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Begin implementing OANDA

This commit is contained in:
Mark Veidemanis 2022-10-30 10:57:53 +00:00
parent 49a3737a72
commit f6fa9bdbb6
Signed by: m
GPG Key ID: 5ACFCEED46C0904F
7 changed files with 227 additions and 31 deletions
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42
core/exchanges/__init__.py Normal file
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@ -0,0 +1,42 @@
from core.util import logs
class BaseExchange(object):
def __init__(self, account):
name = self.__class__.__name__
self.account = account
self.log = logs.get_logger(name)
self.client = None
self.connect()
def connect(self):
raise NotImplementedError
def get_supported_assets(self):
raise NotImplementedError
def get_balance(self):
raise NotImplementedError
def get_market_value(self, symbol):
raise NotImplementedError
def post_trade(self, trade):
raise NotImplementedError
def get_trade(self, trade_id):
raise NotImplementedError
def update_trade(self, trade):
raise NotImplementedError
def cancel_trade(self, trade_id):
raise NotImplementedError
def get_position_info(self, asset_id):
raise NotImplementedError
def get_all_positions(self):
raise NotImplementedError

125
core/exchanges/alpaca.py Normal file
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@ -0,0 +1,125 @@
from core.exchanges import BaseExchange
from alpaca.trading.client import TradingClient
from alpaca.trading.requests import GetAssetsRequest
from alpaca.common.exceptions import APIError
from alpaca.trading.enums import OrderSide, TimeInForce
from alpaca.trading.requests import LimitOrderRequest, MarketOrderRequest
class AlpacaExchange(BaseExchange):
def connect(self):
self.client = TradingClient(
self.account.api_key, self.account.api_secret, paper=self.account.sandbox, raw_data=True
)
def get_supported_assets(self):
try:
request = GetAssetsRequest(status="active", asset_class="crypto")
assets = self.client.get_all_assets(filter=request)
asset_list = [x["symbol"] for x in assets if "symbol" in x]
print("Supported symbols", asset_list)
except APIError as e:
log.error(f"Could not get asset list: {e}")
# return False
return asset_list
def get_balance(self):
try:
account_info = self.client.get_account()
except APIError as e:
self.log.error(f"Could not get account balance: {e}")
return False
equity = account_info["equity"]
try:
balance = float(equity)
except ValueError:
return False
return balance
def get_market_value(self, symbol):
try:
position = self.client.get_position(symbol)
except APIError as e:
self.log.error(f"Could not get market value for {symbol}: {e}")
return False
return float(position["market_value"])
def post_trade(self, trade):
# the trade is not placed yet
if trade.direction == "buy":
direction = OrderSide.BUY
elif trade.direction == "sell":
direction = OrderSide.SELL
else:
raise Exception("Unknown direction")
cast = {"symbol": trade.symbol, "side": direction, "time_in_force": TimeInForce.IOC}
if trade.amount is not None:
cast["qty"] = trade.amount
if trade.amount_usd is not None:
cast["notional"] = trade.amount_usd
if not trade.amount and not trade.amount_usd:
return (False, "No amount specified")
if trade.take_profit:
cast["take_profit"] = {"limit_price": trade.take_profit}
if trade.stop_loss:
stop_limit_price = trade.stop_loss - (trade.stop_loss * 0.005)
cast["stop_loss"] = {
"stop_price": trade.stop_loss,
"limit_price": stop_limit_price,
}
if trade.type == "market":
market_order_data = MarketOrderRequest(**cast)
try:
order = self.client.submit_order(order_data=market_order_data)
except APIError as e:
log.error(f"Error placing market order: {e}")
return (False, e)
elif trade.type == "limit":
if not trade.price:
return (False, "Limit order with no price")
cast["limit_price"] = trade.price
limit_order_data = LimitOrderRequest(**cast)
try:
order = self.client.submit_order(order_data=limit_order_data)
except APIError as e:
log.error(f"Error placing limit order: {e}")
return (False, e)
else:
raise Exception("Unknown trade type")
trade.response = order
trade.status = "posted"
trade.order_id = order["id"]
trade.client_order_id = order["client_order_id"]
trade.save()
return (True, order)
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, asset_id):
try:
position = self.client.get_open_position(asset_id)
except APIError as e:
return (False, e)
return (True, position)
def get_all_positions(self):
items = []
positions = self.client.get_all_positions()
for item in positions:
item = dict(item)
item["account_id"] = self.account.id
item["unrealized_pl"] = float(item["unrealized_pl"])
items.append(item)
return items

