Implement TP/SL price to percent conversion

core/exchanges/common.py

@@ -1,3 +1,5 @@
+from decimal import Decimal as D
+
 from core.lib.elastic import store_msg
 
 
@@ -18,7 +20,78 @@ def get_balance_hook(user_id, user_name, account_id, account_name, balance):
     )
 
 
+def tp_price_to_percent(tp_price, current_price, current_units, unrealised_pl):
+    # Is this right?
+    pl_per_unit = D(unrealised_pl) / D(current_units)
+    initial_price = D(current_price) - pl_per_unit
+
+    # Get the percent change of the TP price from the initial price.
+    change_percent = ((D(tp_price) - initial_price) / initial_price) * 100
+
+    # Doesn't check direction
+    return abs(round(change_percent, 5))
+
+
+def sl_price_to_percent(sl_price, current_price, current_units, unrealised_pl):
+    # Is this right?
+    pl_per_unit = D(unrealised_pl) / D(current_units)
+    initial_price = D(current_price) - pl_per_unit
+
+    # Get the percent change of the SL price from the initial price.
+    change_percent = ((D(sl_price) - initial_price) / initial_price) * 100
+
+    # Doesn't check direction
+    return abs(round(change_percent, 5))
+
+
 def convert_open_trades(open_trades):
     """
     Convert a list of open trades into a list of Trade-like objects.
     """
+    trades = []
+    for trade in open_trades:
+        current_price = trade["price"]
+        current_units = trade["currentUnits"]
+        unrealised_pl = trade["unrealizedPL"]
+        cast = {
+            "id": trade["id"],
+            "symbol": trade["symbol"],
+            "amount": current_units,
+            "side": trade["side"],
+            "state": trade["state"],
+            "price": current_price,
+            "pl": unrealised_pl,
+        }
+
+        if "takeProfitOrder" in trade:
+            if trade["takeProfitOrder"]:
+                take_profit = trade["takeProfitOrder"]["price"]
+                take_profit_percent = tp_price_to_percent(
+                    take_profit, current_price, current_units, unrealised_pl
+                )
+
+                cast["take_profit"] = take_profit
+                cast["take_profit_percent"] = take_profit_percent
+
+        if "stopLossOrder" in trade:
+            if trade["stopLossOrder"]:
+                stop_loss = trade["stopLossOrder"]["price"]
+                stop_loss_percent = sl_price_to_percent(
+                    stop_loss, current_price, current_units, unrealised_pl
+                )
+
+                cast["stop_loss"] = stop_loss
+                cast["stop_loss_percent"] = stop_loss_percent
+
+        if "trailingStopLossOrder" in trade:
+            if trade["trailingStopLossOrder"]:
+                trailing_stop_loss = trade["trailingStopLossOrder"]["price"]
+                trailing_stop_loss_percent = sl_price_to_percent(
+                    trailing_stop_loss, current_price, current_units, unrealised_pl
+                )
+
+                cast["trailing_stop_loss"] = trailing_stop_loss
+                cast["trailing_stop_loss_percent"] = trailing_stop_loss_percent
+
+        trades.append(cast)
+    return trades

core/lib/schemas/oanda_s.py

@@ -86,6 +86,13 @@ def parse_value(x):
         return 0
 
 
+def parse_current_units_side(x):
+    if float(x["currentUnits"]) > 0:
+        return "long"
+    elif float(x["currentUnits"]) < 0:
+        return "short"
+
+
 def parse_side(x):
     prevent_hedging(x)
     if float(x["long"]["units"]) > 0:
@@ -529,6 +536,7 @@ OpenTradesSchema = {
                 "stopLossOrder": "stopLossOrder",
                 "trailingStopLossOrder": "trailingStopLossOrder",
                 "trailingStopValue": "trailingStopValue",
+                "side": parse_current_units_side,
             }
         ],
     ),

core/tests/exchanges/test_common.py

@@ -0,0 +1,229 @@
+from django.test import TestCase
+
+from core.exchanges.common import sl_price_to_percent, tp_price_to_percent
+
+
+class CommonTestCase(TestCase):
+    # TP
+    def test_tp_price_to_percent_initial_long(self):
+        """
+        Test that the TP price to percent conversion works for long trades.
+        """
+        tp_price = 1.1  # 10%
+        current_price = 1.0
+        current_units = 1
+        unrealised_pl = 0
+        percent = tp_price_to_percent(
+            tp_price, current_price, current_units, unrealised_pl
+        )
+        self.assertEqual(percent, 10)
+
+    def test_tp_price_to_percent_initial_short(self):
+        """
+        Test that the TP price to percent conversion works for short trades.
+        """
+        tp_price = 0.9  # 10%
+        current_price = 1.0
+        current_units = 1
+        unrealised_pl = 0
+        percent = tp_price_to_percent(
+            tp_price, current_price, current_units, unrealised_pl
+        )
+        self.assertEqual(percent, 10)
+
+    def test_tp_price_to_percent_change_long(self):
+        """
+        Test that the TP price to percent conversion works for long trades
+        when the price has changed.
+        """
+        tp_price = 1.2  # 20%
+        current_price = 1.1  # + 10%
+        current_units = 1
+        unrealised_pl = 0.1  # 10%
+        percent = tp_price_to_percent(
+            tp_price, current_price, current_units, unrealised_pl
+        )
+        self.assertEqual(percent, 20)
+
+    def test_tp_price_to_percent_change_short(self):
+        """
+        Test that the TP price to percent conversion works for short trades
+        when the price has changed.
+        """
+        tp_price = 0.8  # 20%
+        current_price = 1.1  # + 10%
+        current_units = 1
+        unrealised_pl = 0.1  # 10%
+        percent = tp_price_to_percent(
+            tp_price, current_price, current_units, unrealised_pl
+        )
+        self.assertEqual(percent, 20)
+
+    # For multiple units
+    def test_tp_price_to_percent_initial_long_multi(self):
+        """
+        Test that the TP price to percent conversion works for long trades
+        with multiple units.
+        """
+        tp_price = 1.1  # 10%
+        current_price = 1.0
+        current_units = 10
+        unrealised_pl = 0
+        percent = tp_price_to_percent(
+            tp_price, current_price, current_units, unrealised_pl
+        )
+        self.assertEqual(percent, 10)
+
+    def test_tp_price_to_percent_initial_short_multi(self):
+        """
+        Test that the TP price to percent conversion works for short trades
+        with multiple units.
+        """
+        tp_price = 0.9  # 10%
+        current_price = 1.0
+        current_units = 10
+        unrealised_pl = 0
+        percent = tp_price_to_percent(
+            tp_price, current_price, current_units, unrealised_pl
+        )
+        self.assertEqual(percent, 10)
+
+    def test_tp_price_to_percent_change_long_multi(self):
+        """
+        Test that the TP price to percent conversion works for long trades
+        when the price has changed, with multiple units.
+        """
+        tp_price = 1.2  # 20%
+        current_price = 1.1  # + 10%
+        current_units = 10
+        unrealised_pl = 1  # 10%
+        percent = tp_price_to_percent(
+            tp_price, current_price, current_units, unrealised_pl
+        )
+        self.assertEqual(percent, 20)
+
+    def test_tp_price_to_percent_change_short_multi(self):
+        """
+        Test that the TP price to percent conversion works for short trades
+        when the price has changed, with multiple units.
+        """
+        tp_price = 0.8  # 20%
+        current_price = 1.1  # + 10%
+        current_units = 10
+        unrealised_pl = 1  # 10%
+        percent = tp_price_to_percent(
+            tp_price, current_price, current_units, unrealised_pl
+        )
+        self.assertEqual(percent, 20)
+
+    # SL
+    def test_SL_price_to_percent_initial_long(self):
+        """
+        Test that the SL price to percent conversion works for long trades.
+        """
+        sl_price = 1.1  # 10%
+        current_price = 1.0
+        current_units = 1
+        unrealised_pl = 0
+        percent = sl_price_to_percent(
+            sl_price, current_price, current_units, unrealised_pl
+        )
+        self.assertEqual(percent, 10)
+
+    def test_sl_price_to_percent_initial_short(self):
+        """
+        Test that the SL price to percent conversion works for short trades.
+        """
+        sl_price = 0.9  # 10%
+        current_price = 1.0
+        current_units = 1
+        unrealised_pl = 0
+        percent = sl_price_to_percent(
+            sl_price, current_price, current_units, unrealised_pl
+        )
+        self.assertEqual(percent, 10)
+
+    def test_sl_price_to_percent_change_long(self):
+        """
+        Test that the SL price to percent conversion works for long trades
+        when the price has changed.
+        """
+        sl_price = 1.2  # 20%
+        current_price = 1.1  # + 10%
+        current_units = 1
+        unrealised_pl = 0.1  # 10%
+        percent = sl_price_to_percent(
+            sl_price, current_price, current_units, unrealised_pl
+        )
+        self.assertEqual(percent, 20)
+
+    def test_sl_price_to_percent_change_short(self):
+        """
+        Test that the SL price to percent conversion works for short trades
+        when the price has changed.
+        """
+        sl_price = 0.8  # 20%
+        current_price = 1.1  # + 10%
+        current_units = 1
+        unrealised_pl = 0.1  # 10%
+        percent = sl_price_to_percent(
+            sl_price, current_price, current_units, unrealised_pl
+        )
+        self.assertEqual(percent, 20)
+
+    # For multiple units
+    def test_sl_price_to_percent_initial_long_multi(self):
+        """
+        Test that the SL price to percent conversion works for long trades
+        with multiple units.
+        """
+        sl_price = 1.1  # 10%
+        current_price = 1.0
+        current_units = 10
+        unrealised_pl = 0
+        percent = sl_price_to_percent(
+            sl_price, current_price, current_units, unrealised_pl
+        )
+        self.assertEqual(percent, 10)
+
+    def test_sl_price_to_percent_initial_short_multi(self):
+        """
+        Test that the SL price to percent conversion works for short trades
+        with multiple units.
+        """
+        sl_price = 0.9  # 10%
+        current_price = 1.0
+        current_units = 10
+        unrealised_pl = 0
+        percent = sl_price_to_percent(
+            sl_price, current_price, current_units, unrealised_pl
+        )
+        self.assertEqual(percent, 10)
+
+    def test_sl_price_to_percent_change_long_multi(self):
+        """
+        Test that the SL price to percent conversion works for long trades
+        when the price has changed, with multiple units.
+        """
+        sl_price = 1.2  # 20%
+        current_price = 1.1  # + 10%
+        current_units = 10
+        unrealised_pl = 1  # 10%
+        percent = sl_price_to_percent(
+            sl_price, current_price, current_units, unrealised_pl
+        )
+        self.assertEqual(percent, 20)
+
+    def test_sl_price_to_percent_change_short_multi(self):
+        """
+        Test that the SL price to percent conversion works for short trades
+        when the price has changed, with multiple units.
+        """
+        sl_price = 0.8  # 20%
+        current_price = 1.1  # + 10%
+        current_units = 10
+        unrealised_pl = 1  # 10%
+        percent = sl_price_to_percent(
+            sl_price, current_price, current_units, unrealised_pl
+        )
+        self.assertEqual(percent, 20)

