525 lines
27 KiB
JavaScript
525 lines
27 KiB
JavaScript
exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILITIES) {
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const FULL_LOG = true
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const LOG_FILE_CONTENT = false
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const ONE_DAY_IN_MILISECONDS = 24 * 60 * 60 * 1000
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const MODULE_NAME = 'Trading Simulation -> ' + bot.SESSION.name
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const GMT_SECONDS = ':00.000 GMT+0000'
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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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dataDependencies,
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timeFrame,
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timeFrameLabel,
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currentDay,
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variable,
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exchangeAPI,
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recordsArray,
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conditionsArray,
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strategiesArray,
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positionsArray,
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callback,
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callBackFunction) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> Entering function.') }
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let processingDailyFiles
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if (timeFrame > global.dailyFilePeriods[0][0]) {
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processingDailyFiles = false
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} else {
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processingDailyFiles = true
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}
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/* Snapshots of Trigger On and Take Positions */
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let snapshots = {
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headers: undefined,
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triggerOn: [],
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takePosition: [],
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lastTriggerOn: undefined,
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lastTakePosition: undefined
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}
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let tradingSystem = bot.TRADING_SYSTEM
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let tradingEngine = bot.TRADING_ENGINE
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let sessionParameters = bot.SESSION.parameters
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> sessionParameters.timeRange.config.initialDatetime = ' + sessionParameters.timeRange.config.initialDatetime) }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> sessionParameters.timeRange.config.finalDatetime = ' + sessionParameters.timeRange.config.finalDatetime) }
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let timerToCloseStage = 0
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/* Stop Loss Management */
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const MIN_STOP_LOSS_VALUE = 0.0000000001 // We can not let the stop be zero to avoid division by 0 error or infinity numbers as a result.
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const MAX_STOP_LOSS_VALUE = Number.MAX_SAFE_INTEGER
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/* Take Profit Management */
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const MIN_TAKE_PROFIT_VALUE = 0.0000000001 // We can not let the buy order be zero to avoid division by 0 error or infinity numbers as a result.
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const MAX_TAKE_PROFIT_VALUE = Number.MAX_SAFE_INTEGER
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/* Variables for this executioin only */
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let takePositionNow = false
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let closePositionNow = false
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/* In some cases we need to know if we are positioned at the last candle of the calendar day, for that we need these variables. */
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let lastInstantOfTheDay = 0
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if (currentDay) {
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lastInstantOfTheDay = currentDay.valueOf() + ONE_DAY_IN_MILISECONDS - 1
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}
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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_ENGINE_MODULE = require('./TradingExecution.js')
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let tradingExecutionModule = TRADING_ENGINE_MODULE.newTradingExecution(bot, logger)
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tradingExecutionModule.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()
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const SNAPSHOTS_MODULE = require('./Snapshots.js')
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let snapshotsModule = SNAPSHOTS_MODULE.newSnapshots(bot, logger)
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snapshotsModule.initialize()
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const ANNOUNCEMENTS_MODULE = require('./Announcements.js')
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let announcementsModule = ANNOUNCEMENTS_MODULE.newAnnouncements(bot, logger)
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announcementsModule.initialize()
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const TRADING_SYSTEM_MODULE = require('./TradingSystem.js')
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let tradingSystemModule = TRADING_SYSTEM_MODULE.newTradingSystem(bot, logger)
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tradingSystemModule.initialize()
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/* Main Array and Maps */
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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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let currentChart = chart[propertyName]
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/* Last Candle */
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let lastCandle = candles[candles.length - 1]
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/* For Loop Level heartbeat */
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let loopingDay
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let previousLoopingDay
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initializeLoop()
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function initializeLoop() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> initializeLoop -> Entering function.') }
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if (bot.RESUME === true && 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.candle.index.value = Math.trunc(amount) + 1 // Because we need to start from the next candle
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if (tradingEngine.current.candle.index.value < 0 || tradingEngine.current.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.candle.index.value = ' + tradingEngine.current.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.valueOf()
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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.candle.index.value = Math.trunc(amount)
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if (tradingEngine.current.candle.index.value < 0) { tradingEngine.current.candle.index.value = 0 }
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if (tradingEngine.current.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.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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function loop() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Entering function.') }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Processing candle # ' + tradingEngine.current.candle.index.value) }
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let candle = candles[tradingEngine.current.candle.index.value]
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tradingEngineModule.setCurrentCandle(candle)
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/* Not processing while out of user-defined time range */
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if (candle.end < sessionParameters.timeRange.config.initialDatetime.valueOf()) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Skipping Candle before the sessionParameters.timeRange.config.initialDatetime.') }
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controlLoop()
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return
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}
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if (candle.begin > sessionParameters.timeRange.config.finalDatetime.valueOf()) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Skipping Candle after the sessionParameters.timeRange.config.finalDatetime.') }
