Write protection check tests

2023-02-17 17:05:52 +00:00
parent 1dbb3fcf79
commit 67117f0978
7 changed files with 172 additions and 41 deletions
--- a/core/tests/exchanges/test_convert.py
+++ b/core/tests/exchanges/test_convert.py
@@ -1,6 +1,13 @@
+from decimal import Decimal as D
+
 from django.test import TestCase

-from core.exchanges.convert import sl_price_to_percent, tp_price_to_percent
+from core.exchanges.convert import (
+    sl_percent_to_price,
+    sl_price_to_percent,
+    tp_percent_to_price,
+    tp_price_to_percent,
+)


 class CommonTestCase(TestCase):
@@ -247,25 +254,39 @@ class CommonTestCase(TestCase):
        Test that the SL price to percent conversion works for long trades
        when the price has changed, with multiple units, and the SL is at a profit.
        """
-        sl_price = 1.2  # +20%
+        sl_price = D(1.2)  # +20%
        current_price = 1.1  # +10%
        current_units = 10
        unrealised_pl = 1  # +10%
+        expected_percent = -20
        percent = sl_price_to_percent(
            sl_price, "long", current_price, current_units, unrealised_pl
        )
-        self.assertEqual(percent, -20)
+        self.assertEqual(percent, expected_percent)
+        self.assertEqual(
+            tp_percent_to_price(
+                expected_percent, "long", current_price, current_units, unrealised_pl
+            ),
+            sl_price,
+        )

    def test_sl_price_to_percent_change_short_multi_profit(self):
        """
        Test that the SL price to percent conversion works for short trades
        when the price has changed, with multiple units, and the SL is at a profit.
        """
-        sl_price = 0.8  # -20%
+        sl_price = D(0.8)  # -20%
        current_price = 0.9  # +10%
        current_units = 10
        unrealised_pl = 1  # +10%
+        expected_percent = -20
        percent = sl_price_to_percent(
            sl_price, "short", current_price, current_units, unrealised_pl
        )
-        self.assertEqual(percent, -20)
+        self.assertEqual(percent, expected_percent)
+        self.assertEqual(
+            tp_percent_to_price(
+                expected_percent, "short", current_price, current_units, unrealised_pl
+            ),
+            sl_price,
+        )
--- a/core/tests/trading/test_active_management.py
+++ b/core/tests/trading/test_active_management.py
@@ -1,10 +1,13 @@
+from unittest.mock import Mock, patch
+
 from django.test import TestCase

+from core.exchanges.convert import convert_trades
+from core.lib.schemas.oanda_s import parse_time
+from core.models import Account, ActiveManagementPolicy, Hook, Signal, User
 from core.tests.helpers import StrategyMixin, SymbolPriceMock
 from core.trading.active_management import ActiveManagement
-from core.models import User, Account, ActiveManagementPolicy, Hook, Signal
-from unittest.mock import Mock, patch
-from core.lib.schemas.oanda_s import parse_time
+

 class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
    def setUp(self):
@@ -43,7 +46,7 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
                "id": "20083",
                "symbol": "EUR_USD",
                "price": "1.06331",
-                "openTime": "2023-02-13T11:38:06.302917985Z", # Monday at 11:38
+                "openTime": "2023-02-13T11:38:06.302917985Z",  # Monday at 11:38
                "initialUnits": "10",
                "initialMarginRequired": "0.2966",
                "state": "OPEN",
@@ -53,9 +56,9 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
                "dividendAdjustment": "0.0000",
                "unrealizedPL": "-0.0008",
                "marginUsed": "0.2966",
-                "takeProfitOrder": None,
-                "stopLossOrder": None,
-                "trailingStopLossOrder": None,
+                "takeProfitOrder": {"price": "1.06331"},
+                "stopLossOrder": {"price": "1.06331"},
+                "trailingStopLossOrder": {"price": "1.06331"},
                "trailingStopValue": None,
                "side": "long",
            },
@@ -63,7 +66,7 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
                "id": "20083",
                "symbol": "EUR_USD",
                "price": "1.06331",
-                "openTime": "2023-02-13T11:38:06.302917985Z", # Monday at 11:38
+                "openTime": "2023-02-13T11:38:06.302917985Z",  # Monday at 11:38
                "initialUnits": "10",
                "initialMarginRequired": "0.2966",
                "state": "OPEN",
@@ -73,12 +76,12 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
                "dividendAdjustment": "0.0000",
                "unrealizedPL": "-0.0008",
                "marginUsed": "0.2966",
-                "takeProfitOrder": None,
-                "stopLossOrder": None,
-                "trailingStopLossOrder": None,
+                "takeProfitOrder": {"price": "1.06331"},
+                "stopLossOrder": {"price": "1.06331"},
+                "trailingStopLossOrder": {"price": "1.06331"},
                "trailingStopValue": None,
                "side": "long",
-            }
+            },
        ]
        # Run parse_time on all items in trades
        for trade in self.trades:
@@ -86,7 +89,7 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
        self.ams.get_trades = self.fake_get_trades
        self.ams.get_balance = self.fake_get_balance
        # self.ams.trades = self.trades
-    
+
    def fake_get_trades(self):
        self.ams.trades = self.trades
        return self.trades
@@ -105,7 +108,9 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
        balance = self.ams.get_balance()
        self.assertEqual(balance, 10000)

