fisk/core/lib/market.py

from datetime import datetime
from decimal import Decimal as D

from core.exchanges import GenericAPIError
from core.models import Account, Strategy, Trade
from core.util import logs

log = logs.get_logger(__name__)


def crossfilter(account, symbol, direction, func):
    """
    Determine if we are betting against ourselves.
    Checks open positions for the account, rejecting the trade if there is one
    with an opposite direction to this one.
    :param account: Account object
    :param symbol: Symbol
    :param direction: Direction of the trade
    :param func: Whether we are checking entries or exits
    :return: dict of action and opposing position, or False
    """
    try:
        position_info = account.client.get_position_info(symbol)
    except GenericAPIError as e:
        if "No position exists for the specified instrument" in str(e):
            log.debug("No position exists for this symbol")
            return False
        else:
            log.error(f"Error getting position info: {e}")
            return None
    if direction == "buy":
        opposing_side = "short"
    elif direction == "sell":
        opposing_side = "long"

    opposing_position_info = position_info[opposing_side]
    if opposing_position_info["units"] != "0":
        if func == "entry":
            return {"action": "rejected", "positions": opposing_position_info}
        elif func == "exit":
            log.debug(
                (
                    f"Found {opposing_position_info['units']} units of "
                    f"{symbol} on side {opposing_side}"
                )
            )
            # Pass back opposing side so we can close it
            return {
                "action": "close",
                "side": opposing_side,
                "positions": opposing_position_info,
            }
    return False


def get_pair(account, base, quote, invert=False):
    """
    Get the pair for the given account and currencies.
    :param account: Account object
    :param base: Base currency
    :param quote: Quote currency
    :param invert: Invert the pair
    :return: currency symbol, e.g. BTC_USD, BTC/USD, etc.
    """
    # Currently we only have two exchanges with different pair separators
    if account.exchange == "alpaca":
        separator = "/"
    elif account.exchange == "oanda":
        separator = "_"

    # Flip the pair if needed
    if invert:
        symbol = f"{quote.upper()}{separator}{base.upper()}"
    else:
        symbol = f"{base.upper()}{separator}{quote.upper()}"
    # Check it exists
    if symbol not in account.supported_symbols:
        return False
    return symbol


def to_currency(direction, account, amount, from_currency, to_currency):
    """
    Convert an amount from one currency to another.
    :param direction: Direction of the trade
    :param account: Account object
    :param amount: Amount to convert
    :param from_currency: Currency to convert from
    :param to_currency: Currency to convert to
    :return: Converted amount
    """
    inverted = False

    # This is needed because OANDA has different values for bid and ask
    if direction == "buy":
        price_index = "bids"
    elif direction == "sell":
        price_index = "asks"
    symbol = get_pair(account, from_currency, to_currency)
    if not symbol:
        symbol = get_pair(account, from_currency, to_currency, invert=True)
        inverted = True

        # Bit of a hack but it works
        if not symbol:
            log.error(f"Could not find symbol for {from_currency} -> {to_currency}")
            raise Exception("Could not find symbol")
    try:
        prices = account.client.get_currencies([symbol])
    except GenericAPIError as e:
        log.error(f"Error getting currencies and inverted currencies: {e}")
        return None
    price = D(prices["prices"][0][price_index][0]["price"])

    # If we had to flip base and quote, we need to use the reciprocal of the price
    if inverted:
        price = D(1.0) / price

    # Convert the amount to the destination currency
    converted = D(amount) * price

    return converted


def get_price(account, direction, symbol):
    """
    Get the price for a given symbol.
    :param account: Account object
    :param direction: direction of the trade
    :param symbol: symbol
    :return: price of bid for buys, price of ask for sells
    """
    if direction == "buy":
        price_index = "bids"
    elif direction == "sell":
        price_index = "asks"
    try:
        prices = account.client.get_currencies([symbol])
    except GenericAPIError as e:
        log.error(f"Error getting currencies: {e}")
        return None
    price = D(prices["prices"][0][price_index][0]["price"])
    return price


def get_trade_size_in_base(direction, account, strategy, cash_balance, base):
    """
    Get the trade size in the base currency.
    :param direction: Direction of the trade
    :param account: Account object
    :param strategy: Strategy object
    :param cash_balance: Cash balance in the Account's base currency
    :param base: Base currency
    :return: Trade size in the base currency
    """

