Check the max risk relative to the account balance

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):