Move more checks from market into checks library

core/exchanges/fake.py

@@ -0,0 +1,57 @@
+from core.exchanges import BaseExchange
+
+
+class FakeExchange(BaseExchange):
+    def call_method(self, request):
+        pass
+
+    def connect(self):
+        pass
+
+    def get_account(self):
+        pass
+
+    def get_instruments(self):
+        pass
+
+    def get_currencies(self, currencies):
+        pass
+
+    def get_supported_assets(self, response=None):
+        pass
+
+    def get_balance(self, return_usd=False):
+        pass
+
+    def get_market_value(self, symbol):
+        pass
+
+    def post_trade(self, trade):
+        pass
+
+    def close_trade(self, trade_id):
+        pass
+
+    def get_trade(self, trade_id):
+        pass
+
+    def update_trade(self, trade):
+        pass
+
+    def cancel_trade(self, trade_id):
+        pass
+
+    def get_position_info(self, symbol):
+        pass
+
+    def get_all_positions(self):
+        pass
+
+    def get_all_open_trades(self):
+        pass
+
+    def close_position(self, side, symbol):
+        pass
+
+    def close_all_positions(self):
+        pass

core/management/commands/scheduling.py

@@ -5,8 +5,8 @@ from asgiref.sync import sync_to_async
 from django.core.management.base import BaseCommand
 
 from core.models import Strategy
-from core.util import logs
 from core.trading import active_management
+from core.util import logs
 
 log = logs.get_logger("scheduling")
 
@@ -24,8 +24,7 @@ async def job():
     log.debug(f"Found {len(strategies)} strategies")
     for strategy in strategies:
         log.debug(f"Running strategy {strategy.name}")
-        ams = active_management.ActiveManagement(strategy)
+        ams = active_management.ActiveManagement(strategy)  # noqa
-
 
 
 class Command(BaseCommand):

core/models.py

@@ -7,12 +7,13 @@ from django.contrib.auth.models import AbstractUser
 from django.db import models
 
 from core.exchanges.alpaca import AlpacaExchange
+from core.exchanges.fake import FakeExchange
 from core.exchanges.oanda import OANDAExchange
 from core.lib.customers import get_or_create, update_customer_fields
 from core.util import logs
 
 log = logs.get_logger(__name__)
-EXCHANGE_MAP = {"alpaca": AlpacaExchange, "oanda": OANDAExchange}
+EXCHANGE_MAP = {"alpaca": AlpacaExchange, "oanda": OANDAExchange, "fake": FakeExchange}
 TYPE_CHOICES = (
     ("market", "Market"),
     ("limit", "Limit"),
@@ -125,7 +126,7 @@ class User(AbstractUser):
 
 
 class Account(models.Model):
-    EXCHANGE_CHOICES = (("alpaca", "Alpaca"), ("oanda", "OANDA"))
+    EXCHANGE_CHOICES = (("alpaca", "Alpaca"), ("oanda", "OANDA"), ("fake", "Fake"))
     user = models.ForeignKey(User, on_delete=models.CASCADE)
     name = models.CharField(max_length=255)
     exchange = models.CharField(choices=EXCHANGE_CHOICES, max_length=255)
@@ -164,7 +165,8 @@ class Account(models.Model):
         """
         Override the save function to update supported symbols.
         """
-        self.update_info(save=False)
+        if self.exchange != "fake":
+            self.update_info(save=False)
         super().save(*args, **kwargs)
 
     def get_client(self):

core/tests/trading/test_checks.py

@@ -1,26 +1,106 @@
+from datetime import time
+
+import freezegun
 from django.test import TestCase
 
+from core.models import (
+    Account,
+    Hook,
+    OrderSettings,
+    RiskModel,
+    Signal,
+    Strategy,
+    TradingTime,
+    User,
+)
 from core.trading import checks
 
