fisk/core/tests/trading/test_live.py

from datetime import time
from decimal import Decimal as D
from unittest.mock import patch

from django.test import TestCase

from core.exchanges.convert import convert_trades
from core.models import (
    ActiveManagementPolicy,
    AssetGroup,
    AssetRule,
    Hook,
    RiskModel,
    Signal,
    Trade,
    TradingTime,
)
from core.tests.helpers import ElasticMock, LiveBase, StrategyMixin
from core.trading import market, risk
from core.trading.active_management import ActiveManagement


class ActiveManagementLiveTestCase(ElasticMock, StrategyMixin, LiveBase, TestCase):
    def setUp(self):
        super(ActiveManagementLiveTestCase, self).setUp()
        self.trade = Trade.objects.create(
            user=self.user,
            account=self.account,
            symbol="EUR_USD",
            time_in_force="FOK",
            type="market",
            amount=10,
            direction="buy",
        )
        self.commission = 0.025
        self.risk_model = RiskModel.objects.create(
            user=self.user,
            name="Test Risk Model",
            max_loss_percent=4,
            max_risk_percent=2,
            max_open_trades=3,
            max_open_trades_per_symbol=2,
        )
        self.trading_time_all = TradingTime.objects.create(
            user=self.user,
            name="All",
            start_day=1,
            start_time=time(0, 0, 0),
            end_day=7,
            end_time=time(23, 59, 59),
        )
        self.active_management_policy = ActiveManagementPolicy.objects.create(
            user=self.user,
            name="Test Policy",
            when_trading_time_violated="close",
            when_trends_violated="close",
            when_position_size_violated="adjust",
            when_protection_violated="adjust",
            when_asset_groups_violated="close",
            when_max_open_trades_violated="close",
            when_max_open_trades_per_symbol_violated="close",
            when_max_loss_violated="close",
            when_max_risk_violated="close",
            when_crossfilter_violated="close",
        )

        self.strategy.active_management_policy = self.active_management_policy
        self.strategy.trading_times.set([self.trading_time_all])
        self.strategy.save()
        self.ams = ActiveManagement(self.strategy)

        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 0)

    def test_ams_success(self):
        complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
        self.open_trade(complex_trade)

        self.ams.run_checks()
        self.assertEqual(self.ams.actions, {})

        self.close_trade(complex_trade)

    def test_ams_trading_time_violated(self):
        # Forex market is closed on Saturday and Sunday.
        # All of these tests will fail then anyway, so it's the only time
        # we can use for this.
        trading_time_weekend = TradingTime.objects.create(
            user=self.user,
            name="Weekend",
            start_day=6,
            start_time=time(0, 0, 0),
            end_day=7,
            end_time=time(23, 59, 59),
        )
        self.strategy.trading_times.set([trading_time_weekend])
        self.strategy.save()

        complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
        self.open_trade(complex_trade)

        self.ams.run_checks()
        expected_actions = {
            "close": [
                {"id": complex_trade.order_id, "check": "trading_time", "extra": {}}
            ]
        }
        self.assertEqual(self.ams.actions, expected_actions)

        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 1)

        self.ams.execute_actions()
        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 0)

        # Don't need to close the trade, it's already closed.
        # Otherwise the test would fail.

    def test_ams_trends_violated(self):
        hook = Hook.objects.create(
            user=self.user,
            name="Test Hook",
        )
        signal = Signal.objects.create(
            user=self.user,
            name="Test Signal",
            hook=hook,
            type="trend",
        )
        self.strategy.trend_signals.set([signal])
        self.strategy.trends = {"EUR_USD": "sell"}
        self.strategy.save()

        complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
        self.open_trade(complex_trade)

        self.ams.run_checks()
        expected_actions = {
            "close": [{"id": complex_trade.order_id, "check": "trends", "extra": {}}]
        }
        self.assertEqual(self.ams.actions, expected_actions)

        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 1)

        self.ams.execute_actions()
        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 0)

        # Don't need to close the trade, it's already closed.
        # Otherwise the test would fail.

        self.strategy.trend_signals.set([])
        self.strategy.trends = {}
        self.strategy.save()

    def test_ams_position_size_violated(self):
        self.active_management_policy.when_position_size_violated = "close"
        self.active_management_policy.save()

        complex_trade = self.create_complex_trade("buy", 600, "EUR_USD", 1.5, 1.0)
        self.open_trade(complex_trade)

        self.ams.run_checks()
        expected_actions = {
            "close": [
                {"id": complex_trade.order_id, "check": "position_size", "extra": {}}
            ]
        }
        self.assertEqual(len(self.ams.actions["close"]), 1)
        del self.ams.actions["close"][0]["extra"]["size"]  # We don't know the size
        self.assertEqual(self.ams.actions, expected_actions)

