Implement adjusting positions and begin writing live tests for AMS

core/exchanges/__init__.py

@@ -205,7 +205,7 @@ class BaseExchange(ABC):
         pass
 
     @abstractmethod
-    def close_trade(self, trade_id):
+    def close_trade(self, trade_id, units=None):
         pass
 
     @abstractmethod

core/exchanges/alpaca.py

@@ -121,7 +121,7 @@ class AlpacaExchange(BaseExchange):
         trade.save()
         return order
 
-    def close_trade(self, trade_id):  # TODO
+    def close_trade(self, trade_id, units=None):  # TODO
         """
         Close a trade
         """

core/exchanges/oanda.py

@@ -2,6 +2,9 @@ from oandapyV20 import API
 from oandapyV20.endpoints import accounts, orders, positions, pricing, trades
 
 from core.exchanges import BaseExchange, common
+from core.util import logs
+
+log = logs.get_logger("oanda")
 
 
 class OANDAExchange(BaseExchange):
@@ -98,12 +101,44 @@ class OANDAExchange(BaseExchange):
         trade.save()
         return response
 
-    def close_trade(self, trade_id):
+    def get_trade_precision(self, symbol):
+        instruments = self.account.instruments
+        if not instruments:
+            log.error("No instruments found")
+            return None
+        # Extract the information for the symbol
+        instrument = self.extract_instrument(instruments, symbol)
+        if not instrument:
+            log.error(f"Symbol not found: {symbol}")
+            return None
+        # Get the required precision
+        try:
+            trade_precision = instrument["tradeUnitsPrecision"]
+            return trade_precision
+        except KeyError:
+            log.error(f"Precision not found for {symbol} from {instrument}")
+            return None
+
+    def close_trade(self, trade_id, units=None, symbol=None):
         """
         Close a trade.
         """
-        r = trades.TradeClose(accountID=self.account_id, tradeID=trade_id)
-        return self.call(r)
+        if not units:
+            r = trades.TradeClose(accountID=self.account_id, tradeID=trade_id)
+            return self.call(r)
+        else:
+            trade_precision = self.get_trade_precision(symbol)
+            if trade_precision is None:
+                log.error(f"Unable to get trade precision for {symbol}")
+                return None
+            units = round(units, trade_precision)
+            data = {
+                "units": str(units),
+            }
+            r = trades.TradeClose(
+                accountID=self.account_id, tradeID=trade_id, data=data
+            )
+            return self.call(r)
 
     def get_trade(self, trade_id):
         # OANDA is off by one...

core/tests/trading/test_live.py

@@ -1,15 +1,204 @@
+from datetime import time
 from decimal import Decimal as D
 from unittest.mock import patch
 
 from django.test import TestCase
 
 from core.exchanges.convert import convert_trades
-from core.models import RiskModel, Trade
-from core.tests.helpers import ElasticMock, LiveBase
+from core.models import (
+    ActiveManagementPolicy,
+    Hook,
+    RiskModel,
+    Signal,
+    Trade,
+    TradingTime,
+)
+from core.tests.helpers import ElasticMock, LiveBase, StrategyMixin
 from core.trading import market, risk
+from core.trading.active_management import ActiveManagement
 
