Implement trend signals

core/forms.py

@@ -122,6 +122,7 @@ class StrategyForm(RestrictedFormMixin, ModelForm):
             "time_in_force",
             "entry_signals",
             "exit_signals",
+            "trend_signals",
             "enabled",
             "take_profit_percent",
             "stop_loss_percent",
@@ -138,8 +139,9 @@ class StrategyForm(RestrictedFormMixin, ModelForm):
             "trading_times": "When the strategy will place new trades.",
             "order_type": "Market: Buy/Sell at the current market price. Limit: Buy/Sell at a specified price. Limits protect you more against market slippage.",
             "time_in_force": "The time in force controls how the order is executed.",
-            "entry_signals": "The entry signals to attach to this strategy. Callbacks received to these signals will trigger a trade.",
-            "exit_signals": "The exit signals to attach to this strategy. Callbacks received to these signals will close all trades for the symbol on the account.",
+            "entry_signals": "Callbacks received to these signals will trigger a trade.",
+            "exit_signals": "Callbacks received to these signals will close all trades for the symbol on the account.",
+            "trend_signals": "Callbacks received to these signals will limit the trading direction of the given symbol to the callback direction until further notice.",
             "enabled": "Whether the strategy is enabled.",
             "take_profit_percent": "The take profit will be set at this percentage above/below the entry price.",
             "stop_loss_percent": "The stop loss will be set at this percentage above/below the entry price.",
@@ -161,6 +163,12 @@ class StrategyForm(RestrictedFormMixin, ModelForm):
         help_text=Meta.help_texts["exit_signals"],
         required=False,
     )
+    trend_signals = forms.ModelMultipleChoiceField(
+        queryset=Signal.objects.all(),
+        widget=forms.CheckboxSelectMultiple,
+        help_text=Meta.help_texts["trend_signals"],
+        required=False,
+    )
     trading_times = forms.ModelMultipleChoiceField(
         queryset=TradingTime.objects.all(), widget=forms.CheckboxSelectMultiple
     )

core/lib/market.py

@@ -296,7 +296,7 @@ def execute_strategy(callback, strategy, func):
     :param strategy: Strategy object
     """
 
-    # Only check times for entries. We can always exit trades.
+    # Only check times for entries. We can always exit trades and set trends.
     if func == "entry":
         # Check if we can trade now!
         now_utc = datetime.utcnow()
@@ -380,6 +380,31 @@ def execute_strategy(callback, strategy, func):
             response = account.client.close_position(side, symbol)
             log.debug(f"Close position response: {response}")
             return
+
+    # Set the trend
+    elif func == "trend":
+        if strategy.trends is None:
+            strategy.trends = {}
+        strategy.trends[symbol] = direction
+        strategy.save()
+        log.debug(f"Set trend for {symbol}: {direction}")
+        return
+
+    # Check if we are trading against the trend
+    if strategy.trend_signals is not None:
+        if strategy.trends is None:
+            log.debug("Refusing to trade with no trend signals received")
+            return
+        if symbol not in strategy.trends:
+            log.debug("Refusing to trade asset without established trend")
+            return
+        else:
+            if strategy.trends[symbol] != direction:
+                log.debug("Refusing to trade against the trend")
+                return
+            else:
+                log.debug(f"Trend check passed for {symbol} - {direction}")
+
     type = strategy.order_type
 
     # Get the account's balance in the native account currency
@@ -443,6 +468,17 @@ def execute_strategy(callback, strategy, func):
 def process_callback(callback):
     log.info(f"Received callback for {callback.hook} - {callback.signal}")
 
+    # Scan for trend
+    log.debug("Scanning for trend strategies...")
+    strategies = Strategy.objects.filter(trend_signals=callback.signal, 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, func="trend")
+
     # Scan for entry
     log.debug("Scanning for entry strategies...")
     strategies = Strategy.objects.filter(entry_signals=callback.signal, enabled=True)

core/migrations/0043_strategy_trend_signals.py

@@ -0,0 +1,18 @@
+# Generated by Django 4.1.3 on 2022-12-06 19:24
+
+from django.db import migrations, models
+
+
+class Migration(migrations.Migration):
+
+    dependencies = [
+        ('core', '0042_trade_information'),
+    ]
+
+    operations = [
+        migrations.AddField(
+            model_name='strategy',
+            name='trend_signals',
+            field=models.ManyToManyField(blank=True, related_name='trend_strategies', to='core.signal'),
+        ),
+    ]

core/migrations/0044_strategy_trends.py

@@ -0,0 +1,18 @@
+# Generated by Django 4.1.3 on 2022-12-06 19:33
+
+from django.db import migrations, models
+
+
+class Migration(migrations.Migration):
+
+    dependencies = [
+        ('core', '0043_strategy_trend_signals'),
+    ]
+
+    operations = [
+        migrations.AddField(
+            model_name='strategy',
+            name='trends',
+            field=models.JSONField(blank=True, null=True),
+        ),
+    ]

core/models.py

@@ -334,6 +334,9 @@ class Strategy(models.Model):
     exit_signals = models.ManyToManyField(
         Signal, related_name="exit_strategies", blank=True
     )
+    trend_signals = models.ManyToManyField(
+        Signal, related_name="trend_strategies", blank=True
+    )
     enabled = models.BooleanField(default=False)
     take_profit_percent = models.FloatField(default=1.5)
     stop_loss_percent = models.FloatField(default=1.0)
@@ -341,6 +344,7 @@ class Strategy(models.Model):
     price_slippage_percent = models.FloatField(default=2.5)
     callback_price_deviation_percent = models.FloatField(default=0.5)
     trade_size_percent = models.FloatField(default=0.5)
+    trends = models.JSONField(null=True, blank=True)
 
     class Meta:
         verbose_name_plural = "strategies"