User.Bot.js

exports.newUserBot = function newUserBot(bot, logger, COMMONS, UTILITIES, fileStorage) {

    const FULL_LOG = true;
    const LOG_FILE_CONTENT = false;

    const MODULE_NAME = "User Bot";

    const EXECUTION_FOLDER_NAME = "Trading-Execution";
    const SIMULATED_RECORDS_FOLDER_NAME = "Trading-Simulation";
    const CONDITIONS_FOLDER_NAME = "Simulation-Conditions";
    const STRATEGIES_FOLDER_NAME = "Simulation-Strategies";
    const TRADES_FOLDER_NAME = "Simulation-Trades";

    const commons = COMMONS.newCommons(bot, logger, UTILITIES);

    thisObject = {
        initialize: initialize,
        start: start
    };

    let utilities = UTILITIES.newCloudUtilities(bot, logger);

    let dataDependencies;
    let assistant;

    return thisObject;

    function initialize(pDataDependencies, callBackFunction, pAssistant) {

        try {

            logger.fileName = MODULE_NAME;
            logger.initialize();

            if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] initialize -> Entering function."); }

            dataDependencies = pDataDependencies;
            assistant = pAssistant;

            callBackFunction(global.DEFAULT_OK_RESPONSE);

        } catch (err) {
            logger.write(MODULE_NAME, "[ERROR] initialize -> err = " + err.stack);
            callBackFunction(global.DEFAULT_FAIL_RESPONSE);
        }
    }

    function start(dataFiles, timePeriod, outputPeriodLabel, currentDay, startDate, endDate, interExecutionMemory, callBackFunction) {

        try {

            if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> Entering function."); }

            let market = global.MARKET;
            let dataFile;

            let recordsArray
            let conditionsArray 
            let strategiesArray 
            let tradesArray 
            let lastObjectsArray 

            let tradingSystem = {};
            
            commons.initializeData();

            for (let i = 0; i < dataDependencies.config.length; i++) {

                let dependency = dataDependencies.config[i];
                dataFile = dataFiles[i];

                switch (i) {
                    /*
                    case 0: {
                        commons.buildLRC(dataFile, callBackFunction);
                        break;
                    }*/
                    case 0: {
                        commons.buildPercentageBandwidthMap(dataFile, callBackFunction);
                        break;
                    }
                    case 1: {
                        commons.buildBollingerBandsMap(dataFile, callBackFunction);
                        break;
                    }
                    case 2: {
                        commons.buildBollingerChannelsArray(dataFile, callBackFunction);
                        break;
                    }
                    case 3: {
                        commons.buildBollingerSubChannelsArray(dataFile, callBackFunction);
                        break;
                    }
                    case 4: {
                        commons.buildCandles(dataFile, callBackFunction);
                        break;
                    }
                }
            }

            commons.runSimulation(
                timePeriod,
                currentDay,
                startDate,
                endDate,
                interExecutionMemory,
                assistant,
                writeFiles,
                callBackFunction)

            function writeFiles(pTradingSystem, pExecutionArray, pRecordsArray, pConditionsArray, pStrategiesArray, pTradesArray, pLastObjectsArray) {

                tradingSystem = pTradingSystem
                executionArray = pExecutionArray
                recordsArray = pRecordsArray
                conditionsArray = pConditionsArray
                strategiesArray = pStrategiesArray
                tradesArray = pTradesArray
                lastObjectsArray = pLastObjectsArray

                writeExecutionFile()
            }

            function writeExecutionFile() {

                try {

                    if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> Entering function."); }

                    let separator = "";
                    let fileRecordCounter = 0;

                    let fileContent = "";

                    for (let i = 0; i < executionArray.length; i++) {

                        let record = executionArray[i];

                        /* Will only add to the file the records of the current day */

                        if (record.begin < currentDay.valueOf()) { continue; }

                        fileContent = fileContent + separator + '[' +
                            record.begin + "," +
                            record.end + "," +
                            JSON.stringify(record.executionRecord) + "]";

                        if (separator === "") { separator = ","; }

                        fileRecordCounter++;

                    }

                    fileContent = "[" + fileContent + "]";

                    let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
                    let fileName = '' + market.assetA + '_' + market.assetB + '.json';

                    let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
                    let filePath = filePathRoot + "/Output/" + EXECUTION_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath;
                    filePath += '/' + fileName

                    fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);

                    function onFileCreated(err) {

                        try {

                            if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> onFileCreated -> Entering function."); }
                            if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> onFileCreated -> fileContent = " + fileContent); }

                            if (err.result !== global.DEFAULT_OK_RESPONSE.result) {

                                logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> err = " + err.stack);
                                logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> filePath = " + filePath);
                                logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);

                                callBackFunction(err);
                                return;

                            }

                            writeRecordsFile();

