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Separate live tests for active management

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master
Mark Veidemanis 1 year ago
parent 9c537187f0
commit 682c42c0e8
Signed by: m
GPG Key ID: 5ACFCEED46C0904F
3 changed files with 153 additions and 102 deletions
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80
core/tests/helpers.py
Unescape Escape View File

@ -3,7 +3,16 @@ from decimal import Decimal as D
from os import getenv
from unittest.mock import Mock, patch
from core.models import Account, OrderSettings, RiskModel, Strategy, TradingTime, User
from core.models import (
Account,
OrderSettings,
RiskModel,
Strategy,
Trade,
TradingTime,
User,
)
from core.trading import market
# Create patch mixin to mock out the Elastic client
@ -110,6 +119,75 @@ If you have done this, please see the following line for more information:
if self.fail:
self.skipTest("Live tests aborted")
def open_trade(self, trade=None):
if trade:
posted = trade.post()
else:
trade = self.trade
posted = self.trade.post()
# Check the opened trade
self.assertEqual(posted["type"], "MARKET_ORDER")
self.assertEqual(posted["symbol"], trade.symbol)
if trade.direction == "sell":
self.assertEqual(posted["units"], str(0 - trade.amount))
else:
self.assertEqual(posted["units"], str(trade.amount))
self.assertEqual(posted["timeInForce"], "FOK")
return posted
def close_trade(self, trade=None):
if trade:
trade.refresh_from_db()
closed = self.account.client.close_trade(trade.order_id)
else:
trade = self.trade
# refresh the trade to get the trade id
self.trade.refresh_from_db()
closed = self.account.client.close_trade(self.trade.order_id)
# Check the feedback from closing the trade
self.assertEqual(closed["type"], "MARKET_ORDER")
self.assertEqual(closed["symbol"], trade.symbol)
self.assertEqual(closed["units"], str(0 - int(trade.amount)))
self.assertEqual(closed["timeInForce"], "FOK")
self.assertEqual(closed["reason"], "TRADE_CLOSE")
return closed
def create_complex_trade(self, direction, amount, symbol, tp_percent, sl_percent):
eur_usd_price = market.get_price(self.account, direction, symbol)
trade_tp = market.get_tp(direction, tp_percent, eur_usd_price)
trade_sl = market.get_sl(direction, sl_percent, eur_usd_price)
# trade_tsl = market.get_sl("buy", 1, eur_usd_price, return_var=True)
# # TP 1% profit
# trade_tp = eur_usd_price * D(1.01)
# # SL 2% loss
# trade_sl = eur_usd_price * D(0.98)
# # TSL 1% loss
# trade_tsl = eur_usd_price * D(0.99)
trade_precision, display_precision = market.get_precision(self.account, symbol)
# Round everything to the display precision
trade_tp = round(trade_tp, display_precision)
trade_sl = round(trade_sl, display_precision)
# trade_tsl = round(trade_tsl, display_precision)
complex_trade = Trade.objects.create(
user=self.user,
account=self.account,
symbol=symbol,
time_in_force="FOK",
type="market",
amount=amount,
direction=direction,
take_profit=trade_tp,
stop_loss=trade_sl,
# trailing_stop_loss=trade_tsl,
)
return complex_trade
class StrategyMixin:
def setUp(self):