36
core/exchanges/oanda.py Normal file
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@ -0,0 +1,36 @@
from core.exchanges import BaseExchange
from oandapyV20 import API
from oandapyV20.endpoints import trades
from oandapyV20.endpoints import positions
class OANDAExchange(BaseExchange):
def connect(self):
self.client = API(access_token=self.account.api_secret)
self.account_id = self.account.api_key
def get_supported_assets(self):
raise NotImplementedError
def get_balance(self):
raise NotImplementedError
def get_market_value(self, symbol):
raise NotImplementedError
def post_trade(self, trade):
raise NotImplementedError
def get_trade(self, trade_id):
raise NotImplementedError
def update_trade(self, trade):
raise NotImplementedError
def cancel_trade(self, trade_id):
raise NotImplementedError
def get_position_info(self, asset_id):
raise NotImplementedError
def get_all_positions(self):
pass

40
core/models.py
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@ -1,16 +1,16 @@
import stripe
from alpaca.common.exceptions import APIError
from alpaca.trading.client import TradingClient
from alpaca.trading.requests import GetAssetsRequest
from django.conf import settings
from django.contrib.auth.models import AbstractUser
from django.db import models
from core.exchanges.alpaca import AlpacaExchange
from core.exchanges.oanda import OANDAExchange
from core.lib import trades
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}
class Plan(models.Model):
@ -70,7 +70,7 @@ class User(AbstractUser):
class Account(models.Model):
EXCHANGE_CHOICES = (("alpaca", "Alpaca"),)
EXCHANGE_CHOICES = (("alpaca", "Alpaca"), ("oanda", "OANDA"))
user = models.ForeignKey(User, on_delete=models.CASCADE)
name = models.CharField(max_length=255)
exchange = models.CharField(choices=EXCHANGE_CHOICES, max_length=255)
@ -89,23 +89,18 @@ class Account(models.Model):
"""
Override the save function to update supported symbols.
"""
try:
request = GetAssetsRequest(status="active", asset_class="crypto")
assets = self.client.get_all_assets(filter=request)
asset_list = [x["symbol"] for x in assets if "symbol" in x]
self.supported_symbols = asset_list
print("Supported symbols", self.supported_symbols)
except APIError as e:
log.error(f"Could not get asset list: {e}")
# return False
client = self.get_client()
if client:
supported_symbols = client.get_supported_assets()
if supported_symbols:
self.supported_symbols = supported_symbols
super().save(*args, **kwargs)
def get_client(self):
trading_client = TradingClient(
self.api_key, self.api_secret, paper=self.sandbox, raw_data=True
)
return trading_client
if self.exchange in EXCHANGE_MAP:
return EXCHANGE_MAP[self.exchange](self)
else:
raise Exception("Exchange not supported")
@property
def client(self):
@ -114,6 +109,13 @@ class Account(models.Model):
"""
return self.get_client()
@property
def rawclient(self):
"""
Convenience property for one-off API calls.
"""
return self.get_client().client
@classmethod
def get_by_id(cls, account_id, user):
return cls.objects.get(id=account_id, user=user)
@ -174,7 +176,7 @@ class Trade(models.Model):
self._original = self
def post(self):
return trades.post_trade(self)
return self.account.client.post_trade(self)
def delete(self, *args, **kwargs):
# close the trade

2
core/views/accounts.py
View File

@ -39,7 +39,7 @@ class AccountInfo(LoginRequiredMixin, View):
}
return render(request, template_name, context)
live_info = dict(account.client.get_account())
live_info = dict(account.rawclient.get_account())
account_info = account.__dict__
account_info = {
k: v for k, v in account_info.items() if k in self.VIEWABLE_FIELDS_MODEL

12
core/views/positions.py
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@ -20,17 +20,7 @@ def get_positions(user, account_id=None):
positions = account.client.get_all_positions()
for item in positions:
item = dict(item)
item["account_id"] = account.id
item["unrealized_pl"] = float(item["unrealized_pl"])
items.append(item)
# try:
# parsed = ccxt_s.CCXTRoot.from_dict(order)
# except ValidationError as e:
# log.error(f"Error creating trade: {e}")
# return False
# self.status = parsed.status
# self.response = order
return items
@ -77,7 +67,7 @@ class PositionAction(LoginRequiredMixin, View):
unique = str(uuid.uuid4())[:8]
account = Account.get_by_id(account_id, request.user)
success, info = trades.get_position_info(account, asset_id)
success, info = account.client.get_position_info(asset_id)
if not success:
message = "Position does not exist"
message_class = "danger"

1
docker/prod/requirements.prod.txt
View File

@ -17,3 +17,4 @@ django-otp
qrcode
serde[ext]
alpaca-py
oandapyV20