                        }
                        catch (err) {
                            logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> err = " + err.stack);
                            callBackFunction(global.DEFAULT_FAIL_RESPONSE);
                        }
                    }
                }
                catch (err) {
                    logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> err = " + err.stack);
                    callBackFunction(global.DEFAULT_FAIL_RESPONSE);
                }
            }

            function writeRecordsFile() {

                try {

                    if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeRecordsFile -> Entering function."); }

                    let separator = "";
                    let fileRecordCounter = 0;

                    let fileContent = "";

                    for (let i = 0; i < recordsArray.length; i++) {

                        let record = recordsArray[i];

                        /* Will only add to the file the records of the current day */

                        if (record.begin < currentDay.valueOf()) { continue; }

                        fileContent = fileContent + separator + '[' +
                            record.begin + "," +
                            record.end + "," +
                            record.type + "," +
                            record.marketRate + "," +
                            record.amount + "," +
                            record.balanceA + "," +
                            record.balanceB + "," +
                            record.profit + "," +
                            record.lastTradeProfitLoss + "," +
                            record.stopLoss + "," +
                            record.roundtrips + "," +
                            record.hits + "," +
                            record.fails + "," +
                            record.hitRatio + "," +
                            record.ROI + "," +
                            record.periods + "," +
                            record.days + "," +
                            record.anualizedRateOfReturn + "," +
                            record.positionRate + "," +
                            record.lastTradeROI + "," +
                            record.strategy + "," +
                            record.strategyStageNumber + "," +
                            record.takeProfit + "," +
                            record.stopLossPhase + "," +
                            record.takeProfitPhase + "," +
                            JSON.stringify(record.executionRecord) + "," +
                            record.positionSize + "," +
                            record.initialBalanceA + "," +
                            record.minimumBalanceA + "," +
                            record.maximumBalanceA + "," +
                            record.initialBalanceB + "," +
                            record.minimumBalanceB + "," +
                            record.maximumBalanceB + "," +
                            record.baseAsset + "," +
                            record.positionPeriods + "," +
                            record.positionDays + "]";

                        if (separator === "") { separator = ","; }

                        fileRecordCounter++;

                    }

                    fileContent = "[" + fileContent + "]";

                    let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
                    let fileName = '' + market.assetA + '_' + market.assetB + '.json';

                    let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
                    let filePath = filePathRoot + "/Output/" + SIMULATED_RECORDS_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath;
                    filePath += '/' + fileName

                    fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);

                    function onFileCreated(err) {

                        try {

                            if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeRecordsFile -> onFileCreated -> Entering function."); }
                            if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeRecordsFile -> onFileCreated -> fileContent = " + fileContent); }

                            if (err.result !== global.DEFAULT_OK_RESPONSE.result) {

                                logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> onFileCreated -> err = " + err.stack);
                                logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> onFileCreated -> filePath = " + filePath);
                                logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);

                                callBackFunction(err);
                                return;

                            }

                            writeConditionsFile();

                        }
                        catch (err) {
                            logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> onFileCreated -> err = " + err.stack);
                            callBackFunction(global.DEFAULT_FAIL_RESPONSE);
                        }
                    }
                }
                catch (err) {
                    logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> err = " + err.stack);
                    callBackFunction(global.DEFAULT_FAIL_RESPONSE);
                }
            }

            function writeConditionsFile() {

                try {

                    if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeConditionsFile -> Entering function."); }

                    let separator = "";
                    let fileRecordCounter = 0;

                    let fileContent = "";

                    for (let i = 0; i < conditionsArray.length; i++) {

                        let record = conditionsArray[i];

                        /* Will only add to the file the records of the current day */

                        if (record.begin < currentDay.valueOf()) { continue; }

                        let conditions = "";
                        let conditionsSeparator = "";

                        /* Will only add to the file the records of the current day */

                        if (record.begin < currentDay.valueOf()) { continue; }

                        for (let j = 0; j < record.length - 3; j++) {
                            conditions = conditions + conditionsSeparator + record[j];
                            if (conditionsSeparator === "") { conditionsSeparator = ","; }
                        }

                        conditions = conditions + conditionsSeparator + '[' + record[record.length - 3] + ']';   // The last item contains an Array of condition values.
                        conditions = conditions + conditionsSeparator + '[' + record[record.length - 2] + ']';   // The last item contains an Array of formulaErrors.
                        conditions = conditions + conditionsSeparator + '[' + record[record.length - 1] + ']';   // The last item contains an Array of formulaValues.