 
-class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
+class ActiveManagementMixinTestCase(StrategyMixin):
+    def setUp(self):
+        super().setUp()
+        self.trading_time_all = TradingTime.objects.create(
+            user=self.user,
+            name="All",
+            start_day=1,
+            start_time=time(0, 0, 0),
+            end_day=7,
+            end_time=time(23, 59, 59),
+        )
+        self.active_management_policy = ActiveManagementPolicy.objects.create(
+            user=self.user,
+            name="Test Policy",
+            when_trading_time_violated="close",
+            when_trends_violated="close",
+            when_position_size_violated="adjust",
+            when_protection_violated="adjust",
+            when_asset_groups_violated="close",
+            when_max_open_trades_violated="close",
+            when_max_open_trades_per_symbol_violated="close",
+            when_max_loss_violated="close",
+            when_max_risk_violated="close",
+            when_crossfilter_violated="close",
+        )
+
+        self.strategy.active_management_policy = self.active_management_policy
+        self.strategy.trading_times.set([self.trading_time_all])
+        self.strategy.save()
+        self.ams = ActiveManagement(self.strategy)
+
+    def test_ams_success(self):
+        complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
+        self.open_trade(complex_trade)
+
+        self.ams.run_checks()
+        self.assertEqual(self.ams.actions, {})
+
+        self.close_trade(complex_trade)
+
+    def test_ams_trading_time_violated(self):
+        # Forex market is closed on Saturday and Sunday.
+        # All of these tests will fail then anyway, so it's the only time
+        # we can use for this.
+        trading_time_weekend = TradingTime.objects.create(
+            user=self.user,
+            name="Weekend",
+            start_day=6,
+            start_time=time(0, 0, 0),
+            end_day=7,
+            end_time=time(23, 59, 59),
+        )
+        self.strategy.trading_times.set([trading_time_weekend])
+        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_actions = {
+            "close": [
+                {"id": complex_trade.order_id, "check": "trading_time", "extra": {}}
+            ]
+        }
+        self.assertEqual(self.ams.actions, expected_actions)
+
+        trades = self.account.client.get_all_open_trades()
+        self.assertEqual(len(trades), 1)
+
+        self.ams.execute_actions()
+        trades = self.account.client.get_all_open_trades()
+        self.assertEqual(len(trades), 0)
+
+        # Don't need to close the trade, it's already closed.
+        # Otherwise the test would fail.
+
+    def test_ams_trends_violated(self):
+        hook = Hook.objects.create(
+            user=self.user,
+            name="Test Hook",
+        )
+        signal = Signal.objects.create(
+            user=self.user,
+            name="Test Signal",
+            hook=hook,
+            type="trend",
+        )
+        self.strategy.trend_signals.set([signal])
+        self.strategy.trends = {"EUR_USD": "sell"}
+        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_actions = {
+            "close": [{"id": complex_trade.order_id, "check": "trends", "extra": {}}]
+        }
+        self.assertEqual(self.ams.actions, expected_actions)
+
+        trades = self.account.client.get_all_open_trades()
+        self.assertEqual(len(trades), 1)
+
+        self.ams.execute_actions()
+        trades = self.account.client.get_all_open_trades()
+        self.assertEqual(len(trades), 0)
+
+        # Don't need to close the trade, it's already closed.
+        # Otherwise the test would fail.
+
+    def test_ams_position_size_violated(self):
+        self.active_management_policy.when_position_size_violated = "close"
+        self.active_management_policy.save()
+
+        complex_trade = self.create_complex_trade("buy", 600, "EUR_USD", 1.5, 1.0)
+        self.open_trade(complex_trade)
+
+        self.ams.run_checks()
+        expected_actions = {
+            "close": [
+                {"id": complex_trade.order_id, "check": "position_size", "extra": {}}
+            ]
+        }
+        self.assertEqual(len(self.ams.actions["close"]), 1)
+        del self.ams.actions["close"][0]["extra"]["size"]  # We don't know the size
+        self.assertEqual(self.ams.actions, expected_actions)
+
+        trades = self.account.client.get_all_open_trades()
+        self.assertEqual(len(trades), 1)
+
+        self.ams.execute_actions()
+        trades = self.account.client.get_all_open_trades()
+        self.assertEqual(len(trades), 0)
+
+    def test_ams_position_size_violated_adjust(self):
+        complex_trade = self.create_complex_trade("buy", 600, "EUR_USD", 1.5, 1.0)
+        self.open_trade(complex_trade)
+
+        self.ams.run_checks()
+        # Convert to int to make a whole number
+        expected = round(self.ams.actions["adjust"][0]["extra"]["size"], 0)
+
+        trades = self.account.client.get_all_open_trades()
+        self.assertEqual(len(trades), 1)
+        self.assertEqual(trades[0]["currentUnits"], "600")
+
+        self.ams.execute_actions()
+        trades = self.account.client.get_all_open_trades()
+        self.assertEqual(len(trades), 1)
+        self.assertEqual(trades[0]["currentUnits"], str(expected))
+
+        complex_trade.amount = expected
+        complex_trade.save()
+
+        self.close_trade(complex_trade)
+
+    def test_ams_protection_violated(self):
+        pass
+
+    def test_ams_asset_groups_violated(self):
+        pass
+
+    def test_ams_crossfilter_violated(self):
+        pass
+
+    def test_ams_max_open_trades_violated(self):
+        pass
+
+    def test_ams_max_open_trades_per_symbol_violated(self):
+        pass
+
+    def test_ams_max_loss_violated(self):
+        pass
+
+    def test_ams_max_risk_violated(self):
+        pass
+
+
+class LiveTradingTestCase(
+    ElasticMock, ActiveManagementMixinTestCase, LiveBase, TestCase
+):
     def setUp(self):
         super(LiveTradingTestCase, self).setUp()
         self.trade = Trade.objects.create(

core/trading/active_management.py

@@ -95,7 +95,23 @@ class ActiveManagement(object):
         sendmsg(self.strategy.user, msg, title=f"AMS: {action}")
 
     def adjust_position_size(self, trade_id, new_size):
-        pass  # TODO
+        # Get old size
+        old_size = None
+        for trade in self.trades:
+            if trade["id"] == trade_id:
+                old_size = D(trade["currentUnits"])
+                symbol = trade["symbol"]
+                break
+        if old_size is None:
+            log.error(f"Could not find trade ID {trade_id} in active management")
+            return
+
+        # Reduce only
+        assert old_size > new_size
+        difference = old_size - new_size
+
+        # Close the difference
+        self.strategy.account.client.close_trade(trade_id, difference, symbol)
 
     def adjust_protection(self, trade_id, new_protection):
         pass  # TODO