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Improve posting trades to OANDA and make everything more robust

This commit is contained in:
Mark Veidemanis 2022-11-10 19:27:46 +00:00
parent bf863f43b2
commit af9f874209
Signed by: m
GPG Key ID: 5ACFCEED46C0904F
11 changed files with 267 additions and 30 deletions
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12
core/exchanges/__init__.py
View File

@ -164,6 +164,18 @@ class BaseExchange(object):
def get_account(self):
raise NotImplementedError
def extract_instrument(self, instruments, instrument):
for x in instruments["itemlist"]:
if x["name"] == instrument:
return x
return None
def get_currencies(self, symbols):
raise NotImplementedError
def get_instruments(self):
raise NotImplementedError
def get_supported_assets(self):
raise NotImplementedError

24
core/exchanges/oanda.py
View File

@ -1,5 +1,5 @@
from oandapyV20 import API
from oandapyV20.endpoints import accounts, orders, positions
from oandapyV20.endpoints import accounts, orders, positions, pricing
from core.exchanges import BaseExchange
@ -20,9 +20,20 @@ class OANDAExchange(BaseExchange):
r = accounts.AccountDetails(self.account_id)
return self.call(r)
def get_supported_assets(self):
def get_instruments(self):
r = accounts.AccountInstruments(accountID=self.account_id)
response = self.call(r)
return response
def get_currencies(self, currencies):
params = {"instruments": ",".join(currencies)}
r = pricing.PricingInfo(accountID=self.account_id, params=params)
response = self.call(r)
return response
def get_supported_assets(self, response=None):
if not response:
response = self.get_instruments()
return [x["name"] for x in response["itemlist"]]
def get_balance(self):
@ -43,19 +54,22 @@ class OANDAExchange(BaseExchange):
# "price": "1.5000", - added later
"stopLossOnFill": {"timeInForce": "GTC", "price": str(trade.stop_loss)},
"takeProfitOnFill": {"price": str(trade.take_profit)},
"timeInForce": "IOC",
# "timeInForce": "GTC",
"instrument": trade.symbol,
"units": str(amount),
"type": trade.type.upper(),
"positionFill": "DEFAULT",
}
}
print("SENDINGF ORDER", data)
if trade.type == "limit":
data["order"]["price"] = str(trade.price)
r = orders.OrderCreate(self.account_id, data=data)
response = self.call(r)
print("POSTED TRADE", response)
trade.response = response
trade.status = "posted"
trade.order_id = response["id"]
trade.client_order_id = response["requestID"]
trade.save()
return response
def get_trade(self, trade_id):

