Write protection check tests

core/exchanges/convert.py

@@ -103,6 +103,30 @@ def tp_price_to_percent(tp_price, side, current_price, current_units, unrealised
     return round(change_percent, 5)
 
 
+def tp_percent_to_price(tp_percent, side, current_price, current_units, unrealised_pl):
+    """
+    Determine the price of the TP percent from the initial price.
+    """
+    pl_per_unit = D(unrealised_pl) / D(current_units)
+    if side == "long":
+        initial_price = D(current_price) - pl_per_unit
+    else:
+        initial_price = D(current_price) + pl_per_unit
+
+    # Get the percent change of the TP price from the initial price.
+    change_percent = D(tp_percent) / 100
+
+    # Get the price of the TP percent from the initial price.
+    change_price = initial_price * change_percent
+
+    if side == "long":
+        tp_price = initial_price - change_price
+    else:
+        tp_price = initial_price + change_price
+
+    return round(tp_price, 5)
+
+
 def sl_price_to_percent(sl_price, side, current_price, current_units, unrealised_pl):
     """
     Determine the percent change of the SL price from the initial price.
@@ -146,6 +170,30 @@ def sl_price_to_percent(sl_price, side, current_price, current_units, unrealised
     return round(change_percent, 5)
 
 
+def sl_percent_to_price(sl_percent, side, current_price, current_units, unrealised_pl):
+    """
+    Determine the price of the SL percent from the initial price.
+    """
+    pl_per_unit = D(unrealised_pl) / D(current_units)
+    if side == "long":
+        initial_price = D(current_price) - pl_per_unit
+    else:
+        initial_price = D(current_price) + pl_per_unit
+
+    # Get the percent change of the SL price from the initial price.
+    change_percent = D(sl_percent) / 100
+
+    # Get the price of the SL percent from the initial price.
+    change_price = initial_price * change_percent
+
+    if side == "long":
+        sl_price = initial_price - change_price
+    else:
+        sl_price = initial_price + change_price
+
+    return round(sl_price, 5)
+
+
 def annotate_trade_tp_sl_percent(trade):
     """
     Annotate the trade with the TP and SL percent.
@@ -228,6 +276,8 @@ def open_trade_to_unified_format(trade):
         "current_price": current_price,
         "pl": unrealised_pl,
     }
+    if "openTime" in trade:
+        cast["open_time"] = trade["openTime"]
     # Add some extra fields, sometimes we have already looked up the
     # prices and don't need to call convert_trades_to_usd
     # This is mostly for tests, but it can be useful in other places.

core/migrations/0071_alter_account_exchange_activemanagementpolicy.py

@@ -1,8 +1,8 @@
 # Generated by Django 4.1.7 on 2023-02-17 11:50
 
+import django.db.models.deletion
 from django.conf import settings
 from django.db import migrations, models
-import django.db.models.deletion
 
 
 class Migration(migrations.Migration):

core/migrations/0073_strategy_active_management_policy.py

@@ -1,7 +1,7 @@
 # Generated by Django 4.1.7 on 2023-02-17 13:16
 
-from django.db import migrations, models
 import django.db.models.deletion
+from django.db import migrations, models
 
 
 class Migration(migrations.Migration):

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,
+        )

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,
+                "takeProfitOrder": {"price": "1.06331"},
-                "stopLossOrder": None,
+                "stopLossOrder": {"price": "1.06331"},
-                "trailingStopLossOrder": None,
+                "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,
+                "takeProfitOrder": {"price": "1.06331"},
-                "stopLossOrder": None,
+                "stopLossOrder": {"price": "1.06331"},
-                "trailingStopLossOrder": None,
+                "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

core/trading/active_management.py

@@ -1,7 +1,7 @@
 from datetime import datetime
 from decimal import Decimal as D
 
-from core.exchanges.convert import side_to_direction
+from core.exchanges.convert import convert_trades, side_to_direction
 from core.trading import checks
 from core.trading.market import get_base_quote, get_trade_size_in_base
 
@@ -25,11 +25,11 @@ class ActiveManagement(object):
         else:
             return self.balance
 
