Separate live tests for active management
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5ACFCEED46C0904F
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@ -3,7 +3,16 @@ from decimal import Decimal as D
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from os import getenv
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from unittest.mock import Mock, patch
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from core.models import Account, OrderSettings, RiskModel, Strategy, TradingTime, User
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from core.models import (
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Account,
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OrderSettings,
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RiskModel,
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Strategy,
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Trade,
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TradingTime,
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User,
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)
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from core.trading import market
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# Create patch mixin to mock out the Elastic client
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@ -110,6 +119,75 @@ If you have done this, please see the following line for more information:
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if self.fail:
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self.skipTest("Live tests aborted")
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def open_trade(self, trade=None):
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if trade:
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posted = trade.post()
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else:
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trade = self.trade
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posted = self.trade.post()
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# Check the opened trade
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self.assertEqual(posted["type"], "MARKET_ORDER")
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self.assertEqual(posted["symbol"], trade.symbol)
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if trade.direction == "sell":
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self.assertEqual(posted["units"], str(0 - trade.amount))
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else:
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self.assertEqual(posted["units"], str(trade.amount))
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self.assertEqual(posted["timeInForce"], "FOK")
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return posted
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def close_trade(self, trade=None):
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if trade:
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trade.refresh_from_db()
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closed = self.account.client.close_trade(trade.order_id)
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else:
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trade = self.trade
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# refresh the trade to get the trade id
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self.trade.refresh_from_db()
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closed = self.account.client.close_trade(self.trade.order_id)
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# Check the feedback from closing the trade
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self.assertEqual(closed["type"], "MARKET_ORDER")
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self.assertEqual(closed["symbol"], trade.symbol)
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self.assertEqual(closed["units"], str(0 - int(trade.amount)))
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self.assertEqual(closed["timeInForce"], "FOK")
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self.assertEqual(closed["reason"], "TRADE_CLOSE")
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return closed
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def create_complex_trade(self, direction, amount, symbol, tp_percent, sl_percent):
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eur_usd_price = market.get_price(self.account, direction, symbol)
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trade_tp = market.get_tp(direction, tp_percent, eur_usd_price)
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trade_sl = market.get_sl(direction, sl_percent, eur_usd_price)
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# trade_tsl = market.get_sl("buy", 1, eur_usd_price, return_var=True)
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# # TP 1% profit
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# trade_tp = eur_usd_price * D(1.01)
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# # SL 2% loss
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# trade_sl = eur_usd_price * D(0.98)
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# # TSL 1% loss
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# trade_tsl = eur_usd_price * D(0.99)
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trade_precision, display_precision = market.get_precision(self.account, symbol)
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# Round everything to the display precision
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trade_tp = round(trade_tp, display_precision)
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trade_sl = round(trade_sl, display_precision)
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# trade_tsl = round(trade_tsl, display_precision)
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complex_trade = Trade.objects.create(
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user=self.user,
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account=self.account,
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symbol=symbol,
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time_in_force="FOK",
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type="market",
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amount=amount,
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direction=direction,
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take_profit=trade_tp,
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stop_loss=trade_sl,
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# trailing_stop_loss=trade_tsl,
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)
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return complex_trade
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class StrategyMixin:
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def setUp(self):
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@ -20,9 +20,27 @@ from core.trading import market, risk
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from core.trading.active_management import ActiveManagement
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class ActiveManagementMixinTestCase(StrategyMixin):
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class ActiveManagementLiveTestCase(ElasticMock, StrategyMixin, LiveBase, TestCase):
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def setUp(self):
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super().setUp()
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super(ActiveManagementLiveTestCase, self).setUp()
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self.trade = Trade.objects.create(
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user=self.user,
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account=self.account,
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symbol="EUR_USD",
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time_in_force="FOK",
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type="market",
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amount=10,
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direction="buy",
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)
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self.commission = 0.025
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self.risk_model = RiskModel.objects.create(
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user=self.user,
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name="Test Risk Model",
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max_loss_percent=4,
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max_risk_percent=2,
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max_open_trades=3,
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max_open_trades_per_symbol=2,
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)
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self.trading_time_all = TradingTime.objects.create(
