Implement trade mutation pipeline and active management actions

core/tests/trading/test_active_management.py

@@ -189,19 +189,20 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
             # Ensure the correct trade has been passed to the violation
             self.assertIn(call[0][2], expected_trades)
             if expected_args:
-                self.assertEqual(call[0][3], expected_args)
+                _, kwargs = call
+                self.assertEqual(kwargs, expected_args)
+                # self.assertEqual(call[0][3], expected_args)
 
-    @patch("core.trading.active_management.ActiveManagement.handle_violation")
+    def test_run_checks(self):
-    def test_run_checks(self, handle_violation):
         self.ams.run_checks()
-        self.assertEqual(handle_violation.call_count, 0)
+        self.assertEqual(len(self.ams.actions), 0)
 
-    @patch("core.trading.active_management.ActiveManagement.handle_violation")
+    def test_trading_time_violated(self):
-    def test_trading_time_violated(self, handle_violation):
         self.trades[0]["openTime"] = "2023-02-17T11:38:06.302917Z"  # Friday
         self.ams.run_checks()
-        self.check_violation(
+        self.assertEqual(
-            "trading_time", handle_violation.call_args_list, "close", [self.trades[0]]
+            self.ams.actions,
+            {"close": [{"id": "20083", "check": "trading_time", "extra": {}}]},
         )
 
     def create_hook_signal(self):
@@ -217,8 +218,7 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
         )
         return signal
 
-    @patch("core.trading.active_management.ActiveManagement.handle_violation")
+    def test_trends_violated(self):
-    def test_trends_violated(self, handle_violation):
         signal = self.create_hook_signal()
         self.strategy.trend_signals.set([signal])
         self.strategy.trends = {"EUR_USD": "sell"}
@@ -226,18 +226,24 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
         self.strategy.save()
 
         self.ams.run_checks()
-        self.check_violation(
+        self.assertEqual(
-            "trends", handle_violation.call_args_list, "close", self.trades
+            self.ams.actions,
+            {
+                "close": [
+                    {"id": "20084", "check": "trends", "extra": {}},
+                    {"id": "20083", "check": "trends", "extra": {}},
+                ]
+            },
         )
 
-    @patch("core.trading.active_management.ActiveManagement.handle_violation")
+    def test_trends_violated_none(self):
-    def test_trends_violated_none(self, handle_violation):
         signal = self.create_hook_signal()
         self.strategy.trend_signals.set([signal])
         self.strategy.trends = {"EUR_USD": "buy"}
         self.strategy.save()
         self.ams.run_checks()
-        self.check_violation("trends", handle_violation.call_args_list, "close", [])
+
+        self.assertEqual(self.ams.actions, {})
 
     # Mock crossfilter here since we want to allow this conflict in order to test that
     # trends only close trades that are in the wrong direction
@@ -245,8 +251,7 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
         "core.trading.active_management.ActiveManagement.check_crossfilter",
         return_value=None,
     )
-    @patch("core.trading.active_management.ActiveManagement.handle_violation")
+    def test_trends_violated_partial(self, check_crossfilter):
-    def test_trends_violated_partial(self, handle_violation, check_crossfilter):
         signal = self.create_hook_signal()
         self.strategy.trend_signals.set([signal])
         self.strategy.trends = {"EUR_USD": "sell"}
@@ -257,25 +262,53 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
         self.amend_tp_sl_flip_side()
         self.ams.run_checks()
 
-        self.check_violation(
+        self.assertEqual(
-            "trends", handle_violation.call_args_list, "close", [self.trades[1]]
+            self.ams.actions,
+            {"close": [{"id": "20084", "check": "trends", "extra": {}}]},
         )
 