-from core.models import TradingTime, Strategy, OrderSettings, User
 
 class ChecksTestCase(TestCase):
     def setUp(self):
+        self.time_8 = time(8, 0, 0)
+        self.time_16 = time(16, 0, 0)
         self.user = User.objects.create_user(
             username="testuser", email="test@example.com", password="test"
         )
-        self.order_settings = OrderSettings.objects.create(user=self.user, name="Default")
+        self.account = Account.objects.create(
+            user=self.user,
+            name="Test Account",
+            exchange="fake",
+        )
+        self.order_settings = OrderSettings.objects.create(
+            user=self.user, name="Default"
+        )
         self.trading_time_now = TradingTime.objects.create(
             user=self.user,
             name="Test Trading Time",
-            start_day=1, # Monday
+            start_day=1,  # Monday
-            start_time="08:00",
+            start_time=self.time_8,
-            end_day=1, # Monday
+            end_day=1,  # Monday
-            end_time="16:00",
+            end_time=self.time_16,
+        )
+        self.risk_model = RiskModel.objects.create(
+            user=self.user,
+            name="Test Risk Model",
+            max_loss_percent=50,
+            max_risk_percent=10,
+            max_open_trades=10,
+            max_open_trades_per_symbol=5,
         )
 
+        self.strategy = Strategy.objects.create(
+            user=self.user,
+            name="Test Strategy",
+            account=self.account,
+            order_settings=self.order_settings,
+            risk_model=self.risk_model,
+            active_management_enabled=True,
+        )
+        self.strategy.trading_times.set([self.trading_time_now])
+        self.strategy.save()
 
-        self.strategy = Strategy.objects.create(user=self.user, name="Test Strategy", )
+    @freezegun.freeze_time("2023-02-13T09:00:00")  # Monday at 09:00
+    def test_within_trading_times_pass(self):
+        self.assertTrue(checks.within_trading_times(self.strategy))
 
-    def test_within_trading_times(self):
+    @freezegun.freeze_time("2023-02-13T17:00:00")  # Monday at 17:00
-        pass
+    def test_within_trading_times_fail(self):
+        self.assertFalse(checks.within_trading_times(self.strategy))
+
+    def test_within_callback_price_deviation_fail(self):
+        price_callback = 100
+        current_price = 200
+        self.assertFalse(
+            checks.within_callback_price_deviation(
+                self.strategy, price_callback, current_price
+            )
+        )
+
+    def test_within_callback_price_deviation_pass(self):
+        price_callback = 100
+        current_price = 100.5
+        self.assertTrue(
+            checks.within_callback_price_deviation(
+                self.strategy, price_callback, current_price
+            )
+        )
+
+    def test_within_trends(self):
+        hook = Hook.objects.create(
+            user=self.user,
+            name="Test Hook",
+        )
+        signal = Signal.objects.create(
+            user=self.user,
+            name="Test Signal",
+            hook=hook,
+            type="trend",
+        )
+        self.strategy.trend_signals.set([signal])
+        self.strategy.trends = {"EUR_USD": "buy"}
+        self.strategy.save()
+        self.assertTrue(checks.within_trends(self.strategy, "EUR_USD", "buy"))
+        self.assertFalse(checks.within_trends(self.strategy, "EUR_USD", "sell"))
+
+        self.assertIsNone(checks.within_trends(self.strategy, "EUR_XXX", "buy"))
+        self.assertIsNone(checks.within_trends(self.strategy, "EUR_XXX", "sell"))

core/trading/active_management.py

@@ -1,3 +1,16 @@
 class ActiveManagement(object):
     def __init__(self, strategy):
         self.strategy = strategy
+
+    def run_checks(self):
+        pass
+        # Trading Time
+        # Max loss
+        # Trends
+        # Asset Groups
+        # Position Size
+        # Protection
+        # Max open positions
+        # Max open positions per asset
+        # Max risk
+        # Crossfilter

core/trading/checks.py

@@ -1,9 +1,16 @@
 from datetime import datetime
+from decimal import Decimal as D
+
+from core.lib.notify import sendmsg
 from core.util import logs
 
 log = logs.get_logger("checks")
 
 
+def run_checks(strategy, x):
+    pass
+
+
 def within_trading_times(strategy, ts=None):
     if not ts:
         ts = datetime.utcnow()
@@ -17,3 +24,85 @@ def within_trading_times(strategy, ts=None):
         log.debug("Not within trading time range")
         return False
     return True
+
+
+def within_callback_price_deviation(strategy, price, current_price):
+    # Convert the callback price deviation to a ratio
+    if strategy.risk_model is not None:
+        callback_price_deviation_as_ratio = D(
+            strategy.risk_model.callback_price_deviation_percent
+        ) / D(100)
+    else:
+        callback_price_deviation_as_ratio = D(0.5) / D(100)
+    log.debug(f"Callback price deviation as ratio: {callback_price_deviation_as_ratio}")
+
+    maximum_price_deviation = D(current_price) * D(callback_price_deviation_as_ratio)
+
+    # Ensure the current price is within price_slippage_as_ratio of the callback price
+    if abs(current_price - price) <= maximum_price_deviation:
+        log.debug("Current price is within price deviation of callback price")
+        return True
+    else:
+        log.error("Current price is not within price deviation of callback price")
+        log.debug(f"Difference: {abs(current_price - price)}")
+        return False
+
+
+def within_max_loss(strategy):
+    pass
+
+
+def within_trends(strategy, symbol, direction):
+    if strategy.trend_signals.exists():
+        if strategy.trends is None:
+            log.debug("Refusing to trade with no trend signals received")
+            sendmsg(
+                strategy.user,
+                f"Refusing to trade {symbol} with no trend signals received",
+                title="Trend not ready",
+            )
+            return None
+        if symbol not in strategy.trends:
+            log.debug("Refusing to trade asset without established trend")
+            sendmsg(
+                strategy.user,
+                f"Refusing to trade {symbol} without established trend",
+                title="Trend not ready",
+            )
+            return None
+        else:
+            if strategy.trends[symbol] != direction:
+                log.debug("Refusing to trade against the trend")
+                sendmsg(
+                    strategy.user,
+                    f"Refusing to trade {symbol} against the trend",
+                    title="Trend rejection",
+                )
+                return False
+            else:
+                log.debug(f"Trend check passed for {symbol} - {direction}")
+                return True
+
+
+def within_position_size(strategy):
+    pass
+
+
+def within_protection(strategy):
+    pass
+
+
+def within_max_open_trades(strategy):
+    pass
+
+
+def within_max_open_trades_per_asset(strategy):
+    pass
+
+
+def within_max_risk(strategy):
+    pass
+
+
+def within_crossfilter(strategy):
+    pass

core/trading/market.py

@@ -1,4 +1,3 @@
-from datetime import datetime
 from decimal import Decimal as D
 
 from core.exchanges import common
@@ -172,7 +171,7 @@ def get_tp_sl(direction, strategy, price, round_to=None):
     return cast
 
 
-def get_price_bound(direction, strategy, price, current_price):
+def get_price_bound(direction, strategy, current_price):
     """
     Get the price bound for a given price using the slippage from the strategy.
     * Check that the price of the callback is within the callback price deviation of the
@@ -187,25 +186,6 @@ def get_price_bound(direction, strategy, price, current_price):
     :return: Price bound
     """
 
-    # Convert the callback price deviation to a ratio
-    if strategy.risk_model is not None:
-        callback_price_deviation_as_ratio = D(
-            strategy.risk_model.callback_price_deviation_percent
-        ) / D(100)
-    else:
-        callback_price_deviation_as_ratio = D(0.5) / D(100)
-    log.debug(f"Callback price deviation as ratio: {callback_price_deviation_as_ratio}")
-
-    maximum_price_deviation = D(current_price) * D(callback_price_deviation_as_ratio)
-
-    # Ensure the current price is within price_slippage_as_ratio of the callback price
-    if abs(current_price - price) <= maximum_price_deviation:
-        log.debug("Current price is within price deviation of callback price")
-    else:
-        log.error("Current price is not within price deviation of callback price")
-        log.debug(f"Difference: {abs(current_price - price)}")
-        return None
-
     # Convert the maximum price slippage to a ratio
     if strategy.risk_model is not None:
         price_slippage_as_ratio = D(strategy.risk_model.price_slippage_percent) / D(100)
@@ -277,15 +257,8 @@ def execute_strategy(callback, strategy, func):
 
