@backtest/framework/dist/src/helpers/orders.js

Backtesting trading strategies in TypeScript / JavaScript

"use strict";
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}) : function(o, v) {
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});
var __importStar = (this && this.__importStar) || (function () {
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var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
    function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
    return new (P || (P = Promise))(function (resolve, reject) {
        function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
        function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
        function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
        step((generator = generator.apply(thisArg, _arguments || [])).next());
    });
};
Object.defineProperty(exports, "__esModule", { value: true });
exports.allOrders = exports.orderBook = void 0;
exports.clearOrders = clearOrders;
exports.getCurrentWorth = getCurrentWorth;
exports.realBuy = realBuy;
exports.realSell = realSell;
const parse_1 = require("./parse");
const error_1 = require("./error");
const logger = __importStar(require("./logger"));
exports.orderBook = {
    bought: false,
    boughtLong: false,
    boughtShort: false,
    baseAmount: 0,
    quoteAmount: 0,
    borrowedBaseAmount: 0,
    preBoughtQuoteAmount: 0,
    fakeQuoteAmount: 0,
    stopLoss: 0,
    takeProfit: 0
};
exports.allOrders = [];
function clearOrders() {
    return __awaiter(this, void 0, void 0, function* () {
        exports.allOrders = [];
    });
}
function getCurrentWorth(close, high, low, open) {
    return __awaiter(this, void 0, void 0, function* () {
        if (!exports.orderBook.bought)
            return {
                close: (0, parse_1.round)(exports.orderBook.quoteAmount),
                high: (0, parse_1.round)(exports.orderBook.quoteAmount),
                low: (0, parse_1.round)(exports.orderBook.quoteAmount),
                open: (0, parse_1.round)(exports.orderBook.quoteAmount)
            };
        let currentWorth = exports.orderBook.fakeQuoteAmount;
        currentWorth += exports.orderBook.baseAmount * close;
        currentWorth -= exports.orderBook.borrowedBaseAmount * close;
        if (high !== undefined && low !== undefined && open !== undefined) {
            let openWorth = exports.orderBook.fakeQuoteAmount;
            openWorth += exports.orderBook.baseAmount * open;
            openWorth -= exports.orderBook.borrowedBaseAmount * open;
            let highestWorth = exports.orderBook.fakeQuoteAmount;
            highestWorth += exports.orderBook.baseAmount * high;
            highestWorth -= exports.orderBook.borrowedBaseAmount * high;
            let lowestWorth = exports.orderBook.fakeQuoteAmount;
            lowestWorth += exports.orderBook.baseAmount * low;
            lowestWorth -= exports.orderBook.borrowedBaseAmount * low;
            return {
                close: (0, parse_1.round)(currentWorth),
                high: highestWorth >= lowestWorth ? (0, parse_1.round)(highestWorth) : (0, parse_1.round)(lowestWorth),
                low: highestWorth >= lowestWorth ? (0, parse_1.round)(lowestWorth) : (0, parse_1.round)(highestWorth),
                open: (0, parse_1.round)(openWorth)
            };
        }
        return { close: (0, parse_1.round)(currentWorth), high: (0, parse_1.round)(currentWorth), low: (0, parse_1.round)(currentWorth), open: (0, parse_1.round)(currentWorth) };
    });
}
function realBuy(buyParams) {
    return __awaiter(this, void 0, void 0, function* () {
        var _a, _b, _c;
        if (exports.orderBook.quoteAmount > 0) {
            buyParams.price = (_a = buyParams.price) !== null && _a !== void 0 ? _a : 0;
            buyParams.percentSlippage = (_b = buyParams.percentSlippage) !== null && _b !== void 0 ? _b : 0;
            buyParams.percentFee = (_c = buyParams.percentFee) !== null && _c !== void 0 ? _c : 0;
            if (buyParams.position === undefined) {
                buyParams.position = 'long';
            }
            if (buyParams.position === 'long' && buyParams.percentSlippage > 0) {
                buyParams.price = buyParams.price * (1 + buyParams.percentSlippage / 100);
