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@ -41,6 +41,67 @@ def to_currency(direction, account, amount, from_currency, to_currency):
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return converted
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def get_pair(account, base, quote):
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if account.exchange == "alpaca":
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separator = "/"
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elif account.exchange == "oanda":
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separator = "_"
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symbol = f"{base.upper()}{separator}{quote.upper()}"
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if symbol not in account.supported_symbols:
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return False
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return symbol
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def get_trade_size_in_base(direction, account, strategy, cash_balance, price, base, precision):
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trade_size_as_ratio = D(strategy.trade_size_percent) / D(100)
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log.debug(f"Trade size as ratio: {trade_size_as_ratio}")
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amount_fiat = D(trade_size_as_ratio) * D(cash_balance)
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log.debug(f"Trade size: {amount_fiat}")
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# We can do this because the quote IS in $ or equivalent
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# trade_size_in_base = D(amount_fiat) / D(price)
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trade_size_in_base = to_currency(direction, account, amount_fiat, account.currency, base)
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log.debug(f"Trade size in base: {trade_size_in_base}")
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return trade_size_in_base
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def get_tp_sl(direction, strategy, price):
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stop_loss_as_ratio = D(strategy.stop_loss_percent) / D(100)
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take_profit_as_ratio = D(strategy.take_profit_percent) / D(100)
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log.debug(f"Stop loss as ratio: {stop_loss_as_ratio}")
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log.debug(f"Take profit as ratio: {take_profit_as_ratio}")
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stop_loss_var = D(price) * D(stop_loss_as_ratio)
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take_profit_var = D(price) * D(take_profit_as_ratio)
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log.debug(f"Stop loss var: {stop_loss_var}")
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log.debug(f"Take profit var: {take_profit_var}")
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if direction == "buy":
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stop_loss = D(price) - D(stop_loss_var)
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take_profit = D(price) + D(take_profit_var)
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elif direction == "sell":
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stop_loss = D(price) + D(stop_loss_var)
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take_profit = D(price) - D(take_profit_var)
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log.debug(f"Stop loss: {stop_loss}")
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log.debug(f"Take profit: {take_profit}")
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return (stop_loss, take_profit)
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def get_price_bound(direction, strategy, price):
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price_slippage_as_ratio = D(strategy.price_slippage_percent) / D(100)
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log.debug(f"Price slippage as ratio: {price_slippage_as_ratio}")
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price_slippage = D(price) * D(price_slippage_as_ratio)
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log.debug(f"Price slippage: {price_slippage}")
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if direction == "buy":
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price_bound = D(price) - D(price_slippage)
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elif direction == "sell":
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price_bound = D(price) + D(price_slippage)
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price_bound = D(price) + D(price_slippage)
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log.debug(f"Price bound: {price_bound}")
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return price_bound
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def execute_strategy(callback, strategy):
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cash_balance = strategy.account.client.get_balance()
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instruments = strategy.account.instruments
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@ -55,18 +116,10 @@ def execute_strategy(callback, strategy):
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if callback.exchange != account.exchange:
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log.error("Market exchange differs from account exchange.")
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return
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if account.exchange == "alpaca":
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separator = "/"
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elif account.exchange == "oanda":
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separator = "_"
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if account.exchange == "alpaca":
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if quote not in ["usd", "usdt", "usdc", "busd"]:
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log.error(f"Quote not compatible with Dollar: {quote}")
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return False
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quote = "usd" # TODO: MASSIVE HACK
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symbol = f"{base.upper()}{separator}{quote.upper()}"
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if symbol not in account.supported_symbols:
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symbol = get_pair(account, base, quote)
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if not symbol:
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log.error(f"Symbol not supported by account: {symbol}")
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return False
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@ -80,6 +133,10 @@ def execute_strategy(callback, strategy):
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except KeyError:
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log.error(f"Precision not found for {symbol}")
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return False
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price = round(D(callback.price), display_precision)
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log.debug(f"Extracted price of quote: {price}")
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# market_from_alpaca = get_market_value(account, symbol)
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# change_percent = abs(((float(market_from_alpaca)-price)/price)*100)
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# if change_percent > strategy.price_slippage_percent:
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@ -88,36 +145,11 @@ def execute_strategy(callback, strategy):
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# type = "limit"
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type = "market"
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trade_size_as_ratio = D(strategy.trade_size_percent) / D(100)
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log.debug(f"Trade size as ratio: {trade_size_as_ratio}")
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amount_fiat = D(trade_size_as_ratio) * D(cash_balance)
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log.debug(f"Trade size: {amount_fiat}")
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price = round(D(callback.price), display_precision)
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if not price:
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return
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log.debug(f"Extracted price of quote: {price}")
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trade_size_in_base = get_trade_size_in_base(direction, account, strategy, cash_balance, price, base, display_precision)
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stop_loss, take_profit = get_tp_sl(direction, strategy, price)
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# We can do this because the quote IS in $ or equivalent
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# trade_size_in_base = D(amount_fiat) / D(price)
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trade_size_in_base = to_currency(direction, account, amount_fiat, account.currency, base)
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log.debug(f"Trade size in base: {trade_size_in_base}")
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# calculate sl/tp
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stop_loss_as_ratio = D(strategy.stop_loss_percent) / D(100)
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take_profit_as_ratio = D(strategy.take_profit_percent) / D(100)
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log.debug(f"Stop loss as ratio: {stop_loss_as_ratio}")
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log.debug(f"Take profit as ratio: {take_profit_as_ratio}")
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stop_loss_subtract = D(price) * D(stop_loss_as_ratio)
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take_profit_add = D(price) * D(take_profit_as_ratio)
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log.debug(f"Stop loss subtract: {stop_loss_subtract}")
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log.debug(f"Take profit add: {take_profit_add}")
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stop_loss = D(price) - D(stop_loss_subtract)
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take_profit = D(price) + D(take_profit_add)
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log.debug(f"Stop loss: {stop_loss}")
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log.debug(f"Take profit: {take_profit}")
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price_bound = round(get_price_bound(direction, strategy, price), display_precision)
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new_trade = Trade.objects.create(
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user=user,
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@ -127,7 +159,7 @@ def execute_strategy(callback, strategy):
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type=type,
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# amount_fiat=amount_fiat,
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amount=float(round(trade_size_in_base, trade_precision)),
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# price=price,
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price=price_bound,
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stop_loss=float(round(stop_loss, display_precision)),
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take_profit=float(round(take_profit, display_precision)),
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direction=direction,
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