fisk/core/lib/market.py

from decimal import Decimal as D

from alpaca.common.exceptions import APIError

from core.models import Strategy, Trade
from core.util import logs

log = logs.get_logger(__name__)

def execute_strategy(callback, strategy):
    cash_balance = strategy.account.client.get_balance()
    log.debug(f"Cash balance: {cash_balance}")

    user = strategy.user
    account = strategy.account
    hook = callback.hook
    base = callback.base
    quote = callback.quote
    direction = hook.direction
    if callback.exchange != account.exchange:
        log.error("Market exchange differs from account exchange.")
        return
    if account.exchange == "alpaca":
        if quote not in ["usd", "usdt", "usdc", "busd"]:
            log.error(f"Quote not compatible with Dollar: {quote}")
            return False
        quote = "usd"  # TODO: MASSIVE HACK
        symbol = f"{base.upper()}/{quote.upper()}"
    elif account.exchange == "oanda":
        symbol = f"{base.upper()}_{quote.upper()}"

    if symbol not in account.supported_symbols:
        log.error(f"Symbol not supported by account: {symbol}")
        return False

    print(f"Identified pair from callback {symbol}")

    # market_from_alpaca = get_market_value(account, symbol)
    # change_percent = abs(((float(market_from_alpaca)-price)/price)*100)
    # if change_percent > strategy.price_slippage_percent:
    #     log.error(f"Price slippage too high: {change_percent}")
    #     return False

    # type = "limit"
    type = "market"
    trade_size_as_ratio = D(strategy.trade_size_percent) / D(100)
    log.debug(f"Trade size as ratio: {trade_size_as_ratio}")
    amount_usd = D(trade_size_as_ratio) * D(cash_balance)
    log.debug(f"Trade size: {amount_usd}")
    price = round(D(callback.price), 8)
    if not price:
        return
    log.debug(f"Extracted price of quote: {price}")

    # We can do this because the quote IS in $ or equivalent
    trade_size_in_quote = D(amount_usd) / D(price)
    log.debug(f"Trade size in quote: {trade_size_in_quote}")

    # calculate sl/tp
    stop_loss_as_ratio = D(strategy.stop_loss_percent) / D(100)
    take_profit_as_ratio = D(strategy.take_profit_percent) / D(100)
    log.debug(f"Stop loss as ratio: {stop_loss_as_ratio}")
    log.debug(f"Take profit as ratio: {take_profit_as_ratio}")

    stop_loss_subtract = D(price) * D(stop_loss_as_ratio)
    take_profit_add = D(price) * D(take_profit_as_ratio)
    log.debug(f"Stop loss subtract: {stop_loss_subtract}")
    log.debug(f"Take profit add: {take_profit_add}")

    stop_loss = D(price) - D(stop_loss_subtract)
    take_profit = D(price) + D(take_profit_add)

    log.debug(f"Stop loss: {stop_loss}")
    log.debug(f"Take profit: {take_profit}")

    new_trade = Trade.objects.create(
        user=user,
        account=account,
        hook=hook,
        symbol=symbol,
        type=type,
        # amount_usd=amount_usd,
        amount=float(round(trade_size_in_quote, 2)),
        # price=price,
        stop_loss=float(round(stop_loss, 2)),
        take_profit=float(round(take_profit, 2)),
        direction=direction,
    )
    new_trade.save()
    info = new_trade.post()
    log.debug(f"Posted trade: {info}")


def process_callback(callback):
    log.info(f"Received callback for {callback.hook}")
    strategies = Strategy.objects.filter(hooks=callback.hook, 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.")
            return
        execute_strategy(callback, strategy)