Continue implementing live risk checks

core/exchanges/common.py

@@ -1,6 +1,10 @@
 from decimal import Decimal as D
 
+from core.exchanges import GenericAPIError
 from core.lib.elastic import store_msg
+from core.util import logs
+
+log = logs.get_logger(__name__)
 
 
 def get_balance_hook(user_id, user_name, account_id, account_name, balance):
@@ -20,144 +24,73 @@ def get_balance_hook(user_id, user_name, account_id, account_name, balance):
     )
 
 
-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)
-    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 = ((initial_price - D(tp_price)) / initial_price) * 100
-
-    if side == "long":
-        if D(tp_price) < initial_price:
-            loss = True
-        else:
-            loss = False
-    else:
-        if D(tp_price) > initial_price:
-            loss = True
-        else:
-            loss = False
-
-    # if we are in loss on the short side, we want to show a negative
-    if loss:
-        change_percent = 0 - abs(change_percent)
-    else:
-        change_percent = abs(change_percent)
-
-    return round(change_percent, 5)
-
-
-def sl_price_to_percent(sl_price, side, current_price, current_units, unrealised_pl):
+def get_pair(account, base, quote, invert=False):
     """
-    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.
+    Get the pair for the given account and currencies.
+    :param account: Account object
+    :param base: Base currency
+    :param quote: Quote currency
+    :param invert: Invert the pair
+    :return: currency symbol, e.g. BTC_USD, BTC/USD, etc.
     """
-    pl_per_unit = D(unrealised_pl) / D(current_units)
-    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 = ((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 D(sl_price) > initial_price:
-            profit = True
-        else:
-            profit = False
+    # Currently we only have two exchanges with different pair separators
+    if account.exchange == "alpaca":
+        separator = "/"
+    elif account.exchange == "oanda":
+        separator = "_"
+
+    # Flip the pair if needed
+    if invert:
+        symbol = f"{quote.upper()}{separator}{base.upper()}"
     else:
-        if D(sl_price) < initial_price:
-            profit = True
-        else:
-            profit = False
+        symbol = f"{base.upper()}{separator}{quote.upper()}"
+    # Check it exists
+    if symbol not in account.supported_symbols:
+        return False
+    return symbol
 
-    if profit:
-        change_percent = 0 - abs(change_percent)
-    else:
-        change_percent = abs(change_percent)
 
-    return round(change_percent, 5)
-
-
-def convert_open_trades(open_trades):
+def to_currency(direction, account, amount, from_currency, to_currency):
     """
-    Convert a list of open trades into a list of Trade-like objects.
+    Convert an amount from one currency to another.
+    :param direction: Direction of the trade
+    :param account: Account object
+    :param amount: Amount to convert
+    :param from_currency: Currency to convert from
+    :param to_currency: Currency to convert to
+    :return: Converted amount
     """
-    trades = []
-    for trade in 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": side,
-            "state": trade["state"],
-            "price": current_price,
-            "pl": unrealised_pl,
-        }
-
-        # Add some extra fields, sometimes we have already looked up the
-        # prices and don't need to call convert_trades_to_usd
-        if "take_profit_usd" in trade:
-            cast["take_profit_usd"] = trade["take_profit_usd"]
-        if "stop_loss_usd" in trade:
-            cast["stop_loss_usd"] = trade["stop_loss_usd"]
-        if "trailing_stop_loss_usd" in trade:
-            cast["trailing_stop_loss_usd"] = trade["trailing_stop_loss_usd"]
-
-        if "takeProfitOrder" in trade:
-            if trade["takeProfitOrder"]:
-                take_profit = trade["takeProfitOrder"]["price"]
-                take_profit_percent = tp_price_to_percent(
-                    take_profit, side, 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, side, 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,
-                    side,
-                    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
+    # If we're converting to the same currency, just return the amount
+    if from_currency == to_currency:
+        return amount
+    inverted = False
+
+    # This is needed because OANDA has different values for bid and ask
+    if direction == "buy":
+        price_index = "bids"
+    elif direction == "sell":
+        price_index = "asks"
+    symbol = get_pair(account, from_currency, to_currency)
+    if not symbol:
+        symbol = get_pair(account, from_currency, to_currency, invert=True)
+        inverted = True
+
+        # Bit of a hack but it works
+        if not symbol:
+            log.error(f"Could not find symbol for {from_currency} -> {to_currency}")
+            raise Exception("Could not find symbol")
+    try:
+        prices = account.client.get_currencies([symbol])
+    except GenericAPIError as e:
+        log.error(f"Error getting currencies and inverted currencies: {e}")
+        return None
+    price = D(prices["prices"][0][price_index][0]["price"])
+
+    # If we had to flip base and quote, we need to use the reciprocal of the price
+    if inverted:
+        price = D(1.0) / price
+
+    # Convert the amount to the destination currency
+    converted = D(amount) * price
+
+    return converted