121
core/tests/trading/test_live.py
Unescape Escape View File

@ -20,9 +20,27 @@ from core.trading import market, risk
from core.trading.active_management import ActiveManagement
class ActiveManagementMixinTestCase(StrategyMixin):
class ActiveManagementLiveTestCase(ElasticMock, StrategyMixin, LiveBase, TestCase):
def setUp(self):
super().setUp()
super(ActiveManagementLiveTestCase, self).setUp()
self.trade = Trade.objects.create(
user=self.user,
account=self.account,
symbol="EUR_USD",
time_in_force="FOK",
type="market",
amount=10,
direction="buy",
)
self.commission = 0.025
self.risk_model = RiskModel.objects.create(
user=self.user,
name="Test Risk Model",
max_loss_percent=4,
max_risk_percent=2,
max_open_trades=3,
max_open_trades_per_symbol=2,
)
self.trading_time_all = TradingTime.objects.create(
user=self.user,
name="All",
@ -51,6 +69,9 @@ class ActiveManagementMixinTestCase(StrategyMixin):
self.strategy.save()
self.ams = ActiveManagement(self.strategy)
trades = self.account.client.get_all_open_trades()
self.assertEqual(len(trades), 0)
def test_ams_success(self):
complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
self.open_trade(complex_trade)
@ -179,6 +200,8 @@ class ActiveManagementMixinTestCase(StrategyMixin):
complex_trade.save()
self.close_trade(complex_trade)
trades = self.account.client.get_all_open_trades()
self.assertEqual(len(trades), 0)
def test_ams_protection_violated(self):
self.active_management_policy.when_protection_violated = "close"
@ -226,6 +249,8 @@ class ActiveManagementMixinTestCase(StrategyMixin):
self.assertEqual(D(trades[0]["stopLossOrder"]["price"]), expected_sl)
self.close_trade(complex_trade)
trades = self.account.client.get_all_open_trades()
self.assertEqual(len(trades), 0)
def test_ams_asset_groups_violated(self):
asset_group = AssetGroup.objects.create(
@ -288,6 +313,8 @@ class ActiveManagementMixinTestCase(StrategyMixin):
self.assertEqual(len(trades), 1)
self.close_trade(complex_trade1)
trades = self.account.client.get_all_open_trades()
self.assertEqual(len(trades), 0)
@patch(
"core.trading.active_management.ActiveManagement.check_trends",
@ -338,6 +365,8 @@ class ActiveManagementMixinTestCase(StrategyMixin):
for x in [trade1, trade2]:
self.close_trade(x)
trades = self.account.client.get_all_open_trades()
self.assertEqual(len(trades), 0)
@patch(
"core.trading.active_management.ActiveManagement.check_trends",
@ -384,6 +413,8 @@ class ActiveManagementMixinTestCase(StrategyMixin):
},
]
}
print("ACTIONS", self.ams.actions)
print("EXP", expected)
self.assertEqual(self.ams.actions, expected)
@ -401,6 +432,14 @@ class ActiveManagementMixinTestCase(StrategyMixin):
self.assertIn(trade5.order_id, trade_ids)
self.assertNotIn(trade6.order_id, trade_ids)
for x in [trade1, trade2, trade4, trade5]:
self.close_trade(x)
trades = self.account.client.get_all_open_trades()
self.assertEqual(len(trades), 0)
self.strategy.risk_model.max_open_trades_per_symbol = 5
self.strategy.risk_model.save()
def test_ams_max_loss_violated(self):
trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
self.open_trade(trade1)
@ -427,6 +466,9 @@ class ActiveManagementMixinTestCase(StrategyMixin):
trades = self.account.client.get_all_open_trades()
self.assertEqual(len(trades), 0)
self.account.initial_balance = 100000
self.account.save()
@patch(
"core.trading.active_management.ActiveManagement.check_position_size",
return_value=None,
@ -468,11 +510,11 @@ class ActiveManagementMixinTestCase(StrategyMixin):
self.assertNotIn(trade2.order_id, trade_ids)
self.close_trade(trade1)
trades = self.account.client.get_all_open_trades()
self.assertEqual(len(trades), 0)
class LiveTradingTestCase(
ElasticMock, ActiveManagementMixinTestCase, LiveBase, TestCase
):
class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
def setUp(self):
super(LiveTradingTestCase, self).setUp()
self.trade = Trade.objects.create(
@ -502,42 +544,6 @@ class LiveTradingTestCase(
# We need some money to place trades
self.assertTrue(balance > 1000)
def open_trade(self, trade=None):
if trade:
posted = trade.post()
else:
trade = self.trade
posted = self.trade.post()
# Check the opened trade
self.assertEqual(posted["type"], "MARKET_ORDER")
self.assertEqual(posted["symbol"], trade.symbol)
if trade.direction == "sell":
self.assertEqual(posted["units"], str(0 - trade.amount))
else:
self.assertEqual(posted["units"], str(trade.amount))
self.assertEqual(posted["timeInForce"], "FOK")
return posted
def close_trade(self, trade=None):
if trade:
trade.refresh_from_db()
closed = self.account.client.close_trade(trade.order_id)
else:
trade = self.trade
# refresh the trade to get the trade id
self.trade.refresh_from_db()
closed = self.account.client.close_trade(self.trade.order_id)
# Check the feedback from closing the trade
self.assertEqual(closed["type"], "MARKET_ORDER")
self.assertEqual(closed["symbol"], trade.symbol)
self.assertEqual(closed["units"], str(0 - int(trade.amount)))
self.assertEqual(closed["timeInForce"], "FOK")
self.assertEqual(closed["reason"], "TRADE_CLOSE")
return closed
def test_place_close_trade(self):
"""
Test placing a trade.
@ -568,39 +574,6 @@ class LiveTradingTestCase(
if not found:
self.fail("Could not find the trade in the list of open trades")
def create_complex_trade(self, direction, amount, symbol, tp_percent, sl_percent):
eur_usd_price = market.get_price(self.account, direction, symbol)
trade_tp = market.get_tp(direction, tp_percent, eur_usd_price)
trade_sl = market.get_sl(direction, sl_percent, eur_usd_price)
# trade_tsl = market.get_sl("buy", 1, eur_usd_price, return_var=True)
# # TP 1% profit
# trade_tp = eur_usd_price * D(1.01)
# # SL 2% loss
# trade_sl = eur_usd_price * D(0.98)
# # TSL 1% loss
# trade_tsl = eur_usd_price * D(0.99)
trade_precision, display_precision = market.get_precision(self.account, symbol)
# Round everything to the display precision
trade_tp = round(trade_tp, display_precision)
trade_sl = round(trade_sl, display_precision)
# trade_tsl = round(trade_tsl, display_precision)
complex_trade = Trade.objects.create(
user=self.user,
account=self.account,
symbol=symbol,
time_in_force="FOK",
type="market",
amount=amount,
direction=direction,
take_profit=trade_tp,
stop_loss=trade_sl,
# trailing_stop_loss=trade_tsl,
)
return complex_trade
@patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=100000)
def test_check_risk_max_risk_pass(self, mock_balance):
# SL of 19% on a 10000 trade on a 100000 account is 1.8 loss

