Write risk checking helpers and tests

app/urls.py

@@ -30,6 +30,7 @@ from core.views import (
     notifications,
     positions,
     profit,
+    risk,
     signals,
     strategies,
     trades,
@@ -214,4 +215,24 @@ urlpatterns = [
         notifications.NotificationsUpdate.as_view(),
         name="notifications_update",
     ),
+    path(
+        "risk/<str:type>/",
+        risk.RiskList.as_view(),
+        name="risks",
+    ),
+    path(
+        "risk/<str:type>/create/",
+        risk.RiskCreate.as_view(),
+        name="risk_create",
+    ),
+    path(
+        "risk/<str:type>/update/<str:pk>/",
+        risk.RiskUpdate.as_view(),
+        name="risk_update",
+    ),
+    path(
+        "risk/<str:type>/delete/<str:pk>/",
+        risk.RiskDelete.as_view(),
+        name="risk_delete",
+    ),
 ] + static(settings.STATIC_URL, document_root=settings.STATIC_ROOT)

core/forms.py

@@ -7,6 +7,7 @@ from .models import (
     Account,
     Hook,
     NotificationSettings,
+    RiskModel,
     Signal,
     Strategy,
     Trade,
@@ -110,19 +111,14 @@ class SignalForm(RestrictedFormMixin, ModelForm):
 class AccountForm(RestrictedFormMixin, ModelForm):
     class Meta:
         model = Account
-        fields = (
-            "name",
-            "exchange",
-            "api_key",
-            "api_secret",
-            "sandbox",
-        )
+        fields = ("name", "exchange", "api_key", "api_secret", "sandbox", "risk_model")
         help_texts = {
             "name": "Name of the account. Informational only.",
             "exchange": "The exchange to use for this account.",
             "api_key": "The API key or username for the account.",
             "api_secret": "The API secret or password/token for the account.",
             "sandbox": "Whether to use the sandbox/demo or not.",
+            "risk_model": "The risk model to use for this account.",
         }
 
 
@@ -298,3 +294,24 @@ class NotificationSettingsForm(RestrictedFormMixin, ModelForm):
             "ntfy_topic": "The topic to send notifications to.",
             "ntfy_url": "Custom NTFY server. Leave blank to use the default server.",
         }
+
+
+class RiskModelForm(RestrictedFormMixin, ModelForm):
+    class Meta:
+        model = RiskModel
+        fields = (
+            "name",
+            "description",
+            "max_loss_percent",
+            "max_risk_percent",
+            "max_open_trades",
+            "max_open_trades_per_symbol",
+        )
+        help_texts = {
+            "name": "Name of the risk model. Informational only.",
+            "description": "Description of the risk model. Informational only.",
+            "max_loss_percent": "The maximum percent of the account balance that can be lost before we cease trading.",
+            "max_risk_percent": "The maximum percent of the account balance that can be risked on all open trades.",
+            "max_open_trades": "The maximum number of open trades.",
+            "max_open_trades_per_symbol": "The maximum number of open trades per symbol.",
+        }

core/migrations/0048_riskmodel_account_riskmodel.py

@@ -0,0 +1,33 @@
+# Generated by Django 4.1.4 on 2022-12-21 21:43
+
+import django.db.models.deletion
+from django.conf import settings
+from django.db import migrations, models
+
+
+class Migration(migrations.Migration):
+
+    dependencies = [
+        ('core', '0047_notificationsettings'),
+    ]
+
+    operations = [
+        migrations.CreateModel(
+            name='RiskModel',
+            fields=[
+                ('id', models.BigAutoField(auto_created=True, primary_key=True, serialize=False, verbose_name='ID')),
+                ('name', models.CharField(max_length=255)),
+                ('description', models.TextField(blank=True, null=True)),
+                ('max_loss_percent', models.FloatField(default=0.05)),
+                ('max_risk_percent', models.FloatField(default=0.05)),
+                ('max_open_trades', models.IntegerField(default=10)),
+                ('max_open_trades_per_symbol', models.IntegerField(default=2)),
+                ('user', models.ForeignKey(on_delete=django.db.models.deletion.CASCADE, to=settings.AUTH_USER_MODEL)),
+            ],
+        ),
+        migrations.AddField(
+            model_name='account',
+            name='riskmodel',
+            field=models.ForeignKey(blank=True, null=True, on_delete=django.db.models.deletion.SET_NULL, to='core.riskmodel'),
+        ),
+    ]

core/migrations/0049_rename_riskmodel_account_risk_model.py

@@ -0,0 +1,18 @@
+# Generated by Django 4.1.4 on 2022-12-21 21:51
+
+from django.db import migrations
+
+
+class Migration(migrations.Migration):
+
+    dependencies = [
+        ('core', '0048_riskmodel_account_riskmodel'),
+    ]
+
+    operations = [
+        migrations.RenameField(
+            model_name='account',
+            old_name='riskmodel',
+            new_name='risk_model',
+        ),
+    ]

