from decimal import Decimal as D from core.exchanges import GenericAPIError from core.models import Strategy, Trade from core.util import logs log = logs.get_logger(__name__) # def to_usd(account, amount, from_currency): # if account.exchange == "alpaca": # separator = "/" # elif account.exchange == "oanda": # separator = "_" # symbol = f"{from_currency.upper()}{separator}{to_currency.upper()}" # prices = account.client.get_currencies([symbol]) def to_currency(direction, account, amount, from_currency, to_currency): if account.exchange == "alpaca": separator = "/" elif account.exchange == "oanda": separator = "_" if direction == "buy": price_index = "bids" elif direction == "sell": price_index = "asks" symbol = f"{from_currency.upper()}{separator}{to_currency.upper()}" if symbol not in account.supported_symbols: symbol = f"{to_currency.upper()}{separator}{from_currency.upper()}" inverted = True try: prices = account.client.get_currencies([symbol]) except GenericAPIError as e: log.error(f"Error getting currencies and inverted currencies: {e}") return None price = prices["prices"][0][price_index][0]["price"] if inverted: price = D(1.0) / D(price) converted = D(amount) * price return converted def get_pair(account, base, quote): if account.exchange == "alpaca": separator = "/" elif account.exchange == "oanda": separator = "_" symbol = f"{base.upper()}{separator}{quote.upper()}" if symbol not in account.supported_symbols: return False return symbol def get_trade_size_in_base( direction, account, strategy, cash_balance, price, base, precision ): trade_size_as_ratio = D(strategy.trade_size_percent) / D(100) log.debug(f"Trade size as ratio: {trade_size_as_ratio}") amount_fiat = D(trade_size_as_ratio) * D(cash_balance) log.debug(f"Trade size: {amount_fiat}") # We can do this because the quote IS in $ or equivalent # trade_size_in_base = D(amount_fiat) / D(price) trade_size_in_base = 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_sl(direction, strategy, price): stop_loss_as_ratio = D(strategy.stop_loss_percent) / D(100) take_profit_as_ratio = D(strategy.take_profit_percent) / D(100) log.debug(f"Stop loss as ratio: {stop_loss_as_ratio}") log.debug(f"Take profit as ratio: {take_profit_as_ratio}") stop_loss_var = D(price) * D(stop_loss_as_ratio) take_profit_var = D(price) * D(take_profit_as_ratio) log.debug(f"Stop loss var: {stop_loss_var}") log.debug(f"Take profit var: {take_profit_var}") if direction == "buy": stop_loss = D(price) - D(stop_loss_var) take_profit = D(price) + D(take_profit_var) elif direction == "sell": stop_loss = D(price) + D(stop_loss_var) take_profit = D(price) - D(take_profit_var) log.debug(f"Stop loss: {stop_loss}") log.debug(f"Take profit: {take_profit}") return (stop_loss, take_profit) def get_price_bound(direction, strategy, price): price_slippage_as_ratio = D(strategy.price_slippage_percent) / D(100) log.debug(f"Price slippage as ratio: {price_slippage_as_ratio}") price_slippage = D(price) * D(price_slippage_as_ratio) log.debug(f"Price slippage: {price_slippage}") if direction == "buy": price_bound = D(price) - D(price_slippage) elif direction == "sell": price_bound = D(price) + D(price_slippage) price_bound = D(price) + D(price_slippage) log.debug(f"Price bound: {price_bound}") return price_bound def execute_strategy(callback, strategy): cash_balance = strategy.account.client.get_balance() instruments = strategy.account.instruments log.debug(f"Cash balance: {cash_balance}") user = strategy.user account = strategy.account hook = callback.hook base = callback.base quote = callback.quote direction = hook.direction if callback.exchange != account.exchange: log.error("Market exchange differs from account exchange.") return symbol = get_pair(account, base, quote) if not symbol: log.error(f"Symbol not supported by account: {symbol}") return False instrument = strategy.account.client.extract_instrument(instruments, symbol) if not instrument: log.error(f"Symbol not found: {symbol}") return False try: trade_precision = instrument["tradeUnitsPrecision"] display_precision = instrument["displayPrecision"] except KeyError: log.error(f"Precision not found for {symbol}") return False price = round(D(callback.price), display_precision) log.debug(f"Extracted price of quote: {price}") # market_from_alpaca = get_market_value(account, symbol) # change_percent = abs(((float(market_from_alpaca)-price)/price)*100) # if change_percent > strategy.price_slippage_percent: # log.error(f"Price slippage too high: {change_percent}") # return False # type = "limit" type = "market" trade_size_in_base = get_trade_size_in_base( direction, account, strategy, cash_balance, price, base, display_precision ) stop_loss, take_profit = get_tp_sl(direction, strategy, price) price_bound = round(get_price_bound(direction, strategy, price), display_precision) new_trade = Trade.objects.create( user=user, account=account, hook=hook, symbol=symbol, type=type, # amount_fiat=amount_fiat, amount=float(round(trade_size_in_base, trade_precision)), price=price_bound, stop_loss=float(round(stop_loss, display_precision)), take_profit=float(round(take_profit, display_precision)), direction=direction, ) new_trade.save() info = new_trade.post() log.debug(f"Posted trade: {info}") def process_callback(callback): log.info(f"Received callback for {callback.hook}") strategies = Strategy.objects.filter(hooks=callback.hook, 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)