Implement trade mutation pipeline and active management actions
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ae104f446a
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GPG Key ID:
5ACFCEED46C0904F
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@ -189,19 +189,20 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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# Ensure the correct trade has been passed to the violation
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self.assertIn(call[0][2], expected_trades)
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if expected_args:
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self.assertEqual(call[0][3], expected_args)
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_, kwargs = call
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self.assertEqual(kwargs, expected_args)
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# self.assertEqual(call[0][3], expected_args)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_run_checks(self, handle_violation):
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def test_run_checks(self):
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self.ams.run_checks()
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self.assertEqual(handle_violation.call_count, 0)
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self.assertEqual(len(self.ams.actions), 0)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_trading_time_violated(self, handle_violation):
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def test_trading_time_violated(self):
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self.trades[0]["openTime"] = "2023-02-17T11:38:06.302917Z" # Friday
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self.ams.run_checks()
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self.check_violation(
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"trading_time", handle_violation.call_args_list, "close", [self.trades[0]]
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self.assertEqual(
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self.ams.actions,
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{"close": [{"id": "20083", "check": "trading_time", "extra": {}}]},
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)
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def create_hook_signal(self):
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@ -217,8 +218,7 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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)
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return signal
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_trends_violated(self, handle_violation):
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def test_trends_violated(self):
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signal = self.create_hook_signal()
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self.strategy.trend_signals.set([signal])
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self.strategy.trends = {"EUR_USD": "sell"}
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@ -226,18 +226,24 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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self.strategy.save()
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self.ams.run_checks()
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self.check_violation(
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"trends", handle_violation.call_args_list, "close", self.trades
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self.assertEqual(
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self.ams.actions,
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{
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"close": [
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{"id": "20084", "check": "trends", "extra": {}},
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{"id": "20083", "check": "trends", "extra": {}},
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]
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},
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_trends_violated_none(self, handle_violation):
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def test_trends_violated_none(self):
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signal = self.create_hook_signal()
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self.strategy.trend_signals.set([signal])
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self.strategy.trends = {"EUR_USD": "buy"}
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self.strategy.save()
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self.ams.run_checks()
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self.check_violation("trends", handle_violation.call_args_list, "close", [])
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self.assertEqual(self.ams.actions, {})
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# Mock crossfilter here since we want to allow this conflict in order to test that
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# trends only close trades that are in the wrong direction
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@ -245,8 +251,7 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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"core.trading.active_management.ActiveManagement.check_crossfilter",
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return_value=None,
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_trends_violated_partial(self, handle_violation, check_crossfilter):
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def test_trends_violated_partial(self, check_crossfilter):
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signal = self.create_hook_signal()
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self.strategy.trend_signals.set([signal])
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self.strategy.trends = {"EUR_USD": "sell"}
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@ -257,25 +262,53 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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self.amend_tp_sl_flip_side()
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self.ams.run_checks()
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self.check_violation(
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"trends", handle_violation.call_args_list, "close", [self.trades[1]]
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self.assertEqual(
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self.ams.actions,
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{"close": [{"id": "20084", "check": "trends", "extra": {}}]},
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_position_size_violated(self, handle_violation):
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def test_position_size_violated(self):
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self.trades[0]["currentUnits"] = "100000"
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self.ams.run_checks()
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self.check_violation(
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"position_size",
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handle_violation.call_args_list,
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"close",
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[self.trades[0]],
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{"size": 500},
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self.assertEqual(
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self.ams.actions,
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{
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"close": [
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{
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"id": "20083",
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"check": "position_size",
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"extra": {"size": D("500.000")},
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}
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]
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},
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_protection_violated_absent(self, handle_violation):
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def test_protection_violated(self):
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self.trades[0]["takeProfitOrder"] = {"price": "0.0001"}
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self.trades[0]["stopLossOrder"] = {"price": "0.0001"}
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self.ams.run_checks()
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expected_args = {
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"take_profit_price": D("1.07934"),
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"stop_loss_price": D("1.05276"),
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}
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self.assertEqual(
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self.ams.actions,
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{
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"close": [
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{
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"id": "20083",
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"check": "protection",
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"extra": {
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**expected_args,
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},
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}
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]
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},
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)
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def test_protection_violated_absent(self):
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self.trades[0]["takeProfitOrder"] = None
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self.trades[0]["stopLossOrder"] = None
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self.ams.run_checks()
