1086 lines
52 KiB
JavaScript
1086 lines
52 KiB
JavaScript
exports.newTradingStages = function (processIndex, tradingEngineModule) {
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/*
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This module packages all functions related to Stages.
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*/
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const MODULE_NAME = 'Trading Stages'
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let thisObject = {
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updateChart: updateChart,
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mantain: mantain,
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reset: reset,
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cycleBasedStatistics: cycleBasedStatistics,
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runTriggerStage: runTriggerStage,
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runOpenStage: runOpenStage,
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runManageStage: runManageStage,
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runCloseStage: runCloseStage,
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updateEnds: updateEnds,
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resetTradingEngineDataStructure: resetTradingEngineDataStructure,
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updateCounters: updateCounters,
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updateStatistics: updateStatistics,
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initialize: initialize,
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finalize: finalize
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}
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const TRADING_STRATEGY_MODULE = require('./TradingStrategy.js')
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let tradingStrategyModule = TRADING_STRATEGY_MODULE.newTradingStrategy(processIndex, tradingEngineModule)
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const TRADING_POSITION_MODULE = require('./TradingPosition.js')
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let tradingPositionModule = TRADING_POSITION_MODULE.newTradingPosition(processIndex, tradingEngineModule)
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const TRADING_ENGINE_EXECUTION = require('./TradingExecution.js')
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let tradingExecutionModule = TRADING_ENGINE_EXECUTION.newTradingExecution(processIndex, tradingEngineModule)
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const ANNOUNCEMENTS_MODULE = require('./Announcements.js')
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let announcementsModule = ANNOUNCEMENTS_MODULE.newAnnouncements(processIndex)
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const SNAPSHOTS_MODULE = require('./Snapshots.js')
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let snapshotsModule = SNAPSHOTS_MODULE.newSnapshots(processIndex)
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const TRADING_EPISODE_MODULE = require('./TradingEpisode.js')
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let tradingEpisodeModule = TRADING_EPISODE_MODULE.newTradingEpisode(processIndex)
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let tradingEngine
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let tradingSystem
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let sessionParameters
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return thisObject
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function initialize() {
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tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
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tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
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sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
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tradingStrategyModule.initialize()
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tradingPositionModule.initialize()
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announcementsModule.initialize()
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snapshotsModule.initialize()
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tradingExecutionModule.initialize()
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tradingEpisodeModule.initialize()
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}
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function finalize() {
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tradingEngine = undefined
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tradingSystem = undefined
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sessionParameters = undefined
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tradingStrategyModule.finalize()
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tradingStrategyModule = undefined
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tradingPositionModule.finalize()
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tradingPositionModule = undefined
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announcementsModule.finalize()
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announcementsModule = undefined
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snapshotsModule.finalize()
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snapshotsModule = undefined
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tradingExecutionModule.finalize()
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tradingExecutionModule = undefined
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tradingEpisodeModule.finalize()
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tradingEpisodeModule = undefined
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}
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function updateChart(pChart) {
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snapshotsModule.updateChart(pChart)
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}
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function mantain() {
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tradingPositionModule.mantain()
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tradingStrategyModule.mantain()
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tradingExecutionModule.mantain()
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updateCounters()
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updateEnds()
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}
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function reset() {
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tradingPositionModule.reset()
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tradingStrategyModule.reset()
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tradingExecutionModule.reset()
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resetTradingEngineDataStructure()
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}
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function cycleBasedStatistics() {
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tradingEpisodeModule.cycleBasedStatistics()
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tradingPositionModule.cycleBasedStatistics()
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}
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function runTriggerStage() {
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/*
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We check if we will be triggering on, off or taking position.
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*/
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checkTriggerOn()
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checkTriggerOff()
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checkTakePosition()
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function checkTriggerOn() {
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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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To pick a new strategy we will check that any of the situations of the trigger on is true.
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Once we enter into one strategy, we will ignore market conditions for others. However there is also
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a strategy trigger off which can be hit before taking a position. If hit, we would
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be outside a strategy again and looking for the conditions to enter all over again.