core/models.py

@@ -112,6 +112,9 @@ class Account(models.Model):
     supported_symbols = models.JSONField(default=list)
     instruments = models.JSONField(default=list)
     currency = models.CharField(max_length=255, null=True, blank=True)
+    risk_model = models.ForeignKey(
+        "core.RiskModel", on_delete=models.SET_NULL, null=True, blank=True
+    )
 
     def __str__(self):
         name = f"{self.name} ({self.exchange})"
@@ -375,20 +378,18 @@ class NotificationSettings(models.Model):
         return f"Notification settings for {self.user}"
 
 
-# class Perms(models.Model):
-#     class Meta:
-#         permissions = (
-#             ("bypass_hashing", "Can bypass field hashing"),  #
-#             ("bypass_blacklist", "Can bypass the blacklist"),  #
-#             ("bypass_encryption", "Can bypass field encryption"),  #
-#             ("bypass_obfuscation", "Can bypass field obfuscation"),  #
-#             ("bypass_delay", "Can bypass data delay"),  #
-#             ("bypass_randomisation", "Can bypass data randomisation"),  #
-#             ("post_irc", "Can post to IRC"),
-#             ("post_discord", "Can post to Discord"),
-#             ("query_search", "Can search with query strings"),  #
-#             ("use_insights", "Can use the Insights page"),
-#             ("index_int", "Can use the internal index"),
-#             ("index_meta", "Can use the meta index"),
-#             ("restricted_sources", "Can access restricted sources"),
-#         )
+class RiskModel(models.Model):
+    user = models.ForeignKey(User, on_delete=models.CASCADE)
+    name = models.CharField(max_length=255)
+    description = models.TextField(null=True, blank=True)
+    # Maximum amount of money to have lost from the initial balance to stop trading
+    max_loss_percent = models.FloatField(default=0.05)
+    # Maximum amount of money to risk on all open trades
+    max_risk_percent = models.FloatField(default=0.05)
+    # Maximum number of trades
+    max_open_trades = models.IntegerField(default=10)
+    # Maximum number of trades per symbol
+    max_open_trades_per_symbol = models.IntegerField(default=2)
+
+    def __str__(self):
+        return self.name

core/templates/base.html

@@ -254,6 +254,9 @@
                 <a class="navbar-item" href="{% url 'tradingtimes' type='page' %}">
                   Trading Times
                 </a>
+                <a class="navbar-item" href="{% url 'risks' type='page' %}">
+                  Risk Management
+                </a>
               </div>
             </div>
             <div class="navbar-item has-dropdown is-hoverable">

core/templates/partials/risk-list.html

@@ -0,0 +1,65 @@
+{% include 'partials/notify.html' %}
+
+<table
+  class="table is-fullwidth is-hoverable"
+  hx-target="#{{ context_object_name }}-table"
+  id="{{ context_object_name }}-table"
+  hx-swap="outerHTML"
+  hx-trigger="{{ context_object_name_singular }}Event from:body"
+  hx-get="{{ list_url }}">
+  <thead>
+    <th>id</th>
+    <th>user</th>
+    <th>name</th>
+    <th>description</th>
+    <th>max loss percent</th>
+    <th>max risk percent</th>
+    <th>max open trades</th>
+    <th>max open trades per symbol</th>
+    <th>actions</th>
+  </thead>
+  {% for item in object_list %}
+    <tr>
+      <td>{{ item.id }}</td>
+      <td>{{ item.user }}</td>
+      <td>{{ item.name }}</td>
+      <td>{{ item.description }}</td>
+      <td>{{ item.max_loss_percent }}</td>
+      <td>{{ item.max_risk_percent }}</td>
+      <td>{{ item.max_open_trades }}</td>
+      <td>{{ item.max_open_trades_per_symbol }}</td>
+      <td>
+        <div class="buttons">
+          <button
+            hx-headers='{"X-CSRFToken": "{{ csrf_token }}"}'
+            hx-get="{% url 'risk_update' type=type pk=item.id %}"
+            hx-trigger="click"
+            hx-target="#{{ type }}s-here"
+            hx-swap="innerHTML"
+            class="button">
+            <span class="icon-text">
+              <span class="icon">
+                <i class="fa-solid fa-pencil"></i>
+              </span>
+            </span>
+          </button>
+          <button
+            hx-headers='{"X-CSRFToken": "{{ csrf_token }}"}'
+            hx-delete="{% url 'risk_delete' type=type pk=item.id %}"
+            hx-trigger="click"
+            hx-target="#modals-here"
+            hx-swap="innerHTML"
+            hx-confirm="Are you sure you wish to delete {{ item.name }}?"
+            class="button">
+            <span class="icon-text">
+              <span class="icon">
+                <i class="fa-solid fa-xmark"></i>
+              </span>
+            </span>
+          </button>
+        </div>
+      </td>
+    </tr>
+  {% endfor %}
+
+</table>

