Start implementing active management actions
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@ -540,6 +540,157 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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[self.trades[2], self.trades[3]],
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)
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@patch(
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"core.trading.active_management.ActiveManagement.add_action",
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)
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def test_handle_violation(self, add_action):
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self.ams.handle_violation("max_loss", "close", "trade_id")
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self.ams.handle_violation("position_size", "adjust", "trade_id2", size=1000)
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self.assertEqual(add_action.call_count, 2)
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add_action.assert_any_call("close", "max_loss", "trade_id")
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add_action.assert_any_call("adjust", "position_size", "trade_id2", size=1000)
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def test_add_action(self):
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protection_args = {
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"take_profit_price": D("1.07934"),
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"stop_loss_price": D("1.05276"),
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}
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self.ams.add_action("close", "trading_time", "fake_trade_id")
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self.ams.add_action("close", "protection", "fake_trade_id2", **protection_args)
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self.assertEqual(
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self.ams.actions,
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{
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"close": [
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{"id": "fake_trade_id", "check": "trading_time", "extra": {}},
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{
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"id": "fake_trade_id2",
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"check": "protection",
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"extra": protection_args,
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},
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],
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},
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)
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def test_reduce_actions(self):
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pass
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@patch("core.trading.active_management.ActiveManagement.bulk_close_trades")
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@patch("core.trading.active_management.ActiveManagement.bulk_notify")
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def test_run_actions(self, bulk_notify, bulk_close_trades):
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protection_args = {
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"take_profit_price": D("1.07934"),
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"stop_loss_price": D("1.05276"),
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}
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self.ams.add_action("close", "trading_time", "fake_trade_id")
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self.ams.add_action("close", "protection", "fake_trade_id2", **protection_args)
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self.ams.run_actions()
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expected_action_cast = [
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{"id": "fake_trade_id", "check": "trading_time", "extra": {}},
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{
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"id": "fake_trade_id2",
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"check": "protection",
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"extra": {
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**protection_args,
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},
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},
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]
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bulk_notify.assert_called_once_with(
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"close",
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expected_action_cast,
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)
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bulk_close_trades.assert_called_once_with(
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["fake_trade_id", "fake_trade_id2"],
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)
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@patch("core.trading.active_management.ActiveManagement.bulk_close_trades")
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@patch("core.trading.active_management.ActiveManagement.bulk_notify")
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def test_run_actions_notify_only(self, bulk_notify, bulk_close_trades):
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protection_args = {
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"take_profit_price": D("1.07934"),
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"stop_loss_price": D("1.05276"),
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}
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self.ams.add_action("notify", "trading_time", "fake_trade_id")
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self.ams.add_action("notify", "protection", "fake_trade_id2", **protection_args)
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self.ams.run_actions()
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expected_action_cast = [
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{"id": "fake_trade_id", "check": "trading_time", "extra": {}},
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{
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"id": "fake_trade_id2",
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"check": "protection",
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"extra": {
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**protection_args,
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},
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},
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]
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bulk_notify.assert_called_once_with(
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"notify",
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expected_action_cast,
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)
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bulk_close_trades.assert_not_called()
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@patch("core.trading.active_management.ActiveManagement.bulk_close_trades")
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@patch("core.trading.active_management.ActiveManagement.bulk_adjust")
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@patch("core.trading.active_management.ActiveManagement.bulk_notify")
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def test_run_actions_notify_adjust_only(
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self, bulk_notify, bulk_adjust, bulk_close_trades
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):
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protection_args = {
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"take_profit_price": D("1.07934"),
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"stop_loss_price": D("1.05276"),
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}
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self.ams.add_action("adjust", "position_size", "fake_trade_id", size=1000)
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self.ams.add_action("adjust", "protection", "fake_trade_id2", **protection_args)
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self.ams.run_actions()
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expected_action_cast = [
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{"id": "fake_trade_id", "check": "position_size", "extra": {"size": 1000}},
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{
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"id": "fake_trade_id2",
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"check": "protection",
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"extra": {
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**protection_args,
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},
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},
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]
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bulk_notify.assert_called_once_with(
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"adjust",
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expected_action_cast,
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)
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bulk_adjust.assert_called_once_with(expected_action_cast)
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bulk_close_trades.assert_not_called()
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@patch("core.trading.active_management.ActiveManagement.adjust_position_size")
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@patch("core.trading.active_management.ActiveManagement.adjust_protection")
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def test_bulk_adjust(self, adjust_protection, adjust_position_size):
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expected_protection = {"take_profit_price": 1.10, "stop_loss_price": 1.05}
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cast_list = [
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{"id": "id1", "check": "position_size", "extra": {"size": 1000}},
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{"id": "id2", "check": "protection", "extra": expected_protection},
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]
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self.ams.bulk_adjust(cast_list)
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adjust_position_size.assert_called_once_with("id1", 1000)
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adjust_protection.assert_called_once_with("id2", expected_protection)
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@patch("core.trading.active_management.ActiveManagement.close_trade")
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def test_bulk_close_trades(self, close_trade):
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self.ams.bulk_close_trades(["id1", "id2"])
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self.assertEqual(close_trade.call_count, 2)
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close_trade.assert_any_call("id1")
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close_trade.assert_any_call("id2")
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def test_bulk_notify(self):
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pass
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def test_max_risk_not_violated_after_adjusting_protection(self):
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"""
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Ensure the max risk check is not violated after adjusting the protection.