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*/
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tradingSystem.evalConditions(tradingSystem, 'Trigger On Event')
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for (let j = 0; j < tradingSystem.tradingStrategies.length; j++) {
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if ( // If a strategy was already picked during the loop, we exit the loop
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tradingEngine.current.strategy.index.value !== tradingEngine.current.strategy.index.config.initialValue
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) { continue }
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let strategy = tradingSystem.tradingStrategies[j]
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let triggerStage = strategy.triggerStage
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if (triggerStage !== undefined) {
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if (triggerStage.triggerOn !== undefined) {
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for (let k = 0; k < triggerStage.triggerOn.situations.length; k++) {
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let situation = triggerStage.triggerOn.situations[k]
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let passed
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if (situation.conditions.length > 0) {
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passed = true
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}
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passed = tradingSystem.checkConditions(situation, passed)
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tradingSystem.values.push([situation.id, passed])
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if (passed) {
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tradingSystem.highlights.push(situation.id)
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tradingSystem.highlights.push(triggerStage.triggerOn.id)
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tradingSystem.highlights.push(triggerStage.id)
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tradingStrategyModule.openStrategy(j, situation.name, strategy.name)
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/* Initialize this */
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tradingEngine.current.episode.distanceToEvent.triggerOn.value = 1
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announcementsModule.makeAnnoucements(triggerStage.triggerOn)
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announcementsModule.makeAnnoucements(triggerStage)
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if (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.type === 'Backtesting Session') {
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if (sessionParameters.snapshots !== undefined) {
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if (sessionParameters.snapshots.config.strategy === true) {
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snapshotsModule.strategyEntry()
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}
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}
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}
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changeStageStatus('Trigger Stage', 'Open')
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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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}
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function checkTriggerOff() {
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if (tradingEngine.current.strategyTriggerStage.status.value === 'Open') {
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let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
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let triggerStage = strategy.triggerStage
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tradingSystem.evalConditions(strategy, 'Trigger Off Event')
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if (triggerStage !== undefined) {
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if (triggerStage.triggerOff !== undefined) {
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for (let k = 0; k < triggerStage.triggerOff.situations.length; k++) {
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let situation = triggerStage.triggerOff.situations[k]
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let passed
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if (situation.conditions.length > 0) {
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passed = true
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}
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passed = tradingSystem.checkConditions(situation, passed)
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tradingSystem.values.push([situation.id, passed])
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if (passed) {
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tradingSystem.highlights.push(situation.id)
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tradingSystem.highlights.push(triggerStage.triggerOff.id)
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tradingSystem.highlights.push(triggerStage.id)
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tradingEngine.current.episode.distanceToEvent.triggerOff.value = 1
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announcementsModule.makeAnnoucements(triggerStage.triggerOff)
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changeStageStatus('Trigger Stage', 'Closed')
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tradingStrategyModule.closeStrategy('Trigger Off')
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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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function checkTakePosition() {
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if (
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tradingEngine.current.strategyTriggerStage.status.value === 'Open'
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) {
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let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
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let triggerStage = strategy.triggerStage
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tradingSystem.evalConditions(strategy, 'Take Position Event')
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tradingSystem.evalFormulas(strategy, 'Take Position Event')
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if (triggerStage !== undefined) {
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if (triggerStage.takePosition !== undefined) {
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for (let k = 0; k < triggerStage.takePosition.situations.length; k++) {
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let situation = triggerStage.takePosition.situations[k]
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let passed
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if (situation.conditions.length > 0) {
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passed = true
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}
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passed = tradingSystem.checkConditions(situation, passed)
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tradingSystem.values.push([situation.id, passed])
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if (passed) {
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tradingSystem.highlights.push(situation.id)
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tradingSystem.highlights.push(triggerStage.takePosition.id)
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tradingSystem.highlights.push(triggerStage.id)
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tradingPositionModule.openPosition(situation.name)
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announcementsModule.makeAnnoucements(triggerStage.takePosition)
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announcementsModule.makeAnnoucements(strategy.openStage)
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if (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.type === 'Backtesting Session') {
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if (sessionParameters.snapshots !== undefined) {
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if (sessionParameters.snapshots.config.position === true) {
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snapshotsModule.positionEntry()
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}
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}
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}
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changeStageStatus('Trigger Stage', 'Closed')
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changeStageStatus('Open Stage', 'Opening')
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changeStageStatus('Manage Stage', 'Opening')
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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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}
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async function runOpenStage() {
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checkIfWeNeedToAbortTheStage()
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runWhenStatusIsOpening()
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await runWhenStatusIsOpen()
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await runWhenStatusIsClosing()
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function checkIfWeNeedToAbortTheStage() {
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/* Abort Open Stage Check */
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if (tradingEngine.current.strategyOpenStage.status.value === 'Open' && tradingEngine.current.strategyCloseStage.status.value === 'Open') {
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/*
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if the Close stage is opened while the open stage is still open that means that
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we need to stop placing orders, check what happened to the orders already placed,
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and cancel all unfilled limit orders. We call this the Closing status of the Open Stage.
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*/
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changeStageStatus('Open Stage', 'Closing')
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}
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}
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function runWhenStatusIsOpening() {
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/* Opening Status Procedure */
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if (tradingEngine.current.strategyOpenStage.status.value === 'Opening') {
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/* This procedure is intended to run only once */
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let tradingSystemStage = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
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let tradingEngineStage = tradingEngine.current.strategyOpenStage
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/* Reset the Exchange Orders data structure to its initial value */
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tradingEngineModule.initializeNode(tradingEngine.exchangeOrders)
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/* Entry Position size and rate */
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tradingSystem.evalFormulas(tradingSystemStage, 'Initial Targets')
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tradingPositionModule.initialTargets(tradingSystemStage, tradingEngineStage)
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initializeStageTargetSize()
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/* From here on, the stage is officialy Open */
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changeStageStatus('Open Stage', 'Open')
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}
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}
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async function runWhenStatusIsOpen() {
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/* Open Status Procedure */
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if (tradingEngine.current.strategyOpenStage.status.value === 'Open') {
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/*
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While the Open Stage is Open, we do our regular stuff: place orders and check
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what happened to the orders already placed.
