import uuid from datetime import timedelta import stripe 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.fake import FakeExchange from core.exchanges.oanda import OANDAExchange # from core.lib.customers import get_or_create, update_customer_fields from core.lib import billing from core.util import logs log = logs.get_logger(__name__) EXCHANGE_MAP = {"alpaca": AlpacaExchange, "oanda": OANDAExchange, "fake": FakeExchange} TYPE_CHOICES = ( ("market", "Market"), ("limit", "Limit"), ) DIRECTION_CHOICES = ( ("buy", "Buy"), ("sell", "Sell"), ) TIF_CHOICES = ( ("gtc", "GTC (Good Til Cancelled)"), ("gfd", "GFD (Good For Day)"), ("fok", "FOK (Fill Or Kill)"), ("ioc", "IOC (Immediate Or Cancel)"), ) DAY_CHOICES = ( (1, "Monday"), (2, "Tuesday"), (3, "Wednesday"), (4, "Thursday"), (5, "Friday"), (6, "Saturday"), (7, "Sunday"), ) SIGNAL_TYPE_CHOICES = ( ("entry", "Entry"), ("exit", "Exit"), ("trend", "Trend"), ) AGGREGATION_CHOICES = ( ("none", "None"), ("avg_sentiment", "Average sentiment"), ) STATUS_CHOICES = ( (0, "No data"), (1, "No match"), (2, "Bullish"), (3, "Bearish"), (4, "No aggregation"), (5, "Not in bounds"), (6, "Always allow"), (7, "Always deny"), ) MAPPING_CHOICES = ( (6, "Always allow"), (7, "Always deny"), (2, "Bullish"), (3, "Bearish"), ) CLOSE_NOTIFY_CHOICES = ( ("none", "None"), ("close", "Close violating trades"), ("notify", "Notify only"), ) ADJUST_CLOSE_NOTIFY_CHOICES = ( ("none", "None"), ("close", "Close violating trades"), ("notify", "Notify only"), ("adjust", "Adjust violating trades"), ) ADJUST_WITH_DIRECTION_CHOICES = ( ("none", "None"), ("close", "Close violating trades"), ("notify", "Notify only"), ("adjust", "Increase and reduce"), ("adjust_up", "Increase only"), ("adjust_down", "Reduce only"), ) # class Plan(models.Model): # name = models.CharField(max_length=255, unique=True) # description = models.CharField(max_length=1024, null=True, blank=True) # cost = models.IntegerField() # product_id = models.CharField(max_length=255, unique=True, null=True, blank=True) # image = models.CharField(max_length=1024, null=True, blank=True) # def __str__(self): # return f"{self.name} (£{self.cost})" class User(AbstractUser): # Stripe customer ID stripe_id = models.CharField(max_length=255, null=True, blank=True) customer_id = models.UUIDField(default=uuid.uuid4, null=True, blank=True) billing_provider_id = models.CharField(max_length=255, null=True, blank=True) # last_payment = models.DateTimeField(null=True, blank=True) # plans = models.ManyToManyField(Plan, blank=True) email = models.EmailField(unique=True) def delete(self, *args, **kwargs): if settings.BILLING_ENABLED: if self.stripe_id: stripe.Customer.delete(self.stripe_id) log.info(f"Deleted Stripe customer {self.stripe_id}") if self.billing_provider_id: billing.delete_customer(self) log.info(f"Deleted Billing customer {self.billing_provider_id}") super().delete(*args, **kwargs) # Override save to update attributes in Lago def save(self, *args, **kwargs): if self.customer_id is None: self.customer_id = uuid.uuid4() if settings.BILLING_ENABLED: if not self.stripe_id: # stripe ID not stored self.stripe_id = billing.get_or_create( self.email, self.first_name, self.last_name ) if not self.billing_provider_id: self.billing_provider_id = billing.create_or_update_customer(self) billing.update_customer_fields(self) super().save(*args, **kwargs) def get_notification_settings(self): return NotificationSettings.objects.get_or_create(user=self)[0] class Account(models.Model): EXCHANGE_CHOICES = (("alpaca", "Alpaca"), ("oanda", "OANDA"), ("fake", "Fake")) user = models.ForeignKey(User, on_delete=models.CASCADE) name = models.CharField(max_length=255) exchange = models.CharField(choices=EXCHANGE_CHOICES, max_length=255) api_key = models.CharField(max_length=255) api_secret = models.CharField(max_length=255) sandbox = models.BooleanField(default=False) enabled = models.BooleanField(default=True) supported_symbols = models.JSONField(default=list) instruments = models.JSONField(default=list) currency = models.CharField(max_length=255, null=True, blank=True) initial_balance = models.FloatField(default=0) def __str__(self): name = f"{self.name} ({self.exchange})" if self.sandbox: name += " (sandbox)" return name def update_info(self, save=True): client = self.get_client() if client: response = client.get_instruments() supported_symbols = client.get_supported_assets(response) currency = client.get_account()["currency"] log.debug(f"Supported symbols for {self.name}: {supported_symbols}") self.supported_symbols = supported_symbols self.instruments = response self.currency = currency if save: self.save() def save(self, *args, **kwargs): """ Override the save function to update supported symbols. """ if self.exchange != "fake": self.update_info(save=False) super().save(*args, **kwargs) def get_client(self): if self.exchange in EXCHANGE_MAP: return EXCHANGE_MAP[self.exchange](self) else: raise Exception(f"Exchange not supported : {self.exchange}") @property def client(self): """ Convenience property for one-off API calls. """ 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) @classmethod def get_by_id_no_user_check(cls, account_id): return cls.objects.get(id=account_id) class Hook(models.Model): user = models.ForeignKey(User, on_delete=models.CASCADE) name = models.CharField(max_length=1024) hook = models.CharField(max_length=255, unique=True) # hook URL received = models.IntegerField(default=0) def __str__(self): return f"{self.name} ({self.hook})" class Signal(models.Model): user = models.ForeignKey(User, on_delete=models.CASCADE) name = models.CharField(max_length=1024) signal = models.CharField(max_length=256) # signal name hook = models.ForeignKey(Hook, on_delete=models.CASCADE) direction = models.CharField(choices=DIRECTION_CHOICES, max_length=255) received = models.IntegerField(default=0) type = models.CharField(choices=SIGNAL_TYPE_CHOICES, max_length=255) def __str__(self): return f"{self.name} ({self.hook.name}) - {self.direction}" class Trade(models.Model): user = models.ForeignKey(User, on_delete=models.CASCADE) account = models.ForeignKey(Account, on_delete=models.CASCADE) hook = models.ForeignKey(Hook, on_delete=models.CASCADE, null=True, blank=True) signal = models.ForeignKey(Signal, on_delete=models.CASCADE, null=True, blank=True) symbol = models.CharField(max_length=255) time_in_force = models.CharField(choices=TIF_CHOICES, max_length=255, default="gtc") type = models.CharField(choices=TYPE_CHOICES, max_length=255) amount = models.FloatField(null=True, blank=True) amount_usd = models.FloatField(null=True, blank=True) price = models.FloatField(null=True, blank=True) stop_loss = models.FloatField(null=True, blank=True) trailing_stop_loss = models.FloatField(null=True, blank=True) take_profit = models.FloatField(null=True, blank=True) status = models.CharField(max_length=255, null=True, blank=True) information = models.JSONField(null=True, blank=True) direction = models.CharField(choices=DIRECTION_CHOICES, max_length=255) # To populate from the trade order_id = models.CharField(max_length=255, null=True, blank=True) client_order_id = models.CharField(max_length=255, null=True, blank=True) response = models.JSONField(null=True, blank=True) def __init__(self, *args, **kwargs): super().__init__(*args, **kwargs) self._original = self def post(self): if self.status in ["rejected", "close"]: log.debug(f"Trade {self.id} rejected. Not posting.") log.debug(f"Trade {self.id} information: {self.information}") else: return self.account.client.post_trade(self) def delete(self, *args, **kwargs): # close the trade super().delete(*args, **kwargs) @classmethod def get_by_id(cls, trade_id, user): return cls.objects.get(id=trade_id, user=user) @classmethod def get_by_id_or_order(cls, trade_id, account_id, user): try: account = Account.objects.get(id=account_id, user=user) except Account.DoesNotExist: return None try: return cls.objects.get(id=trade_id, account=account, user=user) except cls.DoesNotExist: try: return cls.objects.get(order_id=trade_id, account=account, user=user) except cls.DoesNotExist: return None class