Finish AMS tests
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@ -7,6 +7,8 @@ from django.test import TestCase
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from core.exchanges.convert import convert_trades
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from core.models import (
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ActiveManagementPolicy,
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AssetGroup,
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AssetRule,
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Hook,
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RiskModel,
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Signal,
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@ -128,6 +130,10 @@ class ActiveManagementMixinTestCase(StrategyMixin):
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# Don't need to close the trade, it's already closed.
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# Otherwise the test would fail.
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self.strategy.trend_signals.set([])
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self.strategy.trends = {}
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self.strategy.save()
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def test_ams_position_size_violated(self):
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self.active_management_policy.when_position_size_violated = "close"
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self.active_management_policy.save()
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@ -177,12 +183,8 @@ class ActiveManagementMixinTestCase(StrategyMixin):
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def test_ams_protection_violated(self):
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self.active_management_policy.when_protection_violated = "close"
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self.active_management_policy.save()
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# Don't violate position size check
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trade_size = market.get_trade_size_in_base(
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"buy", self.account, self.strategy, self.account.client.get_balance(), "EUR"
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)
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trade_size = round(trade_size, 0)
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complex_trade = self.create_complex_trade("buy", trade_size, "EUR_USD", 5, 5)
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complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 5, 5)
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self.open_trade(complex_trade)
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self.ams.run_checks()
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@ -206,12 +208,7 @@ class ActiveManagementMixinTestCase(StrategyMixin):
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self.assertEqual(len(trades), 0)
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def test_ams_protection_violated_adjust(self):
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# Don't violate position size check
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trade_size = market.get_trade_size_in_base(
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"buy", self.account, self.strategy, self.account.client.get_balance(), "EUR"
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)
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trade_size = round(trade_size, 0)
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complex_trade = self.create_complex_trade("buy", trade_size, "EUR_USD", 5, 5)
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complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 5, 5)
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self.open_trade(complex_trade)
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self.ams.run_checks()
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@ -231,22 +228,246 @@ class ActiveManagementMixinTestCase(StrategyMixin):
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self.close_trade(complex_trade)
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def test_ams_asset_groups_violated(self):
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pass
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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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)
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AssetRule.objects.create(
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user=self.user,
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asset="USD",
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group=asset_group,
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status=2, # Bullish
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)
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self.strategy.asset_group = asset_group
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self.strategy.save()
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complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(complex_trade)
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self.ams.run_checks()
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expected = {
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"close": [
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{"id": complex_trade.order_id, "check": "asset_group", "extra": {}}
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]
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}
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self.assertEqual(self.ams.actions, expected)
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self.ams.execute_actions()
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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def test_ams_crossfilter_violated(self):
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pass
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complex_trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(complex_trade1)
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def test_ams_max_open_trades_violated(self):
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pass
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complex_trade2 = self.create_complex_trade("buy", 10, "USD_JPY", 1.5, 1.0)
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self.open_trade(complex_trade2)
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def test_ams_max_open_trades_per_symbol_violated(self):
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pass
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 2)
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self.ams.run_checks()
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expected = {
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"close": [
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{
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"id": complex_trade2.order_id, # Only the second one
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"check": "crossfilter",
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"extra": {},
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}
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]
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}
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self.assertEqual(self.ams.actions, expected)
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self.ams.execute_actions()
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 1)
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self.close_trade(complex_trade1)
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@patch(
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"core.trading.active_management.ActiveManagement.check_trends",
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return_value=None,
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)
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@patch(
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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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def test_ams_max_open_trades_violated(self, check_crossfilter, check_trends):
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self.strategy.risk_model.max_open_trades = 2
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self.strategy.risk_model.save()
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trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(trade1)
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trade2 = self.create_complex_trade("buy", 10, "USD_JPY", 1.5, 1.0)
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self.open_trade(trade2)
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trade3 = self.create_complex_trade("buy", 10, "EUR_JPY", 1.5, 1.0)
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self.open_trade(trade3)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 3)
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self.ams.run_checks()
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expected = {
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"close": [
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{
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"id": trade3.order_id,
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"check": "max_open_trades",
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"extra": {},
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}
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]
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}
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self.assertEqual(self.ams.actions, expected)
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self.ams.execute_actions()
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 2)
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trade_ids = [trade["id"] for trade in trades]
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self.assertIn(trade1.order_id, trade_ids)
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self.assertIn(trade2.order_id, trade_ids)
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self.assertNotIn(trade3.order_id, trade_ids)
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for x in [trade1, trade2]:
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self.close_trade(x)
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@patch(
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"core.trading.active_management.ActiveManagement.check_trends",
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return_value=None,
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)
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def test_ams_max_open_trades_per_symbol_violated(self, check_trends):
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self.strategy.risk_model.max_open_trades_per_symbol = 2
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self.strategy.risk_model.save()
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trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(trade1)
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trade2 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(trade2)
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trade3 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(trade3)
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trade4 = self.create_complex_trade("buy", 10, "EUR_JPY", 1.5, 1.0)
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self.open_trade(trade4)
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trade5 = self.create_complex_trade("buy", 10, "EUR_JPY", 1.5, 1.0)
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self.open_trade(trade5)
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trade6 = self.create_complex_trade("buy", 10, "EUR_JPY", 1.5, 1.0)
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self.open_trade(trade6)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 6)
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self.ams.run_checks()
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expected = {
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"close": [
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{
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"id": trade3.order_id,
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"check": "max_open_trades_per_symbol",
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"extra": {},
