Simplify active management by only specifying trade IDs for violations

core/tests/trading/test_active_management.py

@@ -3,7 +3,6 @@ from unittest.mock import patch
 
 from django.test import TestCase
 
-from core.exchanges.convert import convert_trades
 from core.lib.schemas.oanda_s import parse_time
 from core.models import (
     Account,
@@ -103,6 +102,9 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
         self.ams.get_balance = self.fake_get_balance
         # self.ams.trades = self.trades
 
+    def get_ids(self, trades):
+        return [trade["id"] for trade in trades]
+
     def add_trade(self, id, symbol, side, open_time):
         trade = {
             "id": id,
@@ -179,17 +181,12 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
 
         self.assertEqual(len(violation_calls), len(expected_trades))
         if all(expected_trades):
-            expected_trades = convert_trades(expected_trades)
+            # expected_trades = convert_trades(expected_trades)
+            expected_trades = self.get_ids(expected_trades)
         for call in violation_calls:
             # Ensure the correct action has been called, like close
             self.assertEqual(call[0][1], expected_action)
             # Ensure the correct trade has been passed to the violation
-            trade = call[0][2]
-            if trade:
-                for field in list(trade.keys()):
-                    if "_usd" in field:
-                        if field in trade.keys():
-                            del trade[field]
             self.assertIn(call[0][2], expected_trades)
             if expected_args:
                 self.assertEqual(call[0][3], expected_args)
@@ -454,22 +451,18 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
     # trade.
     # TODO: Fix this when we have a way of checking the balance at the start of the
     # trade.
-    # Max risk is also mocked as this puts us over the limit, due to the low account
-    # size.
-    @patch(
-        "core.trading.active_management.ActiveManagement.check_max_risk",
-        return_value=None,
-    )
+
     @patch(
         "core.trading.active_management.ActiveManagement.check_position_size",
         return_value=None,
     )
     @patch("core.trading.active_management.ActiveManagement.handle_violation")
-    def test_max_loss_violated(
-        self, handle_violation, check_position_size, check_max_risk
-    ):
+    def test_max_loss_violated(self, handle_violation, check_position_size):
         self.balance = D("1")
         self.balance_usd = D("0.69")
+
+        self.trades = []
+
         self.ams.run_checks()
 
         self.check_violation(
@@ -546,3 +539,15 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
             "close",
             [self.trades[2], self.trades[3]],
         )
+
+    def test_max_risk_not_violated_after_adjusting_protection(self):
+        """
+        Ensure the max risk check is not violated after adjusting the protection.
+        """
+        pass
+
+    def test_max_risk_not_violated_after_adjusting_position_size(self):
+        """
+        Ensure the max risk check is not violated after adjusting the position size.
+        """
+        pass

core/trading/active_management.py

@@ -44,6 +44,21 @@ class ActiveManagement(object):
 
     def handle_violation(self, check_type, action, trade, **kwargs):
         print("VIOLATION", check_type, action, trade, kwargs)
+        # TODO: close/notify for:
+        # - trading time
+        # - trends
+        # - position size
+        # - protection
+        # - asset groups
+        # - crossfilter
+        # - max open trades
+        # - max open trades per symbol
+        # - max loss
+        # - max risk
+
+        # TODO: adjust for:
+        # - position size
+        # - protection
 
     def check_trading_time(self, trade):
         open_ts = trade["open_time"]
@@ -51,7 +66,7 @@ class ActiveManagement(object):
         trading_time_pass = checks.within_trading_times(self.strategy, open_ts_as_date)
         if not trading_time_pass:
             self.handle_violation(
-                "trading_time", self.policy.when_trading_time_violated, trade
+                "trading_time", self.policy.when_trading_time_violated, trade["id"]
             )
 
     def check_trends(self, trade):
@@ -59,7 +74,9 @@ class ActiveManagement(object):
         symbol = trade["symbol"]
         trends_pass = checks.within_trends(self.strategy, symbol, direction)
         if not trends_pass:
-            self.handle_violation("trends", self.policy.when_trends_violated, trade)
+            self.handle_violation(
+                "trends", self.policy.when_trends_violated, trade["id"]
+            )
 
     def check_position_size(self, trade):
         """
@@ -91,7 +108,7 @@ class ActiveManagement(object):
             self.handle_violation(
                 "position_size",
                 self.policy.when_position_size_violated,
-                trade,
+                trade["id"],
                 {"size": expected_trade_size},
             )
 
@@ -152,7 +169,10 @@ class ActiveManagement(object):
 
         if violations:
             self.handle_violation(
-                "protection", self.policy.when_protection_violated, trade, violations
+                "protection",
+                self.policy.when_protection_violated,
+                trade["id"],
+                violations
             )
 
     def check_asset_groups(self, trade):
@@ -165,7 +185,7 @@ class ActiveManagement(object):
             )
             if not allowed:
                 self.handle_violation(
-                    "asset_group", self.policy.when_asset_groups_violated, trade
+                    "asset_group", self.policy.when_asset_groups_violated, trade["id"]
                 )
 
     def get_sorted_trades_copy(self, trades, reverse=True):
@@ -226,7 +246,7 @@ class ActiveManagement(object):
         if close_trades:
             for trade in close_trades:
                 self.handle_violation(
-                    "crossfilter", self.policy.when_crossfilter_violated, trade
+                    "crossfilter", self.policy.when_crossfilter_violated, trade["id"]
                 )
 
     def check_max_open_trades(self, trades):
@@ -241,7 +261,7 @@ class ActiveManagement(object):
                 self.handle_violation(
                     "max_open_trades",
                     self.policy.when_max_open_trades_violated,
-                    trade,
+                    trade["id"],
                 )
 
     def check_max_open_trades_per_symbol(self, trades):
@@ -267,7 +287,7 @@ class ActiveManagement(object):
                 self.handle_violation(
                     "max_open_trades_per_symbol",
                     self.policy.when_max_open_trades_violated,
-                    trade,
+                    trade["id"],
                 )
 
     def check_max_loss(self):
@@ -312,7 +332,7 @@ class ActiveManagement(object):
         if close_trades:
             for trade in close_trades:
                 self.handle_violation(
-                    "max_risk", self.policy.when_max_risk_violated, trade
+                    "max_risk", self.policy.when_max_risk_violated, trade["id"]
                 )
 
     def run_checks(self):