-    def check_violation(self, violation, calls, expected_action, expected_trades):
+    def check_violation(
+        self, violation, calls, expected_action, expected_trades, expected_args=None
+    ):
        """
        Check that the violation was called with the expected action and trades.
        Matches the first argument of the call to the violation name.
@@ -113,6 +118,7 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
        :param: calls: list of calls to the violation
        :param: expected_action: expected action to be called, close, notify, etc.
        :param: expected_trades: list of expected trades to be passed to the violation
+        :param: expected_args: optional, expected args to be passed to the violation
        """
        calls = list(calls)
        violation_calls = []
@@ -121,22 +127,28 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
                violation_calls.append(call)

        self.assertEqual(len(violation_calls), len(expected_trades))
+        expected_trades = convert_trades(expected_trades)
        for call in violation_calls:
            # Ensure the correct action has been called, like close
            self.assertEqual(call[0][1], expected_action)
            # Ensure the correct trade has been passed to the violation
            self.assertIn(call[0][2], expected_trades)
+            if expected_args:
+                self.assertEqual(call[0][3], expected_args)

    @patch("core.trading.active_management.ActiveManagement.handle_violation")
    def test_run_checks(self, handle_violation):
        self.ams.run_checks()
+        print("handle_violation.call_count", handle_violation.call_args_list)
        self.assertEqual(handle_violation.call_count, 0)

    @patch("core.trading.active_management.ActiveManagement.handle_violation")
    def test_trading_time_violated(self, handle_violation):
-        self.trades[0]["openTime"] = "2023-02-17T11:38:06.302917Z" # Friday
+        self.trades[0]["openTime"] = "2023-02-17T11:38:06.302917Z"  # Friday
        self.ams.run_checks()
-        self.check_violation("trading_time", handle_violation.call_args_list, "close", [self.trades[0]])
+        self.check_violation(
+            "trading_time", handle_violation.call_args_list, "close", [self.trades[0]]
+        )

    def create_hook_signal(self):
        hook = Hook.objects.create(
@@ -158,7 +170,9 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
        self.strategy.trends = {"EUR_USD": "sell"}
        self.strategy.save()
        self.ams.run_checks()
-        self.check_violation("trends", handle_violation.call_args_list, "close", self.trades)
+        self.check_violation(
+            "trends", handle_violation.call_args_list, "close", self.trades
+        )

    @patch("core.trading.active_management.ActiveManagement.handle_violation")
    def test_trends_violated_none(self, handle_violation):
@@ -175,19 +189,27 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
        self.strategy.trend_signals.set([signal])
        self.strategy.trends = {"EUR_USD": "sell"}
        self.strategy.save()
-    
+
        # Change the side of the first trade to match the trends
        self.trades[0]["side"] = "short"
        self.ams.run_checks()

-        self.check_violation("trends", handle_violation.call_args_list, "close", [self.trades[1]])
+        self.check_violation(
+            "trends", handle_violation.call_args_list, "close", [self.trades[1]]
+        )

    @patch("core.trading.active_management.ActiveManagement.handle_violation")
    def test_position_size_violated(self, handle_violation):
        self.trades[0]["currentUnits"] = "100000"
        self.ams.run_checks()

-        self.check_violation("position_size", handle_violation.call_args_list, "close", [self.trades[0]])
+        self.check_violation(
+            "position_size",
+            handle_violation.call_args_list,
+            "close",
+            [self.trades[0]],
+            {"size": 50},
+        )

    def test_protection_violated(self):
        pass