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Finish implementing active management hooks

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This commit is contained in:
Mark Veidemanis
2023-02-18 11:54:30 +00:00
parent 3e35214e82
commit 466b17400f
9 changed files with 271 additions and 123 deletions
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172
core/trading/active_management.py
View File

@@ -1,14 +1,13 @@
from copy import deepcopy
from datetime import datetime
from decimal import Decimal as D
import core.trading.market # to avoid messy circular import
from core.exchanges.convert import (
convert_trades,
side_to_direction,
sl_percent_to_price,
tp_percent_to_price,
)
from core.trading import assetfilter, checks, risk
from core.trading import assetfilter, checks, market, risk
from core.trading.crossfilter import crossfilter
from core.trading.market import get_base_quote, get_trade_size_in_base
@@ -20,17 +19,28 @@ class ActiveManagement(object):
self.trades = []
self.balance = None
self.balance_usd = 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()
def get_balance(self, return_usd=False):
if return_usd:
if self.balance_usd is None:
self.balance_usd = self.strategy.account.client.get_balance(
return_usd=True
)
else:
return self.balance_usd
else:
return self.balance
if self.balance is None:
self.balance = self.strategy.account.client.get_balance(
return_usd=False
)
else:
return self.balance
def handle_violation(self, check_type, action, trade, **kwargs):
print("VIOLATION", check_type, action, trade, kwargs)
@@ -54,8 +64,10 @@ class ActiveManagement(object):
def check_position_size(self, trade):
"""
Check the position size is within the allowed deviation.
WARNING: This uses the current balance, not the balance at the time of the trade.
WARNING: This uses the current symbol prices, not those at the time of the trade.
WARNING: This uses the current balance, not the balance at the time of the
trade.
WARNING: This uses the current symbol prices, not those at the time of the
trade.
This should normally be run every 5 seconds, so this is fine.
"""
# TODO: add the trade value to the balance
@@ -86,10 +98,12 @@ class ActiveManagement(object):
def check_protection(self, trade):
deviation = D(0.05) # 5%
# fmt: off
matches = {
"stop_loss_percent": self.strategy.order_settings.stop_loss_percent,
"take_profit_percent": self.strategy.order_settings.take_profit_percent,
"trailing_stop_percent": self.strategy.order_settings.trailing_stop_loss_percent,
"trailing_stop_percent":
self.strategy.order_settings.trailing_stop_loss_percent,
}
violations = {}
@@ -155,7 +169,7 @@ class ActiveManagement(object):
)
def get_sorted_trades_copy(self, trades, reverse=True):
trades_copy = trades.copy()
trades_copy = deepcopy(trades)
# sort by open time, newest first
trades_copy.sort(
key=lambda x: datetime.strptime(x["open_time"], "%Y-%m-%dT%H:%M:%S.%fZ"),
@@ -170,7 +184,8 @@ class ActiveManagement(object):
iterations = 0
finished = []
# Recursively run crossfilter on the newest-first list until we have no more conflicts
# Recursively run crossfilter on the newest-first list until we have no more
# conflicts
while not len(finished) == len(trades):
iterations += 1
if iterations > 10000:
@@ -207,17 +222,7 @@ class ActiveManagement(object):
close_trades.append(trade)
if not close_trades:
return
# For each conflicting symbol, identify the oldest trades
# removed_trades = []
# for symbol in conflict:
# newest_trade = max(conflict, key=lambda x: datetime.strptime(x["open_time"], "%Y-%m-%dT%H:%M:%S.%fZ"))
# removed_trades.append(newest_trade)
# print("KEEP TRADES", keep_trade_ids)
# close_trades = []
# for x in keep_trade_ids:
# for position in conflict[x]:
# if position["id"] not in keep_trade_ids[x]:
# close_trades.append(position)
if close_trades:
for trade in close_trades:
self.handle_violation(
@@ -225,57 +230,90 @@ class ActiveManagement(object):
)
def check_max_open_trades(self, trades):
if self.strategy.risk_model is not None:
max_open_pass = risk.check_max_open_trades(self.strategy.risk_model, trades)
if not max_open_pass:
trades_copy = self.get_sorted_trades_copy(trades, reverse=False)
print("TRADES COPY", [x["id"] for x in trades_copy])
print("MAX", self.strategy.risk_model.max_open_trades)
trades_over_limit = trades_copy[
self.strategy.risk_model.max_open_trades :
]
for trade in trades_over_limit:
self.handle_violation(
"max_open_trades",
self.policy.when_max_open_trades_violated,
trade,
)
print("TRADES OVER LIMNIT", trades_over_limit)
if self.strategy.risk_model is None:
return
max_open_pass = risk.check_max_open_trades(self.strategy.risk_model, trades)
if not max_open_pass:
trades_copy = self.get_sorted_trades_copy(trades, reverse=False)
# fmt: off
trades_over_limit = trades_copy[self.strategy.risk_model.max_open_trades:]
for trade in trades_over_limit:
self.handle_violation(
"max_open_trades",
self.policy.when_max_open_trades_violated,
trade,
)
def check_max_open_trades_per_symbol(self, trades):
if self.strategy.risk_model is not None:
max_open_pass = risk.check_max_open_trades_per_symbol(
self.strategy.risk_model, trades, return_symbols=True
)
print("max_open_pass", max_open_pass)
max_open_pass = list(max_open_pass)
print("MAX OPEN PASS", max_open_pass)
if max_open_pass:
trades_copy = self.get_sorted_trades_copy(trades, reverse=False)
trades_over_limit = []
for symbol in max_open_pass:
print("SYMBOL", symbol)
print("TRADES", trades)
symbol_trades = [x for x in trades_copy if x["symbol"] == symbol]
exceeding_limit = symbol_trades[
self.strategy.risk_model.max_open_trades_per_symbol :
]
for x in exceeding_limit:
trades_over_limit.append(x)
if self.strategy.risk_model is None:
return
max_open_pass = risk.check_max_open_trades_per_symbol(
self.strategy.risk_model, trades, return_symbols=True
)
max_open_pass = list(max_open_pass)
if max_open_pass:
trades_copy = self.get_sorted_trades_copy(trades, reverse=False)
trades_over_limit = []
for symbol in max_open_pass:
symbol_trades = [x for x in trades_copy if x["symbol"] == symbol]
# fmt: off
exceeding_limit = symbol_trades[
self.strategy.risk_model.max_open_trades_per_symbol:
]
for x in exceeding_limit:
trades_over_limit.append(x)
for trade in trades_over_limit:
self.handle_violation(
"max_open_trades_per_symbol",
self.policy.when_max_open_trades_violated,
trade,
)
print("TRADES OVER LIMNIT", trades_over_limit)
for trade in trades_over_limit:
self.handle_violation(
"max_open_trades_per_symbol",
self.policy.when_max_open_trades_violated,
trade,
)
def check_max_loss(self):
check_passed = risk.check_max_loss(self.strategy.risk_model, self.strategy.account.initial_balance, self.get_balance())
if self.strategy.risk_model is None:
return
check_passed = risk.check_max_loss(
self.strategy.risk_model,
self.strategy.account.initial_balance,
self.get_balance(),
)
if not check_passed:
self.handle_violation(
"max_loss", self.policy.when_max_loss_violated, None # Close all trades
)
def check_max_risk(self, trades):
pass
if self.strategy.risk_model is None:
return
close_trades = []
trades_copy = self.get_sorted_trades_copy(trades, reverse=False)
market.convert_trades_to_usd(self.strategy.account, trades_copy)
iterations = 0
finished = False
while not finished:
iterations += 1
if iterations > 10000:
raise Exception("Too many iterations")
check_passed = risk.check_max_risk(
self.strategy.risk_model,
self.get_balance(return_usd=True),
trades_copy,
)
if check_passed:
finished = True
else:
# Add the newest trade to close_trades and remove it from trades_copy
close_trades.append(trades_copy[-1])
trades_copy = trades_copy[:-1]
if close_trades:
for trade in close_trades:
self.handle_violation(
"max_risk", self.policy.when_max_risk_violated, trade
)
def run_checks(self):
converted_trades = convert_trades(self.get_trades())