        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 1)

        self.ams.execute_actions()
        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 0)

    def test_ams_position_size_violated_adjust(self):
        complex_trade = self.create_complex_trade("buy", 600, "EUR_USD", 1.5, 1.0)
        self.open_trade(complex_trade)

        self.ams.run_checks()
        # Convert to int to make a whole number
        expected = round(self.ams.actions["adjust"][0]["extra"]["size"], 0)

        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 1)
        self.assertEqual(trades[0]["currentUnits"], "600")

        self.ams.execute_actions()
        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 1)
        self.assertEqual(trades[0]["currentUnits"], str(expected))

        complex_trade.amount = expected
        complex_trade.save()

        self.close_trade(complex_trade)
        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 0)

    def test_ams_position_size_violated_increase(self):
        pass

    def test_ams_position_size_violated_decrease(self):
        pass

    def test_ams_position_size_violated_increase_decrease(self):
        pass

    def test_ams_protection_violated(self):
        self.active_management_policy.when_protection_violated = "close"
        self.active_management_policy.save()

        complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 5, 5)
        self.open_trade(complex_trade)

        self.ams.run_checks()
        self.assertEqual(len(self.ams.actions["close"]), 1)
        expected = {
            "close": [
                {
                    "id": complex_trade.order_id,
                    "check": "protection",
                }
            ]
        }

        del self.ams.actions["close"][0]["extra"]

        self.assertEqual(self.ams.actions, expected)

        self.ams.execute_actions()

        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 0)

    def test_ams_protection_violated_adjust(self):
        complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 5, 5)
        self.open_trade(complex_trade)

        self.ams.run_checks()

        self.assertEqual(len(self.ams.actions["adjust"]), 1)
        expected_tp = self.ams.actions["adjust"][0]["extra"]["take_profit_price"]
        expected_sl = self.ams.actions["adjust"][0]["extra"]["stop_loss_price"]
        self.assertEqual(len(self.ams.actions["adjust"]), 1)

        self.ams.execute_actions()

        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 1)
        self.assertEqual(D(trades[0]["takeProfitOrder"]["price"]), expected_tp)
        self.assertEqual(D(trades[0]["stopLossOrder"]["price"]), expected_sl)

        self.close_trade(complex_trade)
        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 0)

    def test_ams_asset_groups_violated(self):
        asset_group = AssetGroup.objects.create(
            user=self.user,
            name="Test Asset Group",
        )
        AssetRule.objects.create(
            user=self.user,
            asset="USD",
            group=asset_group,
            status=2,  # Bullish
        )
        self.strategy.asset_group = asset_group
        self.strategy.save()

        complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
        self.open_trade(complex_trade)

        self.ams.run_checks()

        expected = {
            "close": [
                {"id": complex_trade.order_id, "check": "asset_group", "extra": {}}
            ]
        }
        self.assertEqual(self.ams.actions, expected)

        self.ams.execute_actions()

        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 0)

    def test_ams_crossfilter_violated(self):
        complex_trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
        self.open_trade(complex_trade1)

        complex_trade2 = self.create_complex_trade("buy", 10, "USD_JPY", 1.5, 1.0)
        self.open_trade(complex_trade2)

        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 2)

        self.ams.run_checks()

        expected = {
            "close": [
                {
                    "id": complex_trade2.order_id,  # Only the second one
                    "check": "crossfilter",
                    "extra": {},
                }
            ]
        }

        self.assertEqual(self.ams.actions, expected)

        self.ams.execute_actions()

        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 1)

        self.close_trade(complex_trade1)
        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 0)

    @patch(
        "core.trading.active_management.ActiveManagement.check_trends",
        return_value=None,
    )
    @patch(
        "core.trading.active_management.ActiveManagement.check_crossfilter",
        return_value=None,
    )
    def test_ams_max_open_trades_violated(self, check_crossfilter, check_trends):
        self.strategy.risk_model.max_open_trades = 2
        self.strategy.risk_model.save()
        trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
        self.open_trade(trade1)

        trade2 = self.create_complex_trade("buy", 10, "USD_JPY", 1.5, 1.0)
        self.open_trade(trade2)

        trade3 = self.create_complex_trade("buy", 10, "EUR_JPY", 1.5, 1.0)
        self.open_trade(trade3)

        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 3)

        self.ams.run_checks()

        expected = {
            "close": [
                {
                    "id": trade3.order_id,
                    "check": "max_open_trades",
                    "extra": {},
                }
            ]
        }

        self.assertEqual(self.ams.actions, expected)

        self.ams.execute_actions()