    # Convert the trade size in percent to a ratio
    trade_size_as_ratio = D(strategy.trade_size_percent) / D(100)
    log.debug(f"Trade size as ratio: {trade_size_as_ratio}")

    # Multiply with cash balance to get the trade size in the account's
    # base currency
    amount_fiat = D(trade_size_as_ratio) * D(cash_balance)
    log.debug(f"Trade size: {amount_fiat}")

    # Convert the trade size to the base currency
    if account.currency.lower() == base.lower():
        trade_size_in_base = amount_fiat
    else:
        trade_size_in_base = to_currency(
            direction, account, amount_fiat, account.currency, base
        )
    log.debug(f"Trade size in base: {trade_size_in_base}")

    return trade_size_in_base


def get_tp(direction, take_profit_percent, price):
    """
    Get the take profit price.
    :param direction: Direction of the trade
    :param strategy: Strategy object
    :param price: Entry price
    """
    # Convert to ratio
    take_profit_as_ratio = D(take_profit_percent) / D(100)
    log.debug(f"Take profit as ratio: {take_profit_as_ratio}")

    take_profit_var = D(price) * D(take_profit_as_ratio)
    log.debug(f"Take profit var: {take_profit_var}")

    if direction == "buy":
        take_profit = D(price) + D(take_profit_var)
    elif direction == "sell":
        take_profit = D(price) - D(take_profit_var)

    log.debug(f"Take profit: {take_profit}")
    return take_profit


def get_sl(direction, stop_loss_percent, price, return_var=False):
    """
    Get the stop loss price.
    Also used for trailing stop loss.
    :param direction: Direction of the trade
    :param strategy: Strategy object
    :param price: Entry price
    """
    # Convert to ratio
    stop_loss_as_ratio = D(stop_loss_percent) / D(100)
    log.debug(f"Stop loss as ratio: {stop_loss_as_ratio}")

    stop_loss_var = D(price) * D(stop_loss_as_ratio)
    log.debug(f"Stop loss var: {stop_loss_var}")

    if return_var:
        return stop_loss_var

    if direction == "buy":
        stop_loss = D(price) - D(stop_loss_var)
    elif direction == "sell":
        stop_loss = D(price) + D(stop_loss_var)

    log.debug(f"Stop loss: {stop_loss}")
    return stop_loss


def get_tp_sl(direction, strategy, price):
    """
    Get the take profit and stop loss prices.
    :param direction: Direction of the trade
    :param strategy: Strategy object
    :param price: Price of the trade
    :return: Take profit and stop loss prices
    """
    take_profit = get_tp(direction, strategy.take_profit_percent, price)
    stop_loss = get_sl(direction, strategy.stop_loss_percent, price)
    cast = {"tp": take_profit, "sl": stop_loss}

    # Look up the TSL if required by the strategy
    if strategy.trailing_stop_loss_percent:
        trailing_stop_loss = get_sl(
            direction, strategy.trailing_stop_loss_percent, price, return_var=True
        )
        cast["tsl"] = trailing_stop_loss

    return cast


def get_price_bound(direction, strategy, price, current_price):
    """
    Get the price bound for a given price using the slippage from the strategy.
    * Check that the price of the callback is within the callback price deviation of the
    current price
    * Calculate the price bounds such that the maximum slippage should be within the
    price slippage relative to the current price.
    Note that the maximum actual slippage may be as high as the sum of these two values.
    :param direction: Direction of the trade
    :param strategy: Strategy object
    :param price: Price of the trade
    :param current_price: current price from the exchange
    :return: Price bound
    """

    # Convert the callback price deviation to a ratio
    callback_price_deviation_as_ratio = D(
        strategy.callback_price_deviation_percent
    ) / D(100)
    log.debug(f"Callback price deviation as ratio: {callback_price_deviation_as_ratio}")

    maximum_price_deviation = D(current_price) * D(callback_price_deviation_as_ratio)

