Refactor execute_strategy into functions and send a price bound

core/exchanges/oanda.py

@@ -61,8 +61,13 @@ class OANDAExchange(BaseExchange):
                 "positionFill": "DEFAULT",
             }
         }
+        if trade.price is not None:
+            print("PRICE IS NOT NONE")
             if trade.type == "limit":
                 data["order"]["price"] = str(trade.price)
+            elif trade.type == "market":
+                print("IS MARKET")
+                data["order"]["priceBound"] = str(trade.price)
         r = orders.OrderCreate(self.account_id, data=data)
         response = self.call(r)
         trade.response = response

core/lib/market.py

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

core/models.py

@@ -69,7 +69,10 @@ class User(AbstractUser):
 
 
 class Account(models.Model):
-    EXCHANGE_CHOICES = (("alpaca", "Alpaca"), ("oanda", "OANDA"))
+    EXCHANGE_CHOICES = (
+        ("alpaca", "Alpaca"),
+        ("oanda", "OANDA")
+    )
     user = models.ForeignKey(User, on_delete=models.CASCADE)
     name = models.CharField(max_length=255)
     exchange = models.CharField(choices=EXCHANGE_CHOICES, max_length=255)