        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 2)

        trade_ids = [trade["id"] for trade in trades]
        self.assertIn(trade1.order_id, trade_ids)
        self.assertIn(trade2.order_id, trade_ids)
        self.assertNotIn(trade3.order_id, trade_ids)

        for x in [trade1, trade2]:
            self.close_trade(x)
        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 0)

    @patch(
        "core.trading.active_management.ActiveManagement.check_trends",
        return_value=None,
    )
    def test_ams_max_open_trades_per_symbol_violated(self, check_trends):
        self.strategy.risk_model.max_open_trades_per_symbol = 2
        self.strategy.risk_model.save()

        trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
        self.open_trade(trade1)

        trade2 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
        self.open_trade(trade2)

        trade3 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
        self.open_trade(trade3)

        trade4 = self.create_complex_trade("buy", 10, "EUR_JPY", 1.5, 1.0)
        self.open_trade(trade4)

        trade5 = self.create_complex_trade("buy", 10, "EUR_JPY", 1.5, 1.0)
        self.open_trade(trade5)

        trade6 = self.create_complex_trade("buy", 10, "EUR_JPY", 1.5, 1.0)
        self.open_trade(trade6)

        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 6)

        self.ams.run_checks()

        expected = {
            "close": [
                {
                    "id": trade3.order_id,
                    "check": "max_open_trades_per_symbol",
                    "extra": {},
                },
                {
                    "id": trade6.order_id,
                    "check": "max_open_trades_per_symbol",
                    "extra": {},
                },
            ]
        }

        self.assertEqual(self.ams.actions, expected)

        self.ams.execute_actions()

        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 4)

        trade_ids = [trade["id"] for trade in trades]
        self.assertIn(trade1.order_id, trade_ids)
        self.assertIn(trade2.order_id, trade_ids)
        self.assertNotIn(trade3.order_id, trade_ids)

        self.assertIn(trade4.order_id, trade_ids)
        self.assertIn(trade5.order_id, trade_ids)
        self.assertNotIn(trade6.order_id, trade_ids)

        for x in [trade1, trade2, trade4, trade5]:
            self.close_trade(x)
        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 0)

        self.strategy.risk_model.max_open_trades_per_symbol = 5
        self.strategy.risk_model.save()

    def test_ams_max_loss_violated(self):
        trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
        self.open_trade(trade1)

        self.account.initial_balance = self.account.client.get_balance() * 2
        self.account.save()

        self.ams.run_checks()

        expected = {
            "close": [
                {
                    "id": None,
                    "check": "max_loss",
                    "extra": {},
                }
            ]
        }

        self.assertEqual(self.ams.actions, expected)

        self.ams.execute_actions()

        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 0)

        self.account.initial_balance = 100000
        self.account.save()

    @patch(
        "core.trading.active_management.ActiveManagement.check_position_size",
        return_value=None,
    )
    def test_ams_max_risk_violated(self, check_position_size):
        self.strategy.risk_model.max_risk_percent = 0.001
        self.strategy.risk_model.save()

        trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
        self.open_trade(trade1)

        trade2 = self.create_complex_trade("buy", 1000, "EUR_USD", 1.5, 1.0)
        self.open_trade(trade2)

        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 2)

        self.ams.run_checks()

        expected = {
            "close": [
                {
                    "id": trade2.order_id,
                    "check": "max_risk",
                    "extra": {},
                }
            ]
        }

        self.assertEqual(self.ams.actions, expected)

        self.ams.execute_actions()

        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 1)

        trade_ids = [trade["id"] for trade in trades]
        self.assertIn(trade1.order_id, trade_ids)
        self.assertNotIn(trade2.order_id, trade_ids)

        self.close_trade(trade1)
        trades = self.account.client.get_all_open_trades()
        self.assertEqual(len(trades), 0)


class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
    def setUp(self):
        super(LiveTradingTestCase, self).setUp()
        self.trade = Trade.objects.create(
            user=self.user,
            account=self.account,
            symbol="EUR_USD",
            time_in_force="FOK",
            type="market",
            amount=10,
            direction="buy",
        )
        self.commission = 0.025
        self.risk_model = RiskModel.objects.create(
            user=self.user,
            name="Test Risk Model",
            max_loss_percent=4,
            max_risk_percent=2,
            max_open_trades=3,
            max_open_trades_per_symbol=2,
        )

    def test_account_functional(self):
        """
        Test that the account is functional.
        """
        balance = self.account.client.get_balance()
        # We need some money to place trades
        self.assertTrue(balance > 1000)

    def test_place_close_trade(self):
        """
        Test placing a trade.
        """
        self.open_trade()
        self.close_trade()

    def test_get_all_open_trades(self):
        """
        Test getting all open trades.
        """

        self.open_trade()

        trades = self.account.client.get_all_open_trades()
        self.trade.refresh_from_db()
        found = False
        for trade in trades:
            if trade["id"] == self.trade.order_id:
                self.assertEqual(trade["symbol"], "EUR_USD")
                self.assertEqual(trade["currentUnits"], "10")
                self.assertEqual(trade["initialUnits"], "10")
                self.assertEqual(trade["state"], "OPEN")
                found = True
                break
        self.close_trade()

        if not found:
            self.fail("Could not find the trade in the list of open trades")

