Implement trailing stop loss

core/exchanges/oanda.py

@@ -66,6 +66,11 @@ class OANDAExchange(BaseExchange):
                 data["order"]["price"] = str(trade.price)
             elif trade.type == "market":
                 data["order"]["priceBound"] = str(trade.price)
+        if trade.trailing_stop_loss is not None:
+            data["order"]["trailingStopLossOnFill"] = {
+                "distance": str(trade.trailing_stop_loss),
+                "timeInForce": "GTC",
+            }
         r = orders.OrderCreate(self.account_id, data=data)
         response = self.call(r)
         trade.response = response

core/forms.py

@@ -70,6 +70,7 @@ class StrategyForm(ModelForm):
             "enabled",
             "take_profit_percent",
             "stop_loss_percent",
+            "trailing_stop_loss_percent",
             "price_slippage_percent",
             "callback_price_deviation_percent",
             "trade_size_percent",
@@ -91,6 +92,7 @@ class TradeForm(ModelForm):
             "amount",
             "price",
             "stop_loss",
+            "trailing_stop_loss",
             "take_profit",
             "direction",
         )

core/lib/market.py

@@ -138,6 +138,56 @@ def get_trade_size_in_base(direction, account, strategy, cash_balance, base):
     return trade_size_in_base
 
 
+def get_tp(direction, take_profit_percent, price):
+    """
+    Get the take profit price.
+    :param direction: Direction of the trade
+    :param strategy: Strategy object
+    :param price: Entry price
+    """
+    # Convert to ratio
+    take_profit_as_ratio = D(take_profit_percent) / D(100)
+    log.debug(f"Take profit as ratio: {take_profit_as_ratio}")
+
+    take_profit_var = D(price) * D(take_profit_as_ratio)
+    log.debug(f"Take profit var: {take_profit_var}")
+
+    if direction == "buy":
+        take_profit = D(price) + D(take_profit_var)
+    elif direction == "sell":
+        take_profit = D(price) - D(take_profit_var)
+
+    log.debug(f"Take profit: {take_profit}")
+    return take_profit
+
+
+def get_sl(direction, stop_loss_percent, price, return_var=False):
+    """
+    Get the stop loss price.
+    Also used for trailing stop loss.
+    :param direction: Direction of the trade
+    :param strategy: Strategy object
+    :param price: Entry price
+    """
+    # Convert to ratio
+    stop_loss_as_ratio = D(stop_loss_percent) / D(100)
+    log.debug(f"Stop loss as ratio: {stop_loss_as_ratio}")
+
+    stop_loss_var = D(price) * D(stop_loss_as_ratio)
+    log.debug(f"Stop loss var: {stop_loss_var}")
+
+    if return_var:
+        return stop_loss_var
+
+    if direction == "buy":
+        stop_loss = D(price) - D(stop_loss_var)
+    elif direction == "sell":
+        stop_loss = D(price) + D(stop_loss_var)
+
+    log.debug(f"Stop loss: {stop_loss}")
+    return stop_loss
+
+
 def get_tp_sl(direction, strategy, price):
     """
     Get the take profit and stop loss prices.
@@ -146,38 +196,18 @@ def get_tp_sl(direction, strategy, price):
     :param price: Price of the trade
     :return: Take profit and stop loss prices
     """
+    take_profit = get_tp(direction, strategy.take_profit_percent, price)
+    stop_loss = get_sl(direction, strategy.stop_loss_percent, price)
+    cast = {"tp": take_profit, "sl": stop_loss}
 
-    # Convert TP and SL to ratios
-    stop_loss_as_ratio = D(strategy.stop_loss_percent) / D(100)
-    take_profit_as_ratio = D(strategy.take_profit_percent) / D(100)
-    log.debug(f"Stop loss as ratio: {stop_loss_as_ratio}")
-    log.debug(f"Take profit as ratio: {take_profit_as_ratio}")
+    # Look up the TSL if required by the strategy
+    if strategy.trailing_stop_loss_percent:
+        trailing_stop_loss = get_sl(
+            direction, strategy.trailing_stop_loss_percent, price, return_var=True
+        )
+        cast["tsl"] = trailing_stop_loss
 