            }
            else if (buyParams.position === 'short' && buyParams.percentSlippage > 0) {
                buyParams.price = buyParams.price * (1 - buyParams.percentSlippage / 100);
            }
            const order = {
                type: 'buy',
                position: 'long',
                price: buyParams.price,
                amount: 0,
                worth: 0,
                quoteAmount: 0,
                baseAmount: 0,
                borrowedBaseAmount: 0,
                profitAmount: 0,
                profitPercent: 0,
                time: buyParams.date,
                note: buyParams.note || ''
            };
            if (buyParams.amount !== undefined && buyParams.baseAmount !== undefined) {
                throw new error_1.BacktestError(`Cannot send amount and base amount for a buy order, sent amount: ${buyParams.amount} and base amount: ${buyParams.baseAmount}`, error_1.ErrorCode.ActionFailed);
            }
            else if (buyParams.amount === undefined && buyParams.baseAmount === undefined) {
                buyParams.amount = exports.orderBook.quoteAmount;
            }
            else if (buyParams.baseAmount !== undefined) {
                buyParams.amount = buyParams.baseAmount * buyParams.price;
            }
            else if (typeof buyParams.amount === 'string') {
                if (buyParams.amount.includes('%')) {
                    buyParams.amount = buyParams.amount.replace('%', '');
                }
                else {
                    throw new error_1.BacktestError(`If sending a string for buy amount you must provide a % instead received ${buyParams.amount}`, error_1.ErrorCode.ActionFailed);
                }
                if (typeof +buyParams.amount === 'number' && +buyParams.amount <= 100 && +buyParams.amount > 0) {
                    buyParams.amount = exports.orderBook.quoteAmount * (+buyParams.amount / 100);
                }
                else {
                    throw new error_1.BacktestError(`Buy amount does not have a valid number or is not > 0 and <= 100, expected a valid number instead received ${buyParams.amount}`, error_1.ErrorCode.ActionFailed);
                }
            }
            if (typeof buyParams.amount === 'number' && buyParams.amount <= 0) {
                throw new error_1.BacktestError('Returning because there is no amount to buy', error_1.ErrorCode.ActionFailed);
            }
            if (typeof buyParams.amount === 'number' && buyParams.amount > exports.orderBook.quoteAmount) {
                buyParams.amount = exports.orderBook.quoteAmount;
            }
            if (typeof buyParams.amount === 'number') {
                let amountAfterFee = buyParams.amount;
                if (buyParams.percentFee > 0)
                    amountAfterFee = buyParams.amount * (1 - buyParams.percentFee / 100);
                if (!exports.orderBook.bought) {
                    exports.orderBook.preBoughtQuoteAmount = exports.orderBook.quoteAmount;
                    exports.orderBook.bought = true;
                }
                if (buyParams.position === 'long') {
                    exports.orderBook.baseAmount += amountAfterFee / buyParams.price;
                    exports.orderBook.quoteAmount -= buyParams.amount;
                    exports.orderBook.fakeQuoteAmount -= buyParams.amount;
                }
                else if (buyParams.position === 'short') {
                    if (buyParams.percentFee > 0)
                        amountAfterFee = buyParams.amount * (1 + buyParams.percentFee / 100);
                    exports.orderBook.quoteAmount -= buyParams.amount;
                    exports.orderBook.fakeQuoteAmount += buyParams.amount;
                    exports.orderBook.borrowedBaseAmount += amountAfterFee / buyParams.price;
                    order.position = 'short';
                }
                exports.orderBook.boughtLong = exports.orderBook.baseAmount === 0 ? false : true;
                exports.orderBook.boughtShort = exports.orderBook.borrowedBaseAmount === 0 ? false : true;
                order.quoteAmount = (0, parse_1.round)(exports.orderBook.quoteAmount);
                order.baseAmount = (0, parse_1.round)(exports.orderBook.baseAmount);