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},
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{
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"id": trade6.order_id,
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"check": "max_open_trades_per_symbol",
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"extra": {},
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},
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]
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}
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self.assertEqual(self.ams.actions, expected)
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self.ams.execute_actions()
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 4)
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trade_ids = [trade["id"] for trade in trades]
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self.assertIn(trade1.order_id, trade_ids)
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self.assertIn(trade2.order_id, trade_ids)
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self.assertNotIn(trade3.order_id, trade_ids)
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self.assertIn(trade4.order_id, trade_ids)
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self.assertIn(trade5.order_id, trade_ids)
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self.assertNotIn(trade6.order_id, trade_ids)
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def test_ams_max_loss_violated(self):
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pass
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trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(trade1)
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def test_ams_max_risk_violated(self):
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pass
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self.account.initial_balance = self.account.client.get_balance() * 2
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self.account.save()
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self.ams.run_checks()
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expected = {
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"close": [
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{
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"id": None,
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"check": "max_loss",
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"extra": {},
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}
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]
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}
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self.assertEqual(self.ams.actions, expected)
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self.ams.execute_actions()
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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@patch(
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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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def test_ams_max_risk_violated(self, check_position_size):
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self.strategy.risk_model.max_risk_percent = 0.001
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self.strategy.risk_model.save()
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trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(trade1)
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trade2 = self.create_complex_trade("buy", 1000, "EUR_USD", 1.5, 1.0)
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self.open_trade(trade2)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 2)
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self.ams.run_checks()
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expected = {
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"close": [
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{
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"id": trade2.order_id,
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"check": "max_risk",
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"extra": {},
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}
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]
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}
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self.assertEqual(self.ams.actions, expected)
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self.ams.execute_actions()
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 1)
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trade_ids = [trade["id"] for trade in trades]
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self.assertIn(trade1.order_id, trade_ids)
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self.assertNotIn(trade2.order_id, trade_ids)
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self.close_trade(trade1)
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class LiveTradingTestCase(
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@ -290,7 +511,10 @@ class LiveTradingTestCase(
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# Check the opened trade
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self.assertEqual(posted["type"], "MARKET_ORDER")
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self.assertEqual(posted["symbol"], trade.symbol)
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self.assertEqual(posted["units"], str(trade.amount))
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if trade.direction == "sell":
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self.assertEqual(posted["units"], str(0 - trade.amount))
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else:
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self.assertEqual(posted["units"], str(trade.amount))
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self.assertEqual(posted["timeInForce"], "FOK")
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return posted
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@ -79,7 +79,11 @@ class ActiveManagement(object):
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def bulk_close_trades(self, trade_ids):
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for trade_id in trade_ids:
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self.close_trade(trade_id)
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if trade_id is not None:
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self.close_trade(trade_id)
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else:
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self.strategy.account.client.close_all_positions()
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return
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def bulk_notify(self, action, action_cast_list):
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msg = ""
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@ -461,6 +465,7 @@ class ActiveManagement(object):
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converted_trades = convert_trades(self.get_trades())
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trades_copy = self.get_sorted_trades_copy(converted_trades, reverse=False)
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market.convert_trades_to_usd(self.strategy.account, trades_copy)
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for trade in reversed(trades_copy):
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try:
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self.check_trading_time(trade)
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@ -46,34 +46,34 @@ def within_callback_price_deviation(strategy, price, current_price):
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def within_trends(strategy, symbol, direction):
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if strategy.trend_signals.exists():
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if strategy.trends is None:
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log.debug("Refusing to trade with no trend signals received")
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sendmsg(
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strategy.user,
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f"Refusing to trade {symbol} with no trend signals received",
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title="Trend not ready",
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)
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return None
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if symbol not in strategy.trends:
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log.debug("Refusing to trade asset without established trend")
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sendmsg(
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strategy.user,
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f"Refusing to trade {symbol} without established trend",
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title="Trend not ready",
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)
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return None
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else:
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if strategy.trends[symbol] != direction:
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log.debug("Refusing to trade against the trend")
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if len(strategy.trend_signals.all()) > 0:
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if strategy.trends is None:
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log.debug("Refusing to trade with no trend signals received")
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sendmsg(
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strategy.user,
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f"Refusing to trade {symbol} against the trend",
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title="Trend rejection",
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f"Refusing to trade {symbol} with no trend signals received",
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title="Trend not ready",
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)
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return False
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return None
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if symbol not in strategy.trends:
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log.debug("Refusing to trade asset without established trend")
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sendmsg(
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strategy.user,
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f"Refusing to trade {symbol} without established trend",
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title="Trend not ready",
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)
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return None
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else:
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log.debug(f"Trend check passed for {symbol} - {direction}")
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return True
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else:
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log.debug("No trend signals configured")
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return True
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if strategy.trends[symbol] != direction:
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log.debug("Refusing to trade against the trend")
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sendmsg(
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strategy.user,
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f"Refusing to trade {symbol} against the trend",
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title="Trend rejection",
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)
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return False
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else:
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log.debug(f"Trend check passed for {symbol} - {direction}")
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return True
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log.debug("No trend signals configured")
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return True
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