core/tests/trading/test_risk.py

@@ -0,0 +1,191 @@
+from django.test import TestCase
+
+from core.models import RiskModel, User
+from core.trading import risk
+
+
+class RiskModelTestCase(TestCase):
+    def setUp(self):
+        self.user = User.objects.create_user(
+            username="testuser", email="test@example.com", password="test"
+        )
+
+        self.risk_model = RiskModel.objects.create(
+            user=self.user,
+            name="Test Risk Model",
+            max_loss_percent=50,
+            max_risk_percent=10,
+            max_open_trades=3,
+            max_open_trades_per_symbol=2,
+        )
+        self.account_initial_balance = 100
+        self.trade = {
+            "symbol": "XXXYYY",
+            "side": "BUY",
+            # We already calculated the TP percent loss relative to the account size
+            "tp_percent": 9,
+            "sl_percent": 9,
+            "tsl_percent": 9,
+        }
+
+    def test_check_max_loss(self):
+        """
+        Check that we can open a trade within the max loss limit.
+        """
+        account_balance = 100  # We have lost no money
+        allowed = risk.check_max_loss(
+            self.risk_model, self.account_initial_balance, account_balance
+        )
+        self.assertTrue(allowed)
+
+    def test_check_max_loss_fail_exact(self):
+        """
+        Check that we cannot open a trade outside the max loss limit where the amount
+        lost is exactly the max loss limit.
+        """
+        account_balance = 50  # We have lost 50% exactly
+        allowed = risk.check_max_loss(
+            self.risk_model, self.account_initial_balance, account_balance
+        )
+        self.assertFalse(allowed)
+
+    def test_check_max_loss_fail(self):
+        """
+        Check that we cannot open a trade outside the max loss limit.
+        """
+        account_balance = 49  # We have lost 51%
+        allowed = risk.check_max_loss(
+            self.risk_model, self.account_initial_balance, account_balance
+        )
+        self.assertFalse(allowed)
+
+    def test_check_max_risk(self):
+        """
+        Check that we can open a trade within the max risk limit.
+        """
+        account_trades = [self.trade]
+        allowed = risk.check_max_risk(self.risk_model, account_trades)
+        self.assertTrue(allowed)
+
+    def test_check_max_risk_multiple_trades(self):
+        """
+        Check that we can open a trade within the max risk limit where there are
+        multiple trades.
+        """
+        trade = self.trade.copy()
+        trade["sl_percent"] = 1
+        trade["tsl_percent"] = 1
+        account_trades = [trade] * 9
+        allowed = risk.check_max_risk(self.risk_model, account_trades)
+        self.assertTrue(allowed)
+
+    def test_check_max_risk_fail_exact(self):
+        """
+        Check that we cannot open a trade outside the max risk limit where the amount
+        risked is exactly the max risk limit.
+        """
+        trade = self.trade.copy()
+        trade["sl_percent"] = 10
+        account_trades = [trade]
+        allowed = risk.check_max_risk(self.risk_model, account_trades)
+        self.assertFalse(allowed)
+
+    def test_check_max_risk_fail_exact_multiple_trades(self):
+        """
+        Check that we cannot open a trade outside the max risk limit where the amount
+        risked is exactly the max risk limit with multiple trades.
+        """
+        trade = self.trade.copy()
+        trade["sl_percent"] = 1
+        trade["tsl_percent"] = 1
+        account_trades = [trade] * 10
+        allowed = risk.check_max_risk(self.risk_model, account_trades)
+        self.assertFalse(allowed)
+
+    def test_check_max_open_trades(self):
+        """
+        Check that we can open a trade within the max open trades limit.
+        """
+        account_trades = [self.trade] * 2
+        allowed = risk.check_max_open_trades(self.risk_model, account_trades)
+        self.assertTrue(allowed)
+
+    def test_check_max_open_trades_fail_exact(self):
+        """
+        Check that we cannot open a trade at the max open trades limit.
+        """
+        account_trades = [self.trade] * 3
+        allowed = risk.check_max_open_trades(self.risk_model, account_trades)
+        self.assertFalse(allowed)
+
+    def test_check_max_open_trades_fail(self):
+        """
+        Check that we cannot open a trade outside the max open trades limit.
+        """
+        account_trades = [self.trade] * 4
+        allowed = risk.check_max_open_trades(self.risk_model, account_trades)
+        self.assertFalse(allowed)
+
+    def test_check_max_open_trades_per_symbol(self):
+        """
+        Check that we can open a trade within the max open trades per symbol limit.
+        """
+        account_trades = [self.trade]
+        allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
+        self.assertTrue(allowed)
+
+    def test_check_max_open_trades_per_symbol_fail_exact(self):
+        """
+        Check that we cannot open a trade at the max open trades per symbol limit.
+        """
+        account_trades = [self.trade] * 2
+        allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
+        self.assertFalse(allowed)
+
+    def test_check_max_open_trades_per_symbol_fail(self):
+        """
+        Check that we cannot open a trade outside the max open trades per symbol limit.
+        """
+        account_trades = [self.trade] * 3
+        allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
+        self.assertFalse(allowed)
+
+    def test_check_max_open_trades_per_symbol_different_symbols(self):
+        """
+        Check that we can open a trade within the max open trades per symbol limit with
+        different symbols.
+        """
+        trade1 = self.trade.copy()
+        trade2 = self.trade.copy()
+        trade1["symbol"] = "ONE"
+        trade2["symbol"] = "TWO"
+        account_trades = [trade1, trade2]
+        allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
+        self.assertTrue(allowed)
+
+    def test_check_max_open_trades_per_symbol_fail_exact_different_symbols(self):
+        """
+        Check that we cannot open a trade at the max open trades per symbol limit with
+        different symbols.
+        """
+        trade1 = self.trade.copy()
+        trade2 = self.trade.copy()
+        trade1["symbol"] = "ONE"
+        trade2["symbol"] = "TWO"
+        account_trades = [trade1, trade2, trade1, trade2]
+        allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
+        self.assertFalse(allowed)
+
+    def test_check_max_open_trades_per_symbol_fail_different_symbols(self):
+        """
+        Check that we cannot open a trade outside the max open trades per symbol limit
+        with different symbols.
+        """
+        trade1 = self.trade.copy()
+        trade2 = self.trade.copy()
+        trade1["symbol"] = "ONE"
+        trade2["symbol"] = "TWO"
+        # Each one 3 times
+        account_trades = [trade1, trade2, trade1, trade2, trade1, trade2]
+        allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
+        self.assertFalse(allowed)

core/trading/risk.py

@@ -0,0 +1,46 @@
+def check_max_loss(risk_model, initial_balance, account_balance):
+    """
+    Check that the account balance is within the max loss limit.
+    """
+    max_loss_percent = risk_model.max_loss_percent
+    max_loss = initial_balance * (max_loss_percent / 100)
+    return account_balance > max_loss
+
+
+def check_max_risk(risk_model, 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
+    total_risk = 0
+    for trade in account_trades:
+        max_tmp = []
+        if "sl_percent" in trade:
+            max_tmp.append(trade["sl_percent"])
+        if "tsl_percent" in trade:
+            max_tmp.append(trade["tsl_percent"])
+        total_risk += max(max_tmp)
+    return total_risk < max_risk_percent
+
+
+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.
+    """
+    return len(account_trades) < risk_model.max_open_trades
+
+
+def check_max_open_trades_per_symbol(risk_model, account_trades):
+    """
+    Check we cannot open more trades per symbol than permissible.
+    """
+    symbol_map = {}
+    for trade in account_trades:
+        symbol = trade["symbol"]
+        if symbol not in symbol_map:
+            symbol_map[symbol] = 0
+        symbol_map[symbol] += 1
+    for symbol, count in symbol_map.items():
+        if count >= risk_model.max_open_trades_per_symbol:
+            return False
+    return True

core/views/risk.py

@@ -0,0 +1,37 @@
+from django.contrib.auth.mixins import LoginRequiredMixin
+
+from core.forms import RiskModelForm
+from core.models import RiskModel
+from core.util import logs
+from core.views import ObjectCreate, ObjectDelete, ObjectList, ObjectUpdate
+
+log = logs.get_logger(__name__)
+
+
+class RiskList(LoginRequiredMixin, ObjectList):
+    list_template = "partials/risk-list.html"
+    model = RiskModel
+    page_title = "List of risk management strategies. Linked to accounts."
+
+    list_url_name = "risks"
+    list_url_args = ["type"]
+
+    submit_url_name = "risk_create"
+
+
+class RiskCreate(LoginRequiredMixin, ObjectCreate):
+    model = RiskModel
+    form_class = RiskModelForm
+
+    submit_url_name = "risk_create"
+
+
+class RiskUpdate(LoginRequiredMixin, ObjectUpdate):
+    model = RiskModel
+    form_class = RiskModelForm
+
+    submit_url_name = "risk_update"
+
+
+class RiskDelete(LoginRequiredMixin, ObjectDelete):
+    model = RiskModel