Write crossfilter, asset groups and max open trades implementation and tests

core/trading/risk.py

@@ -49,7 +49,7 @@ def check_max_open_trades(risk_model, account_trades):
     return len(account_trades) < risk_model.max_open_trades
 
 
-def check_max_open_trades_per_symbol(risk_model, account_trades):
+def check_max_open_trades_per_symbol(risk_model, account_trades, yield_symbol=False):
     """
     Check we cannot open more trades per symbol than permissible.
     """
@@ -62,8 +62,12 @@ def check_max_open_trades_per_symbol(risk_model, account_trades):
 
     for symbol, count in symbol_map.items():
         if count >= risk_model.max_open_trades_per_symbol:
-            return False
-    return True
+            if yield_symbol:
+                yield symbol
+            else:
+                return False
+    if not yield_symbol:
+        return True
 
 
 def check_risk(risk_model, account, proposed_trade):