    # Ensure the current price is within price_slippage_as_ratio of the callback price
    if abs(current_price - price) <= maximum_price_deviation:
        log.debug("Current price is within price deviation of callback price")
    else:
        log.error("Current price is not within price deviation of callback price")
        log.debug(f"Difference: {abs(current_price - price)}")
        return None

    # Convert the maximum price slippage to a ratio
    price_slippage_as_ratio = D(strategy.price_slippage_percent) / D(100)
    log.debug(f"Maximum price slippage as ratio: {price_slippage_as_ratio}")

    # Calculate the price bound by multiplying with the price
    # The price bound is the worst price we are willing to pay for the trade
    price_slippage = D(current_price) * D(price_slippage_as_ratio)
    log.debug(f"Maximum deviation from callback price: {price_slippage}")

    current_price_slippage = D(current_price) * D(price_slippage_as_ratio)
    log.debug(f"Maximum deviation from current price: {current_price_slippage}")

    # Price bound is the worst price we are willing to pay for the trade
    # For buys, a higher price is worse
    if direction == "buy":
        price_bound = D(current_price) + D(price_slippage)

    # For sells, a lower price is worse
    elif direction == "sell":
        price_bound = D(current_price) - D(price_slippage)

    log.debug(f"Price bound: {price_bound}")
    return price_bound


def execute_strategy(callback, strategy, func):
    """
    Execute a strategy.
    :param callback: Callback object
    :param strategy: Strategy object
    """

    # Only check times for entries. We can always exit trades and set trends.
    if func == "entry":
        # Check if we can trade now!
        now_utc = datetime.utcnow()
        trading_times = strategy.trading_times.all()
        if not trading_times:
            log.error("No trading times set for strategy")
            return
        matches = [x.within_range(now_utc) for x in trading_times]
        if not any(matches):
            log.debug("Not within trading time range")
            return

    # Instruments supported by the account
    if not strategy.account.instruments:
        strategy.account.update_info()
        # Refresh account object
        strategy.account = Account.objects.get(id=strategy.account.id)

    instruments = strategy.account.instruments
    if not instruments:
        log.error("No instruments found")
        return

    # Shorten some hook, strategy and callback vars for convenience
    user = strategy.user
    account = strategy.account
    hook = callback.hook
    signal = callback.signal
    base = callback.base
    quote = callback.quote
    direction = signal.direction

    # Don't be silly
    if callback.exchange != account.exchange:
        log.error("Market exchange differs from account exchange.")
        return

    # Get the pair we are trading
    symbol = get_pair(account, base, quote)
    if not symbol:
        log.error(f"Symbol not supported by account: {symbol}")
        return

    # Extract the information for the symbol
    instrument = strategy.account.client.extract_instrument(instruments, symbol)
    if not instrument:
        log.error(f"Symbol not found: {symbol}")
        return

    # Get the required precision
    try:
        trade_precision = instrument["tradeUnitsPrecision"]
        display_precision = instrument["displayPrecision"]
    except KeyError:
        log.error(f"Precision not found for {symbol}")
        return

    # Round the received price to the display precision
    price = round(D(callback.price), display_precision)
    log.debug(f"Extracted price of quote: {price}")

    current_price = get_price(account, direction, symbol)
    log.debug(f"Callback price: {price}")
    log.debug(f"Current price: {current_price}")

    # Calculate price bound and round to the display precision
    price_bound = get_price_bound(direction, strategy, price, current_price)
    if not price_bound:
        return
    price_bound = round(price_bound, display_precision)

    # Callback now verified
    if func == "exit":
        check_exit = crossfilter(account, symbol, direction, func)
        if check_exit is None:
            return
        if not check_exit:
            log.debug("Exit conditions not met.")
            return
        if check_exit["action"] == "close":
            log.debug(f"Closing position on exit signal: {symbol}")
            side = check_exit["side"]
            response = account.client.close_position(side, symbol)
            log.debug(f"Close position response: {response}")
            return

