Finish AMS tests

core/tests/trading/test_live.py

@@ -7,6 +7,8 @@ from django.test import TestCase
 from core.exchanges.convert import convert_trades
 from core.models import (
     ActiveManagementPolicy,
+    AssetGroup,
+    AssetRule,
     Hook,
     RiskModel,
     Signal,
@@ -128,6 +130,10 @@ class ActiveManagementMixinTestCase(StrategyMixin):
         # Don't need to close the trade, it's already closed.
         # Otherwise the test would fail.
 
+        self.strategy.trend_signals.set([])
+        self.strategy.trends = {}
+        self.strategy.save()
+
     def test_ams_position_size_violated(self):
         self.active_management_policy.when_position_size_violated = "close"
         self.active_management_policy.save()
@@ -177,12 +183,8 @@ class ActiveManagementMixinTestCase(StrategyMixin):
     def test_ams_protection_violated(self):
         self.active_management_policy.when_protection_violated = "close"
         self.active_management_policy.save()
-        # Don't violate position size check
+
-        trade_size = market.get_trade_size_in_base(
+        complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 5, 5)
-            "buy", self.account, self.strategy, self.account.client.get_balance(), "EUR"
-        )
-        trade_size = round(trade_size, 0)
-        complex_trade = self.create_complex_trade("buy", trade_size, "EUR_USD", 5, 5)
         self.open_trade(complex_trade)
 
         self.ams.run_checks()
@@ -206,12 +208,7 @@ class ActiveManagementMixinTestCase(StrategyMixin):
         self.assertEqual(len(trades), 0)
 
     def test_ams_protection_violated_adjust(self):
-        # Don't violate position size check
+        complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 5, 5)
-        trade_size = market.get_trade_size_in_base(
-            "buy", self.account, self.strategy, self.account.client.get_balance(), "EUR"
-        )
-        trade_size = round(trade_size, 0)
-        complex_trade = self.create_complex_trade("buy", trade_size, "EUR_USD", 5, 5)
         self.open_trade(complex_trade)
 
         self.ams.run_checks()
@@ -231,22 +228,246 @@ class ActiveManagementMixinTestCase(StrategyMixin):
         self.close_trade(complex_trade)
 
     def test_ams_asset_groups_violated(self):
-        pass
+        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()
+
+        complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
+        self.open_trade(complex_trade)
+
+        self.ams.run_checks()
+
+        expected = {
+            "close": [
+                {"id": complex_trade.order_id, "check": "asset_group", "extra": {}}
+            ]
+        }
+        self.assertEqual(self.ams.actions, expected)
+
+        self.ams.execute_actions()
+
+        trades = self.account.client.get_all_open_trades()
+        self.assertEqual(len(trades), 0)
 
     def test_ams_crossfilter_violated(self):
-        pass
+        complex_trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
+        self.open_trade(complex_trade1)
+
+        complex_trade2 = self.create_complex_trade("buy", 10, "USD_JPY", 1.5, 1.0)
+        self.open_trade(complex_trade2)
+
+        trades = self.account.client.get_all_open_trades()
+        self.assertEqual(len(trades), 2)
+
+        self.ams.run_checks()
+
+        expected = {
+            "close": [
+                {
+                    "id": complex_trade2.order_id,  # Only the second one
+                    "check": "crossfilter",
+                    "extra": {},
+                }
+            ]
+        }
+
+        self.assertEqual(self.ams.actions, expected)
+
+        self.ams.execute_actions()
+
+        trades = self.account.client.get_all_open_trades()
+        self.assertEqual(len(trades), 1)
+
+        self.close_trade(complex_trade1)
+
+    @patch(
+        "core.trading.active_management.ActiveManagement.check_trends",
+        return_value=None,
+    )
+    @patch(
+        "core.trading.active_management.ActiveManagement.check_crossfilter",
+        return_value=None,
+    )
+    def test_ams_max_open_trades_violated(self, check_crossfilter, check_trends):
+        self.strategy.risk_model.max_open_trades = 2
+        self.strategy.risk_model.save()
+        trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
+        self.open_trade(trade1)
+
+        trade2 = self.create_complex_trade("buy", 10, "USD_JPY", 1.5, 1.0)
+        self.open_trade(trade2)
 