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*/
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let tradingSystemStage = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
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let tradingEngineStage = tradingEngine.current.strategyOpenStage
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let executionNode = tradingSystemStage.openExecution
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/* Evaluate conditions and formulas so they are ready during the execution run */
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tradingSystem.evalConditions(executionNode, 'Open Execution')
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tradingSystem.evalFormulas(executionNode, 'Open Execution')
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await tradingExecutionModule.runExecution(
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executionNode,
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tradingEngineStage
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)
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checkIfStageNeedsToBeClosed(tradingEngineStage, tradingSystemStage, 'Open Stage')
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}
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}
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async function runWhenStatusIsClosing() {
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/* Closing Status Procedure */
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if (tradingEngine.current.strategyOpenStage.status.value === 'Closing') {
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/*
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During the closing stage status, we do not place new orders, just check
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if the ones placed were filled, and cancel the ones not filled.
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*/
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let tradingSystemStage = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
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let executionNode = tradingSystemStage.openExecution
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/*
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Check if there are unfilled orders, we will check if they were executed,
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and cancel the ones that were not.
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*/
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tradingSystem.evalConditions(tradingSystemStage, 'Open Execution')
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tradingSystem.evalFormulas(tradingSystemStage, 'Open Execution')
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await tradingExecutionModule.runExecution(
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executionNode,
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tradingEngine.current.strategyOpenStage
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)
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/*
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The Closing is finished when the sizeFilled + feesPaid reaches the sizePlaced.
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This can happens either because we update the sizeFilled value when we see
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at the exchange that orders were filled, or we reduce the sizePlaced when
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we cancel not yet filled orders. Here it does not matter the targetSize since
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this status represent a force closure of this stage.
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*/
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switch (tradingEngine.current.strategyOpenStage.stageDefinedIn.value) {
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case 'Base Asset': {
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if (
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tradingEngine.current.strategyOpenStage.stageBaseAsset.sizeFilled.value >=
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tradingEngine.current.strategyOpenStage.stageBaseAsset.sizePlaced.value
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) {
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changeStageStatus('Open Stage', 'Closed')
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}
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break
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}
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case 'Quoted Asset': {
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if (
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tradingEngine.current.strategyOpenStage.stageQuotedAsset.sizeFilled.value >=
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tradingEngine.current.strategyOpenStage.stageQuotedAsset.sizePlaced.value
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) {
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changeStageStatus('Open Stage', 'Closed')
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}
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break
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}
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}
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}
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}
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function initializeStageTargetSize() {
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/*
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Here we will transform the position size into targets for each asset of the stage.
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*/
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tradingEngine.current.strategyOpenStage.stageBaseAsset.targetSize.value = tradingEngine.current.position.positionBaseAsset.entryTargetSize.value
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tradingEngine.current.strategyOpenStage.stageQuotedAsset.targetSize.value = tradingEngine.current.position.positionQuotedAsset.entryTargetSize.value
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tradingEngine.current.strategyOpenStage.stageBaseAsset.targetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.strategyOpenStage.stageBaseAsset.targetSize.value, 10)
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tradingEngine.current.strategyOpenStage.stageQuotedAsset.targetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.strategyOpenStage.stageQuotedAsset.targetSize.value, 10)
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}
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}
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function runManageStage() {
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if (tradingEngine.current.episode.cycle.value !== 'First') { return }
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runWhenStatusIsOpening()
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runWhenStatusIsOpen()
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function runWhenStatusIsOpening() {
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/* Opening Status Procedure */
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if (tradingEngine.current.strategyManageStage.status.value === 'Opening') {
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/* Now we switch to the Open status. */
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changeStageStatus('Manage Stage', 'Open')
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}
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}
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function runWhenStatusIsOpen() {
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/* Open Status Procedure */
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if (tradingEngine.current.strategyManageStage.status.value === 'Open') {
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let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
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let manageStage = strategy.manageStage
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/* Evaluate all the stage conditions and formulas to have them ready */
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tradingSystem.evalConditions(manageStage, 'Manage Stage')
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tradingSystem.evalFormulas(manageStage, 'Manage Stage')
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/* Stop Loss Management */
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checkStopPhasesEvents()
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calculateStopLoss()
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calculateStopLossPosition()
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/* Take Profit Management */
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checkTakeProfitPhaseEvents()
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calculateTakeProfit()
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calculateTakeProfitPosition()
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/* Checking if Stop or Take Profit were hit */
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checkStopLossOrTakeProfitWasHit()
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}
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function calculateStopLoss() {
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let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
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let manageStage = strategy.manageStage
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let phase
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if (manageStage !== undefined) {
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if (manageStage.managedStopLoss !== undefined) {
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phase = manageStage.managedStopLoss.phases[tradingEngine.current.position.stopLoss.stopLossPhase.value - 1]
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}
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}
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if (phase !== undefined) {
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if (phase.formula !== undefined) {
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let previousValue = tradingEngine.current.position.stopLoss.value
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tradingPositionModule.applyStopLossFormula(tradingSystem.formulas, phase.formula.id)
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if (tradingEngine.current.position.stopLoss.value !== previousValue) {
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announcementsModule.makeAnnoucements(phase)
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}
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}
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}
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}
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function calculateTakeProfit() {
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let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
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let manageStage = strategy.manageStage
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let phase
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if (manageStage !== undefined) {
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if (manageStage.managedTakeProfit !== undefined) {
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phase = manageStage.managedTakeProfit.phases[tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1]
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}
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}
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if (phase !== undefined) {
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if (phase.formula !== undefined) {
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let previousValue = tradingEngine.current.position.takeProfit.value
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tradingPositionModule.applyTakeProfitFormula(tradingSystem.formulas, phase.formula.id)
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if (tradingEngine.current.position.takeProfit.value !== previousValue) {
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announcementsModule.makeAnnoucements(phase)
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}
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}
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}
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}
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function calculateStopLossPosition() {
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/*
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The position of the Stop Loss (above or below the price) is needed in order to know
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later if the price hit the Stop Loss or not at every Simulation candle. When we get
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the first values of the simulation of the Stop Loss we check if it is above or below
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the Position Rate, and we assign the values Above or Below to it.