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@ -551,3 +702,12 @@ class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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Ensure the max risk check is not violated after adjusting the position size.
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"""
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pass
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def test_position_size_reduced(self):
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pass
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def test_protection_added(self):
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pass
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def test_protection_amended(self):
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pass
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@ -10,6 +10,9 @@ from core.exchanges.convert import (
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from core.trading import assetfilter, checks, market, risk
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from core.trading.crossfilter import crossfilter
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from core.trading.market import get_base_quote, get_trade_size_in_base
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from core.util import logs
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log = logs.get_logger("ams")
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class ActiveManagement(object):
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@ -18,9 +21,30 @@ class ActiveManagement(object):
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self.policy = strategy.active_management_policy
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self.trades = []
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self.actions = {}
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self.balance = None
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self.balance_usd = None
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def add_action(self, action, check_type, trade_id, **kwargs):
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if action not in self.actions:
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self.actions[action] = []
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self.actions[action].append(
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{"id": trade_id, "check": check_type, "extra": kwargs}
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)
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def reduce_actions(self):
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"""
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If a trade is in the close actions, remove it from adjust.
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"""
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if "close" in self.actions:
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for close_action in self.actions["close"]:
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if "adjust" in self.actions:
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self.actions["adjust"] = [
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action
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for action in self.actions["adjust"]
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if action["id"] != close_action["id"]
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]
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def get_trades(self):
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if not self.trades:
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self.trades = self.strategy.account.client.get_all_open_trades()
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@ -42,8 +66,64 @@ class ActiveManagement(object):
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else:
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return self.balance
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def handle_violation(self, check_type, action, trade, **kwargs):
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print("VIOLATION", check_type, action, trade, kwargs)
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def close_trade(self, trade_id):
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self.strategy.account.client.close_trade(trade_id)
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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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def bulk_notify(self, action, action_cast_list):
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print("CALL", action, action_cast_list)
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msg = ""
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for action_cast in action_cast_list:
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msg += f"ACTION: '{action}' on trade ID '{action_cast['id']}'\n"
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msg += f"VIOLATION: '{action_cast['check']}'\n"
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if action_cast["extra"]:
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extra = action_cast["extra"]
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extra = ", ".join([f"{k}: {v}" for k, v in extra.items()])
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msg += f"EXTRA: {extra}\n"
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msg += "=========\n"
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print("NOTIFY", msg)
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def adjust_position_size(self, trade_id, new_size):
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pass
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def adjust_protection(self, trade_id, new_protection):
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pass
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def bulk_adjust(self, action_cast_list):
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for item in action_cast_list:
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trade_id = item["id"]
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check = item["check"]
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if "extra" in item:
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extra = item["extra"]
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else:
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log.error(f"Adjust action missing extra data: {item}")
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continue
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if check == "position_size":
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new_size = extra["size"]
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self.adjust_position_size(trade_id, new_size)
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elif check == "protection":
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self.adjust_protection(trade_id, extra)
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def run_actions(self):
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for action, action_cast_list in self.actions.items():
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if action == "none":
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continue
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self.bulk_notify(action, action_cast_list)
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if action == "close":
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trade_ids = [action_cast["id"] for action_cast in action_cast_list]
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self.bulk_close_trades(trade_ids)
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elif action == "adjust":
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self.bulk_adjust(action_cast_list)
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def handle_violation(self, check_type, action, trade_id, **kwargs):
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print("VIOLATION", check_type, action, trade_id, kwargs)
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if action == "none":
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return
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self.add_action(action, check_type, trade_id, **kwargs)
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# TODO: close/notify for:
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# - trading time
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# - trends
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