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user=self.user,
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name="All",
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@ -51,6 +69,9 @@ class ActiveManagementMixinTestCase(StrategyMixin):
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self.strategy.save()
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self.ams = ActiveManagement(self.strategy)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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def test_ams_success(self):
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complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(complex_trade)
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@ -179,6 +200,8 @@ class ActiveManagementMixinTestCase(StrategyMixin):
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complex_trade.save()
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self.close_trade(complex_trade)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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def test_ams_protection_violated(self):
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self.active_management_policy.when_protection_violated = "close"
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@ -226,6 +249,8 @@ class ActiveManagementMixinTestCase(StrategyMixin):
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self.assertEqual(D(trades[0]["stopLossOrder"]["price"]), expected_sl)
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self.close_trade(complex_trade)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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def test_ams_asset_groups_violated(self):
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asset_group = AssetGroup.objects.create(
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@ -288,6 +313,8 @@ class ActiveManagementMixinTestCase(StrategyMixin):
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self.assertEqual(len(trades), 1)
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self.close_trade(complex_trade1)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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@patch(
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"core.trading.active_management.ActiveManagement.check_trends",
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@ -338,6 +365,8 @@ class ActiveManagementMixinTestCase(StrategyMixin):
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for x in [trade1, trade2]:
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self.close_trade(x)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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@patch(
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"core.trading.active_management.ActiveManagement.check_trends",
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@ -384,6 +413,8 @@ class ActiveManagementMixinTestCase(StrategyMixin):
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},
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]
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}
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print("ACTIONS", self.ams.actions)
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print("EXP", expected)
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self.assertEqual(self.ams.actions, expected)
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@ -401,6 +432,14 @@ class ActiveManagementMixinTestCase(StrategyMixin):
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self.assertIn(trade5.order_id, trade_ids)
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self.assertNotIn(trade6.order_id, trade_ids)
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for x in [trade1, trade2, trade4, trade5]:
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self.close_trade(x)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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self.strategy.risk_model.max_open_trades_per_symbol = 5
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self.strategy.risk_model.save()
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def test_ams_max_loss_violated(self):
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trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(trade1)
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@ -427,6 +466,9 @@ class ActiveManagementMixinTestCase(StrategyMixin):
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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self.account.initial_balance = 100000
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self.account.save()
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@patch(
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"core.trading.active_management.ActiveManagement.check_position_size",
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return_value=None,
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@ -468,11 +510,11 @@ class ActiveManagementMixinTestCase(StrategyMixin):
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self.assertNotIn(trade2.order_id, trade_ids)
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self.close_trade(trade1)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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class LiveTradingTestCase(
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ElasticMock, ActiveManagementMixinTestCase, LiveBase, TestCase
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):
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class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
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def setUp(self):
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super(LiveTradingTestCase, self).setUp()
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self.trade = Trade.objects.create(
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@ -502,42 +544,6 @@ class LiveTradingTestCase(
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# We need some money to place trades
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self.assertTrue(balance > 1000)
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def open_trade(self, trade=None):
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if trade:
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posted = trade.post()
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else:
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trade = self.trade
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posted = self.trade.post()
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# Check the opened trade
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self.assertEqual(posted["type"], "MARKET_ORDER")
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self.assertEqual(posted["symbol"], trade.symbol)
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if trade.direction == "sell":
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self.assertEqual(posted["units"], str(0 - trade.amount))
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else:
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self.assertEqual(posted["units"], str(trade.amount))
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self.assertEqual(posted["timeInForce"], "FOK")
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return posted
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def close_trade(self, trade=None):
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if trade:
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trade.refresh_from_db()
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closed = self.account.client.close_trade(trade.order_id)
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else:
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trade = self.trade
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# refresh the trade to get the trade id
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self.trade.refresh_from_db()
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closed = self.account.client.close_trade(self.trade.order_id)
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# Check the feedback from closing the trade
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self.assertEqual(closed["type"], "MARKET_ORDER")
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self.assertEqual(closed["symbol"], trade.symbol)
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self.assertEqual(closed["units"], str(0 - int(trade.amount)))
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self.assertEqual(closed["timeInForce"], "FOK")
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self.assertEqual(closed["reason"], "TRADE_CLOSE")
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return closed
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def test_place_close_trade(self):
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"""
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Test placing a trade.