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afterLoop()
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return
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}
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/* Here we update at the chart data structure the objects for each product representing where we are currently standing at the simulation loop */
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if (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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let currentElement = getElement(thisChart[pluralVariableName], candle, 'Daily' + '-' + mapKey + '-' + pluralVariableName)
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thisChart[singularVariableName] = currentElement
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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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let currentElement = getElement(thisChart[pluralVariableName], candle, 'Market' + '-' + mapKey + '-' + pluralVariableName)
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thisChart[singularVariableName] = currentElement
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}
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}
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/* Finding the Current Element on Single Files */
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function isItInside(elementWithTimestamp, elementWithBeginEnd) {
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if (elementWithTimestamp.timestamp >= elementWithBeginEnd.begin && elementWithTimestamp.timestamp <= elementWithBeginEnd.end) {
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return true
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} else {
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return false
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}
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}
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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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/* While we are processing the previous day. */
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let positionedAtYesterday = false
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if (currentDay) {
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positionedAtYesterday = (candle.end < currentDay.valueOf())
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}
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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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let ticker = {
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bid: candle.close,
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ask: candle.close,
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last: candle.close
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}
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/* We will produce a simulation level heartbeat in order to inform the user this is running. */
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loopingDay = new Date(Math.trunc(candle.begin / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS)
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if (loopingDay.valueOf() !== previousLoopingDay) {
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let processingDate = loopingDay.getUTCFullYear() + '-' + utilities.pad(loopingDay.getUTCMonth() + 1, 2) + '-' + utilities.pad(loopingDay.getUTCDate(), 2)
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Simulation ' + bot.sessionKey + ' Loop # ' + tradingEngine.current.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.valueOf())
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let lastDate = new Date(sessionParameters.timeRange.config.finalDatetime.valueOf())
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let currentDateString = loopingDay.getUTCFullYear() + '-' + utilities.pad(loopingDay.getUTCMonth() + 1, 2) + '-' + utilities.pad(loopingDay.getUTCDate(), 2)
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let currentDate = new Date(loopingDay)
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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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previousLoopingDay = loopingDay.valueOf()
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tradingEngine.episode.episodeCounters.periods++
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tradingEngine.episode.episodeStatistics.days = tradingEngine.episode.episodeCounters.periods * sessionParameters.timeFrame.config.value / ONE_DAY_IN_MILISECONDS
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if (processingDailyFiles) {
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/* We skip the candle at the head of the market because tradingEngine.current.candle.index.value has not closed yet. */
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let candlesPerDay = ONE_DAY_IN_MILISECONDS / sessionParameters.timeFrame.config.value
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if (tradingEngine.current.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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/* We are at the head of the market, thus we skip the last candle because it has not close yet. */
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Skipping Candle because it is the last one and has not been closed yet.') }
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controlLoop()
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return
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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 tradingEngine.episode.episodeCounters.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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} else { // We are processing Market Files
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if (tradingEngine.current.candle.index.value === candles.length - 1) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Skipping Candle because it is the last one and has not been closed yet.') }
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controlLoop()
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return
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}
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}
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tradingSystemModule.setChart(chart)
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tradingSystemModule.evalConditions()
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tradingSystemModule.evalFormulas()
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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.stageType.value === 'No Stage' &&
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tradingEngine.current.strategy.index.value === -1
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) {
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/*
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First thing to do is to check if we are below the minimum balance, or above the maximun balance.
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If we are, we are not gooing to trigger on again.
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*/
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let minimumBalance
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let maximumBalance
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let balance
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if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
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balance = tradingEngine.current.balance.baseAsset.value
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minimumBalance = sessionParameters.sessionBaseAsset.config.minimumBalance
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maximumBalance = sessionParameters.sessionBaseAsset.config.maximumBalance
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} else {
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balance = tradingEngine.current.balance.quotedAsset.value
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minimumBalance = sessionParameters.sessionQuotedAsset.config.minimumBalance
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maximumBalance = sessionParameters.sessionQuotedAsset.config.maximumBalance
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}
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let stopRunningDate = new Date(candle.begin)
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if (balance <= minimumBalance) {
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tradingSystem.error = 'Min Balance @ ' + stopRunningDate.toLocaleString()
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> ' + tradingSystem.error) }
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afterLoop()
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return
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}
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if (balance >= maximumBalance) {
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tradingSystem.error = 'Max Balance @ ' + stopRunningDate.toLocaleString()
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> ' + tradingSystem.error) }
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afterLoop()
