Implement trading time limits

Makefile

@@ -10,6 +10,9 @@ stop:
 log:
 	docker-compose -f docker/docker-compose.prod.yml --env-file=stack.env logs -f
 
+test:
+	docker-compose -f docker/docker-compose.prod.yml --env-file=stack.env run --rm app sh -c ". /venv/bin/activate && python manage.py test $(MODULES)"
+
 migrate:
 	docker-compose -f docker/docker-compose.prod.yml --env-file=stack.env run --rm app sh -c ". /venv/bin/activate && python manage.py migrate"
 

core/lib/market.py

@@ -1,3 +1,4 @@
+from datetime import datetime
 from decimal import Decimal as D
 
 from core.exchanges import GenericAPIError
@@ -7,15 +8,6 @@ from core.util import logs
 log = logs.get_logger(__name__)
 
 
-# def to_usd(account, amount, from_currency):
-#     if account.exchange == "alpaca":
-#         separator = "/"
-#     elif account.exchange == "oanda":
-#         separator = "_"
-#     symbol = f"{from_currency.upper()}{separator}{to_currency.upper()}"
-#     prices = account.client.get_currencies([symbol])
-
-
 def get_pair(account, base, quote, invert=False):
     """
     Get the pair for the given account and currencies.
@@ -273,6 +265,17 @@ def execute_strategy(callback, strategy):
     :param strategy: Strategy object
     """
 
+    # Check if we can trade now!
+    now_utc = datetime.utcnow()
+    trading_times = strategy.trading_times.all()
+    if not trading_times:
+        log.error("No trading times set for strategy")
+        return
+    matches = [x.within_range(now_utc) for x in trading_times]
+    if not any(matches):
+        log.debug("Not within trading time range")
+        return
+
     # Get the account's balance in the native account currency
     cash_balance = strategy.account.client.get_balance()
     log.debug(f"Cash balance: {cash_balance}")

core/migrations/0032_alter_tradingtime_end_day_and_more.py

@@ -0,0 +1,23 @@
+# Generated by Django 4.1.3 on 2022-11-25 18:29
+
+from django.db import migrations, models
+
+
+class Migration(migrations.Migration):
+
+    dependencies = [
+        ('core', '0031_strategy_trading_times'),
+    ]
+
+    operations = [
+        migrations.AlterField(
+            model_name='tradingtime',
+            name='end_day',
+            field=models.CharField(choices=[(0, 'Monday'), (1, 'Tuesday'), (2, 'Wednesday'), (3, 'Thursday'), (4, 'Friday'), (5, 'Saturday'), (6, 'Sunday')], max_length=255),
+        ),
+        migrations.AlterField(
+            model_name='tradingtime',
+            name='start_day',
+            field=models.CharField(choices=[(0, 'Monday'), (1, 'Tuesday'), (2, 'Wednesday'), (3, 'Thursday'), (4, 'Friday'), (5, 'Saturday'), (6, 'Sunday')], max_length=255),
+        ),
+    ]

core/migrations/0033_alter_tradingtime_end_day_and_more.py

@@ -0,0 +1,23 @@
+# Generated by Django 4.1.3 on 2022-11-25 18:35
+
+from django.db import migrations, models
+
+
+class Migration(migrations.Migration):
+
+    dependencies = [
+        ('core', '0032_alter_tradingtime_end_day_and_more'),
+    ]
+
+    operations = [
+        migrations.AlterField(
+            model_name='tradingtime',
+            name='end_day',
+            field=models.IntegerField(choices=[(0, 'Monday'), (1, 'Tuesday'), (2, 'Wednesday'), (3, 'Thursday'), (4, 'Friday'), (5, 'Saturday'), (6, 'Sunday')]),
+        ),
+        migrations.AlterField(
+            model_name='tradingtime',
+            name='start_day',
+            field=models.IntegerField(choices=[(0, 'Monday'), (1, 'Tuesday'), (2, 'Wednesday'), (3, 'Thursday'), (4, 'Friday'), (5, 'Saturday'), (6, 'Sunday')]),
+        ),
+    ]

core/migrations/0034_alter_strategy_trading_times.py

@@ -0,0 +1,18 @@
+# Generated by Django 4.1.3 on 2022-11-25 18:49
+
+from django.db import migrations, models
+
+
+class Migration(migrations.Migration):
+
+    dependencies = [
+        ('core', '0033_alter_tradingtime_end_day_and_more'),
+    ]
+
+    operations = [
+        migrations.AlterField(
+            model_name='strategy',
+            name='trading_times',
+            field=models.ManyToManyField(to='core.tradingtime'),
+        ),
+    ]