-    def test_ams_max_open_trades_violated(self):
+        trade3 = self.create_complex_trade("buy", 10, "EUR_JPY", 1.5, 1.0)
-        pass
+        self.open_trade(trade3)
+
+        trades = self.account.client.get_all_open_trades()
+        self.assertEqual(len(trades), 3)
+
+        self.ams.run_checks()
 
-    def test_ams_max_open_trades_per_symbol_violated(self):
+        expected = {
-        pass
+            "close": [
+                {
+                    "id": trade3.order_id,
+                    "check": "max_open_trades",
+                    "extra": {},
+                }
+            ]
+        }
+
+        self.assertEqual(self.ams.actions, expected)
+
+        self.ams.execute_actions()
+
+        trades = self.account.client.get_all_open_trades()
+        self.assertEqual(len(trades), 2)
+
+        trade_ids = [trade["id"] for trade in trades]
+        self.assertIn(trade1.order_id, trade_ids)
+        self.assertIn(trade2.order_id, trade_ids)
+        self.assertNotIn(trade3.order_id, trade_ids)
+
+        for x in [trade1, trade2]:
+            self.close_trade(x)
+
+    @patch(
+        "core.trading.active_management.ActiveManagement.check_trends",
+        return_value=None,
+    )
+    def test_ams_max_open_trades_per_symbol_violated(self, check_trends):
+        self.strategy.risk_model.max_open_trades_per_symbol = 2
+        self.strategy.risk_model.save()
+
+        trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
+        self.open_trade(trade1)
+
+        trade2 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
+        self.open_trade(trade2)
+
+        trade3 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
+        self.open_trade(trade3)
+
+        trade4 = self.create_complex_trade("buy", 10, "EUR_JPY", 1.5, 1.0)
+        self.open_trade(trade4)
+
+        trade5 = self.create_complex_trade("buy", 10, "EUR_JPY", 1.5, 1.0)
+        self.open_trade(trade5)
+
+        trade6 = self.create_complex_trade("buy", 10, "EUR_JPY", 1.5, 1.0)
+        self.open_trade(trade6)
+
+        trades = self.account.client.get_all_open_trades()
+        self.assertEqual(len(trades), 6)
+
+        self.ams.run_checks()
+
+        expected = {
+            "close": [
+                {
+                    "id": trade3.order_id,
+                    "check": "max_open_trades_per_symbol",
+                    "extra": {},
+                },
+                {
+                    "id": trade6.order_id,
+                    "check": "max_open_trades_per_symbol",
+                    "extra": {},
+                },
+            ]
+        }
+
+        self.assertEqual(self.ams.actions, expected)
+
+        self.ams.execute_actions()
+
+        trades = self.account.client.get_all_open_trades()
+        self.assertEqual(len(trades), 4)
+
+        trade_ids = [trade["id"] for trade in trades]
+        self.assertIn(trade1.order_id, trade_ids)
+        self.assertIn(trade2.order_id, trade_ids)
+        self.assertNotIn(trade3.order_id, trade_ids)
+
+        self.assertIn(trade4.order_id, trade_ids)
+        self.assertIn(trade5.order_id, trade_ids)
+        self.assertNotIn(trade6.order_id, trade_ids)
 
     def test_ams_max_loss_violated(self):
-        pass
+        trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
+        self.open_trade(trade1)
 