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@ -284,16 +317,22 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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"take_profit_price": D("1.07934"),
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"stop_loss_price": D("1.05276"),
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}
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self.check_violation(
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"protection",
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handle_violation.call_args_list,
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"close",
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[self.trades[0]],
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expected_args,
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self.assertEqual(
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self.ams.actions,
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{
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"close": [
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{
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"id": "20083",
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"check": "protection",
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"extra": {
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**expected_args,
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},
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}
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]
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},
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_protection_violated_absent_not_required(self, handle_violation):
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def test_protection_violated_absent_not_required(self):
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self.strategy.order_settings.take_profit_percent = 0
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self.strategy.order_settings.stop_loss_percent = 0
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self.strategy.order_settings.save()
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@ -301,10 +340,9 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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self.trades[0]["stopLossOrder"] = None
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self.ams.run_checks()
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self.assertEqual(handle_violation.call_count, 0)
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self.assertEqual(self.ams.actions, {})
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_asset_groups_violated(self, handle_violation):
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def test_asset_groups_violated(self):
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asset_group = AssetGroup.objects.create(
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user=self.user,
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name="Test Asset Group",
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@ -319,15 +357,17 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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self.strategy.save()
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self.ams.run_checks()
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self.check_violation(
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"asset_group",
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handle_violation.call_args_list,
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"close",
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self.trades, # All trades should be closed, since all are USD quote
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self.assertEqual(
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self.ams.actions,
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{
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"close": [
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{"id": "20084", "check": "asset_group", "extra": {}},
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{"id": "20083", "check": "asset_group", "extra": {}},
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]
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},
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_asset_groups_violated_invert(self, handle_violation):
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def test_asset_groups_violated_invert(self):
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self.trades[0]["side"] = "short"
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self.trades[1]["side"] = "short"
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self.amend_tp_sl_flip_side()
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@ -345,28 +385,27 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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self.strategy.save()
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self.ams.run_checks()
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self.check_violation(
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"asset_group",
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handle_violation.call_args_list,
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"close",
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self.trades, # All trades should be closed, since all are USD quote
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self.assertEqual(
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self.ams.actions,
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{
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"close": [
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{"id": "20084", "check": "asset_group", "extra": {}},
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{"id": "20083", "check": "asset_group", "extra": {}},
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]
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},
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_crossfilter_violated_side(self, handle_violation):
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def test_crossfilter_violated_side(self):
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self.trades[1]["side"] = "short"
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self.amend_tp_sl_flip_side()
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self.ams.run_checks()
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self.check_violation(
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"crossfilter",
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handle_violation.call_args_list,
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"close",
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[self.trades[1]], # Only close newer trade
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self.assertEqual(
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self.ams.actions,
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{"close": [{"id": "20084", "check": "crossfilter", "extra": {}}]},
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_crossfilter_violated_side_multiple(self, handle_violation):
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def test_crossfilter_violated_side_multiple(self):
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self.add_trade(
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"20085", "EUR_USD", "short", "2023-02-13T12:39:06.302917985Z"
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) # 2:
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@ -375,28 +414,28 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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self.amend_tp_sl_flip_side()
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self.ams.run_checks()
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self.check_violation(
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"crossfilter",
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handle_violation.call_args_list,
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"close",
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self.trades[2:], # Only close newer trades
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self.assertEqual(
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self.ams.actions,
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{
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"close": [
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{"id": "20087", "check": "crossfilter", "extra": {}},
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{"id": "20086", "check": "crossfilter", "extra": {}},
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{"id": "20085", "check": "crossfilter", "extra": {}},
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]
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},
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_crossfilter_violated_symbol(self, handle_violation):
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def test_crossfilter_violated_symbol(self):
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# Change symbol to conflict with long on EUR_USD
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self.trades[1]["symbol"] = "USD_EUR"
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self.ams.run_checks()
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self.check_violation(
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"crossfilter",
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handle_violation.call_args_list,
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"close",
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[self.trades[1]], # Only close newer trade
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self.assertEqual(
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self.ams.actions,
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{"close": [{"id": "20084", "check": "crossfilter", "extra": {}}]},
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_crossfilter_violated_symbol_multiple(self, handle_violation):
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def test_crossfilter_violated_symbol_multiple(self):