core/exchanges/convert.py

@@ -0,0 +1,211 @@
+from decimal import Decimal as D
+
+from core.models import Account
+from core.trading.market import direction_to_side, get_price, side_to_direction
+
+# Separate module to prevent circular import from
+# models -> exchanges -> common -> models
+# Since we need Account here to look up missing prices
+
+
+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)
+    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 = ((initial_price - D(tp_price)) / initial_price) * 100
+
+    if side == "long":
+        if D(tp_price) < initial_price:
+            loss = True
+        else:
+            loss = False
+    else:
+        if D(tp_price) > initial_price:
+            loss = True
+        else:
+            loss = False
+
+    # if we are in loss on the short side, we want to show a negative
+    if loss:
+        change_percent = 0 - abs(change_percent)
+    else:
+        change_percent = abs(change_percent)
+
+    return round(change_percent, 5)
+
+
+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)
+    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 = ((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 D(sl_price) > initial_price:
+            profit = True
+        else:
+            profit = False
+    else:
+        if D(sl_price) < initial_price:
+            profit = True
+        else:
+            profit = False
+
+    if profit:
+        change_percent = 0 - abs(change_percent)
+    else:
+        change_percent = abs(change_percent)
+
+    return round(change_percent, 5)
+
+
+def annotate_trade_tp_sl_percent(trade):
+    """
+    Annotate the trade with the TP and SL percent.
+    This works on Trade objects, which will require an additional market
+    lookup to get the current price.
+    """
+    if "current_price" in trade:
+        current_price = trade["current_price"]
+    else:
+        account_id = trade["account_id"]
+        account = Account.get_by_id_no_user_check(account_id)
+
+        current_price = get_price(account, trade["direction"], trade["symbol"])
+        trade["current_price"] = current_price
+
+    current_units = trade["amount"]
+    if "pl" in trade:
+        unrealised_pl = trade["pl"]
+    else:
+        unrealised_pl = 0
+
+    if "side" in trade:
+        side = trade["side"]
+        direction = side_to_direction(side)
+        trade["direction"] = direction
+    else:
+        direction = trade["direction"]
+        side = direction_to_side(direction)
+        trade["side"] = side
+
+    if "take_profit" in trade:
+        if trade["take_profit"]:
+            take_profit = trade["take_profit"]
+            take_profit_percent = tp_price_to_percent(
+                take_profit, trade["side"], current_price, current_units, unrealised_pl
+            )
+
+            trade["take_profit_percent"] = take_profit_percent
+
+    if "stop_loss" in trade:
+        if trade["stop_loss"]:
+            stop_loss = trade["stop_loss"]
+            stop_loss_percent = sl_price_to_percent(
+                stop_loss, side, current_price, current_units, unrealised_pl
+            )
+
+            trade["stop_loss_percent"] = stop_loss_percent
+
+    if "trailing_stop_loss" in trade:
+        if trade["trailing_stop_loss"]:
+            trailing_stop_loss = trade["trailing_stop_loss"]
+            trailing_stop_loss_percent = sl_price_to_percent(
+                trailing_stop_loss,
+                trade["side"],
+                current_price,
+                current_units,
+                unrealised_pl,
+            )
+
+            trade["trailing_stop_loss_percent"] = trailing_stop_loss_percent
+
+    return trade
+
+
+def open_trade_to_unified_format(trade):
+    """
+    Convert an open trade to a Trade-like format.
+    """
+    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": side,
+        "direction": side_to_direction(side),
+        "state": trade["state"],
+        "current_price": current_price,
+        "pl": unrealised_pl,
+    }
+    # Add some extra fields, sometimes we have already looked up the
+    # prices and don't need to call convert_trades_to_usd
+    # This is mostly for tests, but it can be useful in other places.
+    if "take_profit_usd" in trade:
+        cast["take_profit_usd"] = trade["take_profit_usd"]
+    if "stop_loss_usd" in trade:
+        cast["stop_loss_usd"] = trade["stop_loss_usd"]
+    if "trailing_stop_loss_usd" in trade:
+        cast["trailing_stop_loss_usd"] = trade["trailing_stop_loss_usd"]
+    if "takeProfitOrder" in trade:
+        if trade["takeProfitOrder"]:
+            take_profit = trade["takeProfitOrder"]["price"]
+            cast["take_profit"] = take_profit
+
+    if "stopLossOrder" in trade:
+        if trade["stopLossOrder"]:
+            stop_loss = trade["stopLossOrder"]["price"]
+            cast["stop_loss"] = stop_loss
+
+    if "trailingStopLossOrder" in trade:
+        if trade["trailingStopLossOrder"]:
+            trailing_stop_loss = trade["trailingStopLossOrder"]["price"]
+            cast["trailing_stop_loss"] = trailing_stop_loss
+
+    return cast
+
+
+def convert_trades(open_trades):
+    """
+    Convert a list of open trades into a list of Trade-like objects.
+    """
+    trades = []
+    for trade in open_trades:
+        if "currentUnits" in trade:  # Open trade
+            cast = open_trade_to_unified_format(trade)
+            cast = annotate_trade_tp_sl_percent(cast)
+            trades.append(cast)
+        else:
+            cast = annotate_trade_tp_sl_percent(trade)
+            trades.append(cast)
+
+    return trades

