Calculate price slippage more reliably and allow specifying order type and time in force

core/exchanges/oanda.py

@@ -54,7 +54,7 @@ class OANDAExchange(BaseExchange):
                 # "price": "1.5000", - added later
                 "stopLossOnFill": {"timeInForce": "GTC", "price": str(trade.stop_loss)},
                 "takeProfitOnFill": {"price": str(trade.take_profit)},
-                "timeInForce": "GTC",
+                "timeInForce": trade.time_in_force.upper(),
                 "instrument": trade.symbol,
                 "units": str(amount),
                 "type": trade.type.upper(),

core/forms.py

@@ -64,11 +64,14 @@ class StrategyForm(ModelForm):
             "name",
             "description",
             "account",
+            "order_type",
+            "time_in_force",
             "hooks",
             "enabled",
             "take_profit_percent",
             "stop_loss_percent",
             "price_slippage_percent",
+            "callback_price_deviation_percent",
             "trade_size_percent",
         )
 
@@ -84,6 +87,7 @@ class TradeForm(ModelForm):
             "account",
             "symbol",
             "type",
+            "time_in_force",
             "amount",
             "price",
             "stop_loss",

core/lib/market.py

@@ -85,6 +85,27 @@ def to_currency(direction, account, amount, from_currency, to_currency):
     return converted
 
 
+def get_price(account, direction, symbol):
+    """
+    Get the price for a given symbol.
+    :param account: Account object
+    :param direction: direction of the trade
+    :param symbol: symbol
+    :return: price of bid for buys, price of ask for sells
+    """
+    if direction == "buy":
+        price_index = "bids"
+    elif direction == "sell":
+        price_index = "asks"
+    try:
+        prices = account.client.get_currencies([symbol])
+    except GenericAPIError as e:
+        log.error(f"Error getting currencies: {e}")
+        return None
+    price = D(prices["prices"][0][price_index][0]["price"])
+    return price
+
+
 def get_trade_size_in_base(direction, account, strategy, cash_balance, base):
     """
     Get the trade size in the base currency.
@@ -159,31 +180,57 @@ def get_tp_sl(direction, strategy, price):
     return (stop_loss, take_profit)
 
 
-def get_price_bound(direction, strategy, price):
+def get_price_bound(direction, strategy, price, current_price):
     """
     Get the price bound for a given price using the slippage from the strategy.
+    * Check that the price of the callback is within the callback price deviation of the
+    current price
+    * Calculate the price bounds such that the maximum slippage should be within the
+    price slippage relative to the current price.
+    Note that the maximum actual slippage may be as high as the sum of these two values.
     :param direction: Direction of the trade
     :param strategy: Strategy object
     :param price: Price of the trade
+    :param current_price: current price from the exchange
     :return: Price bound
     """
 
-    # Convert the slippage to a ratio
+    # Convert the callback price deviation to a ratio
+    callback_price_deviation_as_ratio = D(
+        strategy.callback_price_deviation_percent
+    ) / D(100)
+    log.debug(f"Callback price deviation as ratio: {callback_price_deviation_as_ratio}")
+
+    maximum_price_deviation = D(current_price) * D(callback_price_deviation_as_ratio)
+
+    # Ensure the current price is within price_slippage_as_ratio of the callback price
+    if abs(current_price - price) <= maximum_price_deviation:
+        log.debug("Current price is within price deviation of callback price")
+    else:
+        log.error("Current price is not within price deviation of callback price")
+        log.debug(f"Difference: {abs(current_price - price)}")
+        return None
+
+    # Convert the maximum price slippage to a ratio
     price_slippage_as_ratio = D(strategy.price_slippage_percent) / D(100)
-    log.debug(f"Price slippage as ratio: {price_slippage_as_ratio}")
+    log.debug(f"Maximum price slippage as ratio: {price_slippage_as_ratio}")
 
     # Calculate the price bound by multiplying with the price
     # The price bound is the worst price we are willing to pay for the trade
-    price_slippage = D(price) * D(price_slippage_as_ratio)
+    price_slippage = D(current_price) * D(price_slippage_as_ratio)
-    log.debug(f"Price slippage: {price_slippage}")
+    log.debug(f"Maximum deviation from callback price: {price_slippage}")
+
+    current_price_slippage = D(current_price) * D(price_slippage_as_ratio)
+    log.debug(f"Maximum deviation from current price: {current_price_slippage}")
 