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*/
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if (tradingEngine.current.position.stopLoss.stopLossPosition.value === tradingEngine.current.position.stopLoss.stopLossPosition.config.initialValue) {
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if (tradingEngine.current.position.stopLoss.value > tradingEngine.current.position.entryTargetRate.value) {
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tradingEngine.current.position.stopLoss.stopLossPosition.value = 'Above'
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} else {
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tradingEngine.current.position.stopLoss.stopLossPosition.value = 'Below'
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}
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}
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}
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function calculateTakeProfitPosition() {
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/*
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The position of the Take Profit (above or below the price) is needed in order to know
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later if the price hit the Take Profit or not at every Simulation candle. When we get
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the first values of the simulation of the Take Profits we check if it is above or below
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the Position Rates, and we assign the values Above or Below to it.
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*/
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if (tradingEngine.current.position.takeProfit.takeProfitPosition.value === tradingEngine.current.position.takeProfit.takeProfitPosition.config.initialValue) {
|
|
if (tradingEngine.current.position.takeProfit.value > tradingEngine.current.position.entryTargetRate.value) {
|
|
tradingEngine.current.position.takeProfit.takeProfitPosition.value = 'Above'
|
|
} else {
|
|
tradingEngine.current.position.takeProfit.takeProfitPosition.value = 'Below'
|
|
}
|
|
}
|
|
}
|
|
|
|
function checkStopPhasesEvents() {
|
|
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
|
|
let manageStage = strategy.manageStage
|
|
let parentNode
|
|
let phaseIndex
|
|
let phase
|
|
let stopLoss
|
|
|
|
if (manageStage !== undefined) {
|
|
if (manageStage.managedStopLoss !== undefined) {
|
|
parentNode = manageStage
|
|
phaseIndex = tradingEngine.current.position.stopLoss.stopLossPhase.value - 1
|
|
stopLoss = manageStage.managedStopLoss
|
|
phase = stopLoss.phases[phaseIndex]
|
|
}
|
|
}
|
|
|
|
if (parentNode !== undefined) {
|
|
if (phase === undefined) { return } // trying to jump to a phase that does not exists.
|
|
|
|
/* Check the next Phase Event. */
|
|
let nextPhaseEvent = phase.nextPhaseEvent
|
|
if (nextPhaseEvent !== undefined) {
|
|
for (let k = 0; k < nextPhaseEvent.situations.length; k++) {
|
|
let situation = nextPhaseEvent.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(nextPhaseEvent.id)
|
|
tradingSystem.highlights.push(phase.id)
|
|
tradingSystem.highlights.push(stopLoss.id)
|
|
tradingSystem.highlights.push(parentNode.id)
|
|
tradingSystem.highlights.push(manageStage.id)
|
|
|
|
tradingPositionModule.updateStopLoss(tradingEngine.current.position.stopLoss.stopLossPhase.value + 1)
|
|
|
|
announcementsModule.makeAnnoucements(nextPhaseEvent)
|
|
|
|
/* Reset this counter */
|
|
tradingEngine.current.episode.distanceToEvent.nextPhase.value = 1
|
|
return // only one event can pass at the time
|
|
}
|
|
}
|
|
}
|
|
|
|
/* Check the Move to Phase Events. */
|
|
for (let n = 0; n < phase.moveToPhaseEvents.length; n++) {
|
|
let moveToPhaseEvent = phase.moveToPhaseEvents[n]
|
|
if (moveToPhaseEvent !== undefined) {
|
|
for (let k = 0; k < moveToPhaseEvent.situations.length; k++) {
|
|
let situation = moveToPhaseEvent.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(moveToPhaseEvent.id)
|
|
tradingSystem.highlights.push(phase.id)
|
|
tradingSystem.highlights.push(stopLoss.id)
|
|
tradingSystem.highlights.push(parentNode.id)
|
|
tradingSystem.highlights.push(manageStage.id)
|
|
|
|
let moveToPhase = moveToPhaseEvent.referenceParent
|
|
if (moveToPhase !== undefined) {
|
|
for (let q = 0; q < stopLoss.phases.length; q++) {
|
|
if (stopLoss.phases[q].id === moveToPhase.id) {
|
|
tradingPositionModule.updateStopLoss(q + 1)
|
|
}
|
|
}
|
|
} else {
|
|
tradingSystem.errors.push([moveToPhaseEvent.id, 'This Node needs to reference a Phase.'])