core/exchanges/oanda.py

@@ -36,18 +36,25 @@ class OANDAExchange(BaseExchange):
             response = self.get_instruments()
         return [x["name"] for x in response["itemlist"]]
 
-    def get_balance(self):
+    def get_balance(self, return_usd=False):
         r = accounts.AccountSummary(self.account_id)
         response = self.call(r)
+        print("RESPONSE", response)
         balance = float(response["balance"])
+        currency = response["currency"]
+        balance_usd = common.to_currency("sell", self.account, balance, currency, "USD")
+        print("BALANCE", balance)
+        print("BALANCE USD", balance_usd)
 
         common.get_balance_hook(
             self.account.user.id,
             self.account.user.username,
             self.account.id,
             self.account.name,
-            balance,
+            balance_usd,
         )
+        if return_usd:
+            return balance_usd
         return balance
 
     def get_market_value(self, symbol):
@@ -138,7 +145,7 @@ class OANDAExchange(BaseExchange):
 
     def get_all_open_trades(self):
         r = trades.OpenTrades(accountID=self.account_id)
-        return self.call(r)
+        return self.call(r)["itemlist"]
 
     def close_position(self, side, symbol):
         data = {

core/forms.py

@@ -119,6 +119,7 @@ class AccountForm(RestrictedFormMixin, ModelForm):
             "sandbox",
             "enabled",
             "risk_model",
+            "initial_balance",
         )
         help_texts = {
             "name": "Name of the account. Informational only.",
@@ -128,6 +129,7 @@ class AccountForm(RestrictedFormMixin, ModelForm):
             "sandbox": "Whether to use the sandbox/demo or not.",
             "enabled": "Whether the account is enabled.",
             "risk_model": "The risk model to use for this account.",
+            "initial_balance": "The initial balance of the account.",
         }
 
 

core/migrations/0051_account_initial_balance.py

@@ -0,0 +1,18 @@
+# Generated by Django 4.1.4 on 2023-01-11 17:42
+
+from django.db import migrations, models
+
+
+class Migration(migrations.Migration):
+
+    dependencies = [
+        ('core', '0050_account_enabled'),
+    ]
+
+    operations = [
+        migrations.AddField(
+            model_name='account',
+            name='initial_balance',
+            field=models.FloatField(default=0),
+        ),
+    ]

core/models.py

@@ -116,6 +116,7 @@ class Account(models.Model):
     risk_model = models.ForeignKey(
         "core.RiskModel", on_delete=models.SET_NULL, null=True, blank=True
     )
+    initial_balance = models.FloatField(default=0)
 
     def __str__(self):
         name = f"{self.name} ({self.exchange})"
@@ -167,6 +168,10 @@ class Account(models.Model):
     def get_by_id(cls, account_id, user):
         return cls.objects.get(id=account_id, user=user)
 