     # Subtract slippage for buys, since we lose money if the price goes down
     if direction == "buy":
-        price_bound = D(price) - D(price_slippage)
+        price_bound = D(current_price) - D(price_slippage)
 
     # Add slippage for sells, since we lose money if the price goes up
     elif direction == "sell":
-        price_bound = D(price) + D(price_slippage)
+        price_bound = D(current_price) + D(price_slippage)
+
     log.debug(f"Price bound: {price_bound}")
     return price_bound
 
@@ -247,22 +294,11 @@ def execute_strategy(callback, strategy):
     price = round(D(callback.price), display_precision)
     log.debug(f"Extracted price of quote: {price}")
 
-    # market_from_alpaca = get_market_value(account, symbol)
+    type = strategy.order_type
-    # change_percent = abs(((float(market_from_alpaca)-price)/price)*100)
-    # if change_percent > strategy.price_slippage_percent:
-    #     log.error(f"Price slippage too high: {change_percent}")
-    #     return False
 
-    # type = "limit"
+    current_price = get_price(account, direction, symbol)
-
+    log.debug(f"Callback price: {price}")
-    # Only using market orders for now, but with price bounds, so it's a similar
+    log.debug(f"Current price: {current_price}")
-    # amount of protection from market fluctuations
-    # type = "market"
-
-    # For OANDA we can use the price since it should match exactly
-    # Not yet sure how to use both limit and market orders
-    # type = "limit"
-    type = "market"
 
     # Convert the trade size, which is currently in the account's base currency,
     # to the base currency of the pair we are trading
@@ -274,15 +310,18 @@ def execute_strategy(callback, strategy):
     stop_loss, take_profit = get_tp_sl(direction, strategy, price)
 
     # Calculate price bound and round to the display precision
-    price_bound = round(get_price_bound(direction, strategy, price), display_precision)
+    price_bound = get_price_bound(direction, strategy, price, current_price)
+    if not price_bound:
+        return
+    price_bound = round(price_bound, display_precision)
 
-    # Use the price reported by the callback for limit orders
+    # # Use the price reported by the callback for limit orders
-    if type == "limit":
+    # if type == "limit":
-        price_for_trade = price
+    #     price_for_trade = price
 
-    # Use the price bound for market orders
+    # # Use the price bound for market orders
-    elif type == "market":
+    # elif type == "market":
-        price_for_trade = price_bound
+    #     price_for_trade = price_bound
 
     # Create object, note that the amount is rounded to the trade precision
     new_trade = Trade.objects.create(
@@ -291,10 +330,11 @@ def execute_strategy(callback, strategy):
         hook=hook,
         symbol=symbol,
         type=type,
+        time_in_force=strategy.time_in_force,
         # amount_fiat=amount_fiat,
         amount=float(round(trade_size_in_base, trade_precision)),
         # price=price_bound,
-        price=price_for_trade,
+        price=price_bound,
         stop_loss=float(round(stop_loss, display_precision)),
         take_profit=float(round(take_profit, display_precision)),
         direction=direction,

core/migrations/0023_alter_strategy_options_and_more.py

@@ -0,0 +1,27 @@
+# Generated by Django 4.1.3 on 2022-11-15 15:13
+
+from django.db import migrations, models
+
+
+class Migration(migrations.Migration):
+
+    dependencies = [
+        ('core', '0022_account_currency'),
+    ]
+
+    operations = [
+        migrations.AlterModelOptions(
+            name='strategy',
+            options={'verbose_name_plural': 'strategies'},
+        ),
+        migrations.AddField(
+            model_name='strategy',
+            name='callback_price_deviation_percent',
+            field=models.FloatField(default=0.5),
+        ),
+        migrations.AddField(
+            model_name='strategy',
+            name='order_type',
+            field=models.CharField(choices=[('market', 'Market'), ('limit', 'Limit')], default='market', max_length=255),
+        ),
+    ]

core/migrations/0024_strategy_time_in_force.py

@@ -0,0 +1,18 @@
+# Generated by Django 4.1.3 on 2022-11-15 15:18
+
+from django.db import migrations, models
+
+
+class Migration(migrations.Migration):
+
+    dependencies = [
+        ('core', '0023_alter_strategy_options_and_more'),
+    ]
+
+    operations = [
+        migrations.AddField(
+            model_name='strategy',
+            name='time_in_force',
+            field=models.CharField(choices=[('gtc', 'Good Til Cancelled'), ('gfd', 'Good For Day'), ('fok', 'Fill Or Kill'), ('ioc', 'Immediate Or Cancel')], default='gtc', max_length=255),
+        ),
+    ]