                        fileContent = fileContent + separator + '[' + conditions + ']';

                        if (separator === "") { separator = ","; }

                        fileRecordCounter++;

                    }

                    fileContent = "[" + fileContent + "]";
                    fileContent = "[" + JSON.stringify(tradingSystem) + "," + JSON.stringify(lastObjectsArray) + "," + fileContent + "]";

                    let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
                    let fileName = '' + market.assetA + '_' + market.assetB + '.json';

                    let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
                    let filePath = filePathRoot + "/Output/" + CONDITIONS_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath;
                    filePath += '/' + fileName

                    fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);

                    function onFileCreated(err) {

                        try {

                            if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeConditionsFile -> onFileCreated -> Entering function."); }
                            if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeConditionsFile -> onFileCreated -> fileContent = " + fileContent); }

                            if (err.result !== global.DEFAULT_OK_RESPONSE.result) {

                                logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> onFileCreated -> err = " + err.stack);
                                logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> onFileCreated -> filePath = " + filePath);
                                logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);

                                callBackFunction(err);
                                return;

                            }

                            writeStrategiesFile();

                        }
                        catch (err) {
                            logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> onFileCreated -> err = " + err.stack);
                            callBackFunction(global.DEFAULT_FAIL_RESPONSE);
                        }
                    }
                }
                catch (err) {
                    logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> err = " + err.stack);
                    callBackFunction(global.DEFAULT_FAIL_RESPONSE);
                }
            }

            function writeStrategiesFile() {

                try {

                    if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> Entering function."); }

                    let separator = "";
                    let fileRecordCounter = 0;

                    let fileContent = "";

                    for (let i = 0; i < strategiesArray.length; i++) {
                        let record = strategiesArray[i];

                        /* Will only add to the file the records of the current day. In this case since objects can span more than one day, we add all of the objects that ends
                        at the current date. */

                        if (record.end < currentDay.valueOf()) { continue; }

                        fileContent = fileContent + separator + '[' +
                            record.begin + "," +
                            record.end + "," +
                            record.status + "," +
                            record.number + "," +
                            record.beginRate + "," +
                            record.endRate + "]";

                        if (separator === "") { separator = ","; }

                        fileRecordCounter++;

                    }

                    fileContent = "[" + fileContent + "]";

                    let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
                    let fileName = '' + market.assetA + '_' + market.assetB + '.json';

                    let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
                    let filePath = filePathRoot + "/Output/" + STRATEGIES_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath;
                    filePath += '/' + fileName

                    fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);

                    function onFileCreated(err) {

                        try {

                            if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> onFileCreated -> Entering function."); }
                            if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> onFileCreated -> fileContent = " + fileContent); }

                            if (err.result !== global.DEFAULT_OK_RESPONSE.result) {

                                logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> err = " + err.stack);
                                logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> filePath = " + filePath);
                                logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);

                                callBackFunction(err);
                                return;

                            }

                            writeTradesFile();

                        }
                        catch (err) {
                            logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> err = " + err.stack);
                            callBackFunction(global.DEFAULT_FAIL_RESPONSE);
                        }
                    }
                }
                catch (err) {
                    logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> err = " + err.stack);
                    callBackFunction(global.DEFAULT_FAIL_RESPONSE);
                }
            }

            function writeTradesFile() {

                try {

                    if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> Entering function."); }

                    let separator = "";
                    let fileRecordCounter = 0;

                    let fileContent = "";

                    for (let i = 0; i < tradesArray.length; i++) {

                        let record = tradesArray[i];

                        /* Will only add to the file the records of the current day. In this case since objects can span more than one day, we add all of the objects that ends
                        at the current date. */

                        if (record.end < currentDay.valueOf()) { continue; }
                        if (record.stopRate === undefined) { record.stopRate = 0}

                        fileContent = fileContent + separator + '[' +
                            record.begin + "," +
                            record.end + "," +
                            record.status + "," +
                            record.lastTradeROI + "," +
                            record.beginRate + "," +
                            record.endRate + "," +
                            record.exitType + "," +
                            record.stopRate + "]";

                        if (separator === "") { separator = ","; }

                        fileRecordCounter++;

                    }

                    fileContent = "[" + fileContent + "]";

                    let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
                    let fileName = '' + market.assetA + '_' + market.assetB + '.json';

                    let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
                    let filePath = filePathRoot + "/Output/" + TRADES_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath;
                    filePath += '/' + fileName

                    fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);

                    function onFileCreated(err) {

                        try {

                            if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> onFileCreated -> Entering function."); }
                            if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> onFileCreated -> fileContent = " + fileContent); }

                            if (err.result !== global.DEFAULT_OK_RESPONSE.result) {

                                logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> err = " + err.stack);
                                logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> filePath = " + filePath);
                                logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);

                                callBackFunction(err);
                                return;

                            }

                            callBackFunction(global.DEFAULT_OK_RESPONSE);

                        }
                        catch (err) {
                            logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> err = " + err.stack);
                            callBackFunction(global.DEFAULT_FAIL_RESPONSE);
                        }
                    }
                }
                catch (err) {
                    logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> err = " + err.stack);
                    callBackFunction(global.DEFAULT_FAIL_RESPONSE);
                }
            }


        }
        catch (err) {
            logger.write(MODULE_NAME, "[ERROR] start -> err = " + err.stack);
            callBackFunction(global.DEFAULT_FAIL_RESPONSE);
        }
    }
};