fisk/core/trading/risk.py

from decimal import Decimal as D

from core.exchanges import convert
from core.models import Trade
from core.trading import market


def check_max_loss(risk_model, initial_balance, account_balance):
    """
    Check that the account balance is within the max loss limit.
    """
    max_loss_percent = risk_model.max_loss_percent

    # Calculate the inverse of the max loss percent as a ratio
    inverse_loss_multiplier = 1 - max_loss_percent / 100
    minimum_balance = initial_balance * inverse_loss_multiplier

    return account_balance > minimum_balance


def check_max_risk(risk_model, account_balance_usd, account_trades):
    """
    Check that all of the trades in the account are within the max risk limit.
    """
    max_risk_percent = D(risk_model.max_risk_percent)
    # Calculate the max risk of the account in USD
    max_risk_usd = account_balance_usd * (max_risk_percent / D(100))
    total_risk = 0

    for trade in account_trades:
        max_tmp = []
        # Need to calculate the max risk in base account currency
        # Percentages relate to the price movement, without accounting the
        # size of the trade
        if "stop_loss_usd" in trade:
            max_tmp.append(trade["stop_loss_usd"])
        if "trailing_stop_loss_usd" in trade:
            max_tmp.append(trade["trailing_stop_loss_usd"])
        if max_tmp:
            max_risk = max(max_tmp)
            total_risk += max_risk

    allowed = total_risk < max_risk_usd
    return allowed


def check_max_open_trades(risk_model, account_trades):
    """
    Check that the number of trades in the account is within the max open trades limit.
    """
    return len(account_trades) < risk_model.max_open_trades


def check_max_open_trades_per_symbol(risk_model, account_trades, return_symbols=False):
    """
    Check we cannot open more trades per symbol than permissible.
    """
    symbol_map = {}
    for trade in account_trades:
        symbol = trade["symbol"]
        if symbol not in symbol_map:
            symbol_map[symbol] = 0
        symbol_map[symbol] += 1
    violating_symbols = []
    for symbol, count in symbol_map.items():
        if count >= risk_model.max_open_trades_per_symbol:
            violating_symbols.append(symbol)

    if return_symbols:
        return violating_symbols
    if violating_symbols:
        return False
    return True


def check_risk(risk_model, account, proposed_trade):
    """
    Run the risk checks on the account and the proposed trade.
    """
    # Check that the max loss is not exceeded
    max_loss_check = check_max_loss(
        risk_model, account.initial_balance, account.client.get_balance()
    )
    if not max_loss_check:
        return {"allowed": False, "reason": "Maximum loss exceeded."}

    # Check that the account max trades is not exceeded
    account_trades = account.client.get_all_open_trades()
    if isinstance(proposed_trade, Trade):
        proposed_trade = proposed_trade.__dict__
    account_trades.append(proposed_trade)

    account_trades = convert.convert_trades(account_trades)
    account_trades = market.convert_trades_to_usd(account, account_trades)

    max_open_trades_check = check_max_open_trades(risk_model, account_trades)
    if not max_open_trades_check:
        return {"allowed": False, "reason": "Maximum open trades exceeded."}

    # Check that the max trades per symbol is not exceeded
    max_open_trades_per_symbol_check = check_max_open_trades_per_symbol(
        risk_model, account_trades
    )
    if not max_open_trades_per_symbol_check:
        return {"allowed": False, "reason": "Maximum open trades per symbol exceeded."}

    # Check that the max risk is not exceeded
    account_balance_usd = account.client.get_balance(return_usd=True)
    max_risk_check = check_max_risk(risk_model, account_balance_usd, account_trades)
    if not max_risk_check:
        return {"allowed": False, "reason": "Maximum risk exceeded."}

    return {"allowed": True}