core/tests/trading/test_live.py

@@ -1,7 +1,9 @@
 from django.test import TestCase
 
+from core.exchanges.common import convert_open_trades
 from core.models import Trade
 from core.tests.helpers import ElasticMock, LiveBase
+from core.trading.market import get_precision, get_price, get_sl, get_tp
 
 
 class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
@@ -25,8 +27,11 @@ class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
         # We need some money to place trades
         self.assertTrue(balance > 1000)
 
-    def open_trade(self):
-        posted = self.trade.post()
+    def open_trade(self, trade=None):
+        if trade:
+            posted = trade.post()
+        else:
+            posted = self.trade.post()
         # Check the opened trade
         self.assertEqual(posted["type"], "MARKET_ORDER")
         self.assertEqual(posted["symbol"], "EUR_USD")
@@ -35,10 +40,14 @@ class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
 
         return posted
 
-    def close_trade(self):
-        # refresh the trade to get the trade id
-        self.trade.refresh_from_db()
-        closed = self.account.client.close_trade(self.trade.order_id)
+    def close_trade(self, trade=None):
+        if trade:
+            trade.refresh_from_db()
+            closed = self.account.client.close_trade(trade.order_id)
+        else:
+            # refresh the trade to get the trade id
+            self.trade.refresh_from_db()
+            closed = self.account.client.close_trade(self.trade.order_id)
 