core/migrations/0025_alter_strategy_time_in_force.py

@@ -0,0 +1,18 @@
+# Generated by Django 4.1.3 on 2022-11-15 15:19
+
+from django.db import migrations, models
+
+
+class Migration(migrations.Migration):
+
+    dependencies = [
+        ('core', '0024_strategy_time_in_force'),
+    ]
+
+    operations = [
+        migrations.AlterField(
+            model_name='strategy',
+            name='time_in_force',
+            field=models.CharField(choices=[('gtc', 'GTC (Good Til Cancelled)'), ('gfd', 'GFD (Good For Day)'), ('fok', 'FOK (Fill Or Kill)'), ('ioc', 'IOC (Immediate Or Cancel)')], default='gtc', max_length=255),
+        ),
+    ]

core/migrations/0026_trade_time_in_force.py

@@ -0,0 +1,18 @@
+# Generated by Django 4.1.3 on 2022-11-15 15:23
+
+from django.db import migrations, models
+
+
+class Migration(migrations.Migration):
+
+    dependencies = [
+        ('core', '0025_alter_strategy_time_in_force'),
+    ]
+
+    operations = [
+        migrations.AddField(
+            model_name='trade',
+            name='time_in_force',
+            field=models.CharField(choices=[('gtc', 'GTC (Good Til Cancelled)'), ('gfd', 'GFD (Good For Day)'), ('fok', 'FOK (Fill Or Kill)'), ('ioc', 'IOC (Immediate Or Cancel)')], default='gtc', max_length=255),
+        ),
+    ]

core/models.py

@@ -10,6 +10,20 @@ from core.util import logs
 
 log = logs.get_logger(__name__)
 EXCHANGE_MAP = {"alpaca": AlpacaExchange, "oanda": OANDAExchange}
+TYPE_CHOICES = (
+    ("market", "Market"),
+    ("limit", "Limit"),
+)
+DIRECTION_CHOICES = (
+    ("buy", "Buy"),
+    ("sell", "Sell"),
+)
+TIF_CHOICES = (
+    ("gtc", "GTC (Good Til Cancelled)"),
+    ("gfd", "GFD (Good For Day)"),
+    ("fok", "FOK (Fill Or Kill)"),
+    ("ioc", "IOC (Immediate Or Cancel)"),
+)
 
 
 class Plan(models.Model):
@@ -140,10 +154,6 @@ class Session(models.Model):
 
 
 class Hook(models.Model):
-    DIRECTION_CHOICES = (
-        ("buy", "Buy"),
-        ("sell", "Sell"),
-    )
     user = models.ForeignKey(User, on_delete=models.CASCADE)
     name = models.CharField(max_length=1024, null=True, blank=True, unique=True)
     hook = models.CharField(max_length=255, unique=True)
@@ -155,18 +165,11 @@ class Hook(models.Model):
 
 
 class Trade(models.Model):
-    TYPE_CHOICES = (
-        ("market", "Market"),
-        ("limit", "Limit"),
-    )
-    DIRECTION_CHOICES = (
-        ("buy", "Buy"),
-        ("sell", "Sell"),
-    )
     user = models.ForeignKey(User, on_delete=models.CASCADE)
     account = models.ForeignKey(Account, on_delete=models.CASCADE)
     hook = models.ForeignKey(Hook, on_delete=models.CASCADE, null=True, blank=True)
     symbol = models.CharField(max_length=255)
+    time_in_force = models.CharField(choices=TIF_CHOICES, max_length=255, default="gtc")
     type = models.CharField(choices=TYPE_CHOICES, max_length=255)
     amount = models.FloatField(null=True, blank=True)
     amount_usd = models.FloatField(null=True, blank=True)
@@ -213,11 +216,16 @@ 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)
+    order_type = models.CharField(
+        choices=TYPE_CHOICES, max_length=255, default="market"
+    )
+    time_in_force = models.CharField(choices=TIF_CHOICES, max_length=255, default="gtc")
     hooks = models.ManyToManyField(Hook)
     enabled = models.BooleanField(default=False)
     take_profit_percent = models.FloatField(default=1.5)
     stop_loss_percent = models.FloatField(default=1.0)
     price_slippage_percent = models.FloatField(default=2.5)
+    callback_price_deviation_percent = models.FloatField(default=0.5)
     trade_size_percent = models.FloatField(default=0.5)
 
     class Meta: