Check the max risk relative to the account balance

core/exchanges/common.py

@@ -1,7 +1,6 @@
 from decimal import Decimal as D
 
 from core.lib.elastic import store_msg
-from core.trading.market import to_currency
 
 
 def get_balance_hook(user_id, user_name, account_id, account_name, balance):
@@ -89,9 +88,6 @@ def sl_price_to_percent(sl_price, side, current_price, current_units, unrealised
         else:
             profit = False
 
-    print("CHANGE PERCENT: ", change_percent)
-    print("PROFIT", profit)
-
     if profit:
         change_percent = 0 - abs(change_percent)
     else:
@@ -120,6 +116,15 @@ def convert_open_trades(open_trades):
             "pl": unrealised_pl,
         }
 
+        # Add some extra fields, sometimes we have already looked up the
+        # prices and don't need to call convert_trades_to_usd
+        if "take_profit_usd" in trade:
+            cast["take_profit_usd"] = trade["take_profit_usd"]
+        if "stop_loss_usd" in trade:
+            cast["stop_loss_usd"] = trade["stop_loss_usd"]
+        if "trailing_stop_loss_usd" in trade:
+            cast["trailing_stop_loss_usd"] = trade["trailing_stop_loss_usd"]
+
         if "takeProfitOrder" in trade:
             if trade["takeProfitOrder"]:
                 take_profit = trade["takeProfitOrder"]["price"]
@@ -156,9 +161,3 @@ def convert_open_trades(open_trades):
 
         trades.append(cast)
     return trades
-
-
-def convert_trades_to_usd(account, trades):
-    """
-    Convert a list of trades to USD.
-    """

core/tests/trading/test_risk.py

@@ -1,6 +1,6 @@
 from django.test import TestCase
 
-from core.exchanges.common import convert_open_trades
+from core.exchanges import common
 from core.models import RiskModel, User
 from core.trading import risk
 
@@ -25,8 +25,11 @@ class RiskModelTestCase(TestCase):
             "side": "BUY",
             # We already calculated the TP percent loss relative to the account size
             "take_profit_percent": 9,
+            "take_profit_usd": 9,
             "stop_loss_percent": 9,
+            "stop_loss_usd": 9,
             "trailing_stop_loss_percent": 9,
+            "trailing_stop_loss_usd": 9,
         }
 
     def test_check_max_loss(self):
@@ -65,7 +68,9 @@ class RiskModelTestCase(TestCase):
         Check that we can open a trade within the max risk limit.
         """
         account_trades = [self.trade]
-        allowed = risk.check_max_risk(self.risk_model, account_trades)
+        allowed = risk.check_max_risk(
+            self.risk_model, self.account_initial_balance, account_trades
+        )
         self.assertTrue(allowed)
 
     def test_check_max_risk_multiple_trades(self):
@@ -76,8 +81,12 @@ class RiskModelTestCase(TestCase):
         trade = self.trade.copy()
         trade["stop_loss_percent"] = 1
         trade["trailing_stop_loss_percent"] = 1
+        trade["stop_loss_usd"] = 1
+        trade["trailing_stop_loss_usd"] = 1
         account_trades = [trade] * 9
-        allowed = risk.check_max_risk(self.risk_model, account_trades)
+        allowed = risk.check_max_risk(
+            self.risk_model, self.account_initial_balance, account_trades
+        )
         self.assertTrue(allowed)
 
     def test_check_max_risk_fail_exact(self):
@@ -87,8 +96,13 @@ class RiskModelTestCase(TestCase):
         """
         trade = self.trade.copy()
         trade["stop_loss_percent"] = 10
+        trade["trailing_stop_loss_percent"] = 10
+        trade["stop_loss_usd"] = 10
+        trade["trailing_stop_loss_usd"] = 10
         account_trades = [trade]
-        allowed = risk.check_max_risk(self.risk_model, account_trades)
+        allowed = risk.check_max_risk(
+            self.risk_model, self.account_initial_balance, account_trades
+        )
         self.assertFalse(allowed)
 
     def test_check_max_risk_fail_exact_multiple_trades(self):
@@ -99,8 +113,12 @@ class RiskModelTestCase(TestCase):
         trade = self.trade.copy()
         trade["stop_loss_percent"] = 1
         trade["trailing_stop_loss_percent"] = 1
+        trade["stop_loss_usd"] = 1
+        trade["trailing_stop_loss_usd"] = 1
         account_trades = [trade] * 10
-        allowed = risk.check_max_risk(self.risk_model, account_trades)
+        allowed = risk.check_max_risk(
+            self.risk_model, self.account_initial_balance, account_trades
+        )
         self.assertFalse(allowed)
 
     def test_check_max_open_trades(self):
@@ -191,7 +209,8 @@ class RiskModelTestCase(TestCase):
         allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
         self.assertFalse(allowed)
 
-    def check_max_risk_market_data(self):
+    # Market data tests, account size: $1000
+    def test_check_max_risk_market_data(self):
         """
         Check that we can open a trade within the max risk limit with market data.
         """
@@ -206,13 +225,16 @@ class RiskModelTestCase(TestCase):
             "stopLossOrder": {
                 "price": 0.95,  # down by 5%, 5% risk
             },
+            # Hardcoded prices to avoid calling market API here
+            "stop_loss_usd": 50,  # 5% of $1000
         }
-        converted = convert_open_trades([trade])
+        converted = common.convert_open_trades([trade])
         self.assertEqual(converted[0]["stop_loss_percent"], 5)
-        max_risk_check = risk.check_max_risk(self.risk_model, converted)
+        self.assertEqual(converted[0]["stop_loss_usd"], 50)
+        max_risk_check = risk.check_max_risk(self.risk_model, 1000, converted)
         self.assertTrue(max_risk_check)  # 5% risk is fine
 
-    def check_max_risk_market_data_multiple(self):
+    def test_check_max_risk_market_data_multiple(self):
         """
         Check that we can open a trade within the max risk limit with market data
         and multiple trades.
@@ -228,12 +250,16 @@ class RiskModelTestCase(TestCase):
             "stopLossOrder": {
                 "price": 0.96,  # down by 4%, 4% risk
             },
+            # Hardcoded prices to avoid calling market API here
+            "stop_loss_usd": 40,  # 4% of $1000
         }
-        converted = convert_open_trades([trade, trade])
-        max_risk_check = risk.check_max_risk(self.risk_model, converted)
+        converted = common.convert_open_trades([trade, trade])
+        self.assertEqual(converted[0]["stop_loss_percent"], 4)
+        self.assertEqual(converted[0]["stop_loss_usd"], 40)
+        max_risk_check = risk.check_max_risk(self.risk_model, 1000, converted)
         self.assertTrue(max_risk_check)  # 8% risk is fine
 
-    def check_max_risk_market_data_fail(self):
+    def test_check_max_risk_market_data_fail(self):
         """
         Check that we can not open a trade outside the max risk limit with market data.
         """
@@ -248,13 +274,16 @@ class RiskModelTestCase(TestCase):
             "stopLossOrder": {
                 "price": 0.9,  # down by 10%, 10% risk
             },
+            # Hardcoded prices to avoid calling market API here
+            "stop_loss_usd": 100,  # 10% of $1000
         }
-        converted = convert_open_trades([trade])
+        converted = common.convert_open_trades([trade])
         self.assertEqual(converted[0]["stop_loss_percent"], 10)
-        max_risk_check = risk.check_max_risk(self.risk_model, converted)
+        self.assertEqual(converted[0]["stop_loss_usd"], 100)
+        max_risk_check = risk.check_max_risk(self.risk_model, 1000, converted)
         self.assertFalse(max_risk_check)  # 10% risk is too much
 
-    def check_max_risk_market_data_fail_multiple(self):
+    def test_check_max_risk_market_data_fail_multiple(self):
         """
         Check that we can not open a trade outside the max risk limit with market data
         and multiple trades.
@@ -270,12 +299,18 @@ class RiskModelTestCase(TestCase):
             "stopLossOrder": {
                 "price": 0.95,  # down by 5%, 5% risk
             },
+            # Hardcoded prices to avoid calling market API here
+            "stop_loss_usd": 50,  # 5% of $1000
         }
-        converted = convert_open_trades([trade, trade])
-        max_risk_check = risk.check_max_risk(self.risk_model, converted)
+        converted = common.convert_open_trades([trade, trade])
+        self.assertEqual(converted[0]["stop_loss_percent"], 5)
+        self.assertEqual(converted[0]["stop_loss_usd"], 50)
+        self.assertEqual(converted[1]["stop_loss_percent"], 5)
+        self.assertEqual(converted[1]["stop_loss_usd"], 50)
+        max_risk_check = risk.check_max_risk(self.risk_model, 1000, converted)
         self.assertFalse(max_risk_check)  # 10% risk is too much
 
-    def check_max_risk_market_data_fail_multiple_mixed(self):
+    def test_check_max_risk_market_data_fail_multiple_mixed(self):
         """
         Check that we can not open a trade outside the max risk limit with market data
         and multiple trades, mixing SL and TSL.
@@ -291,16 +326,23 @@ class RiskModelTestCase(TestCase):
             "stopLossOrder": {
                 "price": 0.95,  # down by 5%, 5% risk
             },
+            # Hardcoded prices to avoid calling market API here
+            "stop_loss_usd": 50,  # 5% of $1000
+            "trailing_stop_loss_usd": 50,
         }
         trade2 = trade.copy()
         trade2["trailingStopLossOrder"] = {"price": 0.95}
         del trade2["stopLossOrder"]
 
-        converted = convert_open_trades([trade, trade2])
-        max_risk_check = risk.check_max_risk(self.risk_model, converted)
+        converted = common.convert_open_trades([trade, trade2])
+        self.assertEqual(converted[0]["stop_loss_percent"], 5)
+        self.assertEqual(converted[0]["stop_loss_usd"], 50)
+        self.assertEqual(converted[1]["trailing_stop_loss_percent"], 5)
+        self.assertEqual(converted[1]["trailing_stop_loss_usd"], 50)
+        max_risk_check = risk.check_max_risk(self.risk_model, 1000, converted)
         self.assertFalse(max_risk_check)  # 10% risk is too much
 