-    @patch("core.trading.active_management.ActiveManagement.handle_violation")
+    def test_position_size_violated(self):
-    def test_position_size_violated(self, handle_violation):
         self.trades[0]["currentUnits"] = "100000"
         self.ams.run_checks()
-
+        self.assertEqual(
-        self.check_violation(
+            self.ams.actions,
-            "position_size",
+            {
-            handle_violation.call_args_list,
+                "close": [
-            "close",
+                    {
-            [self.trades[0]],
+                        "id": "20083",
-            {"size": 500},
+                        "check": "position_size",
+                        "extra": {"size": D("500.000")},
+                    }
+                ]
+            },
         )
 
-    @patch("core.trading.active_management.ActiveManagement.handle_violation")
+    def test_protection_violated(self):
-    def test_protection_violated_absent(self, handle_violation):
+        self.trades[0]["takeProfitOrder"] = {"price": "0.0001"}
+        self.trades[0]["stopLossOrder"] = {"price": "0.0001"}
+        self.ams.run_checks()
+
+        expected_args = {
+            "take_profit_price": D("1.07934"),
+            "stop_loss_price": D("1.05276"),
+        }
+
+        self.assertEqual(
+            self.ams.actions,
+            {
+                "close": [
+                    {
+                        "id": "20083",
+                        "check": "protection",
+                        "extra": {
+                            **expected_args,
+                        },
+                    }
+                ]
+            },
+        )
+
+    def test_protection_violated_absent(self):
         self.trades[0]["takeProfitOrder"] = None
         self.trades[0]["stopLossOrder"] = None
         self.ams.run_checks()
@@ -284,16 +317,22 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
             "take_profit_price": D("1.07934"),
             "stop_loss_price": D("1.05276"),
         }
-        self.check_violation(
+        self.assertEqual(
-            "protection",
+            self.ams.actions,
-            handle_violation.call_args_list,
+            {
-            "close",
+                "close": [
-            [self.trades[0]],
+                    {
-            expected_args,
+                        "id": "20083",
+                        "check": "protection",
+                        "extra": {
+                            **expected_args,
+                        },
+                    }
+                ]
+            },
         )
 
-    @patch("core.trading.active_management.ActiveManagement.handle_violation")
+    def test_protection_violated_absent_not_required(self):
-    def test_protection_violated_absent_not_required(self, handle_violation):
         self.strategy.order_settings.take_profit_percent = 0
         self.strategy.order_settings.stop_loss_percent = 0
         self.strategy.order_settings.save()
@@ -301,10 +340,9 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
         self.trades[0]["stopLossOrder"] = None
         self.ams.run_checks()
 
-        self.assertEqual(handle_violation.call_count, 0)
+        self.assertEqual(self.ams.actions, {})
 
-    @patch("core.trading.active_management.ActiveManagement.handle_violation")
+    def test_asset_groups_violated(self):
-    def test_asset_groups_violated(self, handle_violation):
         asset_group = AssetGroup.objects.create(
             user=self.user,
             name="Test Asset Group",
@@ -319,15 +357,17 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
         self.strategy.save()
         self.ams.run_checks()
 
-        self.check_violation(
+        self.assertEqual(
-            "asset_group",
+            self.ams.actions,
-            handle_violation.call_args_list,
+            {
-            "close",
+                "close": [
-            self.trades,  # All trades should be closed, since all are USD quote
+                    {"id": "20084", "check": "asset_group", "extra": {}},
+                    {"id": "20083", "check": "asset_group", "extra": {}},
+                ]
+            },
         )
 
-    @patch("core.trading.active_management.ActiveManagement.handle_violation")
+    def test_asset_groups_violated_invert(self):
-    def test_asset_groups_violated_invert(self, handle_violation):
         self.trades[0]["side"] = "short"
         self.trades[1]["side"] = "short"
         self.amend_tp_sl_flip_side()
@@ -345,28 +385,27 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
         self.strategy.save()
         self.ams.run_checks()
 
-        self.check_violation(
+        self.assertEqual(
-            "asset_group",
+            self.ams.actions,
-            handle_violation.call_args_list,
+            {
-            "close",
+                "close": [
-            self.trades,  # All trades should be closed, since all are USD quote
+                    {"id": "20084", "check": "asset_group", "extra": {}},
+                    {"id": "20083", "check": "asset_group", "extra": {}},
+                ]
+            },
         )
 
