Fix TP/SL calculation and make more tests for profit/loss

core/exchanges/common.py

@@ -20,34 +20,65 @@ 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?
+def tp_price_to_percent(tp_price, side, current_price, current_units, unrealised_pl):
+    """
+    Determine the percent change of the TP price from the initial price.
+    Positive values indicate a profit, negative values indicate a loss.
+    """
     pl_per_unit = D(unrealised_pl) / D(current_units)
-    print("pl_per_unit: ", pl_per_unit)
-    initial_price = D(current_price) - pl_per_unit
-    print("initial_price: ", initial_price)
+    if side == "long":
+        initial_price = D(current_price) - pl_per_unit
+    else:
+        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
-    print("change_percent: ", change_percent)
+    change_percent = ((initial_price - D(tp_price)) / initial_price) * 100
+
+    # If the trade is long, the TP price will be lower than the initial price.
+    if side == "long":
+        change_percent *= -1
 
-    # Doesn't check direction
-    return abs(round(change_percent, 5))
+    return round(change_percent, 5)
 
 
-def sl_price_to_percent(sl_price, current_price, current_units, unrealised_pl):
-    # Is this right?
+def sl_price_to_percent(sl_price, side, current_price, current_units, unrealised_pl):
+    """
+    Determine the percent change of the SL price from the initial price.
+    Positive values indicate a loss, negative values indicate a profit.
+    This may seem backwards, but it is important to note that by default,
+    SL indicates a loss, and positive values should be expected.
+    Negative values indicate a negative loss, so a profit.
+    """
     pl_per_unit = D(unrealised_pl) / D(current_units)
-    print("pl_per_unit: ", pl_per_unit)
-    initial_price = D(current_price) - pl_per_unit
-    print("initial_price: ", initial_price)
+    if side == "long":
+        initial_price = D(current_price) - pl_per_unit
+    else:
+        initial_price = D(current_price) + pl_per_unit
+
+    # 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
-    print("change_percent: ", change_percent)
+    change_percent = ((initial_price - D(sl_price)) / initial_price) * 100
+
+    # If the trade is long, the SL price will be higher than the initial price.
+    if side == "long":
+        change_percent *= -1
+
+    if side == "long":
+        if current_price > initial_price:
+            profit = True
+        else:
+            profit = False
+    else:
+        if current_price < initial_price:
+            profit = True
+        else:
+            profit = False
+
+    if profit:
+        change_percent *= -1
 
-    # Doesn't check direction
-    return abs(round(change_percent, 5))
+    return round(change_percent, 5)
 
 
 def convert_open_trades(open_trades):
@@ -59,11 +90,12 @@ def convert_open_trades(open_trades):
         current_price = trade["price"]
         current_units = trade["currentUnits"]
         unrealised_pl = trade["unrealizedPL"]
+        side = trade["side"]
         cast = {
             "id": trade["id"],
             "symbol": trade["symbol"],
             "amount": current_units,
-            "side": trade["side"],
+            "side": side,
             "state": trade["state"],
             "price": current_price,
             "pl": unrealised_pl,
@@ -73,7 +105,7 @@ def convert_open_trades(open_trades):
             if trade["takeProfitOrder"]:
                 take_profit = trade["takeProfitOrder"]["price"]
                 take_profit_percent = tp_price_to_percent(
-                    take_profit, current_price, current_units, unrealised_pl
+                    take_profit, side, current_price, current_units, unrealised_pl
                 )
 
                 cast["take_profit"] = take_profit
@@ -83,7 +115,7 @@ def convert_open_trades(open_trades):
             if trade["stopLossOrder"]:
                 stop_loss = trade["stopLossOrder"]["price"]
                 stop_loss_percent = sl_price_to_percent(
-                    stop_loss, current_price, current_units, unrealised_pl
+                    stop_loss, side, current_price, current_units, unrealised_pl
                 )
 
                 cast["stop_loss"] = stop_loss
@@ -93,7 +125,11 @@ def convert_open_trades(open_trades):
             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
+                    trailing_stop_loss,
+                    side,
+                    current_price,
+                    current_units,
+                    unrealised_pl,
                 )
 
                 cast["trailing_stop_loss"] = trailing_stop_loss

core/tests/exchanges/test_common.py

@@ -14,7 +14,7 @@ class CommonTestCase(TestCase):
         current_units = 1
         unrealised_pl = 0
         percent = tp_price_to_percent(
-            tp_price, current_price, current_units, unrealised_pl
+            tp_price, "long", current_price, current_units, unrealised_pl
         )
         self.assertEqual(percent, 10)
 
@@ -27,7 +27,7 @@ class CommonTestCase(TestCase):
         current_units = 1
         unrealised_pl = 0
         percent = tp_price_to_percent(
-            tp_price, current_price, current_units, unrealised_pl
+            tp_price, "short", current_price, current_units, unrealised_pl
         )
         self.assertEqual(percent, 10)
 
