Prevent betting against ourselves via inverted pairs
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5ACFCEED46C0904F
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@ -8,7 +8,82 @@ from core.util import logs
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log = logs.get_logger(__name__)
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def crossfilter(account, symbol, direction, func):
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def check_existing_position(
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func: str,
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position: dict,
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open_side: str,
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open_symbol: str,
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open_units: str,
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new_side: str,
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new_symbol: str,
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trade_side_opposite: str,
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):
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# Check if we already have a position for the symbol
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if open_symbol == new_symbol:
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# If the live side is the inverse of what we want to do,
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# we can't open a position
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if open_side == trade_side_opposite:
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# If there is a position open, we can't open a new one in the opposite
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# direction
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if open_units != "0":
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# If we have a short on GBP/AUD, we can only place more shorts on
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# GBP/AUD.
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if func == "entry":
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log.debug(
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f"Refusing to open new {new_side} position on {new_symbol} due "
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f"to {open_side} position on {open_symbol}"
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)
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return {
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"action": "rejected",
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"positions": position,
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}
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elif func == "exit":
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log.debug(
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(
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f"Found {open_units} units of "
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f"{open_symbol} on side {trade_side_opposite}"
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)
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)
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# Pass back opposing side so we can close it
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return {
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"action": "close",
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"side": trade_side_opposite,
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"positions": position,
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}
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return False
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def check_conflicting_position(
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func: str,
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position: dict,
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open_base: str,
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open_quote: str,
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open_side: str,
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open_symbol: str,
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open_units: str,
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new_base: str,
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new_quote: str,
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new_side: str,
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new_symbol: str,
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trade_side_opposite: str,
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):
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if open_base == new_quote or open_quote == new_base:
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# If we have a long on GBP/AUD, we can only place shorts on XAU/GBP.
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if open_side != trade_side_opposite:
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if open_units != "0":
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# Only do this for entries
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if func == "entry":
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log.debug(
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f"Refusing to open {new_side} position on {new_symbol} due to "
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f"{open_side} position on {open_symbol}"
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)
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return {
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"action": "rejected",
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"positions": position,
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}
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def crossfilter(account, new_symbol, new_direction, func):
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"""
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Determine if we are betting against ourselves.
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Checks open positions for the account, rejecting the trade if there is one
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@ -20,7 +95,11 @@ def crossfilter(account, symbol, direction, func):
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:return: dict of action and opposing position, or False
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"""
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try:
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position_info = account.client.get_position_info(symbol)
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# Only get the data we need
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if func == "entry":
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all_positions = account.client.get_all_positions()
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else:
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all_positions = [account.client.get_position_info(new_symbol)]
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except GenericAPIError as e:
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if "No position exists for the specified instrument" in str(e):
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log.debug("No position exists for this symbol")
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@ -28,28 +107,61 @@ def crossfilter(account, symbol, direction, func):
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else:
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log.error(f"Error getting position info: {e}")
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return None
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if direction == "buy":
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if new_direction == "buy":
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opposing_side = "short"
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elif direction == "sell":
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new_side = "long"
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elif new_direction == "sell":
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opposing_side = "long"
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new_side = "short"
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opposing_position_info = position_info[opposing_side]
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if opposing_position_info["units"] != "0":
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if func == "entry":
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return {"action": "rejected", "positions": opposing_position_info}
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elif func == "exit":
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log.debug(
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(
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f"Found {opposing_position_info['units']} units of "
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f"{symbol} on side {opposing_side}"
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quotes = []
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new_base, new_quote = new_symbol.split("_")
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for position in all_positions:
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# For Forex, get a list of all the quotes.
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# This is to prevent betting against ourselves.
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# Consider we have a long position open, EUR/USD, and we want to open a
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# long position on USD/JPY. If the first goes up, the second one will go
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# down just as much. We won't make any money.
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if "_" in position["symbol"]:
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open_base, open_quote = position["symbol"].split("_")
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quotes.append(open_quote)
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open_symbol = position["symbol"]
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open_side = position["side"]
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open_base, open_quote = open_symbol.split("_")
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# Check if we already have a position
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existing_position_check = check_existing_position(
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func=func,
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position=position,
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open_side=open_side,
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open_symbol=open_symbol,
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open_units=position["units"],
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new_side=new_side,
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new_symbol=new_symbol,
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trade_side_opposite=opposing_side,
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)
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if existing_position_check:
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return existing_position_check
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# Check if we are betting against ourselves
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conflicting_position_check = check_conflicting_position(
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func=func,
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position=position,
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open_base=open_base,
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open_quote=open_quote,
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open_side=open_side,
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open_symbol=open_symbol,
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open_units=position["units"],
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new_base=new_base,
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new_quote=new_quote,
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new_side=new_side,
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new_symbol=new_symbol,
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trade_side_opposite=opposing_side,
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)
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# Pass back opposing side so we can close it
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return {
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"action": "close",
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"side": opposing_side,
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"positions": opposing_position_info,
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}
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if conflicting_position_check:
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return conflicting_position_check
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return False
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