    @patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=100000)
    def test_check_risk_max_risk_pass(self, mock_balance):
        # SL of 19% on a 10000 trade on a 100000 account is 1.8 loss
        # Should be comfortably under 2% risk
        trade = self.create_complex_trade("buy", 10000, "EUR_USD", 1, 18)
        allowed = risk.check_risk(self.risk_model, self.account, trade)
        self.assertTrue(allowed["allowed"])

    @patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=100000)
    def test_check_risk_max_risk_fail(self, mock_balance):
        # SL of 21% on a 10000 trade on a 100000 account is 2.2 loss
        # Should be over 2% risk
        trade = self.create_complex_trade("buy", 10000, "EUR_USD", 1, 22)
        allowed = risk.check_risk(self.risk_model, self.account, trade)
        self.assertFalse(allowed["allowed"])
        self.assertEqual(allowed["reason"], "Maximum risk exceeded.")

    @patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=94000)
    # We have lost 6% of our account
    def test_check_risk_max_loss_fail(self, mock_balance):
        # Doesn't matter, shouldn't get as far as the trade
        trade = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)
        allowed = risk.check_risk(self.risk_model, self.account, trade)
        self.assertFalse(allowed["allowed"])
        self.assertEqual(allowed["reason"], "Maximum loss exceeded.")

    @patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=100000)
    def test_check_risk_max_open_trades_fail(self, mock_balance):
        # The maximum open trades is 3. Let's open 2 trades
        # This would not be allowed by the risk model but we're doing it
        # manually
        # Don't be confused by the next test. The max open trades check
        # fails before the symbol one is run, but yes, they would both
        # fail.
        trade1 = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)
        self.open_trade(trade1)

        trade2 = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)
        self.open_trade(trade2)

        trade3 = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)

        allowed = risk.check_risk(self.risk_model, self.account, trade3)
        self.assertFalse(allowed["allowed"])
        self.assertEqual(allowed["reason"], "Maximum open trades exceeded.")

        self.close_trade(trade1)
        self.close_trade(trade2)

    @patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=100000)
    def test_check_risk_max_open_trades_per_symbol_fail(self, mock_balance):
        trade1 = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)
        self.open_trade(trade1)

        trade2 = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)

        allowed = risk.check_risk(self.risk_model, self.account, trade2)
        self.assertFalse(allowed["allowed"])
        self.assertEqual(allowed["reason"], "Maximum open trades per symbol exceeded.")

        self.close_trade(trade1)

    def test_convert_trades(self):
        """
        Test converting open trades response to Trade-like format.
        """
        complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 1, 2)

        self.open_trade(complex_trade)

        # Get and annotate the trades
        trades = self.account.client.get_all_open_trades()
        trades_converted = convert_trades(trades)

        # Check the converted trades
        self.assertEqual(len(trades_converted), 1)
        expected_tp_percent = D(1 - self.commission)
        expected_sl_percent = D(2 - self.commission)
        actual_tp_percent = trades_converted[0]["take_profit_percent"]
        actual_sl_percent = trades_converted[0]["stop_loss_percent"]

        tp_percent_difference = abs(expected_tp_percent - actual_tp_percent)
        sl_percent_difference = abs(expected_sl_percent - actual_sl_percent)
        max_difference = D(0.08)  # depends on market conditions

        self.assertLess(tp_percent_difference, max_difference)
        self.assertLess(sl_percent_difference, max_difference)

        # Convert the trades to USD
        trades_usd = market.convert_trades_to_usd(self.account, trades_converted)

        # Convert the trade to USD ourselves
        trade_in_usd = D(trades_usd[0]["amount"]) * D(trades_usd[0]["current_price"])

        # It will never be perfect, but let's check it's at least close
        trade_usd_conversion_difference = (
            trades_usd[0]["trade_amount_usd"] - trade_in_usd
        )
        self.assertLess(trade_usd_conversion_difference, D(0.01))

        # Check the converted TP and SL values
        trade_usd_tp_difference = trades_usd[0]["take_profit_usd"] - D(0.1)
        trade_usd_sl_difference = trades_usd[0]["stop_loss_usd"] - D(0.2)

        self.assertLess(trade_usd_tp_difference, D(0.01))
        self.assertLess(trade_usd_sl_difference, D(0.02))

        self.close_trade(complex_trade)