+    @classmethod
+    def get_by_id_no_user_check(cls, account_id):
+        return cls.objects.get(id=account_id)
+
 
 class Session(models.Model):
     user = models.ForeignKey(User, on_delete=models.CASCADE)

core/tests/exchanges/test_convert.py

@@ -1,6 +1,6 @@
 from django.test import TestCase
 
-from core.exchanges.common import sl_price_to_percent, tp_price_to_percent
+from core.exchanges.convert import sl_price_to_percent, tp_price_to_percent
 
 
 class CommonTestCase(TestCase):

core/tests/helpers.py

@@ -86,6 +86,7 @@ If you have done this, please see the following line for more information:
             exchange=exchange,
             api_key=api_key,
             api_secret=api_secret,
+            initial_balance=100,
         )
 
     def setUp(self):

core/tests/trading/test_live.py

@@ -1,11 +1,12 @@
 from decimal import Decimal as D
+from unittest.mock import patch
 
 from django.test import TestCase
 
-from core.exchanges.common import convert_open_trades
-from core.models import Trade
+from core.exchanges.convert import convert_trades
+from core.models import RiskModel, Trade
 from core.tests.helpers import ElasticMock, LiveBase
-from core.trading.market import get_precision, get_price, get_sl, get_tp
+from core.trading import market, risk
 
 
 class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
@@ -21,6 +22,14 @@ class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
             direction="buy",
         )
         self.commission = 0.025
+        self.risk_model = RiskModel.objects.create(
+            user=self.user,
+            name="Test Risk Model",
+            max_loss_percent=4,
+            max_risk_percent=2,
+            max_open_trades=3,
+            max_open_trades_per_symbol=2,
+        )
 
     def test_account_functional(self):
         """
@@ -34,11 +43,12 @@ class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
         if trade:
             posted = trade.post()
         else:
+            trade = self.trade
             posted = self.trade.post()
         # Check the opened trade
         self.assertEqual(posted["type"], "MARKET_ORDER")
-        self.assertEqual(posted["symbol"], "EUR_USD")
-        self.assertEqual(posted["units"], "10")
+        self.assertEqual(posted["symbol"], trade.symbol)
+        self.assertEqual(posted["units"], str(trade.amount))
         self.assertEqual(posted["timeInForce"], "FOK")
 
         return posted
@@ -48,14 +58,17 @@ class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
             trade.refresh_from_db()
             closed = self.account.client.close_trade(trade.order_id)
         else:
+            trade = self.trade
             # 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
+        print("CLOSED", closed)
+        print("TRADE AMOUNT", trade.amount)
         self.assertEqual(closed["type"], "MARKET_ORDER")
-        self.assertEqual(closed["symbol"], "EUR_USD")
-        self.assertEqual(closed["units"], "-10")
+        self.assertEqual(closed["symbol"], trade.symbol)
+        self.assertEqual(closed["units"], str(0 - int(trade.amount)))
         self.assertEqual(closed["timeInForce"], "FOK")
         self.assertEqual(closed["reason"], "TRADE_CLOSE")
 
@@ -78,7 +91,7 @@ class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
         trades = self.account.client.get_all_open_trades()
         self.trade.refresh_from_db()
         found = False
-        for trade in trades["itemlist"]:
+        for trade in trades:
             if trade["id"] == self.trade.order_id:
                 self.assertEqual(trade["symbol"], "EUR_USD")
                 self.assertEqual(trade["currentUnits"], "10")
@@ -91,14 +104,11 @@ class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
         if not found:
             self.fail("Could not find the trade in the list of open trades")
 
-    def test_convert_open_trades(self):
-        """
-        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)
+    def create_complex_trade(self, direction, amount, symbol, tp_percent, sl_percent):
+        eur_usd_price = market.get_price(self.account, direction, symbol)
+        trade_tp = market.get_tp(direction, tp_percent, eur_usd_price)
+        trade_sl = market.get_sl(direction, sl_percent, eur_usd_price)
+        # trade_tsl = market.get_sl("buy", 1, eur_usd_price, return_var=True)
         # # TP 1% profit
         # trade_tp = eur_usd_price * D(1.01)
         # # SL 2% loss
@@ -106,7 +116,7 @@ class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
         # # TSL 1% loss
         # trade_tsl = eur_usd_price * D(0.99)
 
-        trade_precision, display_precision = get_precision(self.account, "EUR_USD")
+        trade_precision, display_precision = market.get_precision(self.account, symbol)
         # Round everything to the display precision
 