-    @patch("core.trading.active_management.ActiveManagement.handle_violation")
+    def test_crossfilter_violated_side(self):
-    def test_crossfilter_violated_side(self, handle_violation):
         self.trades[1]["side"] = "short"
         self.amend_tp_sl_flip_side()
         self.ams.run_checks()
 
-        self.check_violation(
+        self.assertEqual(
-            "crossfilter",
+            self.ams.actions,
-            handle_violation.call_args_list,
+            {"close": [{"id": "20084", "check": "crossfilter", "extra": {}}]},
-            "close",
-            [self.trades[1]],  # Only close newer trade
         )
 
-    @patch("core.trading.active_management.ActiveManagement.handle_violation")
+    def test_crossfilter_violated_side_multiple(self):
-    def test_crossfilter_violated_side_multiple(self, handle_violation):
         self.add_trade(
             "20085", "EUR_USD", "short", "2023-02-13T12:39:06.302917985Z"
         )  # 2:
@@ -375,28 +414,28 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
         self.amend_tp_sl_flip_side()
         self.ams.run_checks()
 
-        self.check_violation(
+        self.assertEqual(
-            "crossfilter",
+            self.ams.actions,
-            handle_violation.call_args_list,
+            {
-            "close",
+                "close": [
-            self.trades[2:],  # Only close newer trades
+                    {"id": "20087", "check": "crossfilter", "extra": {}},
+                    {"id": "20086", "check": "crossfilter", "extra": {}},
+                    {"id": "20085", "check": "crossfilter", "extra": {}},
+                ]
+            },
         )
 
-    @patch("core.trading.active_management.ActiveManagement.handle_violation")
+    def test_crossfilter_violated_symbol(self):
-    def test_crossfilter_violated_symbol(self, handle_violation):
         # Change symbol to conflict with long on EUR_USD
         self.trades[1]["symbol"] = "USD_EUR"
         self.ams.run_checks()
 
-        self.check_violation(
+        self.assertEqual(
-            "crossfilter",
+            self.ams.actions,
-            handle_violation.call_args_list,
+            {"close": [{"id": "20084", "check": "crossfilter", "extra": {}}]},
-            "close",
-            [self.trades[1]],  # Only close newer trade
         )
 
-    @patch("core.trading.active_management.ActiveManagement.handle_violation")
+    def test_crossfilter_violated_symbol_multiple(self):
-    def test_crossfilter_violated_symbol_multiple(self, handle_violation):
         self.add_trade(
             "20085", "USD_EUR", "long", "2023-02-13T12:39:06.302917985Z"
         )  # 2:
@@ -404,15 +443,18 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
         self.add_trade("20087", "USD_EUR", "long", "2023-02-13T14:39:06.302917985Z")
         self.ams.run_checks()
 
-        self.check_violation(
+        self.assertEqual(
-            "crossfilter",
+            self.ams.actions,
-            handle_violation.call_args_list,
+            {
-            "close",
+                "close": [
-            self.trades[2:],  # Only close newer trades
+                    {"id": "20087", "check": "crossfilter", "extra": {}},
+                    {"id": "20086", "check": "crossfilter", "extra": {}},
+                    {"id": "20085", "check": "crossfilter", "extra": {}},
+                ]
+            },
         )
 
-    @patch("core.trading.active_management.ActiveManagement.handle_violation")
+    def test_max_open_trades_violated(self):
-    def test_max_open_trades_violated(self, handle_violation):
         for x in range(9):
             self.add_trade(
                 str(x),
@@ -422,15 +464,12 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
             )
 
         self.ams.run_checks()
-        self.check_violation(
+        self.assertEqual(
-            "max_open_trades",
+            self.ams.actions,
-            handle_violation.call_args_list,
+            {"close": [{"id": "8", "check": "max_open_trades", "extra": {}}]},
-            "close",
-            self.trades[10:],  # Only close newer trades
         )
 
