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Implement trade mutation pipeline and active management actions

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This commit is contained in:
Mark Veidemanis
2023-02-18 21:23:59 +00:00
parent ae104f446a
commit 911ccde37b
2 changed files with 490 additions and 158 deletions
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103
core/trading/active_management.py
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@@ -3,10 +3,12 @@ from datetime import datetime
from decimal import Decimal as D
from core.exchanges.convert import (
annotate_trade_tp_sl_percent,
convert_trades,
sl_percent_to_price,
tp_percent_to_price,
)
from core.lib.notify import sendmsg
from core.trading import assetfilter, checks, market, risk
from core.trading.crossfilter import crossfilter
from core.trading.market import get_base_quote, get_trade_size_in_base
@@ -15,6 +17,10 @@ from core.util import logs
log = logs.get_logger("ams")
class TradeClosed(Exception):
pass
class ActiveManagement(object):
def __init__(self, strategy):
self.strategy = strategy
@@ -74,7 +80,6 @@ class ActiveManagement(object):
self.close_trade(trade_id)
def bulk_notify(self, action, action_cast_list):
print("CALL", action, action_cast_list)
msg = ""
for action_cast in action_cast_list:
msg += f"ACTION: '{action}' on trade ID '{action_cast['id']}'\n"
@@ -85,7 +90,7 @@ class ActiveManagement(object):
msg += f"EXTRA: {extra}\n"
msg += "=========\n"
print("NOTIFY", msg)
sendmsg(self.strategy.user, msg, title=f"AMS: {action}")
def adjust_position_size(self, trade_id, new_size):
pass
@@ -120,7 +125,6 @@ class ActiveManagement(object):
self.bulk_adjust(action_cast_list)
def handle_violation(self, check_type, action, trade_id, **kwargs):
print("VIOLATION", check_type, action, trade_id, kwargs)
if action == "none":
return
self.add_action(action, check_type, trade_id, **kwargs)
@@ -148,6 +152,8 @@ class ActiveManagement(object):
self.handle_violation(
"trading_time", self.policy.when_trading_time_violated, trade["id"]
)
if self.policy.when_trading_time_violated == "close":
raise TradeClosed
def check_trends(self, trade):
direction = trade["direction"]
@@ -157,6 +163,8 @@ class ActiveManagement(object):
self.handle_violation(
"trends", self.policy.when_trends_violated, trade["id"]
)
if self.policy.when_trends_violated == "close":
raise TradeClosed
def check_position_size(self, trade):
"""
@@ -189,8 +197,13 @@ class ActiveManagement(object):
"position_size",
self.policy.when_position_size_violated,
trade["id"],
{"size": expected_trade_size},
size=expected_trade_size,
)
if self.policy.when_position_size_violated == "close":
raise TradeClosed
elif self.policy.when_position_size_violated == "adjust":
trade["amount"] = expected_trade_size
trade["units"] = expected_trade_size
def check_protection(self, trade):
deviation = D(0.05) # 5%
@@ -252,8 +265,14 @@ class ActiveManagement(object):
"protection",
self.policy.when_protection_violated,
trade["id"],
violations
**violations
)
if self.policy.when_protection_violated == "close":
raise TradeClosed
elif self.policy.when_protection_violated == "adjust":
trade.update(violations)
annotate_trade_tp_sl_percent(trade)
market.convert_trades_to_usd(self.strategy.account, [trade])
def check_asset_groups(self, trade):
if self.strategy.asset_group is not None:
@@ -267,6 +286,8 @@ class ActiveManagement(object):
self.handle_violation(
"asset_group", self.policy.when_asset_groups_violated, trade["id"]
)
if self.policy.when_asset_groups_violated == "close":
raise TradeClosed
def get_sorted_trades_copy(self, trades, reverse=True):
trades_copy = deepcopy(trades)
@@ -280,18 +301,22 @@ class ActiveManagement(object):
def check_crossfilter(self, trades):
close_trades = []
trades_copy = self.get_sorted_trades_copy(trades)
# trades_copy = self.get_sorted_trades_copy(trades)
iterations = 0
finished = []
# Recursively run crossfilter on the newest-first list until we have no more
# conflicts
while not len(finished) == len(trades):
length_before = len(trades)
while not len(finished) == length_before:
iterations += 1
if iterations > 10000:
raise Exception("Too many iterations")
# For each trade
for trade in trades_copy:
# We need reverse because we are removing items from the list
# This works in our favour because the list is sorted the wrong
# way around in run_checks()
for trade in reversed(trades):
# Abort if we've already checked this trade
if trade in close_trades:
continue
@@ -299,7 +324,7 @@ class ActiveManagement(object):
# Also remove if we have already checked this
others = [
t
for t in trades_copy
for t in trades
if t["id"] != trade["id"] and t not in close_trades
]
symbol = trade["symbol"]
@@ -320,6 +345,10 @@ class ActiveManagement(object):
# And don't check it again
finished.append(trade)
close_trades.append(trade)
# Remove it from the trades list
if self.policy.when_crossfilter_violated == "close":
trades.remove(trade)
if not close_trades:
return
@@ -334,15 +363,17 @@ class ActiveManagement(object):
return
max_open_pass = risk.check_max_open_trades(self.strategy.risk_model, trades)
if not max_open_pass:
trades_copy = self.get_sorted_trades_copy(trades, reverse=False)
# trades_copy = self.get_sorted_trades_copy(trades, reverse=False)
# fmt: off
trades_over_limit = trades_copy[self.strategy.risk_model.max_open_trades:]
trades_over_limit = trades[self.strategy.risk_model.max_open_trades:]
for trade in trades_over_limit:
self.handle_violation(
"max_open_trades",
self.policy.when_max_open_trades_violated,
trade["id"],
)
if self.policy.when_max_open_trades_violated == "close":
trades.remove(trade)
def check_max_open_trades_per_symbol(self, trades):
if self.strategy.risk_model is None:
@@ -352,10 +383,10 @@ class ActiveManagement(object):
)
max_open_pass = list(max_open_pass)
if max_open_pass:
trades_copy = self.get_sorted_trades_copy(trades, reverse=False)
# trades_copy = self.get_sorted_trades_copy(trades, reverse=False)
trades_over_limit = []
for symbol in max_open_pass:
symbol_trades = [x for x in trades_copy if x["symbol"] == symbol]
symbol_trades = [x for x in trades if x["symbol"] == symbol]
# fmt: off
exceeding_limit = symbol_trades[
self.strategy.risk_model.max_open_trades_per_symbol:
@@ -369,8 +400,10 @@ class ActiveManagement(object):
self.policy.when_max_open_trades_violated,
trade["id"],
)
if self.policy.when_max_open_trades_violated == "close":
trades.remove(trade)
def check_max_loss(self):
def check_max_loss(self, trades):
if self.strategy.risk_model is None:
return
check_passed = risk.check_max_loss(
@@ -382,6 +415,9 @@ class ActiveManagement(object):
self.handle_violation(
"max_loss", self.policy.when_max_loss_violated, None # Close all trades
)
if self.policy.when_max_loss_violated == "close":
for trade in trades:
trades.remove(trade)
def check_max_risk(self, trades):
if self.strategy.risk_model is None:
@@ -389,7 +425,7 @@ class ActiveManagement(object):
close_trades = []
trades_copy = self.get_sorted_trades_copy(trades, reverse=False)
market.convert_trades_to_usd(self.strategy.account, trades_copy)
# market.convert_trades_to_usd(self.strategy.account, trades_copy)
iterations = 0
finished = False
@@ -414,21 +450,36 @@ class ActiveManagement(object):
self.handle_violation(
"max_risk", self.policy.when_max_risk_violated, trade["id"]
)
if self.policy.when_max_risk_violated == "close":
trades.remove(trade)
def run_checks(self):
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)
self.check_asset_groups(trade)
trades_copy = self.get_sorted_trades_copy(converted_trades, reverse=False)
market.convert_trades_to_usd(self.strategy.account, trades_copy)
for trade in reversed(trades_copy):
try:
self.check_trading_time(trade)
self.check_trends(trade)
self.check_position_size(trade)
self.check_protection(trade)
self.check_asset_groups(trade)
except TradeClosed:
# Trade was closed, don't check it again
trades_copy.remove(trade)
continue
self.check_crossfilter(converted_trades)
self.check_max_open_trades(converted_trades)
self.check_max_open_trades_per_symbol(converted_trades)
self.check_max_loss()
self.check_max_risk(converted_trades)
self.check_crossfilter(trades_copy)
self.check_max_open_trades(trades_copy)
self.check_max_open_trades_per_symbol(trades_copy)
self.check_max_loss(trades_copy)
self.check_max_risk(trades_copy)
def execute_actions(self):
if not self.actions:
return
self.reduce_actions()
self.run_actions()
# Trading Time
# Max loss