         trade_tp = round(trade_tp, display_precision)
@@ -116,19 +126,79 @@ class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
         complex_trade = Trade.objects.create(
             user=self.user,
             account=self.account,
-            symbol="EUR_USD",
+            symbol=symbol,
             time_in_force="FOK",
             type="market",
-            amount=10,
-            direction="buy",
+            amount=amount,
+            direction=direction,
             take_profit=trade_tp,
             stop_loss=trade_sl,
             # trailing_stop_loss=trade_tsl,
         )
+        return complex_trade
+
+    @patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=100)
+    def test_check_risk_max_risk_pass(self, mock_balance):
+        # SL of 19% on a 10 trade on a 100 account is 1.8 loss
+        # Should be comfortably under 2% risk
+        trade = self.create_complex_trade("buy", 10, "EUR_USD", 1, 18)
+        allowed = risk.check_risk(self.risk_model, self.account, trade)
+        self.assertTrue(allowed["allowed"])
+
+    @patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=100)
+    def test_check_risk_max_risk_fail(self, mock_balance):
+        # SL of 21% on a 10 trade on a 100 account is 2.2 loss
+        # Should be over 2% risk
+        trade = self.create_complex_trade("buy", 10, "EUR_USD", 1, 22)
+        allowed = risk.check_risk(self.risk_model, self.account, trade)
+        print("ALLOWED", allowed)
+        self.assertFalse(allowed["allowed"])
+        self.assertEqual(allowed["reason"], "Maximum risk exceeded.")
+
+    @patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=94)
+    # We have lost 6% of our account
+    def test_check_risk_max_loss_fail(self, mock_balance):
+        # Doesn't matter, shouldn't get as far as the trade
+        trade = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)
+        allowed = risk.check_risk(self.risk_model, self.account, trade)
+        self.assertFalse(allowed["allowed"])
+        self.assertEqual(allowed["reason"], "Maximum loss exceeded.")
+
+    @patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=100)
+    def test_check_risk_max_open_trades_fail(self, mock_balance):
+        # The maximum open trades is 3. Let's open 2 trades
+        trade1 = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)
+        self.open_trade(trade1)
+
+        trade2 = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)
+        self.open_trade(trade2)
+
+        trade3 = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)
+
+        allowed = risk.check_risk(self.risk_model, self.account, trade3)
+        self.assertFalse(allowed["allowed"])
+        self.assertEqual(allowed["reason"], "Maximum open trades exceeded.")
+
+        self.close_trade(trade1)
+        self.close_trade(trade2)
+
+    @patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=100)
+    def test_check_risk_max_open_trades_per_symbol_fail(self, mock_balance):
+        pass
+
+    def test_convert_trades(self):
+        """
+        Test converting open trades response to Trade-like format.
+        """
+        complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 1, 2)
 
         self.open_trade(complex_trade)
+
+        # Get and annotate the trades
         trades = self.account.client.get_all_open_trades()
-        trades_converted = convert_open_trades(trades["itemlist"])
+        trades_converted = convert_trades(trades)
+
+        # Check the converted trades
         self.assertEqual(len(trades_converted), 1)
         expected_tp_percent = D(1 - self.commission)
         expected_sl_percent = D(2 - self.commission)
@@ -141,4 +211,24 @@ class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
 
         self.assertLess(tp_percent_difference, max_difference)
         self.assertLess(sl_percent_difference, max_difference)
+
+        # Convert the trades to USD
+        trades_usd = market.convert_trades_to_usd(self.account, trades_converted)
+
+        # Convert the trade to USD ourselves
+        trade_in_usd = D(trades_usd[0]["amount"]) * D(trades_usd[0]["current_price"])
+
+        # It will never be perfect, but let's check it's at least close
+        trade_usd_conversion_difference = (
+            trades_usd[0]["trade_amount_usd"] - trade_in_usd
+        )
+        self.assertLess(trade_usd_conversion_difference, D(0.01))
+
+        # Check the converted TP and SL values
+        trade_usd_tp_difference = trades_usd[0]["take_profit_usd"] - D(0.1)
+        trade_usd_sl_difference = trades_usd[0]["stop_loss_usd"] - D(0.2)
+
+        self.assertLess(trade_usd_tp_difference, D(0.01))
+        self.assertLess(trade_usd_sl_difference, D(0.02))
+
         self.close_trade(complex_trade)

core/tests/trading/test_risk.py

@@ -1,6 +1,6 @@
 from django.test import TestCase
 
-from core.exchanges import common
+from core.exchanges import convert
 from core.models import RiskModel, User
 from core.trading import risk
 