-    def test_ams_max_risk_violated(self):
+        self.account.initial_balance = self.account.client.get_balance() * 2
-        pass
+        self.account.save()
+
+        self.ams.run_checks()
+
+        expected = {
+            "close": [
+                {
+                    "id": None,
+                    "check": "max_loss",
+                    "extra": {},
+                }
+            ]
+        }
+
+        self.assertEqual(self.ams.actions, expected)
+
+        self.ams.execute_actions()
+
+        trades = self.account.client.get_all_open_trades()
+        self.assertEqual(len(trades), 0)
+
+    @patch(
+        "core.trading.active_management.ActiveManagement.check_position_size",
+        return_value=None,
+    )
+    def test_ams_max_risk_violated(self, check_position_size):
+        self.strategy.risk_model.max_risk_percent = 0.001
+        self.strategy.risk_model.save()
+
+        trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
+        self.open_trade(trade1)
+
+        trade2 = self.create_complex_trade("buy", 1000, "EUR_USD", 1.5, 1.0)
+        self.open_trade(trade2)
+
+        trades = self.account.client.get_all_open_trades()
+        self.assertEqual(len(trades), 2)
+
+        self.ams.run_checks()
+
+        expected = {
+            "close": [
+                {
+                    "id": trade2.order_id,
+                    "check": "max_risk",
+                    "extra": {},
+                }
+            ]
+        }
+
+        self.assertEqual(self.ams.actions, expected)
+
+        self.ams.execute_actions()
+
+        trades = self.account.client.get_all_open_trades()
+        self.assertEqual(len(trades), 1)
+
+        trade_ids = [trade["id"] for trade in trades]
+        self.assertIn(trade1.order_id, trade_ids)
+        self.assertNotIn(trade2.order_id, trade_ids)
+
+        self.close_trade(trade1)
 
 
 class LiveTradingTestCase(
@@ -290,7 +511,10 @@ class LiveTradingTestCase(
         # Check the opened trade
         self.assertEqual(posted["type"], "MARKET_ORDER")
         self.assertEqual(posted["symbol"], trade.symbol)
-        self.assertEqual(posted["units"], str(trade.amount))
+        if trade.direction == "sell":
+            self.assertEqual(posted["units"], str(0 - trade.amount))
+        else:
+            self.assertEqual(posted["units"], str(trade.amount))
         self.assertEqual(posted["timeInForce"], "FOK")
 
         return posted

core/trading/active_management.py

@@ -79,7 +79,11 @@ class ActiveManagement(object):
 
     def bulk_close_trades(self, trade_ids):
         for trade_id in trade_ids:
-            self.close_trade(trade_id)
+            if trade_id is not None:
+                self.close_trade(trade_id)
+            else:
+                self.strategy.account.client.close_all_positions()
+                return
 
     def bulk_notify(self, action, action_cast_list):
         msg = ""
@@ -461,6 +465,7 @@ class ActiveManagement(object):
         converted_trades = convert_trades(self.get_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)

core/trading/checks.py

@@ -46,34 +46,34 @@ def within_callback_price_deviation(strategy, price, current_price):
 
 def within_trends(strategy, symbol, direction):
     if strategy.trend_signals.exists():
-        if strategy.trends is None:
+        if len(strategy.trend_signals.all()) > 0:
-            log.debug("Refusing to trade with no trend signals received")
+            if strategy.trends is None:
-            sendmsg(
+                log.debug("Refusing to trade with no trend signals received")
-                strategy.user,
-                f"Refusing to trade {symbol} with no trend signals received",
-                title="Trend not ready",
-            )
-            return None
-        if symbol not in strategy.trends:
-            log.debug("Refusing to trade asset without established trend")
-            sendmsg(
-                strategy.user,
-                f"Refusing to trade {symbol} without established trend",
-                title="Trend not ready",
-            )
-            return None
-        else:
-            if strategy.trends[symbol] != direction:
-                log.debug("Refusing to trade against the trend")
                 sendmsg(
                     strategy.user,
-                    f"Refusing to trade {symbol} against the trend",
+                    f"Refusing to trade {symbol} with no trend signals received",
-                    title="Trend rejection",
+                    title="Trend not ready",
                 )
-                return False
+                return None
+            if symbol not in strategy.trends:
+                log.debug("Refusing to trade asset without established trend")
+                sendmsg(
+                    strategy.user,
+                    f"Refusing to trade {symbol} without established trend",
+                    title="Trend not ready",
+                )
+                return None
             else:
-                log.debug(f"Trend check passed for {symbol} - {direction}")
+                if strategy.trends[symbol] != direction:
-                return True
+                    log.debug("Refusing to trade against the trend")
-    else:
+                    sendmsg(
-        log.debug("No trend signals configured")
+                        strategy.user,
-        return True
+                        f"Refusing to trade {symbol} against the trend",
+                        title="Trend rejection",
+                    )
+                    return False
+                else:
+                    log.debug(f"Trend check passed for {symbol} - {direction}")
+                    return True
+    log.debug("No trend signals configured")
+    return True