candle because it is the last one and has not been closed yet.') }
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return false
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/*
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Note here that in the last candle of the first day or the second day it will use an incomplete candle and partially calculated indicators.
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if we skip these two periods, then there will be a hole in the file since the last period will be missing.
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*/
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}
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}
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} else { // We are processing Market Files
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if (tradingEngine.current.episode.candle.index.value === candles.length - 1) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> checkLastCandle -> Skipping Candle because it is the last one and has not been closed yet.') }
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return false
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}
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}
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return true
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}
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function checkInitialAndFinalDatetime() {
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/* Here we check that the current candle is not outside of user-defined time range at the session parameters.*/
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if (tradingEngine.current.episode.candle.end.value < sessionParameters.timeRange.config.initialDatetime) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> checkInitialAndFinalDatetime -> Skipping Candle before the sessionParameters.timeRange.config.initialDatetime.') }
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return false
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}
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if (tradingEngine.current.episode.candle.begin.value > sessionParameters.timeRange.config.finalDatetime) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> checkInitialAndFinalDatetime -> Skipping Candle after the sessionParameters.timeRange.config.finalDatetime.') }
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return false
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}
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return true
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}
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function checkMinimunAndMaximunBalance() {
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/* Checks for Minimun and Maximun Balance. We do the check while not inside any strategy only. */
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if (
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tradingEngine.current.strategy.index.value === tradingEngine.current.strategy.index.config.initialValue
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) {
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/*
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We will perform this check only when we are not inside a position,
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because there the balances have shifted from their resting position.
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*/
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let stopRunningDate = (new Date(tradingEngine.current.episode.candle.begin.value)).toLocaleString()
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if (sessionParameters.sessionBaseAsset.config.minimumBalance !== undefined) {
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if (tradingEngine.current.episode.episodeBaseAsset.balance.value <= sessionParameters.sessionBaseAsset.config.minimumBalance) {
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const errorMessage = 'Min Balance reached @ ' + stopRunningDate
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tradingSystem.errors.push([tradingSystem.id, errorMessage])
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[WARN] runSimulation -> checkMinimunAndMaximunBalance -> ' + errorMessage) }
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return false
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}
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}
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if (sessionParameters.sessionBaseAsset.config.maximumBalance !== undefined) {
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if (tradingEngine.current.episode.episodeBaseAsset.balance.value >= sessionParameters.sessionBaseAsset.config.maximumBalance) {
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const errorMessage = 'Max Balance reached @ ' + stopRunningDate
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tradingSystem.errors.push([tradingSystem.id, errorMessage])
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[WARN] runSimulation -> checkMinimunAndMaximunBalance -> ' + errorMessage) }
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return false
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}
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}
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if (sessionParameters.sessionQuotedAsset.config.minimumBalance !== undefined) {
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if (tradingEngine.current.episode.episodeQuotedAsset.balance.value <= sessionParameters.sessionQuotedAsset.config.minimumBalance) {
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const errorMessage = 'Min Balance reached @ ' + stopRunningDate
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tradingSystem.errors.push([tradingSystem.id, errorMessage])
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[WARN] runSimulation -> checkMinimunAndMaximunBalance -> ' + errorMessage) }
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return false
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}
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}
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if (sessionParameters.sessionQuotedAsset.config.maximumBalance !== undefined) {
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if (tradingEngine.current.episode.episodeQuotedAsset.balance.value >= sessionParameters.sessionQuotedAsset.config.maximumBalance) {
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const errorMessage = 'Max Balance reached @ ' + stopRunningDate
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tradingSystem.errors.push([tradingSystem.id, errorMessage])
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[WARN] runSimulation -> checkMinimunAndMaximunBalance -> ' + errorMessage) }
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return false
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}
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}
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}
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return true
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}
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} catch (err) {
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logger.write(MODULE_NAME, '[ERROR] runSimulation -> err = ' + err.stack)
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callBackFunction(global.DEFAULT_FAIL_RESPONSE)
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}
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}
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}
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