         # Check the feedback from closing the trade
         self.assertEqual(closed["type"], "MARKET_ORDER")
@@ -83,3 +92,42 @@ class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
         """
         Test converting open trades response to Trade-like format.
         """
+        eur_usd_price = get_price(self.account, "buy", "EUR_USD")
+        trade_tp = get_tp("buy", 1, eur_usd_price)
+        trade_sl = get_sl("buy", 2, eur_usd_price)
+        # trade_tsl = get_sl("buy", 1, eur_usd_price, return_var=True)
+        # # TP 1% profit
+        # trade_tp = eur_usd_price * D(1.01)
+        # # SL 2% loss
+        # trade_sl = eur_usd_price * D(0.98)
+        # # TSL 1% loss
+        # trade_tsl = eur_usd_price * D(0.99)
+
+        trade_precision, display_precision = get_precision(self.account, "EUR_USD")
+        # Round everything to the display precision
+
+        trade_tp = round(trade_tp, display_precision)
+        trade_sl = round(trade_sl, display_precision)
+        # trade_tsl = round(trade_tsl, display_precision)
+
+        complex_trade = Trade.objects.create(
+            user=self.user,
+            account=self.account,
+            symbol="EUR_USD",
+            time_in_force="FOK",
+            type="market",
+            amount=10,
+            direction="buy",
+            take_profit=trade_tp,
+            stop_loss=trade_sl,
+            # trailing_stop_loss=trade_tsl,
+        )
+
+        posted = self.open_trade(complex_trade)
+        print("OPENED", posted)
+        trades = self.account.client.get_all_open_trades()
+        print("TRADES", trades)
+        trades_converted = convert_open_trades(trades["itemlist"])
+        print("TRADES CONVERTED", trades_converted)
+        closed = self.close_trade(complex_trade)
+        print("CLOSED", closed)

core/trading/market.py

@@ -266,6 +266,28 @@ def get_price_bound(direction, strategy, price, current_price):
     return price_bound
 
 
+def get_precision(account, symbol):
+    instruments = account.instruments
+    if not instruments:
+        log.error("No instruments found")
+        return
+    # Extract the information for the symbol
+    instrument = account.client.extract_instrument(instruments, symbol)
+    if not instrument:
+        # sendmsg(user, f"Symbol not found: {symbol}", title="Error")
+        log.error(f"Symbol not found: {symbol}")
+        return (None, None)
+    # Get the required precision
+    try:
+        trade_precision = instrument["tradeUnitsPrecision"]
+        display_precision = instrument["displayPrecision"]
+        return (trade_precision, display_precision)
+    except KeyError:
+        # sendmsg(user, f"Precision not found for {symbol}", title="Error")
+        log.error(f"Precision not found for {symbol}")
+        return (None, None)
+
+
 def execute_strategy(callback, strategy, func):
     """
     Execute a strategy.
@@ -299,11 +321,6 @@ def execute_strategy(callback, strategy, func):
         # Refresh account object
         strategy.account = Account.objects.get(id=strategy.account.id)
 
-    instruments = strategy.account.instruments
-    if not instruments:
-        log.error("No instruments found")
-        return
-
     # Shorten some hook, strategy and callback vars for convenience
     user = strategy.user
     account = strategy.account
@@ -326,18 +343,9 @@ def execute_strategy(callback, strategy, func):
         log.error(f"Symbol not supported by account: {symbol}")
         return
 
-    # Extract the information for the symbol
-    instrument = strategy.account.client.extract_instrument(instruments, symbol)
-    if not instrument:
-        sendmsg(user, f"Symbol not found: {symbol}", title="Error")
-        log.error(f"Symbol not found: {symbol}")
-        return
-
-    # Get the required precision
-    try:
-        trade_precision = instrument["tradeUnitsPrecision"]
-        display_precision = instrument["displayPrecision"]
-    except KeyError:
+    # Get the precision for the symbol
+    trade_precision, display_precision = get_precision(account, symbol)
+    if not trade_precision or not display_precision:
         sendmsg(user, f"Precision not found for {symbol}", title="Error")
         log.error(f"Precision not found for {symbol}")
         return