     # Only check times for entries. We can always exit trades and set trends.
     if func == "entry":
-        # Check if we can trade now!
+        within_trading_times = checks.within_trading_times(strategy)
-        now_utc = datetime.utcnow()
+        if not within_trading_times:
-        trading_times = strategy.trading_times.all()
-        if not trading_times:
-            log.error("No trading times set for strategy")
-            return
-        matches = [x.within_range(now_utc) for x in trading_times]
-        if not any(matches):
-            log.debug("Not within trading time range")
             return
 
     # Don't touch the account if it's disabled.
@@ -338,8 +311,17 @@ def execute_strategy(callback, strategy, func):
     log.debug(f"Callback price: {price}")
     log.debug(f"Current price: {current_price}")
 
+    # Check callback price deviation
+    within_callback_price_deviation = checks.within_callback_price_deviation(
+        strategy, price, current_price
+    )
+    if not within_callback_price_deviation:
+        log.debug("Not within callback price deviation")
+        return
+
     # Calculate price bound and round to the display precision
-    price_bound = get_price_bound(direction, strategy, price, current_price)
+    # Also enforces max price slippage
+    price_bound = get_price_bound(direction, strategy, current_price)
     if not price_bound:
         return
     price_bound = round(price_bound, display_precision)
@@ -390,34 +372,9 @@ def execute_strategy(callback, strategy, func):
         return
 
     # Check if we are trading against the trend
-    if strategy.trend_signals.exists():
+    within_trends = checks.within_trends(strategy, symbol, direction)
-        if strategy.trends is None:
+    if not within_trends:
-            log.debug("Refusing to trade with no trend signals received")
+        return
-            sendmsg(
-                user,
-                f"Refusing to trade {symbol} with no trend signals received",
-                title="Trend not ready",
-            )
-            return
-        if symbol not in strategy.trends:
-            log.debug("Refusing to trade asset without established trend")
-            sendmsg(
-                user,
-                f"Refusing to trade {symbol} without established trend",
-                title="Trend not ready",
-            )
-            return
-        else:
-            if strategy.trends[symbol] != direction:
-                log.debug("Refusing to trade against the trend")
-                sendmsg(
-                    user,
-                    f"Refusing to trade {symbol} against the trend",
-                    title="Trend rejection",
-                )
-                return
-            else:
-                log.debug(f"Trend check passed for {symbol} - {direction}")
 
     type = strategy.order_settings.order_type
 
@@ -435,18 +392,6 @@ def execute_strategy(callback, strategy, func):
     protection = get_tp_sl(
         direction, strategy, current_price, round_to=display_precision
     )
-    # protection_cast = {}
-    # if "sl" in protection:
-    #     protection_cast["stop_loss"] = float(round(protect
-    # ion["sl"], display_precision))
-    # if "tp" in protection:
-    #     protection_cast["take_profit"] = float(
-    #         round(protection["tp"], display_precision)
-    #     )
-    # if "tsl" in protection:
-    #     protection_cast["trailing_stop_loss"] = float(
-    #         round(protection["tsl"], display_precision)
-    #     )
 
     # Create object, note that the amount is rounded to the trade precision
     amount_rounded = float(round(trade_size_in_base, trade_precision))

requirements.txt

@@ -22,6 +22,8 @@ oandapyV20
 glom
 elasticsearch
 apscheduler
+# For trading time checks
+freezegun
 git+https://git.zm.is/XF/django-crud-mixins
 # pyroscope-io
 # For caching