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Implement trading time limits

This commit is contained in:
Mark Veidemanis 2022-11-25 19:28:21 +00:00
parent 69a2b269ad
commit 4973582bdf
Signed by: m
GPG Key ID: 5ACFCEED46C0904F
11 changed files with 257 additions and 25 deletions
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3
Makefile
View File

@ -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"

21
core/lib/market.py
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@ -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}")

23
core/migrations/0032_alter_tradingtime_end_day_and_more.py Normal file
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@ -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),
),
]

23
core/migrations/0033_alter_tradingtime_end_day_and_more.py Normal file
View File

@ -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')]),
),
]

18
core/migrations/0034_alter_strategy_trading_times.py Normal file
View File

@ -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'),
),
]

23
core/migrations/0035_alter_tradingtime_end_day_and_more.py Normal file
View File

@ -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')]),
),
]

74
core/models.py
View File

@ -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"),
("tuesday", "Tuesday"),
("wednesday", "Wednesday"),
("thursday", "Thursday"),
("friday", "Friday"),
("saturday", "Saturday"),
("sunday", "Sunday"),
(1, "Monday"),
(2, "Tuesday"),
(3, "Wednesday"),
(4, "Thursday"),
(5, "Friday"),
(6, "Saturday"),
(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)
end_day = models.CharField(choices=DAY_CHOICES, max_length=255)
start_day = models.IntegerField(choices=DAY_CHOICES)
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"
)

4
core/templates/partials/trading-time-list.html
View File

@ -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.end_day }} at {{ item.end_time }}</td>
<td>{{ item.get_start_day_display }} at {{ item.start_time }}</td>
<td>{{ item.get_end_day_display }} at {{ item.end_time }}</td>
<td>
<div class="buttons">
<button

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

0
core/tests/__init__.py Normal file
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90
core/tests/lib/test_market.py Normal file
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@ -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))