    # Set the trend
    elif func == "trend":
        if strategy.trends is None:
            strategy.trends = {}
        strategy.trends[symbol] = direction
        strategy.save()
        log.debug(f"Set trend for {symbol}: {direction}")
        return

    # Check if we are trading against the trend
    if strategy.trend_signals.exists():
        if strategy.trends is None:
            log.debug("Refusing to trade with no trend signals received")
            return
        if symbol not in strategy.trends:
            log.debug("Refusing to trade asset without established trend")
            return
        else:
            if strategy.trends[symbol] != direction:
                log.debug("Refusing to trade against the trend")
                return
            else:
                log.debug(f"Trend check passed for {symbol} - {direction}")

    type = strategy.order_type

    # Get the account's balance in the native account currency
    cash_balance = strategy.account.client.get_balance()
    log.debug(f"Cash balance: {cash_balance}")

    # Convert the trade size, which is currently in the account's base currency,
    # to the base currency of the pair we are trading
    trade_size_in_base = get_trade_size_in_base(
        direction, account, strategy, cash_balance, base
    )

    # Calculate TP/SL/TSL
    protection = get_tp_sl(direction, strategy, current_price)
    stop_loss = protection["sl"]
    take_profit = protection["tp"]
    trailing_stop_loss = None
    if "tsl" in protection:
        trailing_stop_loss = protection["tsl"]

    # Create object, note that the amount is rounded to the trade precision
    new_trade = Trade.objects.create(
        user=user,
        account=account,
        hook=hook,
        signal=signal,
        symbol=symbol,
        type=type,
        time_in_force=strategy.time_in_force,
        # amount_fiat=amount_fiat,
        amount=float(round(trade_size_in_base, trade_precision)),
        # price=price_bound,
        price=price_bound,
        stop_loss=float(round(stop_loss, display_precision)),
        take_profit=float(round(take_profit, display_precision)),
        direction=direction,
    )
    # Add TSL if applicable
    if trailing_stop_loss:
        new_trade.trailing_stop_loss = float(
            round(trailing_stop_loss, display_precision)
        )
    new_trade.save()

    # Run the crossfilter to ensure we don't trade the same pair in opposite directions
    filtered = crossfilter(account, symbol, direction, func)

    # TP/SL calculation and get_trade_size_in_base are wasted here, but it's important
    # to record the decision in the Trade object. We can only get it after we do those.
    # It shows what would be done.
    if filtered:
        log.debug(f"Trade filtered. Action: {filtered['action']}")
        if filtered["action"] == "rejected":
            new_trade.status = "rejected"
            new_trade.save()
    else:
        info = new_trade.post()
        log.debug(f"Posted trade: {info}")


def process_callback(callback):
    log.info(f"Received callback for {callback.hook} - {callback.signal}")

    # Scan for trend
    log.debug("Scanning for trend strategies...")
    strategies = Strategy.objects.filter(trend_signals=callback.signal, enabled=True)
    log.debug(f"Matched strategies: {strategies}")
    for strategy in strategies:
        log.debug(f"Executing strategy {strategy}")
        if callback.hook.user != strategy.user:
            log.error("Ownership differs between callback and strategy.")
            continue
        execute_strategy(callback, strategy, func="trend")

    # Scan for entry
    log.debug("Scanning for entry strategies...")
    strategies = Strategy.objects.filter(entry_signals=callback.signal, enabled=True)
    log.debug(f"Matched strategies: {strategies}")
    for strategy in strategies:
        log.debug(f"Executing strategy {strategy}")
        if callback.hook.user != strategy.user:
            log.error("Ownership differs between callback and strategy.")
            continue
        execute_strategy(callback, strategy, func="entry")

    # Scan for exit
    log.debug("Scanning for exit strategies...")
    strategies = Strategy.objects.filter(exit_signals=callback.signal, enabled=True)
    log.debug(f"Matched strategies: {strategies}")
    for strategy in strategies:
        log.debug(f"Executing strategy {strategy}")
        if callback.hook.user != strategy.user:
            log.error("Ownership differs between callback and strategy.")
            continue
        execute_strategy(callback, strategy, func="exit")