                order.borrowedBaseAmount = (0, parse_1.round)(exports.orderBook.borrowedBaseAmount);
                order.amount = (0, parse_1.round)(buyParams.amount);
                order.worth = (yield getCurrentWorth(buyParams.currentClose)).close;
                exports.allOrders.push(order);
                logger.trace(`Successfully bought amount of ${buyParams.amount}`);
                return true;
            }
            else {
                throw new error_1.BacktestError(`Buy amount or symbol price does not have a valid number, expected a valid number instead received amount: ${buyParams.amount} and symbol price: ${buyParams.price}`, error_1.ErrorCode.ActionFailed);
            }
        }
        return true;
    });
}
function realSell(sellParams) {
    return __awaiter(this, void 0, void 0, function* () {
        var _a, _b, _c;
        if (exports.orderBook.bought) {
            sellParams.price = (_a = sellParams.price) !== null && _a !== void 0 ? _a : 0;
            sellParams.percentSlippage = (_b = sellParams.percentSlippage) !== null && _b !== void 0 ? _b : 0;
            sellParams.percentFee = (_c = sellParams.percentFee) !== null && _c !== void 0 ? _c : 0;
            if (sellParams.position === undefined) {
                if (exports.orderBook.baseAmount > 0 && exports.orderBook.borrowedBaseAmount > 0)
                    sellParams.position = 'both';
                else if (exports.orderBook.baseAmount > 0)
                    sellParams.position = 'long';
                else if (exports.orderBook.borrowedBaseAmount > 0)
                    sellParams.position = 'short';
            }
            if (sellParams.position === 'long' && sellParams.percentSlippage > 0) {
                sellParams.price = sellParams.price * (1 - sellParams.percentSlippage / 100);
            }
            else if (sellParams.position === 'short' && sellParams.percentSlippage > 0) {
                sellParams.price = sellParams.price * (1 + sellParams.percentSlippage / 100);
            }
            const order = {
                type: 'sell',
                position: 'long',
                price: sellParams.price,
                amount: 0,
                worth: 0,
                quoteAmount: 0,
                baseAmount: 0,
                borrowedBaseAmount: 0,
                profitAmount: 0,
                profitPercent: 0,
                time: sellParams.date,
                note: sellParams.note || ''
            };
            if (sellParams.amount !== undefined && sellParams.baseAmount !== undefined) {
                throw new error_1.BacktestError(`Cannot send amount and base amount for a sell order, sent amount: ${sellParams.amount} and base amount: ${sellParams.baseAmount}`, error_1.ErrorCode.ActionFailed);
            }
            else if (sellParams.position === 'both' &&
                (sellParams.amount !== undefined || sellParams.baseAmount !== undefined))
                throw new error_1.BacktestError(`When selling both long and short you cannot send amount or base amount (in such case its sell all), sent amount: ${sellParams.amount} and base amount: ${sellParams.baseAmount}`, error_1.ErrorCode.ActionFailed);
            if (sellParams.position === 'long' || sellParams.position === 'both') {
                if (sellParams.amount === undefined && sellParams.baseAmount === undefined)
                    sellParams.baseAmount = exports.orderBook.baseAmount;
                else if (sellParams.amount !== undefined) {
                    if (typeof sellParams.amount === 'string') {
                        if (sellParams.amount.includes('%')) {
                            sellParams.amount = sellParams.amount.replace('%', '');
                        }
                        else {
                            throw new error_1.BacktestError(`If sending a string for sell amount you must provide a %, instead received ${sellParams.amount}`, error_1.ErrorCode.ActionFailed);
                        }
                        if (typeof +sellParams.amount === 'number' && +sellParams.amount <= 100 && +sellParams.amount > 0) {
                            sellParams.baseAmount = exports.orderBook.baseAmount * (+sellParams.amount / 100);