76
core/lib/market.py
View File

@ -4,11 +4,46 @@ from alpaca.common.exceptions import APIError
from core.models import Strategy, Trade
from core.util import logs
from core.exchanges import GenericAPIError
log = logs.get_logger(__name__)
def to_usd(account, amount, from_currency):
if account.exchange == "alpaca":
separator = "/"
elif account.exchange == "oanda":
separator = "_"
symbol = f"{from_currency.upper()}{separator}{to_currency.upper()}"
prices = account.client.get_currencies([symbol])
def to_currency(direction, account, amount, from_currency, to_currency):
if account.exchange == "alpaca":
separator = "/"
elif account.exchange == "oanda":
separator = "_"
if direction == "buy":
price_index = "bids"
elif direction == "sell":
price_index = "asks"
symbol = f"{from_currency.upper()}{separator}{to_currency.upper()}"
if symbol not in account.supported_symbols:
symbol = f"{to_currency.upper()}{separator}{from_currency.upper()}"
inverted = True
try:
prices = account.client.get_currencies([symbol])
except GenericAPIError as e:
log.error(f"Error getting currencies and inverted currencies: {e}")
return None
price = prices["prices"][0][price_index][0]["price"]
if inverted:
price = D(1.0) / D(price)
converted = D(amount) * price
return converted
def execute_strategy(callback, strategy):
cash_balance = strategy.account.client.get_balance()
instruments = strategy.account.instruments
log.debug(f"Cash balance: {cash_balance}")
user = strategy.user
@ -20,21 +55,31 @@ def execute_strategy(callback, strategy):
if callback.exchange != account.exchange:
log.error("Market exchange differs from account exchange.")
return
if account.exchange == "alpaca":
separator = "/"
elif account.exchange == "oanda":
separator = "_"
if account.exchange == "alpaca":
if quote not in ["usd", "usdt", "usdc", "busd"]:
log.error(f"Quote not compatible with Dollar: {quote}")
return False
quote = "usd" # TODO: MASSIVE HACK
symbol = f"{base.upper()}/{quote.upper()}"
elif account.exchange == "oanda":
symbol = f"{base.upper()}_{quote.upper()}"
symbol = f"{base.upper()}{separator}{quote.upper()}"
if symbol not in account.supported_symbols:
log.error(f"Symbol not supported by account: {symbol}")
return False
print(f"Identified pair from callback {symbol}")
instrument = strategy.account.client.extract_instrument(instruments, symbol)
if not instrument:
log.error(f"Symbol not found: {symbol}")
return False
try:
trade_precision = instrument["tradeUnitsPrecision"]
display_precision = instrument["displayPrecision"]
except KeyError:
log.error(f"Precision not found for {symbol}")
return False
# market_from_alpaca = get_market_value(account, symbol)
# change_percent = abs(((float(market_from_alpaca)-price)/price)*100)
# if change_percent > strategy.price_slippage_percent:
@ -45,16 +90,17 @@ def execute_strategy(callback, strategy):
type = "market"
trade_size_as_ratio = D(strategy.trade_size_percent) / D(100)
log.debug(f"Trade size as ratio: {trade_size_as_ratio}")
amount_usd = D(trade_size_as_ratio) * D(cash_balance)
log.debug(f"Trade size: {amount_usd}")
price = round(D(callback.price), 8)
amount_fiat = D(trade_size_as_ratio) * D(cash_balance)
log.debug(f"Trade size: {amount_fiat}")
price = round(D(callback.price), display_precision)
if not price:
return
log.debug(f"Extracted price of quote: {price}")
# We can do this because the quote IS in $ or equivalent
trade_size_in_quote = D(amount_usd) / D(price)
log.debug(f"Trade size in quote: {trade_size_in_quote}")
# trade_size_in_base = D(amount_fiat) / D(price)
trade_size_in_base = to_currency(direction, account, amount_fiat, account.currency, base)
log.debug(f"Trade size in base: {trade_size_in_base}")
# calculate sl/tp
stop_loss_as_ratio = D(strategy.stop_loss_percent) / D(100)
@ -79,11 +125,11 @@ def execute_strategy(callback, strategy):
hook=hook,
symbol=symbol,
type=type,
# amount_usd=amount_usd,
amount=float(round(trade_size_in_quote, 2)),
# amount_fiat=amount_fiat,
amount=float(round(trade_size_in_base, trade_precision)),
# price=price,
stop_loss=float(round(stop_loss, 2)),
take_profit=float(round(take_profit, 2)),
stop_loss=float(round(stop_loss, display_precision)),
take_profit=float(round(take_profit, display_precision)),
direction=direction,
)
new_trade.save()
@ -99,5 +145,5 @@ def process_callback(callback):
log.debug(f"Executing strategy {strategy}")
if callback.hook.user != strategy.user:
log.error("Ownership differs between callback and strategy.")
return
continue
execute_strategy(callback, strategy)

81
core/lib/schemas/oanda_s.py
View File

@ -352,3 +352,84 @@ AccountInstrumentsSchema = {
],
)
}
class OrderTransaction(BaseModel):
id: str
accountID: str
userID: int
batchID: str
requestID: str
time: str
type: str
instrument: str
units: str
timeInForce: str
positionFill: str
reason: str
class OrderCreate(BaseModel):
orderCreateTransaction: OrderTransaction
OrderCreateSchema = {
"id": "orderCreateTransaction.id",
"accountID": "orderCreateTransaction.accountID",
"userID": "orderCreateTransaction.userID",
"batchID": "orderCreateTransaction.batchID",
"requestID": "orderCreateTransaction.requestID",
"time": "orderCreateTransaction.time",
"type": "orderCreateTransaction.type",
"symbol": "orderCreateTransaction.instrument",
"units": "orderCreateTransaction.units",
"timeInForce": "orderCreateTransaction.timeInForce",
"positionFill": "orderCreateTransaction.positionFill",
"reason": "orderCreateTransaction.reason",
}
class PriceBid(BaseModel):
price: str
liquidity: int
class PriceAsk(BaseModel):
price: str
liquidity: int
class PriceQuoteHomeConversionFactors(BaseModel):
positiveUnits: str
negativeUnits: str
class Price(BaseModel):
type: str
time: str
bids: list[PriceBid]
asks: list[PriceAsk]
closeoutBid: str
closeoutAsk: str
status: str
tradeable: bool
quoteHomeConversionFactors: PriceQuoteHomeConversionFactors
instrument: str
class PricingInfo(BaseModel):
time: str
prices: list[Price]
PricingInfoSchema = {
"time": "time",
"prices": (
"prices",
[
{
"type": "type",
"time": "time",
"bids": "bids",
"asks": "asks",
"closeoutBid": "closeoutBid",
"closeoutAsk": "closeoutAsk",
"status": "status",
"tradeable": "tradeable",
"quoteHomeConversionFactors": "quoteHomeConversionFactors",
"symbol": "instrument",
}
],
),
}