54
core/trading/checks.py
Unescape Escape View File

@ -46,34 +46,34 @@ def within_callback_price_deviation(strategy, price, current_price):
def within_trends(strategy, symbol, direction):
if strategy.trend_signals.exists():
if len(strategy.trend_signals.all()) > 0:
if strategy.trends is None:
log.debug("Refusing to trade with no trend signals received")
if strategy.trends is None:
log.debug("Refusing to trade with no trend signals received")
sendmsg(
strategy.user,
f"Refusing to trade {symbol} with no trend signals received",
title="Trend not ready",
)
return None
if symbol not in strategy.trends:
log.debug("Refusing to trade asset without established trend")
sendmsg(
strategy.user,
f"Refusing to trade {symbol} without established trend",
title="Trend not ready",
)
return None
else:
if strategy.trends[symbol] != direction:
log.debug("Refusing to trade against the trend")
sendmsg(
strategy.user,
f"Refusing to trade {symbol} with no trend signals received",
title="Trend not ready",
f"Refusing to trade {symbol} against the trend",
title="Trend rejection",
)
return None
if symbol not in strategy.trends:
log.debug("Refusing to trade asset without established trend")
sendmsg(
strategy.user,
f"Refusing to trade {symbol} without established trend",
title="Trend not ready",
)
return None
return False
else:
if strategy.trends[symbol] != direction:
log.debug("Refusing to trade against the trend")
sendmsg(
strategy.user,
f"Refusing to trade {symbol} against the trend",
title="Trend rejection",
)
return False
else:
log.debug(f"Trend check passed for {symbol} - {direction}")
return True
log.debug("No trend signals configured")
return True
log.debug(f"Trend check passed for {symbol} - {direction}")
return True
else:
log.debug("No trend signals configured")
return True

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