first commit

plugins/performanceAnalyzer/logger.js

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+// log trade performance results
+
+const _ = require('lodash');
+const moment = require('moment');
+const humanizeDuration = require('humanize-duration');
+
+const util = require('../../core/util.js');
+const dirs = util.dirs();
+const mode = util.gekkoMode();
+const log = require(dirs.core + 'log');
+
+const Logger = function(watchConfig) {
+  this.currency = watchConfig.currency;
+  this.asset = watchConfig.asset;
+
+  this.roundtrips = [];
+}
+
+Logger.prototype.round = function(amount) {
+  return amount.toFixed(8);
+}
+
+// used for:
+// - realtime logging (per advice)
+// - backtest logging (on finalize)
+Logger.prototype.logReport = function(trade, report) {
+  // ignore the trade
+
+  var start = this.round(report.startBalance);
+  var current = this.round(report.balance);
+
+  log.info(`(PROFIT REPORT) original balance:\t\t ${start} ${this.currency}`);
+  log.info(`(PROFIT REPORT) current balance:\t\t ${current} ${this.currency}`);
+  log.info(
+    `(PROFIT REPORT) profit:\t\t\t\t ${this.round(report.profit)} ${this.currency}`,
+    `(${this.round(report.relativeProfit)}%)`
+  );
+}
+
+Logger.prototype.logRoundtripHeading = function() {
+  log.info('(ROUNDTRIP)', 'entry date (UTC)  \texit date (UTC)  \texposed duration\tP&L \tprofit');
+}
+
+Logger.prototype.logRoundtrip = function(rt) {
+  const display = [
+    rt.entryAt.utc().format('YYYY-MM-DD HH:mm'),
+    rt.exitAt.utc().format('YYYY-MM-DD HH:mm'),
+    (moment.duration(rt.duration).humanize() + "           ").slice(0, 16),
+    rt.pnl.toFixed(2),
+    rt.profit.toFixed(2)
+  ];
+
+  log.info('(ROUNDTRIP)', display.join('\t'));
+}
+
+if(mode === 'backtest') {
+  // we only want to log a summarized one line report, like:
+  // 2016-12-19 20:12:00: Paper trader simulated a BUY 0.000 USDT => 1.098 BTC
+  Logger.prototype.handleTrade = function(trade) {
+    if(trade.action !== 'sell' && trade.action !== 'buy')
+      return;
+
+    var at = trade.date.format('YYYY-MM-DD HH:mm:ss');
+
+
+    if(trade.action === 'sell')
+
+        log.info(
+          `${at}: Paper trader simulated a SELL`,
+          `\t${this.round(trade.portfolio.currency)}`,
+          `${this.currency} <= ${this.round(trade.portfolio.asset)}`,
+          `${this.asset}`
+        );
+
+    else if(trade.action === 'buy')
+
+      log.info(
+        `${at}: Paper trader simulated a BUY`,
+        `\t${this.round(trade.portfolio.currency)}`,
+        `${this.currency}\t=> ${this.round(trade.portfolio.asset)}`,
+        `${this.asset}`
+      );
+  }
+
+  Logger.prototype.finalize = function(report) {
+
+    log.info();
+    log.info('(ROUNDTRIP) REPORT:');
+
+    this.logRoundtripHeading();
+    _.each(this.roundtrips, this.logRoundtrip, this);
+
+    log.info()
+    log.info(`(PROFIT REPORT) start time:\t\t\t ${report.startTime}`);
+    log.info(`(PROFIT REPORT) end time:\t\t\t ${report.endTime}`);
+    log.info(`(PROFIT REPORT) timespan:\t\t\t ${report.timespan}`);
+    log.info(`(PROFIT REPORT) exposure:\t\t\t ${report.exposure}`);
+    log.info();
+    log.info(`(PROFIT REPORT) start price:\t\t\t ${report.startPrice} ${this.currency}`);
+    log.info(`(PROFIT REPORT) end price:\t\t\t ${report.endPrice} ${this.currency}`);
+    log.info(`(PROFIT REPORT) Market:\t\t\t\t ${this.round(report.market)}%`);
+    log.info();
+    log.info(`(PROFIT REPORT) amount of trades:\t\t ${report.trades}`);
+
+    this.logReport(null, report);
+
+    log.info(
+      `(PROFIT REPORT) simulated yearly profit:\t ${report.yearlyProfit}`,
+      `${this.currency} (${report.relativeYearlyProfit}%)`
+    );
+
+    log.info(`(PROFIT REPORT) sharpe ratio:\t\t\t ${report.sharpe}`);
+    log.info(`(PROFIT REPORT) expected downside:\t\t ${report.downside}`);
+    log.info(`(PROFIT REPORT) ratio roundtrips:\t\t ${report.ratioRoundTrips}%`);
+  }
+
+  Logger.prototype.handleRoundtrip = function(rt) {
+    this.roundtrips.push(rt);
+  }
+
+} else if(mode === 'realtime') {
+  Logger.prototype.handleTrade = Logger.prototype.logReport;
+
+  Logger.prototype.handleRoundtrip = function(rt) {
+    this.logRoundtripHeading();
+    this.logRoundtrip(rt);
+  }
+
+}
+
+
+
+
+module.exports = Logger;