                        }
                        else {
                            throw new error_1.BacktestError(`Sell amount does not have a valid number or is not > 0 and <= 100, expected a valid number instead received ${sellParams.amount}`, error_1.ErrorCode.ActionFailed);
                        }
                    }
                    else if (typeof sellParams.amount === 'number' &&
                        typeof sellParams.price === 'number' &&
                        sellParams.amount > 0) {
                        sellParams.baseAmount = sellParams.amount / sellParams.price;
                    }
                    else {
                        throw new error_1.BacktestError(`Sell amount must be more than 0 or symbol price does not have a valid number, instead received amount: ${sellParams.amount} and symbol price: ${sellParams.price}`, error_1.ErrorCode.ActionFailed);
                    }
                }
                if (typeof sellParams.baseAmount === 'number' && sellParams.baseAmount <= 0) {
                    throw new error_1.BacktestError('Returning because there is no amount to sell', error_1.ErrorCode.ActionFailed);
                }
                if (typeof sellParams.baseAmount === 'number' && sellParams.baseAmount > exports.orderBook.baseAmount) {
                    sellParams.baseAmount = exports.orderBook.baseAmount;
                }
                if (typeof sellParams.baseAmount === 'number' && typeof sellParams.price === 'number') {
                    let amountAfterFee = sellParams.baseAmount;
                    if (sellParams.percentFee > 0)
                        amountAfterFee = sellParams.baseAmount * (1 - sellParams.percentFee / 100);
                    exports.orderBook.baseAmount -= sellParams.baseAmount;
                    exports.orderBook.quoteAmount += amountAfterFee * sellParams.price;
                    exports.orderBook.fakeQuoteAmount += amountAfterFee * sellParams.price;
                    order.amount = (0, parse_1.round)(sellParams.baseAmount * sellParams.price);
                }
                order.quoteAmount = (0, parse_1.round)(exports.orderBook.quoteAmount);
                order.baseAmount = (0, parse_1.round)(exports.orderBook.baseAmount);
                order.borrowedBaseAmount = (0, parse_1.round)(exports.orderBook.borrowedBaseAmount);
                if (exports.orderBook.baseAmount === 0 && exports.orderBook.borrowedBaseAmount === 0) {
                    const percentBetween = -(((exports.orderBook.preBoughtQuoteAmount - exports.orderBook.quoteAmount) / exports.orderBook.preBoughtQuoteAmount) *
                        100);
                    order.profitAmount = +-(exports.orderBook.preBoughtQuoteAmount - exports.orderBook.quoteAmount).toFixed(2);
                    order.profitPercent = +percentBetween.toFixed(2);
                }
                order.worth = (yield getCurrentWorth(sellParams.currentClose)).close;
                exports.allOrders.push(order);
            }
            const orderShort = {
                type: 'sell',
                position: 'short',
                price: sellParams.price,
                amount: 0,
                worth: 0,
                quoteAmount: 0,
                baseAmount: 0,
                borrowedBaseAmount: 0,
                profitAmount: 0,
                profitPercent: 0,
                time: sellParams.date
            };
            if (sellParams.position === 'short' || sellParams.position === 'both') {
                if (sellParams.position === 'both') {
                    sellParams.amount = undefined;
                    sellParams.baseAmount = undefined;
                }
                if (sellParams.amount === undefined && sellParams.baseAmount === undefined)
                    sellParams.baseAmount = exports.orderBook.borrowedBaseAmount;
                else if (sellParams.amount !== undefined) {
                    if (typeof sellParams.amount === 'string') {
                        if (sellParams.amount.includes('%')) {
                            sellParams.amount = sellParams.amount.replace('%', '');
                        }
                        else {
