turingtrader.js/dist/profiling.js

A backtesting engine for Node.js

"use strict";

var _interopRequireDefault = require("@babel/runtime/helpers/interopRequireDefault");

var _regenerator = _interopRequireDefault(require("@babel/runtime/regenerator"));

var _asyncToGenerator2 = _interopRequireDefault(require("@babel/runtime/helpers/asyncToGenerator"));

var _ = require(".");

//==============================================================================
// Name:        profiling
// Project:     TuringTrader.js
// Description: simple portfolio for profiling purposes
// History:     FUB, 2021viiii10, created
//==============================================================================
// see https://nodejs.org/en/docs/guides/simple-profiling/
// see https://nodejs.org/en/docs/guides/diagnostics-flamegraph/
//------------------------------------------------------------------------------
var algo = {
  run: function run(sim) {
    sim.startDate = new Date("2007-01-01T18:00:00.000-05:00"); // 6pm in America/New York (winter)

    sim.endDate = new Date("2020-12-31T18:00:00.000-05:00"); // 6pm in America/New York (winter)

    sim.deposit(1000);
    return sim.loop( /*#__PURE__*/(0, _asyncToGenerator2["default"])( /*#__PURE__*/_regenerator["default"].mark(function _callee() {
      var orders;
      return _regenerator["default"].wrap(function _callee$(_context) {
        while (1) {
          switch (_context.prev = _context.next) {
            case 0:
              orders = [];

              if (sim.t(0).getMonth() !== sim.t(-1).getMonth()) {
                orders.push(sim.asset("spy").alloc(0.25, sim.orderTypes.mktNextOpen));
                orders.push(sim.asset("tlt").alloc(0.25, sim.orderTypes.mktNextOpen));
                orders.push(sim.asset("shy").alloc(0.25, sim.orderTypes.mktNextOpen));
                orders.push(sim.asset("gld").alloc(0.25, sim.orderTypes.mktNextOpen));
              }

              return _context.abrupt("return", orders);

            case 3:
            case "end":
              return _context.stop();
          }
        }
      }, _callee);
    })));
  }
}; //------------------------------------------------------------------------------

var profilingBacktest = /*#__PURE__*/function () {
  var _ref2 = (0, _asyncToGenerator2["default"])( /*#__PURE__*/_regenerator["default"].mark(function _callee2() {
    var profiler0, result, profiler1, report, profiler2;
    return _regenerator["default"].wrap(function _callee2$(_context2) {
      while (1) {
        switch (_context2.prev = _context2.next) {
          case 0:
            profiler0 = Date.now();
            _context2.next = 3;
            return (0, _.createSimulator)(algo).run();

          case 3:
            result = _context2.sent;
            profiler1 = Date.now();
            _context2.next = 7;
            return (0, _.createReport)(result);

          case 7:
            report = _context2.sent;
            profiler2 = Date.now();
            console.log("simulation run: ".concat(profiler1 - profiler0, "ms"));
            console.log("simulation report: ".concat(profiler2 - profiler1, "ms"));

          case 11:
          case "end":
            return _context2.stop();
        }
      }
    }, _callee2);
  }));

  return function profilingBacktest() {
    return _ref2.apply(this, arguments);
  };
}();

profilingBacktest(); //==============================================================================
// end of file