@@ -228,7 +228,7 @@ class RiskModelTestCase(TestCase):
             # Hardcoded prices to avoid calling market API here
             "stop_loss_usd": 50,  # 5% of $1000
         }
-        converted = common.convert_open_trades([trade])
+        converted = convert.convert_trades([trade])
         self.assertEqual(converted[0]["stop_loss_percent"], 5)
         self.assertEqual(converted[0]["stop_loss_usd"], 50)
         max_risk_check = risk.check_max_risk(self.risk_model, 1000, converted)
@@ -253,7 +253,7 @@ class RiskModelTestCase(TestCase):
             # Hardcoded prices to avoid calling market API here
             "stop_loss_usd": 40,  # 4% of $1000
         }
-        converted = common.convert_open_trades([trade, trade])
+        converted = convert.convert_trades([trade, trade])
         self.assertEqual(converted[0]["stop_loss_percent"], 4)
         self.assertEqual(converted[0]["stop_loss_usd"], 40)
         max_risk_check = risk.check_max_risk(self.risk_model, 1000, converted)
@@ -277,7 +277,7 @@ class RiskModelTestCase(TestCase):
             # Hardcoded prices to avoid calling market API here
             "stop_loss_usd": 100,  # 10% of $1000
         }
-        converted = common.convert_open_trades([trade])
+        converted = convert.convert_trades([trade])
         self.assertEqual(converted[0]["stop_loss_percent"], 10)
         self.assertEqual(converted[0]["stop_loss_usd"], 100)
         max_risk_check = risk.check_max_risk(self.risk_model, 1000, converted)
@@ -302,7 +302,7 @@ class RiskModelTestCase(TestCase):
             # Hardcoded prices to avoid calling market API here
             "stop_loss_usd": 50,  # 5% of $1000
         }
-        converted = common.convert_open_trades([trade, trade])
+        converted = convert.convert_trades([trade, trade])
         self.assertEqual(converted[0]["stop_loss_percent"], 5)
         self.assertEqual(converted[0]["stop_loss_usd"], 50)
         self.assertEqual(converted[1]["stop_loss_percent"], 5)
@@ -334,7 +334,7 @@ class RiskModelTestCase(TestCase):
         trade2["trailingStopLossOrder"] = {"price": 0.95}
         del trade2["stopLossOrder"]
 
-        converted = common.convert_open_trades([trade, trade2])
+        converted = convert.convert_trades([trade, trade2])
         self.assertEqual(converted[0]["stop_loss_percent"], 5)
         self.assertEqual(converted[0]["stop_loss_usd"], 50)
         self.assertEqual(converted[1]["trailing_stop_loss_percent"], 5)
@@ -365,7 +365,7 @@ class RiskModelTestCase(TestCase):
         trade2 = trade.copy()
         trade2["trailingStopLossOrder"] = {"price": 0.951}
 
-        converted = common.convert_open_trades([trade, trade2])
+        converted = convert.convert_trades([trade, trade2])
         self.assertEqual(converted[0]["stop_loss_percent"], 5)
         self.assertEqual(converted[0]["stop_loss_usd"], 50)
         self.assertEqual(float(converted[1]["trailing_stop_loss_percent"]), 4.9)

core/trading/market.py

@@ -1,7 +1,7 @@
 from datetime import datetime
 from decimal import Decimal as D
 
-from core.exchanges import GenericAPIError
+from core.exchanges import GenericAPIError, common
 from core.lib.notify import sendmsg
 from core.models import Account, Strategy, Trade
 from core.trading.crossfilter import crossfilter
@@ -10,21 +10,50 @@ from core.util import logs
 log = logs.get_logger(__name__)
 
 
-def side_to_direction(side):
+def side_to_direction(side, flip_direction=False):
     """
     Convert a side to a direction.
+    :param side: Side, e.g. long, short
+    :param flip_direction: Flip the direction
+    :return: Direction, e.g. buy, sell
     """
     if side == "long":
+        if flip_direction:
+            return "sell"
         return "buy"
     elif side == "short":
+        if flip_direction:
+            return "buy"
         return "sell"
     else:
         return False
 