33
core/migrations/0021_account_instruments_alter_account_exchange_and_more.py Normal file
View File

@ -0,0 +1,33 @@
# Generated by Django 4.1.3 on 2022-11-10 18:01
from django.db import migrations, models
class Migration(migrations.Migration):
dependencies = [
('core', '0020_rename_market_item_callback_base_and_more'),
]
operations = [
migrations.AddField(
model_name='account',
name='instruments',
field=models.JSONField(default=list),
),
migrations.AlterField(
model_name='account',
name='exchange',
field=models.CharField(choices=[('alpaca', 'Alpaca'), ('oanda', 'OANDA')], max_length=255),
),
migrations.AlterField(
model_name='strategy',
name='take_profit_percent',
field=models.FloatField(default=1.5),
),
migrations.AlterField(
model_name='strategy',
name='trade_size_percent',
field=models.FloatField(default=0.5),
),
]

18
core/migrations/0022_account_currency.py Normal file
View File

@ -0,0 +1,18 @@
# Generated by Django 4.1.3 on 2022-11-10 18:44
from django.db import migrations, models
class Migration(migrations.Migration):
dependencies = [
('core', '0021_account_instruments_alter_account_exchange_and_more'),
]
operations = [
migrations.AddField(
model_name='account',
name='currency',
field=models.CharField(blank=True, max_length=255, null=True),
),
]

8
core/models.py
View File

@ -77,6 +77,8 @@ class Account(models.Model):
api_secret = models.CharField(max_length=255)
sandbox = models.BooleanField(default=False)
supported_symbols = models.JSONField(default=list)
instruments = models.JSONField(default=list)
currency = models.CharField(max_length=255, null=True, blank=True)
def __str__(self):
name = f"{self.name} ({self.exchange})"
@ -90,9 +92,13 @@ class Account(models.Model):
"""
client = self.get_client()
if client:
supported_symbols = client.get_supported_assets()
response = client.get_instruments()
supported_symbols = client.get_supported_assets(response)
currency = client.get_account()["currency"]
log.debug(f"Supported symbols for {self.name}: {supported_symbols}")
self.supported_symbols = supported_symbols
self.instruments = response
self.currency = currency
super().save(*args, **kwargs)
def get_client(self):

2
core/templates/partials/account-list.html
View File

@ -12,6 +12,7 @@
<th>user</th>
<th>name</th>
<th>exchange</th>
<th>currency</th>
<th>API key</th>
<th>sandbox</th>
<th>actions</th>
@ -22,6 +23,7 @@
<td>{{ item.user }}</td>
<td>{{ item.name }}</td>
<td>{{ item.exchange }}</td>
<td>{{ item.currency }}</td>
<td>{{ item.api_key }}</td>
<td>
{% if item.sandbox %}

12
core/templates/window-content/account-info.html
View File

@ -1,3 +1,4 @@
{% load pretty %}
{% include 'partials/notify.html' %}
<h1 class="title">Live information</h1>
@ -28,6 +29,16 @@
</thead>
<tbody>
{% for key, item in db_info.items %}
{% if key == 'instruments' %}
<tr>
<th>{{ key }}</th>
<td>
{% if item is not None %}
<pre>{{ item|pretty }}</pre>
{% endif %}
</td>
</tr>
{% else %}
<tr>
<th>{{ key }}</th>
<td>
@ -36,6 +47,7 @@
{% endif %}
</td>
</tr>
{% endif %}
{% endfor %}
</tbody>
</table>

11
core/templatetags/pretty.py Normal file
View File

@ -0,0 +1,11 @@
from django import template
import orjson
register = template.Library()
@register.filter
def pretty(data):
return orjson.dumps(
data, option=orjson.OPT_INDENT_2
).decode("utf-8")

4
core/views/accounts.py
View File

@ -1,5 +1,5 @@
import uuid
import orjson
from django.contrib.auth.mixins import LoginRequiredMixin
from django.http import HttpResponseBadRequest
from django.shortcuts import render
@ -17,9 +17,11 @@ class AccountInfo(LoginRequiredMixin, View):
VIEWABLE_FIELDS_MODEL = [
"name",
"exchange",
"currency",
"api_key",
"sandbox",
"supported_symbols",
"instruments",
]
allowed_types = ["modal", "widget", "window", "page"]
window_content = "window-content/account-info.html"