Implement crossfilter to protect against stupidity

core/lib/market.py

@@ -8,6 +8,37 @@ from core.util import logs
 log = logs.get_logger(__name__)
 
 
+def crossfilter(account, symbol, direction, func):
+    """
+    Determine if we are betting against ourselves.
+    Checks open positions for the account, rejecting the trade if there is one
+    with an opposite direction to this one.
+    :param account: Account object
+    :param symbol: Symbol
+    :param direction: Direction of the trade
+    :param func: Whether we are checking entries or exits
+    :return: dict of action and opposing position, or False
+    """
+    position_info = account.client.get_position_info(symbol)
+    if direction == "buy":
+        opposing_side = "short"
+    elif direction == "sell":
+        opposing_side = "long"
+
+    opposing_position_info = position_info[opposing_side]
+    if opposing_position_info["units"] != "0":
+        if func == "entry":
+            return {"action": "rejected", "positions": opposing_position_info}
+        elif func == "exit":
+            # Pass back opposing side so we can close it
+            return {
+                "action": "close",
+                "side": opposing_side,
+                "positions": opposing_position_info,
+            }
+    return False
+
+
 def get_pair(account, base, quote, invert=False):
     """
     Get the pair for the given account and currencies.
@@ -258,27 +289,25 @@ def get_price_bound(direction, strategy, price, current_price):
     return price_bound
 
 
-def execute_strategy(callback, strategy):
+def execute_strategy(callback, strategy, func):
     """
     Execute a strategy.
     :param callback: Callback object
     :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}")
+    # Only check times for entries. We can always exit trades.
+    if func == "entry":
+        # 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
 
     # Instruments supported by the account
     if not strategy.account.instruments:
@@ -329,12 +358,34 @@ def execute_strategy(callback, strategy):
     price = round(D(callback.price), display_precision)
     log.debug(f"Extracted price of quote: {price}")
 
-    type = strategy.order_type
-
     current_price = get_price(account, direction, symbol)
     log.debug(f"Callback price: {price}")
     log.debug(f"Current price: {current_price}")
 
+    # Calculate price bound and round to the display precision
+    price_bound = get_price_bound(direction, strategy, price, current_price)
+    if not price_bound:
+        return
+    price_bound = round(price_bound, display_precision)
+
+    # Callback now verified
+    if func == "exit":
+        check_exit = crossfilter(account, symbol, direction, func)
+        if not check_exit:
+            log.debug("Exit conditions not met.")
+            return
+        if check_exit["action"] == "close":
+            log.debug(f"Closing position on exit signal: {symbol}")
+            side = check_exit["side"]
+            response = account.client.close_position(side, symbol)
+            log.debug(f"Close position response: {response}")
+            return
+    type = strategy.order_type
+
+    # Get the account's balance in the native account currency
+    cash_balance = strategy.account.client.get_balance()
+    log.debug(f"Cash balance: {cash_balance}")
+
     # Convert the trade size, which is currently in the account's base currency,
     # to the base currency of the pair we are trading
     trade_size_in_base = get_trade_size_in_base(
@@ -349,12 +400,6 @@ def execute_strategy(callback, strategy):
     if "tsl" in protection:
         trailing_stop_loss = protection["tsl"]
 
-    # Calculate price bound and round to the display precision
-    price_bound = get_price_bound(direction, strategy, price, current_price)
-    if not price_bound:
-        return
-    price_bound = round(price_bound, display_precision)
-
     # Create object, note that the amount is rounded to the trade precision
     new_trade = Trade.objects.create(
         user=user,
@@ -378,8 +423,21 @@ def execute_strategy(callback, strategy):
             round(trailing_stop_loss, display_precision)
         )
     new_trade.save()
-    info = new_trade.post()
-    log.debug(f"Posted trade: {info}")
+
+    # Run the crossfilter to ensure we don't trade the same pair in opposite directions
+    filtered = crossfilter(account, symbol, direction, func)
+
+    # TP/SL calculation and get_trade_size_in_base are wasted here, but it's important
+    # to record the decision in the Trade object. We can only get it after we do those.
+    # It shows what would be done.
+    if filtered:
+        log.debug(f"Trade filtered. Action: {filtered['action']}")
+        if filtered["action"] == "rejected":
+            new_trade.status = "rejected"
+            new_trade.save()
+    else:
+        info = new_trade.post()
+        log.debug(f"Posted trade: {info}")
 
 
 def process_callback(callback):
@@ -394,7 +452,7 @@ def process_callback(callback):
         if callback.hook.user != strategy.user:
             log.error("Ownership differs between callback and strategy.")
             continue
-        execute_strategy(callback, strategy)
+        execute_strategy(callback, strategy, func="entry")
 
     # Scan for exit
     log.debug("Scanning for entry strategies...")
@@ -405,4 +463,4 @@ def process_callback(callback):
         if callback.hook.user != strategy.user:
             log.error("Ownership differs between callback and strategy.")
             continue
-        execute_strategy(callback, strategy)
+        execute_strategy(callback, strategy, func="exit")