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@ -568,39 +574,6 @@ class LiveTradingTestCase(
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if not found:
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self.fail("Could not find the trade in the list of open trades")
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def create_complex_trade(self, direction, amount, symbol, tp_percent, sl_percent):
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eur_usd_price = market.get_price(self.account, direction, symbol)
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trade_tp = market.get_tp(direction, tp_percent, eur_usd_price)
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trade_sl = market.get_sl(direction, sl_percent, eur_usd_price)
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# trade_tsl = market.get_sl("buy", 1, eur_usd_price, return_var=True)
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# # TP 1% profit
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# trade_tp = eur_usd_price * D(1.01)
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# # SL 2% loss
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# trade_sl = eur_usd_price * D(0.98)
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# # TSL 1% loss
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# trade_tsl = eur_usd_price * D(0.99)
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trade_precision, display_precision = market.get_precision(self.account, symbol)
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# Round everything to the display precision
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trade_tp = round(trade_tp, display_precision)
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trade_sl = round(trade_sl, display_precision)
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# trade_tsl = round(trade_tsl, display_precision)
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complex_trade = Trade.objects.create(
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user=self.user,
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account=self.account,
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symbol=symbol,
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time_in_force="FOK",
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type="market",
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amount=amount,
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direction=direction,
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take_profit=trade_tp,
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stop_loss=trade_sl,
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# trailing_stop_loss=trade_tsl,
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)
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return complex_trade
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@patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=100000)
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def test_check_risk_max_risk_pass(self, mock_balance):
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# SL of 19% on a 10000 trade on a 100000 account is 1.8 loss
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@ -46,34 +46,34 @@ def within_callback_price_deviation(strategy, price, current_price):
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def within_trends(strategy, symbol, direction):
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if strategy.trend_signals.exists():
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if len(strategy.trend_signals.all()) > 0:
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if strategy.trends is None:
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log.debug("Refusing to trade with no trend signals received")
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if strategy.trends is None:
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log.debug("Refusing to trade with no trend signals received")
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sendmsg(
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strategy.user,
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f"Refusing to trade {symbol} with no trend signals received",
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title="Trend not ready",
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)
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return None
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if symbol not in strategy.trends:
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log.debug("Refusing to trade asset without established trend")
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sendmsg(
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strategy.user,
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f"Refusing to trade {symbol} without established trend",
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title="Trend not ready",
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)
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return None
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else:
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if strategy.trends[symbol] != direction:
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log.debug("Refusing to trade against the trend")
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sendmsg(
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strategy.user,
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f"Refusing to trade {symbol} with no trend signals received",
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title="Trend not ready",
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f"Refusing to trade {symbol} against the trend",
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title="Trend rejection",
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)
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return None
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if symbol not in strategy.trends:
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log.debug("Refusing to trade asset without established trend")
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sendmsg(
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strategy.user,
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f"Refusing to trade {symbol} without established trend",
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title="Trend not ready",
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)
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return None
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return False
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else:
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if strategy.trends[symbol] != direction:
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log.debug("Refusing to trade against the trend")
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sendmsg(
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strategy.user,
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f"Refusing to trade {symbol} against the trend",
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title="Trend rejection",
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)
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return False
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else:
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log.debug(f"Trend check passed for {symbol} - {direction}")
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return True
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log.debug("No trend signals configured")
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return True
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log.debug(f"Trend check passed for {symbol} - {direction}")
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return True
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else:
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log.debug("No trend signals configured")
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return True
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