core/migrations/0035_alter_tradingtime_end_day_and_more.py

@@ -0,0 +1,23 @@
+# Generated by Django 4.1.3 on 2022-11-25 19:01
+
+from django.db import migrations, models
+
+
+class Migration(migrations.Migration):
+
+    dependencies = [
+        ('core', '0034_alter_strategy_trading_times'),
+    ]
+
+    operations = [
+        migrations.AlterField(
+            model_name='tradingtime',
+            name='end_day',
+            field=models.IntegerField(choices=[(1, 'Monday'), (2, 'Tuesday'), (3, 'Wednesday'), (4, 'Thursday'), (5, 'Friday'), (6, 'Saturday'), (7, 'Sunday')]),
+        ),
+        migrations.AlterField(
+            model_name='tradingtime',
+            name='start_day',
+            field=models.IntegerField(choices=[(1, 'Monday'), (2, 'Tuesday'), (3, 'Wednesday'), (4, 'Thursday'), (5, 'Friday'), (6, 'Saturday'), (7, 'Sunday')]),
+        ),
+    ]

core/models.py

@@ -1,3 +1,5 @@
+from datetime import timedelta
+
 import stripe
 from django.conf import settings
 from django.contrib.auth.models import AbstractUser
@@ -25,13 +27,13 @@ TIF_CHOICES = (
     ("ioc", "IOC (Immediate Or Cancel)"),
 )
 DAY_CHOICES = (
-    ("monday", "Monday"),
+    (1, "Monday"),
-    ("tuesday", "Tuesday"),
+    (2, "Tuesday"),
-    ("wednesday", "Wednesday"),
+    (3, "Wednesday"),
-    ("thursday", "Thursday"),
+    (4, "Thursday"),
-    ("friday", "Friday"),
+    (5, "Friday"),
-    ("saturday", "Saturday"),
+    (6, "Saturday"),
-    ("sunday", "Sunday"),
+    (7, "Sunday"),
 )
 
 
@@ -225,13 +227,63 @@ class TradingTime(models.Model):
     user = models.ForeignKey(User, on_delete=models.CASCADE)
     name = models.CharField(max_length=255)
     description = models.TextField(null=True, blank=True)
-    start_day = models.CharField(choices=DAY_CHOICES, max_length=255)
+    start_day = models.IntegerField(choices=DAY_CHOICES)
-    end_day = models.CharField(choices=DAY_CHOICES, max_length=255)
+    end_day = models.IntegerField(choices=DAY_CHOICES)
     start_time = models.TimeField()
     end_time = models.TimeField()
 
+    def within_range(self, ts):
+        """
+        Check if the specified time is within the configured trading times.
+        :param ts: Timestamp
+        :type ts: datetime
+        :return: whether or not the time is within the trading range
+        :rtype: bool
+        """
+        start_day = self.start_day
+        end_day = self.end_day
+        # Check the day is between the start and end day
+        if not start_day <= ts.weekday() + 1 <= end_day:
+            return False
+
+        start_time = self.start_time
+        end_time = self.end_time
+
+        # Get what the start time would be this week
+        ts_monday = ts - timedelta(days=ts.weekday())
+
+        # Now we need to add our day of week to monday
+        # Let's set the offset now since it's off by one
+        offset_start = start_day - 1
+        # Datetime: monday=0, tuesday=1, us: monday=1, tuesday=2, so we need to subtract
+        # one from ours to not be off by one
+        offset_end = end_day - 1
+
+        # Now we can add the offset to the monday
+        start = ts_monday + timedelta(days=offset_start)
+        start = start.replace(
+            hour=start_time.hour,
+            minute=start_time.minute,
+            second=start_time.second,
+            microsecond=start_time.microsecond,
+        )
+        end = ts_monday + timedelta(days=offset_end)
+        end = end.replace(
+            hour=end_time.hour,
+            minute=end_time.minute,
+            second=end_time.second,
+            microsecond=end_time.microsecond,
+        )
+        # Check if the ts is between the start and end times
+        # ts must be more than start and less than end
+        return ts >= start and ts <= end
+        return True
+
     def __str__(self):
-        return f"{self.name} ({self.start_day} at {self.start_time} - {self.end_day} at {self.end_time})"
+        return (
+            f"{self.name} ({self.get_start_day_display()} at {self.start_time} -"
+            f"{self.get_end_day_display()} at {self.end_time})"
+        )
 