 
+def direction_to_side(direction, flip_side=False):
+    """
+    Convert a direction to a side.
+    :param direction: Direction, e.g. buy, sell
+    :param flip_side: Flip the side
+    :return: Side, e.g. long, short
+    """
+    if direction == "buy":
+        if flip_side:
+            return "short"
+        return "long"
+    elif direction == "sell":
+        if flip_side:
+            return "long"
+        return "short"
+    else:
+        return False
+
+
 def convert_trades_to_usd(account, trades):
     """
-    Convert a list of trades to USD.
+    Convert a list of trades to USD. Input will also be mutated.
+    :param account: Account object
+    :param trades: List of trades
+    :return: List of trades, with amount_usd added
     """
     for trade in trades:
         amount = trade["amount"]
@@ -35,34 +64,19 @@ def convert_trades_to_usd(account, trades):
         print("BASE", base)
         print("QUOTE", quote)
         print("AMOUNT", amount)
-        amount_usd = to_currency(direction, account, amount, quote, "USD")
-        print("AMOUNT USD", amount_usd)
-
+        amount_usd = common.to_currency(direction, account, amount, base, "USD")
+        print("TRADE AMOUNT USD", amount_usd)
+        trade["trade_amount_usd"] = amount_usd
+        if "stop_loss_percent" in trade:
+            trade["stop_loss_usd"] = (trade["stop_loss_percent"] / 100) * amount_usd
+        if "take_profit_percent" in trade:
+            trade["take_profit_usd"] = (trade["take_profit_percent"] / 100) * amount_usd
+        if "trailing_stop_loss_percent" in trade:
+            trade["trailing_stop_loss_usd"] = (
+                trade["trailing_stop_loss_percent"] / 100
+            ) * amount_usd
 
-def get_pair(account, base, quote, invert=False):
-    """
-    Get the pair for the given account and currencies.
-    :param account: Account object
-    :param base: Base currency
-    :param quote: Quote currency
-    :param invert: Invert the pair
-    :return: currency symbol, e.g. BTC_USD, BTC/USD, etc.
-    """
-    # Currently we only have two exchanges with different pair separators
-    if account.exchange == "alpaca":
-        separator = "/"
-    elif account.exchange == "oanda":
-        separator = "_"
-
-    # Flip the pair if needed
-    if invert:
-        symbol = f"{quote.upper()}{separator}{base.upper()}"
-    else:
-        symbol = f"{base.upper()}{separator}{quote.upper()}"
-    # Check it exists
-    if symbol not in account.supported_symbols:
-        return False
-    return symbol
+    return trades
 
 
 def get_base_quote(exchange, symbol):
@@ -80,49 +94,6 @@ def get_base_quote(exchange, symbol):
     return (base, quote)
 
 
-def to_currency(direction, account, amount, from_currency, to_currency):
-    """
-    Convert an amount from one currency to another.
-    :param direction: Direction of the trade
-    :param account: Account object
-    :param amount: Amount to convert
-    :param from_currency: Currency to convert from
-    :param to_currency: Currency to convert to
-    :return: Converted amount
-    """
-    inverted = False
-
-    # This is needed because OANDA has different values for bid and ask
-    if direction == "buy":
-        price_index = "bids"
-    elif direction == "sell":
-        price_index = "asks"
-    symbol = get_pair(account, from_currency, to_currency)
-    if not symbol:
-        symbol = get_pair(account, from_currency, to_currency, invert=True)
-        inverted = True
-
-        # Bit of a hack but it works
-        if not symbol:
-            log.error(f"Could not find symbol for {from_currency} -> {to_currency}")
-            raise Exception("Could not find symbol")
-    try:
-        prices = account.client.get_currencies([symbol])
-    except GenericAPIError as e:
-        log.error(f"Error getting currencies and inverted currencies: {e}")
-        return None
-    price = D(prices["prices"][0][price_index][0]["price"])
-
-    # If we had to flip base and quote, we need to use the reciprocal of the price
-    if inverted:
-        price = D(1.0) / price
-
-    # Convert the amount to the destination currency
-    converted = D(amount) * price
-
-    return converted
-
-
 def get_price(account, direction, symbol):
     """
     Get the price for a given symbol.
@@ -168,7 +139,7 @@ def get_trade_size_in_base(direction, account, strategy, cash_balance, base):
     if account.currency.lower() == base.lower():
         trade_size_in_base = amount_fiat
     else:
-        trade_size_in_base = to_currency(
+        trade_size_in_base = common.to_currency(
             direction, account, amount_fiat, account.currency, base
         )
     log.debug(f"Trade size in base: {trade_size_in_base}")
@@ -381,7 +352,7 @@ def execute_strategy(callback, strategy, func):
         return
 