-    # Calculate the TP and SL prices by multiplying with the price
-    stop_loss_var = D(price) * D(stop_loss_as_ratio)
-    take_profit_var = D(price) * D(take_profit_as_ratio)
-    log.debug(f"Stop loss var: {stop_loss_var}")
-    log.debug(f"Take profit var: {take_profit_var}")
-
-    # Flip addition operators for inverse trade directions
-    # * We need to subtract the SL for buys, since we are losing money if
-    # the price goes down
-    # * We need to add the TP for buys, since we are gaining money if
-    # the price goes up
-    # * We need to add the SL for sells, since we are losing money if
-    # the price goes up
-    # * We need to subtract the TP for sells, since we are gaining money if
-    # the price goes down
-    if direction == "buy":
-        stop_loss = D(price) - D(stop_loss_var)
-        take_profit = D(price) + D(take_profit_var)
-    elif direction == "sell":
-        stop_loss = D(price) + D(stop_loss_var)
-        take_profit = D(price) - D(take_profit_var)
-    log.debug(f"Stop loss: {stop_loss}")
-    log.debug(f"Take profit: {take_profit}")
-
-    return (stop_loss, take_profit)
+    return cast
 
 
 def get_price_bound(direction, strategy, price, current_price):
@@ -306,8 +336,13 @@ def execute_strategy(callback, strategy):
         direction, account, strategy, cash_balance, base
     )
 
-    # Calculate TP/SL
-    stop_loss, take_profit = get_tp_sl(direction, strategy, price)
+    # Calculate TP/SL/TSL
+    protection = get_tp_sl(direction, strategy, current_price)
+    stop_loss = protection["sl"]
+    take_profit = protection["tp"]
+    trailing_stop_loss = None
+    if "tsl" in protection:
+        trailing_stop_loss = protection["tsl"]
 
     # Calculate price bound and round to the display precision
     price_bound = get_price_bound(direction, strategy, price, current_price)
@@ -315,14 +350,6 @@ def execute_strategy(callback, strategy):
         return
     price_bound = round(price_bound, display_precision)
 
-    # # Use the price reported by the callback for limit orders
-    # if type == "limit":
-    #     price_for_trade = price
-
-    # # Use the price bound for market orders
-    # elif type == "market":
-    #     price_for_trade = price_bound
-
     # Create object, note that the amount is rounded to the trade precision
     new_trade = Trade.objects.create(
         user=user,
@@ -339,6 +366,11 @@ def execute_strategy(callback, strategy):
         take_profit=float(round(take_profit, display_precision)),
         direction=direction,
     )
+    # Add TSL if applicable
+    if trailing_stop_loss:
+        new_trade.trailing_stop_loss = float(
+            round(trailing_stop_loss, display_precision)
+        )
     new_trade.save()
     info = new_trade.post()
     log.debug(f"Posted trade: {info}")

core/migrations/0027_strategy_trailing_stop_loss_percent_and_more.py

@@ -0,0 +1,23 @@
+# Generated by Django 4.1.3 on 2022-11-15 15:50
+
+from django.db import migrations, models
+
+
+class Migration(migrations.Migration):
+
+    dependencies = [
+        ('core', '0026_trade_time_in_force'),
+    ]
+
+    operations = [
+        migrations.AddField(
+            model_name='strategy',
+            name='trailing_stop_loss_percent',
+            field=models.FloatField(blank=True, default=1.0, null=True),
+        ),
+        migrations.AddField(
+            model_name='trade',
+            name='trailing_stop_loss',
+            field=models.FloatField(blank=True, null=True),
+        ),
+    ]

core/models.py

@@ -175,6 +175,7 @@ class Trade(models.Model):
     amount_usd = models.FloatField(null=True, blank=True)
     price = models.FloatField(null=True, blank=True)
     stop_loss = models.FloatField(null=True, blank=True)
+    trailing_stop_loss = models.FloatField(null=True, blank=True)
     take_profit = models.FloatField(null=True, blank=True)
     status = models.CharField(max_length=255, null=True, blank=True)
     direction = models.CharField(choices=DIRECTION_CHOICES, max_length=255)
@@ -224,6 +225,7 @@ class Strategy(models.Model):
     enabled = models.BooleanField(default=False)
     take_profit_percent = models.FloatField(default=1.5)
     stop_loss_percent = models.FloatField(default=1.0)
+    trailing_stop_loss_percent = models.FloatField(default=1.0, null=True, blank=True)
     price_slippage_percent = models.FloatField(default=2.5)
     callback_price_deviation_percent = models.FloatField(default=0.5)
     trade_size_percent = models.FloatField(default=0.5)