                            throw new error_1.BacktestError(`If sending a string for sell amount you must provide a %', instead received ${sellParams.amount}`, error_1.ErrorCode.ActionFailed);
                        }
                        if (typeof +sellParams.amount === 'number' && +sellParams.amount <= 100 && +sellParams.amount > 0) {
                            sellParams.baseAmount = exports.orderBook.borrowedBaseAmount * (+sellParams.amount / 100);
                        }
                        else {
                            throw new error_1.BacktestError(`Sell amount does not have a valid number or is not > 0 and <= 100, expected a valid number instead received ${sellParams.amount}`, error_1.ErrorCode.ActionFailed);
                        }
                    }
                    else if (typeof sellParams.amount === 'number' &&
                        typeof sellParams.price === 'number' &&
                        sellParams.amount > 0) {
                        sellParams.baseAmount = sellParams.amount / sellParams.price;
                    }
                    else {
                        throw new error_1.BacktestError(`Sell amount must be more than 0 or symbol price does not have a valid number, instead received amount: ${sellParams.amount} and symbol price: ${sellParams.price}`, error_1.ErrorCode.ActionFailed);
                    }
                }
                if (typeof sellParams.baseAmount === 'number' && sellParams.baseAmount <= 0) {
                    throw new error_1.BacktestError('Returning because there is no amount to sell', error_1.ErrorCode.ActionFailed);
                }
                if (typeof sellParams.baseAmount === 'number' && sellParams.baseAmount > exports.orderBook.borrowedBaseAmount) {
                    sellParams.baseAmount = exports.orderBook.borrowedBaseAmount;
                }
                if (typeof sellParams.baseAmount === 'number' && typeof sellParams.price === 'number') {
                    let amountAfterFee = sellParams.baseAmount;
                    if (sellParams.percentFee > 0)
                        amountAfterFee = sellParams.baseAmount * (1 - sellParams.percentFee / 100);
                    const price = amountAfterFee * sellParams.price;
                    exports.orderBook.borrowedBaseAmount -= sellParams.baseAmount;
                    exports.orderBook.fakeQuoteAmount -= price;
                    if (exports.orderBook.borrowedBaseAmount === 0)
                        exports.orderBook.quoteAmount = exports.orderBook.fakeQuoteAmount;
                    else
                        exports.orderBook.quoteAmount += price;
                    orderShort.amount = (0, parse_1.round)(sellParams.baseAmount * sellParams.price);
                }
                orderShort.quoteAmount = (0, parse_1.round)(exports.orderBook.quoteAmount);
                orderShort.baseAmount = (0, parse_1.round)(exports.orderBook.baseAmount);
                orderShort.borrowedBaseAmount = (0, parse_1.round)(exports.orderBook.borrowedBaseAmount);
                if (exports.orderBook.baseAmount === 0 && exports.orderBook.borrowedBaseAmount === 0) {
                    const percentBetween = -(((exports.orderBook.preBoughtQuoteAmount - exports.orderBook.quoteAmount) / exports.orderBook.preBoughtQuoteAmount) *
                        100);
                    orderShort.profitAmount = +-(exports.orderBook.preBoughtQuoteAmount - exports.orderBook.quoteAmount).toFixed(2);
                    orderShort.profitPercent = +percentBetween.toFixed(2);
                }
                orderShort.worth = (yield getCurrentWorth(sellParams.currentClose)).close;
                exports.allOrders.push(orderShort);
            }
            exports.orderBook.boughtLong = exports.orderBook.baseAmount === 0 ? false : true;
            exports.orderBook.boughtShort = exports.orderBook.borrowedBaseAmount === 0 ? false : true;
            exports.orderBook.bought = exports.orderBook.boughtLong || exports.orderBook.boughtShort;
            if (!exports.orderBook.bought)
                exports.orderBook.preBoughtQuoteAmount = exports.orderBook.quoteAmount;
            exports.orderBook.stopLoss = 0;
            exports.orderBook.takeProfit = 0;
        }
        return true;
    });
}
//# sourceMappingURL=orders.js.map