2
core/trading/market.py
View File

@@ -20,7 +20,7 @@ def convert_trades_to_usd(account, trades):
:return: List of trades, with amount_usd added
"""
for trade in trades:
amount = trade["amount"]
amount = D(trade["amount"])
symbol = trade["symbol"]
side = trade["side"]
direction = side_to_direction(side)

5
core/trading/risk.py
View File

@@ -26,6 +26,7 @@ def check_max_risk(risk_model, account_balance_usd, account_trades):
# Calculate the max risk of the account in USD
max_risk_usd = account_balance_usd * (max_risk_percent / D(100))
total_risk = 0
for trade in account_trades:
max_tmp = []
# Need to calculate the max risk in base account currency
@@ -36,7 +37,8 @@ def check_max_risk(risk_model, account_balance_usd, account_trades):
if "trailing_stop_loss_usd" in trade:
max_tmp.append(trade["trailing_stop_loss_usd"])
if max_tmp:
total_risk += max(max_tmp)
max_risk = max(max_tmp)
total_risk += max_risk
allowed = total_risk < max_risk_usd
return allowed
@@ -59,7 +61,6 @@ def check_max_open_trades_per_symbol(risk_model, account_trades, return_symbols=
if symbol not in symbol_map:
symbol_map[symbol] = 0
symbol_map[symbol] += 1
print("Symbol map: ", symbol_map)
violating_symbols = []
for symbol, count in symbol_map.items():
if count >= risk_model.max_open_trades_per_symbol: