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Simplify active management by only specifying trade IDs for violations

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This commit is contained in:
Mark Veidemanis
2023-02-18 14:36:58 +00:00
parent 466b17400f
commit 15a8bec105
2 changed files with 51 additions and 26 deletions
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38
core/trading/active_management.py
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@@ -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):