Callback(models.Model): hook = models.ForeignKey(Hook, on_delete=models.CASCADE) signal = models.ForeignKey(Signal, on_delete=models.CASCADE) title = models.CharField(max_length=1024, null=True, blank=True) message = models.CharField(max_length=1024, null=True, blank=True) period = models.CharField(max_length=255, null=True, blank=True) sent = models.BigIntegerField(null=True, blank=True) trade = models.BigIntegerField(null=True, blank=True) exchange = models.CharField(max_length=255, null=True, blank=True) base = models.CharField(max_length=255, null=True, blank=True) quote = models.CharField(max_length=255, null=True, blank=True) contract = models.CharField(max_length=255, null=True, blank=True) price = models.FloatField(null=True, blank=True) symbol = models.CharField(max_length=255) class TradingTime(models.Model): user = models.ForeignKey(User, on_delete=models.CASCADE) name = models.CharField(max_length=255) description = models.TextField(null=True, blank=True) start_day = models.IntegerField(choices=DAY_CHOICES) end_day = models.IntegerField(choices=DAY_CHOICES) start_time = models.TimeField() end_time = models.TimeField() def within_range(self, ts): """ Check if the specified time is within the configured trading times. :param ts: Timestamp :type ts: datetime :return: whether or not the time is within the trading range :rtype: bool """ start_day = self.start_day end_day = self.end_day # Check the day is between the start and end day if not start_day <= ts.weekday() + 1 <= end_day: return False start_time = self.start_time end_time = self.end_time # Get what the start time would be this week ts_monday = ts - timedelta(days=ts.weekday()) # Now we need to add our day of week to monday # Let's set the offset now since it's off by one offset_start = start_day - 1 # Datetime: monday=0, tuesday=1, us: monday=1, tuesday=2, so we need to subtract # one from ours to not be off by one offset_end = end_day - 1 # Now we can add the offset to the monday start = ts_monday + timedelta(days=offset_start) start = start.replace( hour=start_time.hour, minute=start_time.minute, second=start_time.second, microsecond=start_time.microsecond, ) end = ts_monday + timedelta(days=offset_end) end = end.replace( hour=end_time.hour, minute=end_time.minute, second=end_time.second, microsecond=end_time.microsecond, ) # Check if the ts is between the start and end times # ts must be more than start and less than end return ts >= start and ts <= end return True def __str__(self): return ( f"{self.name} ({self.get_start_day_display()} at {self.start_time} - " f"{self.get_end_day_display()} at {self.end_time})" ) class Strategy(models.Model): user = models.ForeignKey(User, on_delete=models.CASCADE) name = models.CharField(max_length=255) description = models.TextField(null=True, blank=True) account = models.ForeignKey(Account, on_delete=models.CASCADE) trading_times = models.ManyToManyField(TradingTime) entry_signals = models.ManyToManyField( Signal, related_name="entry_strategies", blank=True ) exit_signals = models.ManyToManyField( Signal, related_name="exit_strategies", blank=True ) trend_signals = models.ManyToManyField( Signal, related_name="trend_strategies", blank=True ) enabled = models.BooleanField(default=False) signal_trading_enabled = models.BooleanField(default=False) active_management_enabled = models.BooleanField(default=False) trends = models.JSONField(null=True, blank=True) asset_group = models.ForeignKey( "core.AssetGroup", on_delete=models.PROTECT, null=True, blank=True ) risk_model = models.ForeignKey( "core.RiskModel", on_delete=models.PROTECT, null=True, blank=True ) order_settings = models.ForeignKey( "core.OrderSettings", on_delete=models.PROTECT, ) active_management_policy = models.ForeignKey( "core.ActiveManagementPolicy", on_delete=models.PROTECT, null=True, blank=True, ) class Meta: verbose_name_plural = "strategies" def __str__(self): return self.name class NotificationSettings(models.Model): user = models.OneToOneField(User, on_delete=models.CASCADE) ntfy_topic = models.CharField(max_length=255, null=True, blank=True) ntfy_url = models.CharField(max_length=255, null=True, blank=True) def __str__(self): return f"Notification settings for {self.user}" 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) price_slippage_percent = models.FloatField(default=2.5) callback_price_deviation_percent = models.FloatField(default=0.5) def __str__(self): return self.name class AssetGroup(models.Model): user = models.ForeignKey(User, on_delete=models.CASCADE) name = models.CharField(max_length=255) description = models.TextField(null=True, blank=True) webhook_id = models.UUIDField(default=uuid.uuid4, editable=False, unique=True) when_no_data = models.IntegerField(choices=MAPPING_CHOICES, default=7) when_no_match = models.IntegerField(choices=MAPPING_CHOICES, default=6) when_no_aggregation = models.IntegerField(choices=MAPPING_CHOICES, default=6) when_not_in_bounds = models.IntegerField(choices=MAPPING_CHOICES, default=6) when_bullish = models.IntegerField(choices=MAPPING_CHOICES, default=2) when_bearish = models.IntegerField(choices=MAPPING_CHOICES, default=3) def __str__(self): return self.name @property def matches(self): """ Get the total number of matches for this group. """ asset_rule_total = AssetRule.objects.filter(group=self).count() asset_rule_positive = AssetRule.objects.filter(group=self, status=2).count() return f"{asset_rule_positive}/{asset_rule_total}" class AssetRule(models.Model): user = models.ForeignKey(User, on_delete=models.CASCADE) asset = models.CharField(max_length=64) group = models.ForeignKey(AssetGroup, on_delete=models.CASCADE) aggregation = models.CharField( choices=AGGREGATION_CHOICES, max_length=255, default="none" ) value = models.FloatField(null=True, blank=True) original_status = models.IntegerField(choices=STATUS_CHOICES, default=0) status = models.IntegerField(choices=STATUS_CHOICES, default=0) trigger_below = models.FloatField(null=True, blank=True) trigger_above = models.FloatField(null=True, blank=True) # Ensure that the asset is unique per group class Meta: unique_together = ("asset", "group") class OrderSettings(models.Model): user = models.ForeignKey(User, on_delete=models.CASCADE) name = models.CharField(max_length=255) description = models.TextField(null=True, blank=True) order_type = models.CharField( choices=TYPE_CHOICES, max_length=255, default="market" ) time_in_force = models.CharField(choices=TIF_CHOICES, max_length=255, default="gtc") take_profit_percent = models.FloatField(default=1.5) stop_loss_percent = models.FloatField(default=1.0) trailing_stop_loss_percent = models.FloatField(default=1.0, null=True, blank=True) trade_size_percent = models.FloatField(default=0.5) def __str__(self): return self.name class ActiveManagementPolicy(models.Model): user = models.ForeignKey(User, on_delete=models.CASCADE) name = models.CharField(max_length=255) description = models.TextField(null=True, blank=True) when_trading_time_violated = models.CharField( choices=CLOSE_NOTIFY_CHOICES, max_length=255, default="none" ) when_trends_violated = models.CharField( choices=CLOSE_NOTIFY_CHOICES, max_length=255, default="none" ) when_position_size_violated = models.CharField( choices=ADJUST_CLOSE_NOTIFY_CHOICES, max_length=255, default="none" ) when_protection_violated = models.CharField( choices=ADJUST_CLOSE_NOTIFY_CHOICES, max_length=255, default="none" ) when_asset_groups_violated = models.CharField( choices=CLOSE_NOTIFY_CHOICES, max_length=255, default="none" ) when_max_open_trades_violated = models.CharField( choices=CLOSE_NOTIFY_CHOICES, max_length=255, default="none" ) when_max_open_trades_per_symbol_violated = models.CharField( choices=CLOSE_NOTIFY_CHOICES, max_length=255, default="none" ) when_max_loss_violated = models.CharField( choices=CLOSE_NOTIFY_CHOICES, max_length=255, default="none" ) when_max_risk_violated = models.CharField( choices=CLOSE_NOTIFY_CHOICES, max_length=255, default="none" ) when_crossfilter_violated = models.CharField( choices=CLOSE_NOTIFY_CHOICES, max_length=255, default="none" ) def __str__(self): return self.name