@@ -41,23 +41,37 @@ class CommonTestCase(TestCase):
         current_units = 1
         unrealised_pl = 0.1  # 10%
         percent = tp_price_to_percent(
-            tp_price, current_price, current_units, unrealised_pl
+            tp_price, "long", current_price, current_units, unrealised_pl
         )
         self.assertEqual(percent, 20)
 
-    def test_tp_price_to_percent_change_short(self):
+    def test_tp_price_to_percent_change_long_loss(self):
+        """
+        Test that the TP price to percent conversion works for long trades
+        when the price has changed and the TP is at a loss.
+        """
+        tp_price = 0.8  # -20%
+        current_price = 0.9  # - 10%
+        current_units = 1
+        unrealised_pl = -0.1  # -10%
+        percent = tp_price_to_percent(
+            tp_price, "long", current_price, current_units, unrealised_pl
+        )
+        self.assertEqual(percent, -20)
+
+    def test_tp_price_to_percent_change_short_loss(self):
         """
         Test that the TP price to percent conversion works for short trades
-        when the price has changed.
+        when the price has changed and the TP is at a loss.
         """
-        tp_price = 0.8  # 20%
-        current_price = 1.1  # + 10%
+        tp_price = 1.2  # -20%
+        current_price = 1.1  # - 10%
         current_units = 1
-        unrealised_pl = 0.1  # 10%
+        unrealised_pl = -0.1  # -10%
         percent = tp_price_to_percent(
-            tp_price, current_price, current_units, unrealised_pl
+            tp_price, "short", current_price, current_units, unrealised_pl
         )
-        self.assertEqual(percent, 20)
+        self.assertEqual(percent, -20)
 
     # For multiple units
     def test_tp_price_to_percent_initial_long_multi(self):
@@ -70,7 +84,7 @@ class CommonTestCase(TestCase):
         current_units = 10
         unrealised_pl = 0
         percent = tp_price_to_percent(
-            tp_price, current_price, current_units, unrealised_pl
+            tp_price, "long", current_price, current_units, unrealised_pl
         )
         self.assertEqual(percent, 10)
 
@@ -84,7 +98,7 @@ class CommonTestCase(TestCase):
         current_units = 10
         unrealised_pl = 0
         percent = tp_price_to_percent(
-            tp_price, current_price, current_units, unrealised_pl
+            tp_price, "short", current_price, current_units, unrealised_pl
         )
         self.assertEqual(percent, 10)
 
@@ -93,12 +107,12 @@ class CommonTestCase(TestCase):
         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%
+        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
+            tp_price, "long", current_price, current_units, unrealised_pl
         )
         self.assertEqual(percent, 20)
 
@@ -107,17 +121,45 @@ class CommonTestCase(TestCase):
         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%
+        tp_price = 0.8  # -20%
+        current_price = 0.9  # -10%
         current_units = 10
         unrealised_pl = 1  # 10%
         percent = tp_price_to_percent(
-            tp_price, current_price, current_units, unrealised_pl
+            tp_price, "short", current_price, current_units, unrealised_pl
         )
         self.assertEqual(percent, 20)
 
+    def test_tp_price_to_percent_change_long_multi_loss(self):
+        """
+        Test that the TP price to percent conversion works for long trades
+        when the price has changed, with multiple units, and the TP is at a loss.
+        """
+        tp_price = 0.8  # -20%
+        current_price = 0.9  # -10%
+        current_units = 10
+        unrealised_pl = -1  # -10%
+        percent = tp_price_to_percent(
+            tp_price, "long", current_price, current_units, unrealised_pl
+        )
+        self.assertEqual(percent, -20)
+
+    def test_tp_price_to_percent_change_short_multi_loss(self):
+        """
+        Test that the TP price to percent conversion works for short trades
+        when the price has changed, with multiple units, and the TP is at a loss.
+        """
+        tp_price = 1.2  # -20%
+        current_price = 1.1  # -10%
+        current_units = 10
+        unrealised_pl = -1  # 10%
+        percent = tp_price_to_percent(
+            tp_price, "short", current_price, current_units, unrealised_pl
+        )
+        self.assertEqual(percent, -20)
+
     # SL
-    def test_SL_price_to_percent_initial_long(self):
+    def test_sl_price_to_percent_initial_long(self):
         """
         Test that the SL price to percent conversion works for long trades.
         """
@@ -126,7 +168,7 @@ class CommonTestCase(TestCase):
         current_units = 1
         unrealised_pl = 0
         percent = sl_price_to_percent(
-            sl_price, current_price, current_units, unrealised_pl
+            sl_price, "long", current_price, current_units, unrealised_pl
         )
         self.assertEqual(percent, 10)
 
@@ -139,37 +181,37 @@ class CommonTestCase(TestCase):
         current_units = 1
         unrealised_pl = 0
         percent = sl_price_to_percent(
-            sl_price, current_price, current_units, unrealised_pl
+            sl_price, "short", current_price, current_units, unrealised_pl
         )
         self.assertEqual(percent, 10)
 