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return
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}
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}
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tradingSystemModule.checkTriggerOn()
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tradingSystemModule.checkTriggerOff()
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takePositionNow = tradingSystemModule.checkTakePosition()
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/* Stop Loss Management */
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if (
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(tradingEngine.current.strategy.stageType.value === 'Open Stage' || tradingEngine.current.strategy.stageType.value === 'Manage Stage') &&
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takePositionNow !== true
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) {
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tradingSystemModule.checkStopPhases()
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tradingSystemModule.calculateStopLoss()
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}
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/* Take Profit Management */
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if (
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(tradingEngine.current.strategy.stageType.value === 'Open Stage' || tradingEngine.current.strategy.stageType.value === 'Manage Stage') &&
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takePositionNow !== true
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) {
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tradingSystemModule.checkTakeProfitPhases()
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tradingSystemModule.calculateTakeProfit()
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}
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tradingEngineModule.updatePositionCounters()
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tradingEngineModule.updateDistanceToEventsCounters()
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/* Checking if Stop or Take Profit were hit */
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if (
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(tradingEngine.current.strategy.stageType.value === 'Open Stage' || tradingEngine.current.strategy.stageType.value === 'Manage Stage') &&
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takePositionNow !== true
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) {
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closePositionNow = tradingSystemModule.checkStopLossOrTakeProfitWasHit()
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}
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/* Taking a Position */
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if (
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takePositionNow === true
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) {
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takePositionNow = false
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tradingEngineModule.getReadyToTakePosition(candle)
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tradingExecutionModule.takePosition()
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tradingEngineModule.takePosition()
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}
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/* Closing a Position */
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if (
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closePositionNow === true
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) {
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closePositionNow = false
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tradingEngineModule.getReadyToClosePosition(candle)
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tradingExecutionModule.closePosition()
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tradingEngineModule.closePosition()
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}
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/* Closing the Closing Stage */
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if (tradingEngine.current.strategy.stageType.value === 'Close Stage') {
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if (candle.begin - 5 * 60 * 1000 > timerToCloseStage) {
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tradingEngine.current.strategy.end.value = candle.end
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tradingEngine.current.strategy.endRate.value = candle.min
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tradingEngine.current.strategy.status.value = 'Closed'
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tradingEngine.current.strategy.index.value = -1
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tradingEngine.current.strategy.stageType.value = 'No Stage'
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timerToCloseStage = 0
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tradingEngine.current.distanceToEvent.triggerOff.value = 1
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Closing the Closing Stage -> Exiting Close Stage.') }
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} else {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Closing the Closing Stage -> Waiting for timer.') }
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}
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}
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snapshotsModule.manageSnapshots()
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tradingRecordsModule.addSimulationRecord()
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tradingRecordsModule.addConditionsRecord()
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tradingRecordsModule.addStrategyRecord()
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tradingRecordsModule.addPositionRecord()
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/* We will remmember the last candle processed, so that if it is the last one of this run we can use it to continue from there next time. */
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tradingEngine.last.candle.begin = candle.begin
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tradingEngine.last.candle.end = candle.end
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/* After everything at the simulation level was done, we will do the annoucements that are pending. */
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annoucementsModule.makeAnnoucements()
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controlLoop()
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}
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function controlLoop() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> controlLoop -> Entering function.') }
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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.') }
|
|
console.log('[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this session.')
|
|
afterLoop()
|
|
return
|
|
}
|
|
|
|
if (global.STOP_TASK_GRACEFULLY === true) {
|
|
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.') }
|
|
console.log('[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this task.')
|
|
afterLoop()
|
|
return
|
|
}
|
|
|
|
tradingEngine.current.candle.index.value++
|
|
if (tradingEngine.current.candle.index.value < candles.length) {
|
|
setImmediate(loop) // This will execute the next loop in the next iteration of the NodeJs event loop allowing for other callbacks to be executed.
|
|
} else {
|
|
afterLoop()
|
|
}
|
|
}
|
|
|
|
function afterLoop() {
|
|
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> afterLoop -> Entering function.') }
|
|
|
|
tradingEngineModule.finalize()
|
|
tradingExecutionModule.finalize()
|
|
tradingSystemModule.finalize()
|
|
tradingRecordsModule.finalize()
|
|
snapshotsModule.finalize()
|
|
announcementsModule.finalize()
|
|
|
|
|
|
callback(tradingSystem, snapshots.headers, snapshots.triggerOn, snapshots.takePosition)
|
|
}
|
|
|
|
function getElement(pArray, currentCandle, datasetName) {
|
|
if (pArray === undefined) { return }
|
|
try {
|
|
let element
|
|
for (let i = 0; i < pArray.length; i++) {
|
|
element = pArray[i]
|
|
|
|
if (currentCandle.end === element.end) { // when there is an exact match at the end we take that element
|
|
return element
|
|
} else {
|
|
if (
|
|
i > 0 &&
|
|
element.end > currentCandle.end
|
|
) {
|
|
let previousElement = pArray[i - 1]
|
|
if (previousElement.end < currentCandle.end) {
|
|
return previousElement // If one elements goes into the future of currentCandle, then we stop and take the previous element.
|
|
} else {
|
|
return
|
|
}
|
|
}
|
|
if (
|
|
i === pArray.length - 1 // If we reach the end of the array, then we return the last element.
|
|
&&
|
|
element.end < currentCandle.end
|
|
) {
|
|
return element
|
|
}
|
|
}
|
|
}
|
|
return
|
|
} catch (err) {
|
|
logger.write(MODULE_NAME, '[ERROR] runSimulation -> getElement -> datasetName = ' + datasetName)
|
|
logger.write(MODULE_NAME, '[ERROR] runSimulation -> getElement -> err = ' + err.stack)
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE)
|
|
}
|
|
}
|
|
} catch (err) {
|
|
logger.write(MODULE_NAME, '[ERROR] runSimulation -> err = ' + err.stack)
|
|
callBackFunction(global.DEFAULT_FAIL_RESPONSE)
|
|
}
|
|
}
|
|
}
|
|
|