-    @patch("core.trading.active_management.ActiveManagement.handle_violation")
+    def test_max_open_trades_per_symbol_violated(self):
-    def test_max_open_trades_per_symbol_violated(self, handle_violation):
         for x in range(4):
             self.add_trade(
                 str(x),
@@ -440,11 +479,14 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
             )
 
         self.ams.run_checks()
-        self.check_violation(
+
-            "max_open_trades_per_symbol",
+        self.assertEqual(
-            handle_violation.call_args_list,
+            self.ams.actions,
-            "close",
+            {
-            self.trades[5:],  # Only close newer trades
+                "close": [
+                    {"id": "3", "check": "max_open_trades_per_symbol", "extra": {}}
+                ]
+            },
         )
 
     # Mock position size as we have no way of checking the balance at the start of the
@@ -456,8 +498,7 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
         "core.trading.active_management.ActiveManagement.check_position_size",
         return_value=None,
     )
-    @patch("core.trading.active_management.ActiveManagement.handle_violation")
+    def test_max_loss_violated(self, check_position_size):
-    def test_max_loss_violated(self, handle_violation, check_position_size):
         self.balance = D("1")
         self.balance_usd = D("0.69")
 
@@ -465,11 +506,9 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
 
         self.ams.run_checks()
 
-        self.check_violation(
+        self.assertEqual(
-            "max_loss",
+            self.ams.actions,
-            handle_violation.call_args_list,
+            {"close": [{"id": None, "check": "max_loss", "extra": {}}]},
-            "close",
-            [None],
         )
 
     @patch(
@@ -480,10 +519,7 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
         "core.trading.active_management.ActiveManagement.check_protection",
         return_value=None,
     )
-    @patch("core.trading.active_management.ActiveManagement.handle_violation")
+    def test_max_risk_violated(self, check_protection, check_position_size):
-    def test_max_risk_violated(
-        self, handle_violation, check_protection, check_position_size
-    ):
         self.add_trade(
             "20085",
             "EUR_USD",
@@ -495,11 +531,9 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
 
         self.ams.run_checks()
 
-        self.check_violation(
+        self.assertEqual(
-            "max_risk",
+            self.ams.actions,
-            handle_violation.call_args_list,
+            {"close": [{"id": "20085", "check": "max_risk", "extra": {}}]},
-            "close",
-            [self.trades[2]],
         )
 
     @patch(
@@ -510,10 +544,7 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
         "core.trading.active_management.ActiveManagement.check_protection",
         return_value=None,
     )
-    @patch("core.trading.active_management.ActiveManagement.handle_violation")
+    def test_max_risk_violated_multiple(self, check_protection, check_position_size):
-    def test_max_risk_violated_multiple(
-        self, handle_violation, check_protection, check_position_size
-    ):
         self.add_trade(
             "20085",
             "EUR_USD",
@@ -533,11 +564,14 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
 
         self.ams.run_checks()
 
-        self.check_violation(
+        self.assertEqual(
-            "max_risk",
+            self.ams.actions,
-            handle_violation.call_args_list,
+            {
-            "close",
+                "close": [
-            [self.trades[2], self.trades[3]],
+                    {"id": "20086", "check": "max_risk", "extra": {}},
+                    {"id": "20085", "check": "max_risk", "extra": {}},
+                ]
+            },
         )
 
     @patch(
@@ -574,7 +608,17 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
         )
 
     def test_reduce_actions(self):
-        pass
+        """
+        Test that closing actions precede adjusting actions.
+        """
+        self.ams.add_action("close", "trading_time", "fake_trade_id")
+        self.ams.add_action("adjust", "position_size", "fake_trade_id", size=1000)
+        self.assertEqual(len(self.ams.actions["close"]), 1)
+        self.assertEqual(len(self.ams.actions["adjust"]), 1)
+
+        self.ams.reduce_actions()
+        self.assertEqual(len(self.ams.actions["close"]), 1)
+        self.assertEqual(len(self.ams.actions["adjust"]), 0)
 
