fisk/core/lib/market.py

from decimal import Decimal as D

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

log = logs.get_logger(__name__)


# def to_usd(account, amount, from_currency):
#     if account.exchange == "alpaca":
#         separator = "/"
#     elif account.exchange == "oanda":
#         separator = "_"
#     symbol = f"{from_currency.upper()}{separator}{to_currency.upper()}"
#     prices = account.client.get_currencies([symbol])


def to_currency(direction, account, amount, from_currency, to_currency):
    if account.exchange == "alpaca":
        separator = "/"
    elif account.exchange == "oanda":
        separator = "_"
    if direction == "buy":
        price_index = "bids"
    elif direction == "sell":
        price_index = "asks"
    symbol = f"{from_currency.upper()}{separator}{to_currency.upper()}"
    if symbol not in account.supported_symbols:
        symbol = f"{to_currency.upper()}{separator}{from_currency.upper()}"
        inverted = True
    try:
        prices = account.client.get_currencies([symbol])
    except GenericAPIError as e:
        log.error(f"Error getting currencies and inverted currencies: {e}")
        return None
    price = prices["prices"][0][price_index][0]["price"]
    if inverted:
        price = D(1.0) / D(price)
    converted = D(amount) * price

    return converted


def get_pair(account, base, quote):
    if account.exchange == "alpaca":
        separator = "/"
    elif account.exchange == "oanda":
        separator = "_"

    symbol = f"{base.upper()}{separator}{quote.upper()}"
    if symbol not in account.supported_symbols:
        return False
    return symbol


def get_trade_size_in_base(
    direction, account, strategy, cash_balance, price, base, precision
):
    trade_size_as_ratio = D(strategy.trade_size_percent) / D(100)
    log.debug(f"Trade size as ratio: {trade_size_as_ratio}")
    amount_fiat = D(trade_size_as_ratio) * D(cash_balance)
    log.debug(f"Trade size: {amount_fiat}")
    # We can do this because the quote IS in $ or equivalent
    # trade_size_in_base = D(amount_fiat) / D(price)
    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_sl(direction, strategy, price):
    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_var = D(price) * D(stop_loss_as_ratio)
    take_profit_var = D(price) * D(take_profit_as_ratio)
    log.debug(f"Stop loss var: {stop_loss_var}")
    log.debug(f"Take profit var: {take_profit_var}")

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

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


def get_price_bound(direction, strategy, price):
    price_slippage_as_ratio = D(strategy.price_slippage_percent) / D(100)
    log.debug(f"Price slippage as ratio: {price_slippage_as_ratio}")
    price_slippage = D(price) * D(price_slippage_as_ratio)

    log.debug(f"Price slippage: {price_slippage}")

    if direction == "buy":
        price_bound = D(price) - D(price_slippage)
    elif direction == "sell":
        price_bound = D(price) + D(price_slippage)
    price_bound = D(price) + D(price_slippage)

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


def execute_strategy(callback, strategy):
    cash_balance = strategy.account.client.get_balance()
    instruments = strategy.account.instruments
    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

    symbol = get_pair(account, base, quote)

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

    instrument = strategy.account.client.extract_instrument(instruments, symbol)
    if not instrument:
        log.error(f"Symbol not found: {symbol}")
        return False
    try:
        trade_precision = instrument["tradeUnitsPrecision"]
        display_precision = instrument["displayPrecision"]
    except KeyError:
        log.error(f"Precision not found for {symbol}")
        return False

    price = round(D(callback.price), display_precision)
    log.debug(f"Extracted price of quote: {price}")

    # 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_in_base = get_trade_size_in_base(
        direction, account, strategy, cash_balance, price, base, display_precision
    )
    stop_loss, take_profit = get_tp_sl(direction, strategy, price)

    price_bound = round(get_price_bound(direction, strategy, price), display_precision)

    new_trade = Trade.objects.create(
        user=user,
        account=account,
        hook=hook,
        symbol=symbol,
        type=type,
        # amount_fiat=amount_fiat,
        amount=float(round(trade_size_in_base, trade_precision)),
        price=price_bound,
        stop_loss=float(round(stop_loss, display_precision)),
        take_profit=float(round(take_profit, display_precision)),
        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.")
            continue
        execute_strategy(callback, strategy)