-    def test_sl_price_to_percent_change_long(self):
+    def test_sl_price_to_percent_change_long_profit(self):
         """
         Test that the SL price to percent conversion works for long trades
-        when the price has changed.
+        when the price has changed and the SL is at a profit.
         """
-        sl_price = 1.2  # 20%
-        current_price = 1.1  # + 10%
+        sl_price = 1.2  # +20%
+        current_price = 1.1  # +10%
         current_units = 1
-        unrealised_pl = 0.1  # 10%
+        unrealised_pl = 0.1  # +10%
         percent = sl_price_to_percent(
-            sl_price, current_price, current_units, unrealised_pl
+            sl_price, "long", current_price, current_units, unrealised_pl
         )
-        self.assertEqual(percent, 20)
+        self.assertEqual(percent, -20)
 
-    def test_sl_price_to_percent_change_short(self):
+    def test_sl_price_to_percent_change_short_profit(self):
         """
         Test that the SL price to percent conversion works for short trades
-        when the price has changed.
+        when the price has changed and the SL is at a profit.
         """
-        sl_price = 0.8  # 20%
-        current_price = 1.1  # + 10%
+        sl_price = 0.8  # +20%
+        current_price = 0.9  # +10%
         current_units = 1
-        unrealised_pl = 0.1  # 10%
+        unrealised_pl = 0.1  # +10%
         percent = sl_price_to_percent(
-            sl_price, current_price, current_units, unrealised_pl
+            sl_price, "short", current_price, current_units, unrealised_pl
         )
-        self.assertEqual(percent, 20)
+        self.assertEqual(percent, -20)
 
     # For multiple units
     def test_sl_price_to_percent_initial_long_multi(self):
@@ -177,12 +219,12 @@ class CommonTestCase(TestCase):
         Test that the SL price to percent conversion works for long trades
         with multiple units.
         """
-        sl_price = 1.1  # 10%
+        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
+            sl_price, "long", current_price, current_units, unrealised_pl
         )
         self.assertEqual(percent, 10)
 
@@ -191,39 +233,39 @@ class CommonTestCase(TestCase):
         Test that the SL price to percent conversion works for short trades
         with multiple units.
         """
-        sl_price = 0.9  # 10%
+        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
+            sl_price, "short", current_price, current_units, unrealised_pl
         )
         self.assertEqual(percent, 10)
 
-    def test_sl_price_to_percent_change_long_multi(self):
+    def test_sl_price_to_percent_change_long_multi_profit(self):
         """
         Test that the SL price to percent conversion works for long trades
-        when the price has changed, with multiple units.
+        when the price has changed, with multiple units, and the SL is at a profit.
         """
-        sl_price = 1.2  # 20%
-        current_price = 1.1  # + 10%
+        sl_price = 1.2  # +20%
+        current_price = 1.1  # +10%
         current_units = 10
-        unrealised_pl = 1  # 10%
+        unrealised_pl = 1  # +10%
         percent = sl_price_to_percent(
-            sl_price, current_price, current_units, unrealised_pl
+            sl_price, "long", current_price, current_units, unrealised_pl
         )
-        self.assertEqual(percent, 20)
+        self.assertEqual(percent, -20)
 
-    def test_sl_price_to_percent_change_short_multi(self):
+    def test_sl_price_to_percent_change_short_multi_profit(self):
         """
         Test that the SL price to percent conversion works for short trades
-        when the price has changed, with multiple units.
+        when the price has changed, with multiple units, and the SL is at a profit.
         """
-        sl_price = 0.8  # 20%
-        current_price = 1.1  # + 10%
+        sl_price = 0.8  # -20%
+        current_price = 0.9  # +10%
         current_units = 10
-        unrealised_pl = 1  # 10%
+        unrealised_pl = 1  # +10%
         percent = sl_price_to_percent(
-            sl_price, current_price, current_units, unrealised_pl
+            sl_price, "short", current_price, current_units, unrealised_pl
         )
-        self.assertEqual(percent, 20)
+        self.assertEqual(percent, -20)

core/tests/trading/test_live.py

@@ -1,3 +1,5 @@
+from decimal import Decimal as D
+
 from django.test import TestCase
 
 from core.exchanges.common import convert_open_trades
@@ -18,6 +20,7 @@ class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
             amount=10,
             direction="buy",
         )
+        self.commission = 0.025
 
     def test_account_functional(self):
         """
@@ -123,11 +126,19 @@ class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
             # trailing_stop_loss=trade_tsl,
         )
 
-        posted = self.open_trade(complex_trade)
-        print("OPENED", posted)
+        self.open_trade(complex_trade)
         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)
+        self.assertEqual(len(trades_converted), 1)
+        expected_tp_percent = D(1 - self.commission)
+        expected_sl_percent = D(2 - self.commission)
+        actual_tp_percent = trades_converted[0]["take_profit_percent"]
+        actual_sl_percent = trades_converted[0]["stop_loss_percent"]
+
+        tp_percent_difference = abs(expected_tp_percent - actual_tp_percent)
+        sl_percent_difference = abs(expected_sl_percent - actual_sl_percent)
+        max_difference = D(0.08)  # depends on market conditions
+
+        self.assertLess(tp_percent_difference, max_difference)
+        self.assertLess(sl_percent_difference, max_difference)
+        self.close_trade(complex_trade)