124 lines
6.8 KiB
JavaScript
124 lines
6.8 KiB
JavaScript
exports.newAlgorithmicTradingBotModulesTradingExecution = function (processIndex) {
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/*
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The Trading Execution modules manages the execution nodes and execution algoritms.
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*/
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const MODULE_NAME = 'Trading Execution'
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let thisObject = {
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mantain: mantain,
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reset: reset,
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runExecution: runExecution,
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initialize: initialize,
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finalize: finalize
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}
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let tradingEngine
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let tradingSystem
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let sessionParameters
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let tradingOrdersModuleObject = TS.projects.algorithmicTrading.botModules.tradingOrders.newAlgorithmicTradingBotModulesTradingOrders(processIndex)
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return thisObject
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function initialize() {
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tradingSystem = TS.projects.foundations.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
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tradingEngine = TS.projects.foundations.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
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sessionParameters = TS.projects.foundations.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
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tradingOrdersModuleObject.initialize()
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}
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function finalize() {
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tradingSystem = undefined
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tradingEngine = undefined
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sessionParameters = undefined
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tradingOrdersModuleObject.finalize()
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tradingOrdersModuleObject = undefined
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}
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function mantain() {
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tradingOrdersModuleObject.mantain()
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}
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function reset() {
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tradingOrdersModuleObject.reset()
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}
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async function runExecution(
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executionNode,
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tradingEngineStage
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) {
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try {
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/* Trading Engine Stage Validations */
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if (tradingEngineStage.stageBaseAsset === undefined) { badDefinitionUnhandledException(undefined, 'Stage Base Asset Node Missing', tradingEngineStage) }
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if (tradingEngineStage.stageBaseAsset.targetSize === undefined) { badDefinitionUnhandledException(undefined, 'Target Size Node Missing', tradingEngineStage) }
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if (tradingEngineStage.stageBaseAsset.sizePlaced === undefined) { badDefinitionUnhandledException(undefined, 'Size Placed Node Missing', tradingEngineStage) }
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if (tradingEngineStage.stageBaseAsset.sizeFilled === undefined) { badDefinitionUnhandledException(undefined, 'Size Filled Node Missing', tradingEngineStage) }
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if (tradingEngineStage.stageBaseAsset.feesPaid === undefined) { badDefinitionUnhandledException(undefined, 'Fees Paid Node Missing', tradingEngineStage) }
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if (tradingEngineStage.stageQuotedAsset === undefined) { badDefinitionUnhandledException(undefined, 'Stage Quoted Asset Node Missing', tradingEngineStage) }
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if (tradingEngineStage.stageQuotedAsset.targetSize === undefined) { badDefinitionUnhandledException(undefined, 'Target Size Node Missing', tradingEngineStage) }
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if (tradingEngineStage.stageQuotedAsset.sizePlaced === undefined) { badDefinitionUnhandledException(undefined, 'Size Placed Node Missing', tradingEngineStage) }
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if (tradingEngineStage.stageQuotedAsset.sizeFilled === undefined) { badDefinitionUnhandledException(undefined, 'Size Filled Node Missing', tradingEngineStage) }
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if (tradingEngineStage.stageQuotedAsset.feesPaid === undefined) { badDefinitionUnhandledException(undefined, 'Fees Paid Node Missing', tradingEngineStage) }
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await checkExecutionAlgorithms(executionNode)
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async function checkExecutionAlgorithms(executionNode) {
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for (let i = 0; i < executionNode.executionAlgorithms.length; i++) {
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let executionAlgorithm = executionNode.executionAlgorithms[i]
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await tradingOrdersModuleObject.checkOrders(tradingEngineStage, executionAlgorithm.marketBuyOrders, executionAlgorithm, executionNode)
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await tradingOrdersModuleObject.checkOrders(tradingEngineStage, executionAlgorithm.marketSellOrders, executionAlgorithm, executionNode)
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await tradingOrdersModuleObject.checkOrders(tradingEngineStage, executionAlgorithm.limitBuyOrders, executionAlgorithm, executionNode)
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await tradingOrdersModuleObject.checkOrders(tradingEngineStage, executionAlgorithm.limitSellOrders, executionAlgorithm, executionNode)
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}
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}
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} catch (err) {
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if (err !== 'Error Already Recorded') {
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const message = 'Execution Unexpected Error'
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let docs = {
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project: 'Foundations',
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category: 'Topic',
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type: 'TS LF Trading Bot Error - ' + message,
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placeholder: {}
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}
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TS.projects.education.utilities.docsFunctions.buildPlaceholder(docs, err)
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tradingSystem.addError([executionNode.id, message, docs])
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}
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if (typeof err === 'string' || err instanceof String) {
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TS.projects.foundations.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME, '[ERROR] runExecution -> err = ' + err)
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}
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if (err.stack !== undefined) {
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TS.projects.foundations.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME, '[ERROR] runExecution -> err = ' + err.stack)
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}
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}
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}
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function badDefinitionUnhandledException(err, message, node) {
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let docs = {
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project: 'Foundations',
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category: 'Topic',
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type: 'TS LF Trading Bot Error - ' + message,
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placeholder: {}
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}
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tradingSystem.addError([node.id, message, docs])
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TS.projects.foundations.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME, "[ERROR] -> " + message);
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TS.projects.foundations.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME, "[ERROR] -> node.name = " + node.name);
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TS.projects.foundations.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME, "[ERROR] -> node.type = " + node.type);
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TS.projects.foundations.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME, "[ERROR] -> node.config = " + JSON.stringify(node.config));
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if (err !== undefined) {
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TS.projects.foundations.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME, "[ERROR] -> err.stack = " + err.stack);
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}
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throw 'Error Already Recorded'
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}
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}
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