Implement adjusting positions and begin writing live tests for AMS
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5ACFCEED46C0904F
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@ -205,7 +205,7 @@ class BaseExchange(ABC):
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pass
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@abstractmethod
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def close_trade(self, trade_id):
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def close_trade(self, trade_id, units=None):
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pass
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@abstractmethod
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@ -121,7 +121,7 @@ class AlpacaExchange(BaseExchange):
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trade.save()
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return order
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def close_trade(self, trade_id): # TODO
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def close_trade(self, trade_id, units=None): # TODO
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"""
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Close a trade
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"""
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@ -2,6 +2,9 @@ from oandapyV20 import API
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from oandapyV20.endpoints import accounts, orders, positions, pricing, trades
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from core.exchanges import BaseExchange, common
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from core.util import logs
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log = logs.get_logger("oanda")
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class OANDAExchange(BaseExchange):
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@ -98,12 +101,44 @@ class OANDAExchange(BaseExchange):
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trade.save()
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return response
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def close_trade(self, trade_id):
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def get_trade_precision(self, symbol):
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instruments = self.account.instruments
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if not instruments:
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log.error("No instruments found")
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return None
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# Extract the information for the symbol
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instrument = self.extract_instrument(instruments, symbol)
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if not instrument:
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log.error(f"Symbol not found: {symbol}")
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return None
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# Get the required precision
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try:
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trade_precision = instrument["tradeUnitsPrecision"]
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return trade_precision
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except KeyError:
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log.error(f"Precision not found for {symbol} from {instrument}")
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return None
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def close_trade(self, trade_id, units=None, symbol=None):
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"""
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Close a trade.
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"""
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r = trades.TradeClose(accountID=self.account_id, tradeID=trade_id)
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return self.call(r)
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if not units:
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r = trades.TradeClose(accountID=self.account_id, tradeID=trade_id)
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return self.call(r)
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else:
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trade_precision = self.get_trade_precision(symbol)
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if trade_precision is None:
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log.error(f"Unable to get trade precision for {symbol}")
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return None
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units = round(units, trade_precision)
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data = {
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"units": str(units),
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}
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r = trades.TradeClose(
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accountID=self.account_id, tradeID=trade_id, data=data
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)
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return self.call(r)
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def get_trade(self, trade_id):
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# OANDA is off by one...
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@ -1,15 +1,204 @@
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from datetime import time
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from decimal import Decimal as D
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from unittest.mock import patch
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from django.test import TestCase
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from core.exchanges.convert import convert_trades
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from core.models import RiskModel, Trade
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from core.tests.helpers import ElasticMock, LiveBase
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from core.models import (
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ActiveManagementPolicy,
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Hook,
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RiskModel,
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Signal,
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Trade,
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TradingTime,
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)
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from core.tests.helpers import ElasticMock, LiveBase, StrategyMixin
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from core.trading import market, risk
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from core.trading.active_management import ActiveManagement
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class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
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class ActiveManagementMixinTestCase(StrategyMixin):
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def setUp(self):
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super().setUp()
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self.trading_time_all = TradingTime.objects.create(
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user=self.user,
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name="All",
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start_day=1,
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start_time=time(0, 0, 0),
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end_day=7,
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end_time=time(23, 59, 59),
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)
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self.active_management_policy = ActiveManagementPolicy.objects.create(
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user=self.user,
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name="Test Policy",
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when_trading_time_violated="close",
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when_trends_violated="close",
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when_position_size_violated="adjust",
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when_protection_violated="adjust",
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when_asset_groups_violated="close",
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when_max_open_trades_violated="close",
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when_max_open_trades_per_symbol_violated="close",
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when_max_loss_violated="close",
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when_max_risk_violated="close",
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when_crossfilter_violated="close",
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)
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self.strategy.active_management_policy = self.active_management_policy
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self.strategy.trading_times.set([self.trading_time_all])
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self.strategy.save()
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self.ams = ActiveManagement(self.strategy)
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def test_ams_success(self):
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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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self.assertEqual(self.ams.actions, {})
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self.close_trade(complex_trade)
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def test_ams_trading_time_violated(self):
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# Forex market is closed on Saturday and Sunday.
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# All of these tests will fail then anyway, so it's the only time
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# we can use for this.
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trading_time_weekend = TradingTime.objects.create(
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user=self.user,
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name="Weekend",
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start_day=6,
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start_time=time(0, 0, 0),
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end_day=7,
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end_time=time(23, 59, 59),
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)
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self.strategy.trading_times.set([trading_time_weekend])
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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_actions = {
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"close": [
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{"id": complex_trade.order_id, "check": "trading_time", "extra": {}}
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]
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}
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self.assertEqual(self.ams.actions, expected_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.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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# Don't need to close the trade, it's already closed.
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# Otherwise the test would fail.
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def test_ams_trends_violated(self):
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hook = Hook.objects.create(
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user=self.user,
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name="Test Hook",
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)
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signal = Signal.objects.create(
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user=self.user,
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name="Test Signal",
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hook=hook,
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type="trend",
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)
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self.strategy.trend_signals.set([signal])
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self.strategy.trends = {"EUR_USD": "sell"}
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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_actions = {
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"close": [{"id": complex_trade.order_id, "check": "trends", "extra": {}}]
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}
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self.assertEqual(self.ams.actions, expected_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.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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# Don't need to close the trade, it's already closed.
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# Otherwise the test would fail.
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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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complex_trade = self.create_complex_trade("buy", 600, "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_actions = {
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"close": [
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{"id": complex_trade.order_id, "check": "position_size", "extra": {}}
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]
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}
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self.assertEqual(len(self.ams.actions["close"]), 1)
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del self.ams.actions["close"][0]["extra"]["size"] # We don't know the size
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self.assertEqual(self.ams.actions, expected_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.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_position_size_violated_adjust(self):
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complex_trade = self.create_complex_trade("buy", 600, "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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# Convert to int to make a whole number
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expected = round(self.ams.actions["adjust"][0]["extra"]["size"], 0)
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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.assertEqual(trades[0]["currentUnits"], "600")
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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.assertEqual(trades[0]["currentUnits"], str(expected))
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complex_trade.amount = expected
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complex_trade.save()
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self.close_trade(complex_trade)
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def test_ams_protection_violated(self):
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pass
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def test_ams_asset_groups_violated(self):
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pass
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def test_ams_crossfilter_violated(self):
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pass
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def test_ams_max_open_trades_violated(self):
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pass
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def test_ams_max_open_trades_per_symbol_violated(self):
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pass
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def test_ams_max_loss_violated(self):
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pass
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def test_ams_max_risk_violated(self):
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pass
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class LiveTradingTestCase(
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ElasticMock, ActiveManagementMixinTestCase, LiveBase, TestCase
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):
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def setUp(self):
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super(LiveTradingTestCase, self).setUp()
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self.trade = Trade.objects.create(
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@ -95,7 +95,23 @@ class ActiveManagement(object):
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sendmsg(self.strategy.user, msg, title=f"AMS: {action}")
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def adjust_position_size(self, trade_id, new_size):
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pass # TODO
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# Get old size
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old_size = None
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for trade in self.trades:
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if trade["id"] == trade_id:
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old_size = D(trade["currentUnits"])
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symbol = trade["symbol"]
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break
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if old_size is None:
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log.error(f"Could not find trade ID {trade_id} in active management")
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return
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# Reduce only
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assert old_size > new_size
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difference = old_size - new_size
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# Close the difference
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self.strategy.account.client.close_trade(trade_id, difference, symbol)
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def adjust_protection(self, trade_id, new_protection):
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pass # TODO
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