Test checking maximum risk with market data

core/exchanges/common.py

@@ -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))

core/tests/trading/test_risk.py

@@ -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,
+            "take_profit_percent": 9,
-            "sl_percent": 9,
+            "stop_loss_percent": 9,
-            "tsl_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["stop_loss_percent"] = 1
-        trade["tsl_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["stop_loss_percent"] = 1
-        trade["tsl_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

core/trading/risk.py

@@ -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:
+        if "stop_loss_percent" in trade:
-            max_tmp.append(trade["sl_percent"])
+            max_tmp.append(trade["stop_loss_percent"])
-        if "tsl_percent" in trade:
+        if "trailing_stop_loss_percent" in trade:
-            max_tmp.append(trade["tsl_percent"])
+            max_tmp.append(trade["trailing_stop_loss_percent"])
         total_risk += max(max_tmp)
+    print("Total risk: ", total_risk)
     return total_risk < max_risk_percent