     # Get the pair we are trading
-    symbol = get_pair(account, base, quote)
+    symbol = common.get_pair(account, base, quote)
     if not symbol:
         sendmsg(user, f"Symbol not supported by account: {symbol}", title="Error")
         log.error(f"Symbol not supported by account: {symbol}")

core/trading/risk.py

@@ -1,19 +1,41 @@
+from decimal import Decimal as D
+
+from core.exchanges import convert
+from core.models import Trade
+from core.trading import market
+
+
 def check_max_loss(risk_model, initial_balance, account_balance):
     """
     Check that the account balance is within the max loss limit.
     """
+    # print("Max loss percent", risk_model.max_loss_percent)
+    # print("Initial balance", initial_balance)
+    # print("Account balance", account_balance)
+    # max_loss_percent = risk_model.max_loss_percent
+    # print("Max loss ratio", (max_loss_percent / 100))
+    # max_loss = initial_balance * (max_loss_percent / 100)
+    # print("Max loss", max_loss)
+    # return account_balance > max_loss
+
     max_loss_percent = risk_model.max_loss_percent
-    max_loss = initial_balance * (max_loss_percent / 100)
-    return account_balance > max_loss
+
+    # calculate the inverse of the max loss percent as a ratio
+    inverse_loss_multiplier = 1 - max_loss_percent / 100
+    minimum_balance = initial_balance * inverse_loss_multiplier
+
+    return account_balance > minimum_balance
 
 
 def check_max_risk(risk_model, account_balance_usd, account_trades):
     """
     Check that all of the trades in the account are within the max risk limit.
     """
-    max_risk_percent = risk_model.max_risk_percent
+    max_risk_percent = D(risk_model.max_risk_percent)
+    print("Max risk percent", max_risk_percent)
     # Calculate the max risk of the account in USD
-    max_risk_usd = account_balance_usd * (max_risk_percent / 100)
+    max_risk_usd = account_balance_usd * (max_risk_percent / D(100))
+    print("Max risk USD", max_risk_usd)
     total_risk = 0
     for trade in account_trades:
         max_tmp = []
@@ -24,8 +46,13 @@ def check_max_risk(risk_model, account_balance_usd, account_trades):
             max_tmp.append(trade["stop_loss_usd"])
         if "trailing_stop_loss_usd" in trade:
             max_tmp.append(trade["trailing_stop_loss_usd"])
-        total_risk += max(max_tmp)
+        if max_tmp:
+            print("MAX TMP", max_tmp)
+            total_risk += max(max_tmp)
+
+    print("total risk", total_risk)
     allowed = total_risk < max_risk_usd
+    print("check amx risk allowed", allowed)
     return allowed
 
 
@@ -33,6 +60,7 @@ def check_max_open_trades(risk_model, account_trades):
     """
     Check that the number of trades in the account is within the max open trades limit.
     """
+    print("LEN ACCOUNT TRADES", len(account_trades))
     return len(account_trades) < risk_model.max_open_trades
 
 
@@ -60,14 +88,25 @@ def check_risk(risk_model, account, proposed_trade):
     max_loss_check = check_max_loss(
         risk_model, account.initial_balance, account.client.get_balance()
     )
+    print("Max loss check", max_loss_check)
     if not max_loss_check:
         return {"allowed": False, "reason": "Maximum loss exceeded."}
 
     # Check that the account max trades is not exceeded
-    account_trades = account.client.get_all_open_trades()  # TODO
-    account_trades.append(proposed_trade)  # TODO
+    account_trades = account.client.get_all_open_trades()
+    print("Account trades: ", account_trades)
+    if isinstance(proposed_trade, Trade):
+        proposed_trade = proposed_trade.__dict__
+    account_trades.append(proposed_trade)
+    print("After append", account_trades)
+
+    account_trades = convert.convert_trades(account_trades)
+    print("After convert", account_trades)
+    account_trades = market.convert_trades_to_usd(account, account_trades)
+    print("After convert to USD", account_trades)
 
     max_open_trades_check = check_max_open_trades(risk_model, account_trades)
+    print("Max open trades check: ", max_open_trades_check)
     if not max_open_trades_check:
         return {"allowed": False, "reason": "Maximum open trades exceeded."}
 
@@ -75,10 +114,16 @@ def check_risk(risk_model, account, proposed_trade):
     max_open_trades_per_symbol_check = check_max_open_trades_per_symbol(
         risk_model, account_trades
     )
+    print("Max open trades per symbol check: ", max_open_trades_per_symbol_check)
     if not max_open_trades_per_symbol_check:
         return {"allowed": False, "reason": "Maximum open trades per symbol exceeded."}
 
     # Check that the max risk is not exceeded
-    max_risk_check = check_max_risk(risk_model, account_trades)
+    account_balance_usd = account.client.get_balance(return_usd=True)
+    print("Account balance USD (not)", account_balance_usd)
+    max_risk_check = check_max_risk(risk_model, account_balance_usd, account_trades)
+    print("Max risk check: ", max_risk_check)
     if not max_risk_check:
         return {"allowed": False, "reason": "Maximum risk exceeded."}
+
+    return {"allowed": True}