-    def check_max_risk_market_data_fail_multiple_mixed_both(self):
+    def test_check_max_risk_market_data_fail_multiple_mixed_both(self):
         """
         Check that we can not open a trade outside the max risk limit with market data
         and multiple trades, mixing SL and TSL, where both are set.
@@ -316,10 +358,17 @@ class RiskModelTestCase(TestCase):
             "stopLossOrder": {
                 "price": 0.95,  # down by 5%, 5% risk
             },
+            # Hardcoded prices to avoid calling market API here
+            "stop_loss_usd": 50,  # 5% of $1000
+            "trailing_stop_loss_usd": 49,
         }
         trade2 = trade.copy()
         trade2["trailingStopLossOrder"] = {"price": 0.951}
 
-        converted = convert_open_trades([trade, trade2])
-        max_risk_check = risk.check_max_risk(self.risk_model, converted)
+        converted = common.convert_open_trades([trade, trade2])
+        self.assertEqual(converted[0]["stop_loss_percent"], 5)
+        self.assertEqual(converted[0]["stop_loss_usd"], 50)
+        self.assertEqual(float(converted[1]["trailing_stop_loss_percent"]), 4.9)
+        self.assertEqual(converted[1]["trailing_stop_loss_usd"], 49)
+        max_risk_check = risk.check_max_risk(self.risk_model, 1000, converted)
         self.assertFalse(max_risk_check)  # 10% risk is too much

core/trading/market.py

@@ -10,6 +10,35 @@ from core.util import logs
 log = logs.get_logger(__name__)
 
 
+def side_to_direction(side):
+    """
+    Convert a side to a direction.
+    """
+    if side == "long":
+        return "buy"
+    elif side == "short":
+        return "sell"
+    else:
+        return False
+
+
+def convert_trades_to_usd(account, trades):
+    """
+    Convert a list of trades to USD.
+    """
+    for trade in trades:
+        amount = trade["amount"]
+        symbol = trade["symbol"]
+        side = trade["side"]
+        direction = side_to_direction(side)
+        base, quote = get_base_quote(account.exchange, symbol)
+        print("BASE", base)
+        print("QUOTE", quote)
+        print("AMOUNT", amount)
+        amount_usd = to_currency(direction, account, amount, quote, "USD")
+        print("AMOUNT USD", amount_usd)
+
+
 def get_pair(account, base, quote, invert=False):
     """
     Get the pair for the given account and currencies.
@@ -36,6 +65,21 @@ def get_pair(account, base, quote, invert=False):
     return symbol
 
 
+def get_base_quote(exchange, symbol):
+    """
+    Get the base and quote currencies from a symbol.
+    :param exchange: Exchange name
+    :param symbol: Symbol
+    :return: Tuple of base and quote currencies
+    """
+    if exchange == "alpaca":
+        separator = "/"
+    elif exchange == "oanda":
+        separator = "_"
+    base, quote = symbol.split(separator)
+    return (base, quote)
+
+
 def to_currency(direction, account, amount, from_currency, to_currency):
     """
     Convert an amount from one currency to another.

core/trading/risk.py

@@ -1,6 +1,3 @@
-from core.trading.market import to_currency
-
-
 def check_max_loss(risk_model, initial_balance, account_balance):
     """
     Check that the account balance is within the max loss limit.
@@ -10,23 +7,26 @@ def check_max_loss(risk_model, initial_balance, account_balance):
     return account_balance > max_loss
 
 
-def check_max_risk(risk_model, account_trades):
+def check_max_risk(risk_model, account_balance_usd, account_trades):
     """
     Check that all of the trades in the account are within the max risk limit.
     """
     max_risk_percent = risk_model.max_risk_percent
+    # Calculate the max risk of the account in USD
+    max_risk_usd = account_balance_usd * (max_risk_percent / 100)
     total_risk = 0
     for trade in account_trades:
         max_tmp = []
         # Need to calculate the max risk in base account currency
-        # Percentages relate to the price movement, without accounting the size of the trade
-        if "stop_loss_percent" in trade:
-            max_tmp.append(trade["stop_loss_percent"])
-        if "trailing_stop_loss_percent" in trade:
-            max_tmp.append(trade["trailing_stop_loss_percent"])
+        # Percentages relate to the price movement, without accounting the
+        # size of the trade
+        if "stop_loss_usd" in trade:
+            max_tmp.append(trade["stop_loss_usd"])
+        if "trailing_stop_loss_usd" in trade:
+            max_tmp.append(trade["trailing_stop_loss_usd"])
         total_risk += max(max_tmp)
-    print("Total risk: ", total_risk)
-    return total_risk < max_risk_percent
+    allowed = total_risk < max_risk_usd
+    return allowed
 
 
 def check_max_open_trades(risk_model, account_trades):