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self.add_trade(
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"20085", "USD_EUR", "long", "2023-02-13T12:39:06.302917985Z"
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) # 2:
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@ -404,15 +443,18 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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self.add_trade("20087", "USD_EUR", "long", "2023-02-13T14:39:06.302917985Z")
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self.ams.run_checks()
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self.check_violation(
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"crossfilter",
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handle_violation.call_args_list,
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"close",
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self.trades[2:], # Only close newer trades
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self.assertEqual(
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self.ams.actions,
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{
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"close": [
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{"id": "20087", "check": "crossfilter", "extra": {}},
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{"id": "20086", "check": "crossfilter", "extra": {}},
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{"id": "20085", "check": "crossfilter", "extra": {}},
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]
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},
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_max_open_trades_violated(self, handle_violation):
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def test_max_open_trades_violated(self):
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for x in range(9):
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self.add_trade(
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str(x),
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@ -422,15 +464,12 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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)
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self.ams.run_checks()
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self.check_violation(
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"max_open_trades",
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handle_violation.call_args_list,
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"close",
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self.trades[10:], # Only close newer trades
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self.assertEqual(
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self.ams.actions,
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{"close": [{"id": "8", "check": "max_open_trades", "extra": {}}]},
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_max_open_trades_per_symbol_violated(self, handle_violation):
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def test_max_open_trades_per_symbol_violated(self):
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for x in range(4):
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self.add_trade(
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str(x),
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@ -440,11 +479,14 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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)
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self.ams.run_checks()
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self.check_violation(
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"max_open_trades_per_symbol",
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handle_violation.call_args_list,
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"close",
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self.trades[5:], # Only close newer trades
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self.assertEqual(
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self.ams.actions,
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{
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"close": [
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{"id": "3", "check": "max_open_trades_per_symbol", "extra": {}}
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]
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},
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)
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# Mock position size as we have no way of checking the balance at the start of the
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@ -456,8 +498,7 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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"core.trading.active_management.ActiveManagement.check_position_size",
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return_value=None,
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_max_loss_violated(self, handle_violation, check_position_size):
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def test_max_loss_violated(self, check_position_size):
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self.balance = D("1")
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self.balance_usd = D("0.69")
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@ -465,11 +506,9 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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self.ams.run_checks()
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self.check_violation(
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"max_loss",
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handle_violation.call_args_list,
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"close",
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[None],
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self.assertEqual(
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self.ams.actions,
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{"close": [{"id": None, "check": "max_loss", "extra": {}}]},
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)
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@patch(
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@ -480,10 +519,7 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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"core.trading.active_management.ActiveManagement.check_protection",
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return_value=None,
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_max_risk_violated(
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self, handle_violation, check_protection, check_position_size
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):
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def test_max_risk_violated(self, check_protection, check_position_size):
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self.add_trade(
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"20085",
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"EUR_USD",
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@ -495,11 +531,9 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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self.ams.run_checks()
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self.check_violation(
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"max_risk",
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handle_violation.call_args_list,
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"close",
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[self.trades[2]],
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self.assertEqual(
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self.ams.actions,
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{"close": [{"id": "20085", "check": "max_risk", "extra": {}}]},
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)
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@patch(
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@ -510,10 +544,7 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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"core.trading.active_management.ActiveManagement.check_protection",
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return_value=None,
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_max_risk_violated_multiple(
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self, handle_violation, check_protection, check_position_size
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):
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def test_max_risk_violated_multiple(self, check_protection, check_position_size):
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self.add_trade(
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"20085",
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"EUR_USD",
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@ -533,11 +564,14 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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self.ams.run_checks()
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self.check_violation(
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"max_risk",
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handle_violation.call_args_list,
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"close",
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||||
[self.trades[2], self.trades[3]],
|
||||
self.assertEqual(
|
||||
self.ams.actions,
|
||||
{
|
||||
"close": [
|
||||
{"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):
|
||||
pass
|
||||
@patch("core.trading.active_management.sendmsg")
|
||||
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):
|
||||
pass
|
||||
self.trades[0]["currentUnits"] = "100000"
|
||||
self.ams.run_checks()
|
||||
|
||||
def test_protection_added(self):
|
||||
pass
|
||||
self.assertEqual(close_trade.call_count, 0)
|
||||
|
||||
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
|
||||
|
|
|
|||
|
|
@ -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_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
|
||||
|
|
|
|||
Loading…
Reference in New Issue