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Check the max risk relative to the account balance

This commit is contained in:
Mark Veidemanis 2023-01-06 07:20:55 +00:00
parent ae42d9b223
commit 93be9e6ffe
Signed by: m
GPG Key ID: 5ACFCEED46C0904F
4 changed files with 136 additions and 44 deletions
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19
core/exchanges/common.py
View File

@ -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.
"""

95
core/tests/trading/test_risk.py
View File

@ -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

44
core/trading/market.py
View File

@ -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.

22
core/trading/risk.py
View File

@ -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):