     @patch("core.trading.active_management.ActiveManagement.bulk_close_trades")
     @patch("core.trading.active_management.ActiveManagement.bulk_notify")
@@ -688,26 +732,263 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
         close_trade.assert_any_call("id1")
         close_trade.assert_any_call("id2")
 
-    def test_bulk_notify(self):
+    @patch("core.trading.active_management.sendmsg")
-        pass
+    def test_bulk_notify_plain(self, sendmsg):
+        self.ams.bulk_notify("close", [{"id": "id1", "check": "check1", "extra": {}}])
 
-    def test_max_risk_not_violated_after_adjusting_protection(self):
+        sendmsg.assert_called_once_with(
+            self.user,
+            "ACTION: 'close' on trade ID 'id1'\nVIOLATION: 'check1'\n=========\n",
+            title="AMS: close",
+        )
+
+    @patch("core.trading.active_management.sendmsg")
+    def test_bulk_notify_extra(self, sendmsg):
+        self.ams.bulk_notify(
+            "close", [{"id": "id1", "check": "check1", "extra": {"field1": "value1"}}]
+        )
+
+        sendmsg.assert_called_once_with(
+            self.user,
+            (
+                "ACTION: 'close' on trade ID 'id1'\nVIOLATION: 'check1'\nEXTRA:"
+                " field1: value1\n=========\n"
+            ),
+            title="AMS: close",
+        )
+
+    @patch("core.trading.active_management.ActiveManagement.check_protection")
+    def test_position_size_reduced(self, check_protection):
+        self.active_management_policy.when_position_size_violated = "adjust"
+        self.active_management_policy.save()
+
+        self.trades[0]["currentUnits"] = "100000"
+        self.ams.run_checks()
+
+        call_args = check_protection.call_args[0][0]
+
+        self.assertEqual(call_args["amount"], 500)
+        self.assertEqual(call_args["units"], 500)
+
+    @patch("core.trading.active_management.ActiveManagement.check_asset_groups")
+    def test_protection_added(self, check_asset_groups):
+        self.active_management_policy.when_protection_violated = "adjust"
+        self.active_management_policy.save()
+        self.trades[0]["takeProfitOrder"] = None
+        self.trades[0]["stopLossOrder"] = None
+        self.ams.run_checks()
+
+        call_args = check_asset_groups.call_args[0][0]
+        self.assertEqual(call_args["take_profit_price"], D("1.07934"))
+        self.assertEqual(call_args["stop_loss_price"], D("1.05276"))
+
+    @patch("core.trading.active_management.ActiveManagement.check_asset_groups")
+    def test_protection_amended(self, check_asset_groups):
+        self.active_management_policy.when_protection_violated = "adjust"
+        self.active_management_policy.save()
+        self.trades[0]["takeProfitOrder"] = {"price": "0.0001"}
+        self.trades[0]["stopLossOrder"] = {"price": "0.0001"}
+        self.ams.run_checks()
+
+        call_args = check_asset_groups.call_args[0][0]
+        self.assertEqual(call_args["take_profit_price"], D("1.07934"))
+        self.assertEqual(call_args["stop_loss_price"], D("1.05276"))
+
+    @patch("core.trading.active_management.ActiveManagement.close_trade")
+    def test_max_risk_not_violated_after_adjusting_protection(self, close_trade):
         """
         Ensure the max risk check is not violated after adjusting the protection.
         """
-        pass
+        self.active_management_policy.when_protection_violated = "adjust"
+        self.active_management_policy.save()
 
-    def test_max_risk_not_violated_after_adjusting_position_size(self):
+        self.add_trade(
+            "20085",
+            "EUR_USD",
+            "long",
+            "2023-02-13T15:39:19.302917985Z",
+        )
+        self.trades[2]["stopLossOrder"]["price"] = "0.001"
+        self.trades[2]["currentUnits"] = "13000"
+
+        self.ams.run_checks()
+
+        self.assertEqual(close_trade.call_count, 0)
+
+    @patch("core.trading.active_management.ActiveManagement.close_trade")
+    def test_max_risk_not_violated_after_adjusting_position_size(self, close_trade):
         """
         Ensure the max risk check is not violated after adjusting the position size.
         """
-        pass
+        self.active_management_policy.when_position_size_violated = "adjust"
+        self.active_management_policy.save()
 
-    def test_position_size_reduced(self):
+        self.trades[0]["currentUnits"] = "100000"
-        pass
+        self.ams.run_checks()
 
-    def test_protection_added(self):
+        self.assertEqual(close_trade.call_count, 0)
-        pass
 
-    def test_protection_amended(self):
+    @patch("core.trading.active_management.ActiveManagement.check_crossfilter")
+    @patch("core.trading.active_management.ActiveManagement.check_trends")
+    def test_trading_time_mutation(self, check_trends, check_crossfilter):
+        self.trades[0]["openTime"] = "2023-02-17T11:38:06.302917Z"  # Friday
+        self.ams.run_checks()
+
+        self.assertEqual(check_trends.call_count, 1)
+        call_args = check_trends.call_args[0][0]
+        self.assertEqual(
+            call_args["id"], "20084"
+        )  # Only run trends on the second trade
+
+        crossfilter_call_args = check_crossfilter.call_args[0][0]
+        self.assertEqual(len(crossfilter_call_args), 1)
+        self.assertEqual(
+            crossfilter_call_args[0]["id"], "20084"
+        )  # Same for crossfilter
+
+    @patch("core.trading.active_management.ActiveManagement.check_crossfilter")
+    @patch("core.trading.active_management.ActiveManagement.check_position_size")
+    def test_check_trends_mutation(self, check_position_size, check_crossfilter):
+        signal = self.create_hook_signal()
+        self.strategy.trend_signals.set([signal])
+        self.strategy.trends = {"EUR_USD": "sell"}
+        self.amend_tp_sl_flip_side()
+        self.strategy.save()
+
+        self.ams.run_checks()
+
+        self.assertEqual(check_position_size.call_count, 0)
+
+        crossfilter_call_args = check_crossfilter.call_args[0][0]
+        self.assertEqual(len(crossfilter_call_args), 0)
+
+    @patch("core.trading.active_management.ActiveManagement.check_crossfilter")
+    @patch("core.trading.active_management.ActiveManagement.check_protection")
+    def test_check_position_size_mutation(self, check_protection, check_crossfilter):
+        self.trades[0]["currentUnits"] = "100000"
+        self.ams.run_checks()
+
+        self.assertEqual(check_protection.call_count, 1)
+
+        call_args = check_protection.call_args[0][0]
+        self.assertEqual(
+            call_args["id"], "20084"
+        )  # Only run protection on the second trade
+
+        crossfilter_call_args = check_crossfilter.call_args[0][0]
+        self.assertEqual(len(crossfilter_call_args), 1)
+        self.assertEqual(
+            crossfilter_call_args[0]["id"], "20084"
+        )  # Same for crossfilter
+
+    @patch("core.trading.active_management.ActiveManagement.check_crossfilter")
+    @patch("core.trading.active_management.ActiveManagement.check_protection")
+    def test_check_protection_mutation(self, check_protection, check_crossfilter):
+        self.trades[0]["currentUnits"] = "100000"
+        self.ams.run_checks()
+
+        self.assertEqual(check_protection.call_count, 1)
+
+        call_args = check_protection.call_args[0][0]
+        self.assertEqual(
+            call_args["id"], "20084"
+        )  # Only run protection on the second trade
+
+        crossfilter_call_args = check_crossfilter.call_args[0][0]
+        self.assertEqual(len(crossfilter_call_args), 1)
+        self.assertEqual(
+            crossfilter_call_args[0]["id"], "20084"
+        )  # Same for crossfilter
+
+    # This may look similar but check_crossfilter is called with the whole trade list.
+    # Check that the trade that is removed from the list is not checked.
+    @patch("core.trading.active_management.ActiveManagement.check_crossfilter")
+    def test_check_asset_groups_mutation(self, check_crossfilter):
+        asset_group = AssetGroup.objects.create(
+            user=self.user,
+            name="Test Asset Group",
+        )
+        AssetRule.objects.create(
+            user=self.user,
+            asset="USD",
+            group=asset_group,
+            status=2,  # Bullish
+        )
+        self.strategy.asset_group = asset_group
+        self.strategy.save()
+        self.ams.run_checks()
+
+        check_crossfilter.assert_called_once_with([])
+
+    @patch("core.trading.active_management.ActiveManagement.check_max_open_trades")
+    def test_check_crossfilter_mutation(self, check_max_open_trades):
+        self.trades[1]["side"] = "short"
+        self.amend_tp_sl_flip_side()
+        self.ams.run_checks()
+
+        self.assertEqual(check_max_open_trades.call_count, 1)
+        call_args = check_max_open_trades.call_args[0][0]
+
+        self.assertEqual(len(call_args), 1)
+        self.assertEqual(call_args[0]["id"], "20083")
+
+    @patch(  # When the string is just too damn long
+        (
+            "core.trading.active_management.ActiveManagement."
+            "check_max_open_trades_per_symbol"
+        )
+    )
+    def test_check_max_open_trades_mutation(self, check_max_open_trades_per_symbol):
+        for x in range(9):
+            self.add_trade(
+                str(x),
+                f"EUR_USD{x}",  # Vary symbol to prevent max open trades per symbol
+                "long",
+                f"2023-02-13T12:39:1{x}.302917985Z",
+            )
+
+        self.ams.run_checks()
+
+        self.assertEqual(check_max_open_trades_per_symbol.call_count, 1)
+        call_args = check_max_open_trades_per_symbol.call_args[0][0]
+        called_with_ids = [x["id"] for x in call_args]
+        self.assertListEqual(
+            called_with_ids, ["20083", "20084", "0", "1", "2", "3", "4", "5", "6", "7"]
+        )
+
+    @patch("core.trading.active_management.ActiveManagement.check_max_loss")
+    def test_check_max_open_trades_per_symbol_mutation(self, check_max_loss):
+        for x in range(4):
+            self.add_trade(
+                str(x),
+                "EUR_USD",
+                "long",
+                f"2023-02-13T12:39:1{x}.302917985Z",
+            )
+
+        self.ams.run_checks()
+
+        self.assertEqual(check_max_loss.call_count, 1)
+        call_args = check_max_loss.call_args[0][0]
+        called_with_ids = [x["id"] for x in call_args]
+        self.assertListEqual(called_with_ids, ["20083", "20084", "0", "1", "2"])
+
+    @patch("core.trading.active_management.ActiveManagement.check_max_risk")
+    def test_check_max_loss_mutation(self, check_max_risk):
+        self.balance = D("1")
+        self.balance_usd = D("0.69")
+
+        self.trades = []
+
+        self.ams.run_checks()
+
+        self.assertEqual(check_max_risk.call_count, 1)
+        call_args = check_max_risk.call_args[0][0]
+        called_with_ids = [x["id"] for x in call_args]
+        self.assertListEqual(called_with_ids, [])
+
+    def test_check_max_risk_mutation(self):
+        """
+        This cannot be tested as there are no hooks after it.
+        """
         pass

core/trading/active_management.py

@@ -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:
+        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_crossfilter(trades_copy)
-        self.check_max_open_trades(converted_trades)
+        self.check_max_open_trades(trades_copy)
-        self.check_max_open_trades_per_symbol(converted_trades)
+        self.check_max_open_trades_per_symbol(trades_copy)
-        self.check_max_loss()
+        self.check_max_loss(trades_copy)
-        self.check_max_risk(converted_trades)
+        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