from datetime import datetime from decimal import Decimal as D 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 from core.util import logs log = logs.get_logger(__name__) 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. 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"] symbol = trade["symbol"] side = trade["side"] direction = side_to_direction(side) base, quote = get_base_quote(account.exchange, symbol) amount_usd = common.to_currency(direction, account, amount, base, "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 return trades def get_base_quote(exchange, symbol): """ Get the base and quote currencies from a symbol. :param exchange: Exchange name :param symbol: Symbol :return: Tuple of base and quote currencies """ if exchange == "alpaca": separator = "/" elif exchange == "oanda": separator = "_" base, quote = symbol.split(separator) return (base, quote) def get_price(account, direction, symbol): """ Get the price for a given symbol. :param account: Account object :param direction: direction of the trade :param symbol: symbol :return: price of bid for buys, price of ask for sells """ if direction == "buy": price_index = "bids" elif direction == "sell": price_index = "asks" try: prices = account.client.get_currencies([symbol]) except GenericAPIError as e: log.error(f"Error getting currencies: {e}") return None price = D(prices["prices"][0][price_index][0]["price"]) return price def get_trade_size_in_base(direction, account, strategy, cash_balance, base): """ Get the trade size in the base currency. :param direction: Direction of the trade :param account: Account object :param strategy: Strategy object :param cash_balance: Cash balance in the Account's base currency :param base: Base currency :return: Trade size in the base currency """ # Convert the trade size in percent to a ratio trade_size_as_ratio = D(strategy.trade_size_percent) / D(100) log.debug(f"Trade size as ratio: {trade_size_as_ratio}") # Multiply with cash balance to get the trade size in the account's # base currency amount_fiat = D(trade_size_as_ratio) * D(cash_balance) log.debug(f"Trade size: {amount_fiat}") # Convert the trade size to the base currency if account.currency.lower() == base.lower(): trade_size_in_base = amount_fiat else: 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}") return trade_size_in_base def get_tp(direction, take_profit_percent, price): """ Get the take profit price. :param direction: Direction of the trade :param strategy: Strategy object :param price: Entry price """ # Convert to ratio take_profit_as_ratio = D(take_profit_percent) / D(100) log.debug(f"Take profit as ratio: {take_profit_as_ratio}") take_profit_var = D(price) * D(take_profit_as_ratio) log.debug(f"Take profit var: {take_profit_var}") if direction == "buy": take_profit = D(price) + D(take_profit_var) elif direction == "sell": take_profit = D(price) - D(take_profit_var) log.debug(f"Take profit: {take_profit}") return take_profit def get_sl(direction, stop_loss_percent, price, return_var=False): """ Get the stop loss price. Also used for trailing stop loss. :param direction: Direction of the trade :param strategy: Strategy object :param price: Entry price """ # Convert to ratio stop_loss_as_ratio = D(stop_loss_percent) / D(100) log.debug(f"Stop loss as ratio: {stop_loss_as_ratio}") stop_loss_var = D(price) * D(stop_loss_as_ratio) log.debug(f"Stop loss var: {stop_loss_var}") if return_var: return stop_loss_var if direction == "buy": stop_loss = D(price) - D(stop_loss_var) elif direction == "sell": stop_loss = D(price) + D(stop_loss_var) log.debug(f"Stop loss: {stop_loss}") return stop_loss def get_tp_sl(direction, strategy, price, round_to=None): """ Get the take profit and stop loss prices. :param direction: Direction of the trade :param strategy: Strategy object :param price: Price of the trade :return: Take profit and stop loss prices """ cast = {} if strategy.take_profit_percent != 0: cast["take_profit"] = get_tp(direction, strategy.take_profit_percent, price) if strategy.stop_loss_percent != 0: cast["stop_loss"] = get_sl(direction, strategy.stop_loss_percent, price) # Look up the TSL if required by the strategy if strategy.trailing_stop_loss_percent != 0: cast["trailing_stop_loss"] = get_sl( direction, strategy.trailing_stop_loss_percent, price, return_var=True ) if round_to: for key in cast: cast[key] = float(round(cast[key], round_to)) return cast def get_price_bound(direction, strategy, price, 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 current price * Calculate the price bounds such that the maximum slippage should be within the price slippage relative to the current price. Note that the maximum actual slippage may be as high as the sum of these two values. :param direction: Direction of the trade :param strategy: Strategy object :param price: Price of the trade :param current_price: current price from the exchange :return: Price bound """ # Convert the callback price deviation to a ratio callback_price_deviation_as_ratio = D( strategy.callback_price_deviation_percent ) / 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 price_slippage_as_ratio = D(strategy.price_slippage_percent) / D(100) log.debug(f"Maximum price slippage as ratio: {price_slippage_as_ratio}") # Calculate the price bound by multiplying with the price # The price bound is the worst price we are willing to pay for the trade price_slippage = D(current_price) * D(price_slippage_as_ratio) log.debug(f"Maximum deviation from callback price: {price_slippage}") current_price_slippage = D(current_price) * D(price_slippage_as_ratio) log.debug(f"Maximum deviation from current price: {current_price_slippage}") # Price bound is the worst price we are willing to pay for the trade # For buys, a higher price is worse if direction == "buy": price_bound = D(current_price) + D(price_slippage) # For sells, a lower price is worse elif direction == "sell": price_bound = D(current_price) - D(price_slippage) log.debug(f"Price bound: {price_bound}") return price_bound def get_precision(account, symbol): instruments = account.instruments if not instruments: log.error("No instruments found") return # Extract the information for the symbol instrument = account.client.extract_instrument(instruments, symbol) if not instrument: # sendmsg(user, f"Symbol not found: {symbol}", title="Error") log.error(f"Symbol not found: {symbol}") return (None, None) # Get the required precision try: trade_precision = instrument["tradeUnitsPrecision"] display_precision = instrument["displayPrecision"] return (trade_precision, display_precision) except KeyError: # sendmsg(user, f"Precision not found for {symbol}", title="Error") log.error(f"Precision not found for {symbol}") return (None, None) # TODO: create_trade helper # account, strategy, symbol, direction # pull all data to create the trade from the strategy # complete all crossfilter and risk management checks, etc. def execute_strategy(callback, strategy, func): """ Execute a strategy. :param callback: Callback object :param strategy: Strategy object """ # Only check times for entries. We can always exit trades and set trends. if func == "entry": # Check if we can trade now! now_utc = datetime.utcnow() 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. # We still want to set trends, though. if func in ("entry", "exit"): if not strategy.account.enabled: log.debug("Account is disabled, exiting") return # Instruments supported by the account if not strategy.account.instruments: strategy.account.update_info() # Refresh account object strategy.account = Account.objects.get(id=strategy.account.id) # Shorten some hook, strategy and callback vars for convenience user = strategy.user account = strategy.account hook = callback.hook signal = callback.signal base = callback.base quote = callback.quote direction = signal.direction # Don't be silly if callback.exchange != account.exchange: log.error("Market exchange differs from account exchange.") sendmsg(user, "Market exchange differs from account exchange.", title="Error") return # Get the pair we are trading 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}") return # Get the precision for the symbol trade_precision, display_precision = get_precision(account, symbol) if not trade_precision or not display_precision: sendmsg(user, f"Precision not found for {symbol}", title="Error") log.error(f"Precision not found for {symbol}") return # Round the received price to the display precision price = round(D(callback.price), display_precision) log.debug(f"Extracted price of quote: {price}") current_price = get_price(account, direction, symbol) log.debug(f"Callback price: {price}") log.debug(f"Current price: {current_price}") # Calculate price bound and round to the display precision price_bound = get_price_bound(direction, strategy, price, current_price) if not price_bound: return price_bound = round(price_bound, display_precision) # Callback now verified if func == "exit": check_exit = crossfilter(account, symbol, direction, func) if check_exit is None: return if not check_exit: log.debug("Exit conditions not met.") return if check_exit["action"] == "close": log.debug(f"Closing position on exit signal: {symbol}") side = check_exit["side"] response = account.client.close_position(side, symbol) log.debug(f"Close position response: {response}") sendmsg( user, f"Closing {side} position on exit signal: {symbol}", title="Exit signal", ) return # Set the trend elif func == "trend": if strategy.trends is None: strategy.trends = {} strategy.trends[symbol] = direction strategy.save() log.debug(f"Set trend for {symbol}: {direction}") return # Check if we are trading against the trend if strategy.trend_signals.exists(): if strategy.trends is None: log.debug("Refusing to trade with no trend signals received") 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_type # Get the account's balance in the native account currency cash_balance = strategy.account.client.get_balance() log.debug(f"Cash balance: {cash_balance}") # Convert the trade size, which is currently in the account's base currency, # to the base currency of the pair we are trading trade_size_in_base = get_trade_size_in_base( direction, account, strategy, cash_balance, base ) # Calculate TP/SL/TSL 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)) new_trade = Trade.objects.create( user=user, account=account, hook=hook, signal=signal, symbol=symbol, type=type, time_in_force=strategy.time_in_force, # amount_fiat=amount_fiat, amount=amount_rounded, # price=price_bound, price=price_bound, direction=direction, **protection, ) new_trade.save() # Run the crossfilter to ensure we don't trade the same pair in opposite directions filtered = crossfilter(account, symbol, direction, func) # TP/SL calculation and get_trade_size_in_base are wasted here, but it's important # to record the decision in the Trade object. We can only get it after we do those. # It shows what would be done. if filtered: log.debug(f"Trade filtered. Action: {filtered['action']}") if filtered["action"] == "rejected": new_trade.status = "rejected" new_trade.save() sendmsg( user, ( f"{direction} on {symbol} rejected due to conflicting position: " f"{filtered['positions']}" ), title="Trade rejected", ) else: info = new_trade.post() log.debug(f"Posted trade: {info}") # Send notification with limited number of fields wanted_fields = ["requestID", "type", "symbol", "units", "reason"] sendmsg( user, ", ".join([str(v) for k, v in info.items() if k in wanted_fields]), title=f"{direction} {amount_rounded} on {symbol}", ) def process_callback(callback): log.info(f"Received callback for {callback.hook} - {callback.signal}") # Scan for trend log.debug("Scanning for trend strategies...") strategies = Strategy.objects.filter(trend_signals=callback.signal, enabled=True) log.debug(f"Matched strategies: {strategies}") for strategy in strategies: log.debug(f"Executing strategy {strategy}") if callback.hook.user != strategy.user: log.error("Ownership differs between callback and strategy.") continue execute_strategy(callback, strategy, func="trend") # Scan for entry log.debug("Scanning for entry strategies...") strategies = Strategy.objects.filter(entry_signals=callback.signal, enabled=True) log.debug(f"Matched strategies: {strategies}") for strategy in strategies: log.debug(f"Executing strategy {strategy}") if callback.hook.user != strategy.user: log.error("Ownership differs between callback and strategy.") continue execute_strategy(callback, strategy, func="entry") # Scan for exit log.debug("Scanning for exit strategies...") strategies = Strategy.objects.filter(exit_signals=callback.signal, enabled=True) log.debug(f"Matched strategies: {strategies}") for strategy in strategies: log.debug(f"Executing strategy {strategy}") if callback.hook.user != strategy.user: log.error("Ownership differs between callback and strategy.") continue execute_strategy(callback, strategy, func="exit")