 
 class Strategy(models.Model):
@@ -239,7 +291,7 @@ class Strategy(models.Model):
     name = models.CharField(max_length=255)
     description = models.TextField(null=True, blank=True)
     account = models.ForeignKey(Account, on_delete=models.CASCADE)
-    trading_times = models.ManyToManyField(TradingTime, blank=True)
+    trading_times = models.ManyToManyField(TradingTime)
     order_type = models.CharField(
         choices=TYPE_CHOICES, max_length=255, default="market"
     )

core/templates/partials/trading-time-list.html

@@ -22,8 +22,8 @@
       <td>{{ item.user }}</td>
       <td>{{ item.name }}</td>
       <td>{{ item.description }}</td>
-      <td>{{ item.start_day }} at {{ item.start_time }}</td>
+      <td>{{ item.get_start_day_display }} at {{ item.start_time }}</td>
-      <td>{{ item.end_day }} at {{ item.end_time }}</td>
+      <td>{{ item.get_end_day_display }} at {{ item.end_time }}</td>
       <td>
         <div class="buttons">
           <button

core/tests.py

@@ -1,3 +0,0 @@
-# from django.test import TestCase
-
-# Create your tests here.

core/tests/lib/test_market.py

@@ -0,0 +1,90 @@
+from django.test import TestCase
+from core.models import TradingTime, User
+from datetime import datetime, time
+
+class MarketTestCase(TestCase):
+    def setUp(self):
+        # Create a test user
+        self.user = User.objects.create_user(
+            username="testuser",
+            email="test@example.com",
+        )
+        self.time_9 = time(9, 0, 0)
+        self.time_11 = time(11, 0, 0)
+        self.time_14 = time(14, 0, 0)
+        self.time_16 = time(16, 0, 0)
+
+    def test_time_within_range(self):
+        """
+        Check the method of TradingTime model works as expected.
+        We check two dates, one that is within the range and one that is not.
+        """
+        test_time = datetime(2022, 11, 28, 10, 0, 0)
+
+        trading_time = TradingTime.objects.create(
+            user = self.user,
+            start_day = 1,
+            end_day = 1,
+            start_time = self.time_9,
+            end_time = self.time_11,
+        )
+
+        self.assertTrue(trading_time.within_range(test_time))
+
+    def test_time_within_range_fail(self):
+        """
+        Check the method of TradingTime model works as expected.
+        We check two dates, one that is within the range and one that is not.
+        """
+        test_time = datetime(2022, 11, 28, 10, 0, 0)
+        trading_time = TradingTime.objects.create(
+            user = self.user,
+            start_day = 1,
+            end_day = 1,
+            start_time = self.time_14,
+            end_time = self.time_16,
+        )
+
+        self.assertFalse(trading_time.within_range(test_time))
+
+    def test_time_within_range_across_days(self):
+        test_time = datetime(2022, 11, 28, 20, 0, 0)
+
+        trading_time = TradingTime.objects.create(
+            user = self.user,
+            start_day = 1, # Monday
+            end_day = 6, # Saturday
+            start_time = self.time_9,
+            end_time = self.time_11,
+        )
+
+        self.assertTrue(trading_time.within_range(test_time))
+
+    def test_time_within_range_across_days_fail(self):
+        # Set test time Monday, 28 November, 2022, 13:00:00
+        test_time = datetime(2022, 11, 28, 13, 0, 0)
+        trading_time = TradingTime.objects.create(
+            user = self.user,
+            start_day = 1,
+            end_day = 6,
+            start_time = self.time_14,
+            end_time = self.time_16,
+        )
+
+        self.assertFalse(trading_time.within_range(test_time))
+
+    def test_time_within_range_day_mismatch(self):
+        """
+        Check that the day of the week is taken into account.
+        """
+        test_time = datetime(2022, 11, 29, 8, 0, 0)
+
+        trading_time = TradingTime.objects.create(
+            user = self.user,
+            start_day = 2, # Tuesday
+            end_day = 6,
+            start_time = self.time_9,
+            end_time = self.time_11,
+        )
+
+        self.assertFalse(trading_time.within_range(test_time))