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Test checking maximum risk with market data

This commit is contained in:
Mark Veidemanis 2023-01-05 19:46:18 +00:00
parent d3e2bc8648
commit 483333bf28
Signed by: m
GPG Key ID: 5ACFCEED46C0904F
3 changed files with 104 additions and 12 deletions
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6
core/exchanges/common.py
View File

@ -23,10 +23,13 @@ def get_balance_hook(user_id, user_name, account_id, account_name, balance):
def tp_price_to_percent(tp_price, current_price, current_units, unrealised_pl):
# Is this right?
pl_per_unit = D(unrealised_pl) / D(current_units)
print("pl_per_unit: ", pl_per_unit)
initial_price = D(current_price) - pl_per_unit
print("initial_price: ", initial_price)
# Get the percent change of the TP price from the initial price.
change_percent = ((D(tp_price) - initial_price) / initial_price) * 100
print("change_percent: ", change_percent)
# Doesn't check direction
return abs(round(change_percent, 5))
@ -35,10 +38,13 @@ def tp_price_to_percent(tp_price, current_price, current_units, unrealised_pl):
def sl_price_to_percent(sl_price, current_price, current_units, unrealised_pl):
# Is this right?
pl_per_unit = D(unrealised_pl) / D(current_units)
print("pl_per_unit: ", pl_per_unit)
initial_price = D(current_price) - pl_per_unit
print("initial_price: ", initial_price)
# Get the percent change of the SL price from the initial price.
change_percent = ((D(sl_price) - initial_price) / initial_price) * 100
print("change_percent: ", change_percent)
# Doesn't check direction
return abs(round(change_percent, 5))

101
core/tests/trading/test_risk.py
View File

@ -1,5 +1,6 @@
from django.test import TestCase
from core.exchanges.common import convert_open_trades
from core.models import RiskModel, User
from core.trading import risk
@ -23,9 +24,9 @@ class RiskModelTestCase(TestCase):
"symbol": "XXXYYY",
"side": "BUY",
# We already calculated the TP percent loss relative to the account size
"tp_percent": 9,
"sl_percent": 9,
"tsl_percent": 9,
"take_profit_percent": 9,
"stop_loss_percent": 9,
"trailing_stop_loss_percent": 9,
}
def test_check_max_loss(self):
@ -73,8 +74,8 @@ class RiskModelTestCase(TestCase):
multiple trades.
"""
trade = self.trade.copy()
trade["sl_percent"] = 1
trade["tsl_percent"] = 1
trade["stop_loss_percent"] = 1
trade["trailing_stop_loss_percent"] = 1
account_trades = [trade] * 9
allowed = risk.check_max_risk(self.risk_model, account_trades)
self.assertTrue(allowed)
@ -85,7 +86,7 @@ class RiskModelTestCase(TestCase):
risked is exactly the max risk limit.
"""
trade = self.trade.copy()
trade["sl_percent"] = 10
trade["stop_loss_percent"] = 10
account_trades = [trade]
allowed = risk.check_max_risk(self.risk_model, account_trades)
self.assertFalse(allowed)
@ -96,8 +97,8 @@ class RiskModelTestCase(TestCase):
risked is exactly the max risk limit with multiple trades.
"""
trade = self.trade.copy()
trade["sl_percent"] = 1
trade["tsl_percent"] = 1
trade["stop_loss_percent"] = 1
trade["trailing_stop_loss_percent"] = 1
account_trades = [trade] * 10
allowed = risk.check_max_risk(self.risk_model, account_trades)
self.assertFalse(allowed)
@ -189,3 +190,87 @@ class RiskModelTestCase(TestCase):
account_trades = [trade1, trade2, trade1, trade2, trade1, trade2]
allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
self.assertFalse(allowed)
def check_max_risk_market_data(self):
"""
Check that we can open a trade within the max risk limit with market data.
"""
trade = {
"id": "abd123",
"symbol": "EUR_USD",
"currentUnits": 100,
"side": "long",
"state": "open",
"price": 1.0, # initial
"unrealizedPL": 0, # price == initial
"stopLossOrder": {
"price": 0.95, # down by 5%, 5% risk
},
}
converted = convert_open_trades([trade])
self.assertEqual(converted[0]["stop_loss_percent"], 5)
max_risk_check = risk.check_max_risk(self.risk_model, converted)
self.assertTrue(max_risk_check) # 5% risk is fine
def check_max_risk_market_data_multiple(self):
"""
Check that we can open a trade within the max risk limit with market data
and multiple trades.
"""
trade = {
"id": "abd123",
"symbol": "EUR_USD",
"currentUnits": 100,
"side": "long",
"state": "open",
"price": 1.0, # initial
"unrealizedPL": 0, # price == initial
"stopLossOrder": {
"price": 0.96, # down by 4%, 4% risk
},
}
converted = convert_open_trades([trade, trade])
max_risk_check = risk.check_max_risk(self.risk_model, converted)
self.assertTrue(max_risk_check) # 8% risk is fine
def check_max_risk_market_data_fail(self):
"""
Check that we can not open a trade outside the max risk limit with market data.
"""
trade = {
"id": "abd123",
"symbol": "EUR_USD",
"currentUnits": 100,
"side": "long",
"state": "open",
"price": 1.0, # initial
"unrealizedPL": 0, # price == initial
"stopLossOrder": {
"price": 0.9, # down by 10%, 10% risk
},
}
converted = convert_open_trades([trade])
self.assertEqual(converted[0]["stop_loss_percent"], 10)
max_risk_check = risk.check_max_risk(self.risk_model, converted)
self.assertFalse(max_risk_check) # 10% risk is too much
def check_max_risk_market_data_fail_multiple(self):
"""
Check that we can not open a trade outside the max risk limit with market data
and multiple trades.
"""
trade = {
"id": "abd123",
"symbol": "EUR_USD",
"currentUnits": 100,
"side": "long",
"state": "open",
"price": 1.0, # initial
"unrealizedPL": 0, # price == initial
"stopLossOrder": {
"price": 0.95, # down by 5%, 5% risk
},
}
converted = convert_open_trades([trade, trade])
max_risk_check = risk.check_max_risk(self.risk_model, converted)
self.assertFalse(max_risk_check) # 10% risk is too much

9
core/trading/risk.py
View File

@ -15,11 +15,12 @@ def check_max_risk(risk_model, account_trades):
total_risk = 0
for trade in account_trades:
max_tmp = []
if "sl_percent" in trade:
max_tmp.append(trade["sl_percent"])
if "tsl_percent" in trade:
max_tmp.append(trade["tsl_percent"])
if "stop_loss_percent" in trade:
max_tmp.append(trade["stop_loss_percent"])
if "trailing_stop_loss_percent" in trade:
max_tmp.append(trade["trailing_stop_loss_percent"])
total_risk += max(max_tmp)
print("Total risk: ", total_risk)
return total_risk < max_risk_percent