|
|
continue
|
|
}
|
|
|
|
announcementsModule.makeAnnoucements(moveToPhaseEvent)
|
|
|
|
/* Reset this counter */
|
|
tradingEngine.current.episode.distanceToEvent.moveToPhase.value = 1
|
|
return // only one event can pass at the time
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function checkTakeProfitPhaseEvents() {
|
|
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
|
|
let openStage = strategy.openStage
|
|
let manageStage = strategy.manageStage
|
|
let parentNode
|
|
let phaseIndex
|
|
let phase
|
|
let takeProfit
|
|
|
|
if (manageStage !== undefined) {
|
|
if (manageStage.managedTakeProfit !== undefined) {
|
|
parentNode = manageStage
|
|
phaseIndex = tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1
|
|
takeProfit = manageStage.managedTakeProfit
|
|
phase = takeProfit.phases[phaseIndex]
|
|
}
|
|
}
|
|
|
|
if (parentNode !== undefined) {
|
|
if (phase === undefined) { return } // trying to jump to a phase that does not exists.
|
|
|
|
/* Check the next Phase Event. */
|
|
let nextPhaseEvent = phase.nextPhaseEvent
|
|
if (nextPhaseEvent !== undefined) {
|
|
for (let k = 0; k < nextPhaseEvent.situations.length; k++) {
|
|
let situation = nextPhaseEvent.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(nextPhaseEvent.id)
|
|
tradingSystem.highlights.push(phase.id)
|
|
tradingSystem.highlights.push(takeProfit.id)
|
|
tradingSystem.highlights.push(parentNode.id)
|
|
tradingSystem.highlights.push(manageStage.id)
|
|
|
|
tradingPositionModule.updateTakeProfit(tradingEngine.current.position.takeProfit.takeProfitPhase.value + 1)
|
|
|
|
announcementsModule.makeAnnoucements(nextPhaseEvent)
|
|
|
|
/* Reset this counter */
|
|
tradingEngine.current.episode.distanceToEvent.nextPhase.value = 1
|
|
return // only one event can pass at the time
|
|
}
|
|
}
|
|
}
|
|
|
|
/* Check the Move to Phase Events. */
|
|
for (let n = 0; n < phase.moveToPhaseEvents.length; n++) {
|
|
let moveToPhaseEvent = phase.moveToPhaseEvents[n]
|
|
if (moveToPhaseEvent !== undefined) {
|
|
for (let k = 0; k < moveToPhaseEvent.situations.length; k++) {
|
|
let situation = moveToPhaseEvent.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(moveToPhaseEvent.id)
|
|
tradingSystem.highlights.push(phase.id)
|
|
tradingSystem.highlights.push(takeProfit.id)
|
|
tradingSystem.highlights.push(parentNode.id)
|
|
tradingSystem.highlights.push(manageStage.id)
|
|
|
|
let moveToPhase = moveToPhaseEvent.referenceParent
|
|
if (moveToPhase !== undefined) {
|
|
for (let q = 0; q < takeProfit.phases.length; q++) {
|
|
if (takeProfit.phases[q].id === moveToPhase.id) {
|
|
tradingPositionModule.updateTakeProfit(q + 1)
|
|
}
|
|
}
|
|
} else {
|
|
tradingSystem.errors.push([moveToPhaseEvent.id, 'This Node needs to reference a Phase.'])
|
|
continue
|
|
}
|
|
|
|
announcementsModule.makeAnnoucements(moveToPhaseEvent)
|
|
|
|
/* Reset this counter */
|
|
tradingEngine.current.episode.distanceToEvent.moveToPhase.value = 1
|
|
return // only one event can pass at the time
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function checkStopLossOrTakeProfitWasHit() {
|
|
{
|
|
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
|
|
/*
|
|
Checking what happened since the last execution. We need to know if the Stop Loss
|
|
or our Take Profit were hit.
|
|
*/
|
|
|
|
/* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */
|
|
if (
|
|
(
|
|
tradingEngine.current.position.stopLoss.stopLossPosition.value === 'Above' &&
|
|
tradingEngine.current.episode.candle.max.value >= tradingEngine.current.position.stopLoss.value
|
|
) ||
|
|
(
|
|
tradingEngine.current.position.stopLoss.stopLossPosition.value === 'Below' &&
|
|
tradingEngine.current.episode.candle.min.value <= tradingEngine.current.position.stopLoss.value
|
|
)
|
|
) {
|
|
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Stop Loss was hit.')
|
|
|
|
tradingPositionModule.closingPosition('Stop Loss')
|
|
changeStageStatus('Close Stage', 'Opening')
|
|
changeStageStatus('Manage Stage', 'Closed')
|
|
announcementsModule.makeAnnoucements(strategy.closeStage)
|
|
return
|
|
}
|
|
|
|
/* Take Profit condition: Here we verify if the Take Profit was hit or not. */
|
|
if (
|
|
(
|
|
tradingEngine.current.position.takeProfit.takeProfitPosition.value === 'Below' &&
|
|
tradingEngine.current.episode.candle.min.value <= tradingEngine.current.position.takeProfit.value
|
|
) ||
|
|
(
|
|
tradingEngine.current.position.takeProfit.takeProfitPosition.value === 'Above' &&
|
|
tradingEngine.current.episode.candle.max.value >= tradingEngine.current.position.takeProfit.value
|
|
)
|
|
) {
|
|
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Take Profit was hit.')
|
|
|
|
tradingPositionModule.closingPosition('Take Profit')
|
|
changeStageStatus('Close Stage', 'Opening')
|
|
changeStageStatus('Manage Stage', 'Closed')
|
|
announcementsModule.makeAnnoucements(strategy.closeStage)
|
|
return
|
|
}
|
|
return
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
async function runCloseStage() {
|
|
|
|
runWhenStatusIsOpening()
|
|
await runWhenStatusIsOpen()
|
|
|
|
function runWhenStatusIsOpening() {
|
|
/* Opening Status Procedure */
|
|
if (tradingEngine.current.strategyCloseStage.status.value === 'Opening') {
|
|
/*
|
|
This will happen only once, as soon as the Take Profit or Stop was hit.
|
|
*/
|
|
let tradingSystemStage = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].closeStage
|
|
|
|
/* Exit Position size and rate */
|
|
tradingSystem.evalFormulas(tradingSystemStage, 'Initial Targets')
|
|
tradingPositionModule.initialTargets(tradingSystemStage, tradingEngine.current.strategyCloseStage)
|
|
|
|
initializeStageTargetSize()
|
|
changeStageStatus('Close Stage', 'Open')
|
|
}
|
|
}
|
|
|
|
async function runWhenStatusIsOpen() {
|
|
/*
|
|
The following code will run only when the Open Stage is closed.
|
|
The reason for that is that we need the final filled size of the Open Stage
|
|
to be known before we start placing orders at the Close Stage.
|
|
*/
|
|
if (
|
|
tradingEngine.current.strategyCloseStage.status.value === 'Open' &&
|
|
(
|
|
tradingEngine.current.strategyOpenStage.status.value === 'Closed' ||
|
|
tradingEngine.current.strategyOpenStage.status.value == tradingEngine.current.strategyOpenStage.status.config.initialValue
|
|
)
|
|
) {
|
|
/*
|
|
This will happen as long as the Close Stage is Open.
|
|
*/
|
|
let tradingSystemStage = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].closeStage
|
|
let tradingEngineStage = tradingEngine.current.strategyCloseStage
|
|
let executionNode = tradingSystemStage.closeExecution
|
|
|
|
tradingSystem.evalConditions(tradingSystemStage, 'Close Execution')
|
|
tradingSystem.evalFormulas(tradingSystemStage, 'Close Execution')
|
|
|
|
await tradingExecutionModule.runExecution(
|
|
executionNode,
|
|
tradingEngine.current.strategyCloseStage
|
|
)
|
|
|
|
checkIfStageNeedsToBeClosed(tradingEngineStage, tradingSystemStage, 'Close Stage')
|
|
}
|
|
|
|
/*
|
|
Exit Position Validation: we need al the previous stages to be either closed
|
|
or at their initial default value. The last is becasue after Closed objects are
|
|
initialized to their defualts.
|
|
*/
|
|
if (
|
|
(
|
|
tradingEngine.current.strategyTriggerStage.status.value === 'Closed' ||
|
|
tradingEngine.current.strategyTriggerStage.status.value === tradingEngine.current.strategyTriggerStage.status.config.initialValue
|
|
)
|
|
&&
|
|
(
|
|
tradingEngine.current.strategyOpenStage.status.value === 'Closed' ||
|
|
tradingEngine.current.strategyOpenStage.status.value === tradingEngine.current.strategyOpenStage.status.config.initialValue
|
|
)
|
|
&&
|
|
(
|
|
tradingEngine.current.strategyManageStage.status.value === 'Closed' ||
|
|
tradingEngine.current.strategyManageStage.status.value === tradingEngine.current.strategyManageStage.status.config.initialValue
|
|
)
|
|
&&
|
|
(
|
|
tradingEngine.current.strategyCloseStage.status.value === 'Closed'
|
|
)
|
|
) {
|
|
|
|
/* Closing Everything now. */
|
|
closePositionAndStrategy()
|
|
}
|
|
}
|
|
|
|
function initializeStageTargetSize() {
|
|
/*
|
|
Here we will transform the position size into targets for each asset of the stage.
|
|
*/
|
|
tradingEngine.current.strategyCloseStage.stageBaseAsset.targetSize.value = tradingEngine.current.position.positionBaseAsset.exitTargetSize.value
|
|
tradingEngine.current.strategyCloseStage.stageQuotedAsset.targetSize.value = tradingEngine.current.position.positionQuotedAsset.exitTargetSize.value
|
|
|
|
tradingEngine.current.strategyCloseStage.stageBaseAsset.targetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.strategyCloseStage.stageBaseAsset.targetSize.value, 10)
|
|
tradingEngine.current.strategyCloseStage.stageQuotedAsset.targetSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngine.current.strategyCloseStage.stageQuotedAsset.targetSize.value, 10)
|
|
}
|
|
|
|
function closePositionAndStrategy() {
|
|
/* Taking Position Snapshot */
|
|
if (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.type === 'Backtesting Session') {
|
|
if (sessionParameters.snapshots !== undefined) {
|
|
if (sessionParameters.snapshots.config.position === true) {
|
|
snapshotsModule.positionExit()
|
|
}
|
|
}
|
|
}
|
|
|
|
/* Taking Strategy Snapshot */
|
|
if (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.type === 'Backtesting Session') {
|
|
if (sessionParameters.snapshots !== undefined) {
|
|
if (sessionParameters.snapshots.config.strategy === true) {
|
|
snapshotsModule.strategyExit()
|
|
}
|
|
}
|
|
}
|
|
|
|
/* Close the Position */
|
|
tradingPositionModule.closePosition()
|
|
|
|
/* Close the Strategy */
|
|
tradingStrategyModule.closeStrategy('Position Closed')
|
|
|
|
/* Distance to Events Updates */
|
|
tradingEngine.current.episode.distanceToEvent.closePosition.value = 1
|
|
tradingEngine.current.episode.distanceToEvent.triggerOff.value = 1
|
|
|
|
}
|
|
}
|
|
|
|
function checkIfStageNeedsToBeClosed(tradingEngineStage, tradingSystemStage, stageName) {
|
|
/*
|
|
The Stage is closed when the fillSize + feesPaid reaches the targetSize.
|
|
|
|
The Target Size is defined by the end user either in Base Asset or Quoted Asset.
|
|
Whatever the user chooses defines also the way we check if the Target was met.
|
|
Why? Because the counterparty target is estimated with the Target Rate and it
|
|
is not syncronized with the reality we later learn when the exchange tell us the
|
|
actual rate each of the orders where executed at.
|
|
|
|
For the same reason that the user does not know exactly which is the rate the orders
|
|
will actually be filled, then we can not expect that the total filled will really
|
|
reach the target size, so we introduce a rounding factor so that when it is close
|
|
enough we will consider the target to have been reached.
|
|
*/
|
|
const ROUNDING_ERROR_CORRECTION_FACTOR = 1.001
|
|
|
|
switch (tradingEngineStage.stageDefinedIn.value) {
|
|
case 'Base Asset': {
|
|
if (
|
|
(
|
|
tradingEngineStage.stageBaseAsset.sizeFilled.value
|
|
)
|
|
* ROUNDING_ERROR_CORRECTION_FACTOR
|
|
>=
|
|
tradingEngineStage.stageBaseAsset.targetSize.value
|
|
) {
|
|
positionFilled()
|
|
} else {
|
|
checkCloseStageEvent(tradingSystemStage)
|
|
}
|
|
break
|
|
}
|
|
case 'Quoted Asset': {
|
|
if (
|
|
(
|
|
tradingEngineStage.stageQuotedAsset.sizeFilled.value
|
|
)
|
|
* ROUNDING_ERROR_CORRECTION_FACTOR
|
|
>=
|
|
tradingEngineStage.stageQuotedAsset.targetSize.value
|
|
) {
|
|
positionFilled()
|
|
} else {
|
|
checkCloseStageEvent(tradingSystemStage)
|
|
}
|
|
break
|
|
}
|
|
}
|
|
|
|
function positionFilled() {
|
|
changeStageStatus(stageName, 'Closed', 'Position Size Filled')
|
|
}
|
|
|
|
function checkCloseStageEvent(tradingSystemStage) {
|
|
/* Check the Close Stage Event */
|
|
tradingSystem.evalConditions(tradingSystemStage, 'Close Stage Event')
|
|
if (checkStopStageEvent(tradingSystemStage) === true) {
|
|
changeStageStatus(stageName, 'Closing', 'Close Stage Event')
|
|
}
|
|
}
|
|
}
|
|
|
|
function checkStopStageEvent(stage) {
|
|
/* Check the Close Stage Event. */
|
|
let closeStageEvent = stage.closeStageEvent
|
|
if (closeStageEvent !== undefined) {
|
|
for (let k = 0; k < closeStageEvent.situations.length; k++) {
|
|
let situation = closeStageEvent.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(closeStageEvent.id)
|
|
tradingSystem.highlights.push(stage.id)
|
|
|
|
announcementsModule.makeAnnoucements(closeStageEvent)
|
|
return true
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function changeStageStatus(stageName, newStatus, exitType) {
|
|
let stage
|
|
switch (stageName) {
|
|
case 'Trigger Stage': {
|
|
stage = tradingEngine.current.strategyTriggerStage
|
|
break
|
|
}
|
|
case 'Open Stage': {
|
|
stage = tradingEngine.current.strategyOpenStage
|
|
break
|
|
}
|
|
case 'Manage Stage': {
|
|
stage = tradingEngine.current.strategyManageStage
|
|
break
|
|
}
|
|
case 'Close Stage': {
|
|
stage = tradingEngine.current.strategyCloseStage
|
|
break
|
|
}
|
|
}
|
|
stage.status.value = newStatus
|
|
if (exitType !== undefined) {
|
|
stage.exitType.value = exitType
|
|
}
|
|
if (stage.status.value === 'Open') {
|
|
openStage(stage)
|
|
}
|
|
if (stage.status.value === 'Closed') {
|
|
closeStage(stage)
|
|
}
|
|
|
|
/*
|
|
The way the begining and end of the Stages object works is as follows:
|
|
This object begins with the last cycle, that is the current cycle diplaced
|
|
backwards to the current candle. And it ends at the end of the last cycle.