-    def handle_violation(self, check_type, action, trade):
+    def handle_violation(self, check_type, action, trade, **kwargs):
-        print("VIOLATION", check_type, action, trade)
+        print("VIOLATION", check_type, action, trade, kwargs)
 
     def check_trading_time(self, trade):
-        open_ts = trade["openTime"]
+        open_ts = trade["open_time"]
         open_ts_as_date = datetime.strptime(open_ts, "%Y-%m-%dT%H:%M:%S.%fZ")
         trading_time_pass = checks.within_trading_times(self.strategy, open_ts_as_date)
         if not trading_time_pass:
@@ -38,40 +38,80 @@ class ActiveManagement(object):
             )
 
     def check_trends(self, trade):
-        direction = side_to_direction(trade["side"])
+        direction = trade["direction"]
         symbol = trade["symbol"]
         trends_pass = checks.within_trends(self.strategy, symbol, direction)
         if not trends_pass:
-            print("VIOLATION", "trends", self.policy.when_trends_violated, trade)
             self.handle_violation("trends", self.policy.when_trends_violated, trade)
 
     def check_position_size(self, trade):
+        """
+        Check the position size is within the allowed deviation.
+        WARNING: This uses the current balance, not the balance at the time of the trade.
+        WARNING: This uses the current symbol prices, not those at the time of the trade.
+        This should normally be run every 5 seconds, so this is fine.
+        """
+        # TODO: add the trade value to the balance
+        # Need to determine which prices to use
         balance = self.get_balance()
-        print("BALANCE", balance)
+        direction = trade["direction"]
-        direction = side_to_direction(trade["side"])
         symbol = trade["symbol"]
+        # TODO:
         base, quote = get_base_quote(self.strategy.account.exchange, symbol)
         expected_trade_size = get_trade_size_in_base(
             direction, self.strategy.account, self.strategy, balance, base
         )
-        print("TRADE SIZE", expected_trade_size)
 
         deviation = D(0.05)  # 5%
-        actual_trade_size = D(trade["currentUnits"])
+        actual_trade_size = D(trade["amount"])
         # Ensure the trade size not above the expected trade size by more than 5%
         max_trade_size = expected_trade_size + (deviation * expected_trade_size)
         within_max_trade_size = actual_trade_size <= max_trade_size
 
         if not within_max_trade_size:
             self.handle_violation(
-                "position_size", self.policy.when_position_size_violated, trade
+                "position_size",
+                self.policy.when_position_size_violated,
+                trade,
+                {"size": expected_trade_size},
+            )
+
+    def check_protection(self, trade):
+        print("CHECK PROTECTION", trade)
+        deviation = D(0.05)  # 5%
+
+        matches = {
+            "stop_loss_percent": self.strategy.order_settings.stop_loss_percent,
+            "take_profit_percent": self.strategy.order_settings.take_profit_percent,
+            "trailing_stop_percent": self.strategy.order_settings.trailing_stop_loss_percent,
+        }
+
+        violations = {}
+
+        for key, expected in matches.items():
+            if key in trade:
+                actual = D(trade[key])
+                if expected is None:
+                    continue
+                expected = D(expected)
+                min_val = expected - (deviation * expected)
+                max_val = expected + (deviation * expected)
+                within_deviation = min_val <= actual <= max_val
+                if not within_deviation:
+                    violations[key] = expected
+
+        if violations:
+            self.handle_violation(
+                "protection", self.policy.when_protection_violated, trade, violations
             )
 
     def run_checks(self):
-        for trade in self.get_trades():
+        converted_trades = convert_trades(self.get_trades())
+        for trade in converted_trades:
             self.check_trading_time(trade)
             self.check_trends(trade)
             self.check_position_size(trade)
+            self.check_protection(trade)
 
         # Trading Time
         # Max loss

core/trading/checks.py

@@ -53,9 +53,7 @@ def within_max_loss(strategy):
 
 
 def within_trends(strategy, symbol, direction):
-    print("WITHIN TRENDS", symbol, direction)
     if strategy.trend_signals.exists():
-        print("TREND SIGNALS EXIST")
         if strategy.trends is None:
             log.debug("Refusing to trade with no trend signals received")
             sendmsg(