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Write protection check tests

This commit is contained in:
Mark Veidemanis 2023-02-17 17:05:52 +00:00
parent 1dbb3fcf79
commit 67117f0978
Signed by: m
GPG Key ID: 5ACFCEED46C0904F
7 changed files with 172 additions and 41 deletions
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50
core/exchanges/convert.py
View File

@ -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.

2
core/migrations/0071_alter_account_exchange_activemanagementpolicy.py
View File

@ -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):

2
core/migrations/0073_strategy_active_management_policy.py
View File

@ -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):

31
core/tests/exchanges/test_convert.py
View File

@ -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,
)

58
core/tests/trading/test_active_management.py
View File

@ -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:
@ -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):
@ -180,14 +194,22 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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

64
core/trading/active_management.py
View File

@ -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):
print("VIOLATION", check_type, action, trade)
def handle_violation(self, check_type, action, trade, **kwargs):
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 = side_to_direction(trade["side"])
direction = trade["direction"]
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

2
core/trading/checks.py
View File

@ -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(