Continue implementing live risk checks

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}