|
|
During mantainance, we add the time frame of the candle, since we assume it
|
|
will survive the 2 cycles without the end being updated. If it closes,
|
|
then we update the end to the end of the last cycle, overrinding the
|
|
mantainance if needed. If we assume that in the same cycle there will be
|
|
no closing and opening of the same type of object, then there can be no
|
|
overlap.
|
|
*/
|
|
function openStage(stage) {
|
|
/* Recording the opening at the Trading Engine Data Structure */
|
|
stage.begin.value = tradingEngine.current.episode.cycle.lastBegin.value
|
|
stage.end.value = tradingEngine.current.episode.cycle.lastEnd.value
|
|
stage.beginRate.value = tradingEngine.current.episode.candle.close.value
|
|
}
|
|
|
|
function closeStage(stage) {
|
|
/* Recording the closing at the Trading Engine Data Structure */
|
|
stage.end.value = tradingEngine.current.episode.cycle.lastEnd.value
|
|
stage.endRate.value = tradingEngine.current.episode.candle.close.value
|
|
}
|
|
}
|
|
|
|
function updateEnds() {
|
|
/*
|
|
Note that we can not use the cycle here because this is executed via mantain
|
|
which in turn is executed before the first cycle for this candle is set.
|
|
*/
|
|
if (tradingEngine.current.strategyTriggerStage.status.value === 'Open') {
|
|
tradingEngine.current.strategyTriggerStage.end.value = tradingEngine.current.strategyTriggerStage.end.value + sessionParameters.timeFrame.config.value
|
|
tradingEngine.current.strategyTriggerStage.endRate.value = tradingEngine.current.episode.candle.close.value
|
|
}
|
|
if (tradingEngine.current.strategyOpenStage.status.value === 'Open') {
|
|
tradingEngine.current.strategyOpenStage.end.value = tradingEngine.current.strategyOpenStage.end.value + sessionParameters.timeFrame.config.value
|
|
tradingEngine.current.strategyOpenStage.endRate.value = tradingEngine.current.episode.candle.close.value
|
|
}
|
|
if (tradingEngine.current.strategyManageStage.status.value === 'Open') {
|
|
tradingEngine.current.strategyManageStage.end.value = tradingEngine.current.strategyManageStage.end.value + sessionParameters.timeFrame.config.value
|
|
tradingEngine.current.strategyManageStage.endRate.value = tradingEngine.current.episode.candle.close.value
|
|
}
|
|
if (tradingEngine.current.strategyCloseStage.status.value === 'Open') {
|
|
tradingEngine.current.strategyCloseStage.end.value = tradingEngine.current.strategyCloseStage.end.value + sessionParameters.timeFrame.config.value
|
|
tradingEngine.current.strategyCloseStage.endRate.value = tradingEngine.current.episode.candle.close.value
|
|
}
|
|
}
|
|
|
|
function resetTradingEngineDataStructure() {
|
|
if (tradingEngine.current.strategyTriggerStage.status.value === 'Closed') {
|
|
resetStage(tradingEngine.current.strategyTriggerStage.status)
|
|
}
|
|
if (tradingEngine.current.strategyOpenStage.status.value === 'Closed') {
|
|
resetStage(tradingEngine.current.strategyOpenStage.status)
|
|
}
|
|
if (tradingEngine.current.strategyManageStage.status.value === 'Closed') {
|
|
resetStage(tradingEngine.current.strategyManageStage.status)
|
|
}
|
|
if (tradingEngine.current.strategyCloseStage.status.value === 'Closed') {
|
|
resetStage(tradingEngine.current.strategyTriggerStage)
|
|
resetStage(tradingEngine.current.strategyOpenStage)
|
|
resetStage(tradingEngine.current.strategyManageStage)
|
|
resetStage(tradingEngine.current.strategyCloseStage)
|
|
}
|
|
|
|
function resetStage(stage) {
|
|
tradingEngineModule.initializeNode(stage)
|
|
}
|
|
}
|
|
|
|
function updateCounters() {
|
|
|
|
}
|
|
|
|
function updateStatistics() {
|
|
|
|
}
|
|
} |