You cannot select more than 25 topics
Topics must start with a letter or number, can include dashes ('-') and can be up to 35 characters long.
86 lines
3.0 KiB
Python
86 lines
3.0 KiB
Python
from datetime import datetime
|
|
from decimal import Decimal as D
|
|
|
|
from core.exchanges.convert import side_to_direction
|
|
from core.trading import checks
|
|
from core.trading.market import get_base_quote, get_trade_size_in_base
|
|
|
|
|
|
class ActiveManagement(object):
|
|
def __init__(self, strategy):
|
|
self.strategy = strategy
|
|
self.policy = strategy.active_management_policy
|
|
|
|
self.trades = []
|
|
self.balance = None
|
|
|
|
def get_trades(self):
|
|
if not self.trades:
|
|
self.trades = self.strategy.account.client.get_all_open_trades()
|
|
return self.trades
|
|
|
|
def get_balance(self):
|
|
if self.balance is None:
|
|
self.balance = self.strategy.account.client.get_balance()
|
|
else:
|
|
return self.balance
|
|
|
|
def handle_violation(self, check_type, action, trade):
|
|
print("VIOLATION", check_type, action, trade)
|
|
|
|
def check_trading_time(self, trade):
|
|
open_ts = trade["openTime"]
|
|
open_ts_as_date = datetime.strptime(open_ts, "%Y-%m-%dT%H:%M:%S.%fZ")
|
|
trading_time_pass = checks.within_trading_times(self.strategy, open_ts_as_date)
|
|
if not trading_time_pass:
|
|
self.handle_violation(
|
|
"trading_time", self.policy.when_trading_time_violated, trade
|
|
)
|
|
|
|
def check_trends(self, trade):
|
|
direction = side_to_direction(trade["side"])
|
|
symbol = trade["symbol"]
|
|
trends_pass = checks.within_trends(self.strategy, symbol, direction)
|
|
if not trends_pass:
|
|
print("VIOLATION", "trends", self.policy.when_trends_violated, trade)
|
|
self.handle_violation("trends", self.policy.when_trends_violated, trade)
|
|
|
|
def check_position_size(self, trade):
|
|
balance = self.get_balance()
|
|
print("BALANCE", balance)
|
|
direction = side_to_direction(trade["side"])
|
|
symbol = trade["symbol"]
|
|
base, quote = get_base_quote(self.strategy.account.exchange, symbol)
|
|
expected_trade_size = get_trade_size_in_base(
|
|
direction, self.strategy.account, self.strategy, balance, base
|
|
)
|
|
print("TRADE SIZE", expected_trade_size)
|
|
|
|
deviation = D(0.05) # 5%
|
|
actual_trade_size = D(trade["currentUnits"])
|
|
# Ensure the trade size not above the expected trade size by more than 5%
|
|
max_trade_size = expected_trade_size + (deviation * expected_trade_size)
|
|
within_max_trade_size = actual_trade_size <= max_trade_size
|
|
|
|
if not within_max_trade_size:
|
|
self.handle_violation(
|
|
"position_size", self.policy.when_position_size_violated, trade
|
|
)
|
|
|
|
def run_checks(self):
|
|
for trade in self.get_trades():
|
|
self.check_trading_time(trade)
|
|
self.check_trends(trade)
|
|
self.check_position_size(trade)
|
|
|
|
# Trading Time
|
|
# Max loss
|
|
# Trends
|
|
# Asset Groups
|
|
# Position Size
|
|
# Protection
|
|
# Max open positions
|
|
# Max open positions per asset
|
|
# Max risk
|
|
# Crossfilter
|