Add more hooks to active management

core/trading/active_management.py

@@ -1,9 +1,78 @@
+from datetime import datetime
+from decimal import Decimal as D
+
+from core.exchanges.convert import side_to_direction
+from core.trading import checks
+from core.trading.market import get_base_quote, get_trade_size_in_base
+
+
 class ActiveManagement(object):
     def __init__(self, strategy):
         self.strategy = strategy
+        self.policy = strategy.active_management_policy
+
+        self.trades = []
+        self.balance = None
+
+    def get_trades(self):
+        if not self.trades:
+            self.trades = self.strategy.account.client.get_all_open_trades()
+        return self.trades
+
+    def get_balance(self):
+        if self.balance is None:
+            self.balance = self.strategy.account.client.get_balance()
+        else:
+            return self.balance
+
+    def handle_violation(self, check_type, action, trade):
+        print("VIOLATION", check_type, action, trade)
+
+    def check_trading_time(self, trade):
+        open_ts = trade["openTime"]
+        open_ts_as_date = datetime.strptime(open_ts, "%Y-%m-%dT%H:%M:%S.%fZ")
+        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
+            )
+
+    def check_trends(self, trade):
+        direction = side_to_direction(trade["side"])
+        symbol = trade["symbol"]
+        trends_pass = checks.within_trends(self.strategy, symbol, direction)
+        if not trends_pass:
+            print("VIOLATION", "trends", self.policy.when_trends_violated, trade)
+            self.handle_violation("trends", self.policy.when_trends_violated, trade)
+
+    def check_position_size(self, trade):
+        balance = self.get_balance()
+        print("BALANCE", balance)
+        direction = side_to_direction(trade["side"])
+        symbol = trade["symbol"]
+        base, quote = get_base_quote(self.strategy.account.exchange, symbol)
+        expected_trade_size = get_trade_size_in_base(
+            direction, self.strategy.account, self.strategy, balance, base
+        )
+        print("TRADE SIZE", expected_trade_size)
+
+        deviation = D(0.05)  # 5%
+        actual_trade_size = D(trade["currentUnits"])
+        # Ensure the trade size not above the expected trade size by more than 5%
+        max_trade_size = expected_trade_size + (deviation * expected_trade_size)
+        within_max_trade_size = actual_trade_size <= max_trade_size
+
+        if not within_max_trade_size:
+            self.handle_violation(
+                "position_size", self.policy.when_position_size_violated, trade
+            )
 
     def run_checks(self):
-        pass
+        for trade in self.get_trades():
+            self.check_trading_time(trade)
+            self.check_trends(trade)
+            self.check_position_size(trade)
+
         # Trading Time
         # Max loss
         # Trends

core/trading/checks.py

@@ -53,7 +53,9 @@ def within_max_loss(strategy):
 
 
 def within_trends(strategy, symbol, direction):
+    print("WITHIN TRENDS", symbol, direction)
     if strategy.trend_signals.exists():
+        print("TREND SIGNALS EXIST")
         if strategy.trends is None:
             log.debug("Refusing to trade with no trend signals received")
             sendmsg(
@@ -82,6 +84,9 @@ def within_trends(strategy, symbol, direction):
             else:
                 log.debug(f"Trend check passed for {symbol} - {direction}")
                 return True
+    else:
+        log.debug("No trend signals configured")
+        return True
 
 
 def within_position_size(strategy):

core/trading/market.py

@@ -50,6 +50,8 @@ def get_base_quote(exchange, symbol):
         separator = "/"
     elif exchange == "oanda":
         separator = "_"
+    else:
+        separator = "_"
     base, quote = symbol.split(separator)
     return (base, quote)