Remove asset filter and begin implementing posting trades
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5ACFCEED46C0904F
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@ -29,61 +29,6 @@ STRIPE_ADMIN_COUPON = getenv("STRIPE_ADMIN_COUPON", "")
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REGISTRATION_OPEN = getenv("REGISTRATION_OPEN", "false").lower() in trues
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ASSET_FILTER = [
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"LINK/USDT",
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"PAXG/USD",
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"PAXG/USDT",
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"SHIB/USD",
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"TRX/USD",
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"TRX/USDT",
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"UNI/BTC",
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"UNI/USD",
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"UNI/USDT",
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"USDT/USD",
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"WBTC/USD",
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"YFI/BTC",
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"NEAR/USDT",
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"SUSHI/USDT",
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"DOGE/USDT",
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"LINK/BTC",
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"LINK/USD",
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"GRT/USD",
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"AVAX/BTC",
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"AVAX/USD",
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"AVAX/USDT",
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"SOL/BTC",
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"SOL/USD",
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"SOL/USDT",
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"BTC/USDT",
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"SUSHI/BTC",
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"SUSHI/USD",
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"BCH/BTC",
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"BCH/USD",
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"YFI/USD",
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"ETH/USD",
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"ETH/USDT",
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"YFI/USDT",
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"AAVE/USD",
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"AAVE/USDT",
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"ALGO/USD",
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"BAT/USD",
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"DAI/USDT",
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"ALGO/USDT",
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"MATIC/BTC",
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"MATIC/USD",
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"DOGE/USD",
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"MKR/USD",
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"BTC/USD",
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"DOGE/BTC",
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"LTC/BTC",
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"LTC/USD",
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"LTC/USDT",
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"ETH/BTC",
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"BCH/USDT",
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"DAI/USD",
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"NEAR/USD",
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]
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# Hook URL, do not include leading or trailing slash
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HOOK_PATH = "hook"
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@ -1,4 +1,6 @@
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from alpaca.common.exceptions import APIError
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from glom import glom
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from oandapyV20.exceptions import V20Error
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from core.lib import schemas
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from core.util import logs
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@ -135,7 +137,11 @@ class BaseExchange(object):
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:raises NoSchema: If the method is not in the schema mapping
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:raises ValidationError: If the response cannot be validated
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"""
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response = self.call_method(method, *args, **kwargs)
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try:
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response = self.call_method(method, *args, **kwargs)
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except (APIError, V20Error) as e:
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log.error(f"Error calling method {method}: {e}")
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raise GenericAPIError(e)
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try:
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response_valid = self.validate_response(response, method)
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except NoSchema as e:
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@ -147,6 +153,7 @@ class BaseExchange(object):
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except NoSchema as e:
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log.error(f"{e} - {response}")
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response_converted = response_valid
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# return (True, response_converted)
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return response_converted
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@ -1,5 +1,5 @@
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from oandapyV20 import API
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from oandapyV20.endpoints import accounts, positions
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from oandapyV20.endpoints import accounts, orders, positions
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from core.exchanges import BaseExchange
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@ -26,16 +26,37 @@ class OANDAExchange(BaseExchange):
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return [x["name"] for x in response["itemlist"]]
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def get_balance(self):
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raise NotImplementedError
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r = accounts.AccountSummary(self.account_id)
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response = self.call(r)
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return float(response["balance"])
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def get_market_value(self, symbol):
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raise NotImplementedError
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def post_trade(self, trade):
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raise NotImplementedError
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# r = orders.OrderCreate(accountID, data=data)
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# self.client.request(r)
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# return r.response
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if trade.direction == "sell":
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amount = -trade.amount
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else:
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amount = trade.amount
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data = {
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"order": {
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# "price": "1.5000", - added later
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"stopLossOnFill": {"timeInForce": "GTC", "price": str(trade.stop_loss)},
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"takeProfitOnFill": {"price": str(trade.take_profit)},
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"timeInForce": "GTC",
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"instrument": trade.symbol,
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"units": str(amount),
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"type": trade.type.upper(),
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"positionFill": "DEFAULT",
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}
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}
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print("SENDINGF ORDER", data)
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if trade.type == "limit":
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data["order"]["price"] = str(trade.price)
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r = orders.OrderCreate(self.account_id, data=data)
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response = self.call(r)
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print("POSTED TRADE", response)
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return response
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def get_trade(self, trade_id):
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r = accounts.TradeDetails(accountID=self.account_id, tradeID=trade_id)
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@ -1,3 +1,5 @@
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from decimal import Decimal as D
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from alpaca.common.exceptions import APIError
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from core.models import Strategy, Trade
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@ -33,11 +35,14 @@ def execute_strategy(callback, strategy):
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base = callback.base
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quote = callback.quote
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direction = hook.direction
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if quote not in ["usd", "usdt", "usdc", "busd"]:
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log.error(f"Quote not compatible with Dollar: {quote}")
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return False
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quote = "usd" # TODO: MASSIVE HACK
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symbol = f"{base.upper()}/{quote.upper()}"
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if account.exchange == "alpaca":
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if quote not in ["usd", "usdt", "usdc", "busd"]:
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log.error(f"Quote not compatible with Dollar: {quote}")
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return False
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quote = "usd" # TODO: MASSIVE HACK
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symbol = f"{base.upper()}/{quote.upper()}"
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elif account.exchange == "oanda":
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symbol = f"{base.upper()}_{quote.upper()}"
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if symbol not in account.supported_symbols:
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log.error(f"Symbol not supported by account: {symbol}")
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@ -53,32 +58,32 @@ def execute_strategy(callback, strategy):
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# type = "limit"
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type = "market"
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trade_size_as_ratio = strategy.trade_size_percent / 100
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trade_size_as_ratio = D(strategy.trade_size_percent) / D(100)
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log.debug(f"Trade size as ratio: {trade_size_as_ratio}")
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amount_usd = trade_size_as_ratio * cash_balance
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amount_usd = D(trade_size_as_ratio) * D(cash_balance)
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log.debug(f"Trade size: {amount_usd}")
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price = callback.price
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price = round(D(callback.price), 8)
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if not price:
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return
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log.debug(f"Extracted price of quote: {price}")
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# We can do this because the quote IS in $ or equivalent
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trade_size_in_quote = amount_usd / price
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trade_size_in_quote = D(amount_usd) / D(price)
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log.debug(f"Trade size in quote: {trade_size_in_quote}")
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# calculate sl/tp
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stop_loss_as_ratio = strategy.stop_loss_percent / 100
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take_profit_as_ratio = strategy.take_profit_percent / 100
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stop_loss_as_ratio = D(strategy.stop_loss_percent) / D(100)
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take_profit_as_ratio = D(strategy.take_profit_percent) / D(100)
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log.debug(f"Stop loss as ratio: {stop_loss_as_ratio}")
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log.debug(f"Take profit as ratio: {take_profit_as_ratio}")
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stop_loss_subtract = price * stop_loss_as_ratio
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take_profit_add = price * take_profit_as_ratio
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stop_loss_subtract = D(price) * D(stop_loss_as_ratio)
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take_profit_add = D(price) * D(take_profit_as_ratio)
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log.debug(f"Stop loss subtract: {stop_loss_subtract}")
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log.debug(f"Take profit add: {take_profit_add}")
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stop_loss = price - stop_loss_subtract
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take_profit = price + take_profit_add
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stop_loss = D(price) - D(stop_loss_subtract)
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take_profit = D(price) + D(take_profit_add)
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log.debug(f"Stop loss: {stop_loss}")
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log.debug(f"Take profit: {take_profit}")
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@ -90,15 +95,15 @@ def execute_strategy(callback, strategy):
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symbol=symbol,
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type=type,
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# amount_usd=amount_usd,
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amount=trade_size_in_quote,
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amount=float(round(trade_size_in_quote, 2)),
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# price=price,
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stop_loss=stop_loss,
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take_profit=take_profit,
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stop_loss=float(round(stop_loss, 2)),
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take_profit=float(round(take_profit, 2)),
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direction=direction,
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)
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new_trade.save()
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info = new_trade.post()
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log.debug(f"Posted trade: {posted} - {info}")
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log.debug(f"Posted trade: {info}")
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def process_callback(callback):
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@ -179,6 +179,106 @@ AccountDetailsSchema = {
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}
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{
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"account": {
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"marginCloseoutNAV": "35454.4740",
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"marginUsed": "10581.5000",
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"currency": "EUR",
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"resettablePL": "-13840.3525",
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"NAV": "35454.4740",
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"marginCloseoutMarginUsed": "10581.5000",
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"marginCloseoutPositionValue": "211630.0000",
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"openTradeCount": 2,
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"id": "101-004-1435156-001",
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"hedgingEnabled": False,
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"marginCloseoutPercent": "0.14923",
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"marginCallMarginUsed": "10581.5000",
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"openPositionCount": 1,
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"positionValue": "211630.0000",
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"pl": "-13840.3525",
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"lastTransactionID": "2123",
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"marginAvailable": "24872.9740",
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"marginRate": "0.05",
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"marginCallPercent": "0.29845",
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"pendingOrderCount": 0,
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"withdrawalLimit": "24872.9740",
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"unrealizedPL": "0.0000",
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"alias": "hootnotv20",
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"createdByUserID": 1435156,
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"marginCloseoutUnrealizedPL": "0.0000",
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"createdTime": "2016-06-24T21:03:50.914647476Z",
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"balance": "35454.4740",
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},
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"lastTransactionID": "2123",
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}
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class AccountSummaryNested(BaseModel):
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marginCloseoutNAV: str
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marginUsed: str
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currency: str
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resettablePL: str
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NAV: str
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marginCloseoutMarginUsed: str
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marginCloseoutPositionValue: str
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openTradeCount: int
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id: str
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hedgingEnabled: bool
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marginCloseoutPercent: str
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marginCallMarginUsed: str
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openPositionCount: int
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positionValue: str
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pl: str
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lastTransactionID: str
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marginAvailable: str
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marginRate: str
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marginCallPercent: str
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pendingOrderCount: int
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withdrawalLimit: str
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unrealizedPL: str
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alias: str
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createdByUserID: int
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marginCloseoutUnrealizedPL: str
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createdTime: str
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balance: str
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class AccountSummary(BaseModel):
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account: AccountSummaryNested
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lastTransactionID: str
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AccountSummarySchema = {
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"marginCloseoutNAV": "account.marginCloseoutNAV",
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"marginUsed": "account.marginUsed",
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"currency": "account.currency",
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"resettablePL": "account.resettablePL",
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"NAV": "account.NAV",
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"marginCloseoutMarginUsed": "account.marginCloseoutMarginUsed",
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"marginCloseoutPositionValue": "account.marginCloseoutPositionValue",
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"openTradeCount": "account.openTradeCount",
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"id": "account.id",
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"hedgingEnabled": "account.hedgingEnabled",
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"marginCloseoutPercent": "account.marginCloseoutPercent",
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"marginCallMarginUsed": "account.marginCallMarginUsed",
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"openPositionCount": "account.openPositionCount",
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"positionValue": "account.positionValue",
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"pl": "account.pl",
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"lastTransactionID": "account.lastTransactionID",
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"marginAvailable": "account.marginAvailable",
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"marginRate": "account.marginRate",
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"marginCallPercent": "account.marginCallPercent",
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"pendingOrderCount": "account.pendingOrderCount",
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"withdrawalLimit": "account.withdrawalLimit",
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"unrealizedPL": "account.unrealizedPL",
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"alias": "account.alias",
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"createdByUserID": "account.createdByUserID",
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"marginCloseoutUnrealizedPL": "account.marginCloseoutUnrealizedPL",
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"createdTime": "account.createdTime",
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"balance": "account.balance",
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}
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class PositionDetailsNested(BaseModel):
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instrument: str
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long: PositionLong
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@ -1,7 +1,6 @@
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import re
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import orjson
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from django.conf import settings
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from django.contrib.auth.mixins import LoginRequiredMixin
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from django.http import HttpResponse, HttpResponseBadRequest
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from pydantic import ValidationError
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@ -56,9 +55,6 @@ class HookAPI(APIView):
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base = hook_resp.market.item
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quote = hook_resp.market.currency
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symbol = f"{base.upper()}/{quote.upper()}"
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if symbol not in settings.ASSET_FILTER:
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log.debug(f"Skipping {symbol} because it is not in the asset filter")
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return HttpResponseBadRequest("Invalid symbol")
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data = {
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"title": hook_resp.title,
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@ -6,6 +6,7 @@ from django.shortcuts import render
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from django.views import View
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from rest_framework.parsers import FormParser
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from core.exchanges import GenericAPIError
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from core.models import Account
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from core.util import logs
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@ -16,7 +17,10 @@ def get_positions(user, account_id=None):
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items = []
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accounts = Account.objects.filter(user=user)
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for account in accounts:
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positions = account.client.get_all_positions()
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try:
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positions = account.client.get_all_positions()
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except GenericAPIError:
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continue
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for item in positions:
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items.append(item)
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