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305 lines
12 KiB
Python
305 lines
12 KiB
Python
from datetime import datetime
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from decimal import Decimal as D
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import core.trading.market # to avoid messy circular import
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from core.exchanges.convert import (
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convert_trades,
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side_to_direction,
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sl_percent_to_price,
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tp_percent_to_price,
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)
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from core.trading import assetfilter, checks, risk
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from core.trading.crossfilter import crossfilter
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from core.trading.market import get_base_quote, get_trade_size_in_base
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class ActiveManagement(object):
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def __init__(self, strategy):
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self.strategy = strategy
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self.policy = strategy.active_management_policy
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self.trades = []
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self.balance = None
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def get_trades(self):
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if not self.trades:
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self.trades = self.strategy.account.client.get_all_open_trades()
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return self.trades
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def get_balance(self):
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if self.balance is None:
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self.balance = self.strategy.account.client.get_balance()
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else:
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return self.balance
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def handle_violation(self, check_type, action, trade, **kwargs):
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print("VIOLATION", check_type, action, trade, kwargs)
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def check_trading_time(self, trade):
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open_ts = trade["open_time"]
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open_ts_as_date = datetime.strptime(open_ts, "%Y-%m-%dT%H:%M:%S.%fZ")
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trading_time_pass = checks.within_trading_times(self.strategy, open_ts_as_date)
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if not trading_time_pass:
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self.handle_violation(
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"trading_time", self.policy.when_trading_time_violated, trade
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)
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def check_trends(self, trade):
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direction = trade["direction"]
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symbol = trade["symbol"]
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trends_pass = checks.within_trends(self.strategy, symbol, direction)
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if not trends_pass:
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self.handle_violation("trends", self.policy.when_trends_violated, trade)
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def check_position_size(self, trade):
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"""
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Check the position size is within the allowed deviation.
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WARNING: This uses the current balance, not the balance at the time of the trade.
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WARNING: This uses the current symbol prices, not those at the time of the trade.
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This should normally be run every 5 seconds, so this is fine.
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"""
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# TODO: add the trade value to the balance
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# Need to determine which prices to use
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balance = self.get_balance()
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direction = trade["direction"]
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symbol = trade["symbol"]
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# TODO:
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base, quote = get_base_quote(self.strategy.account.exchange, symbol)
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expected_trade_size = get_trade_size_in_base(
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direction, self.strategy.account, self.strategy, balance, base
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)
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deviation = D(0.05) # 5%
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actual_trade_size = D(trade["amount"])
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# Ensure the trade size not above the expected trade size by more than 5%
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max_trade_size = expected_trade_size + (deviation * expected_trade_size)
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within_max_trade_size = actual_trade_size <= max_trade_size
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if not within_max_trade_size:
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self.handle_violation(
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"position_size",
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self.policy.when_position_size_violated,
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trade,
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{"size": expected_trade_size},
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)
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def check_protection(self, trade):
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deviation = D(0.05) # 5%
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matches = {
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"stop_loss_percent": self.strategy.order_settings.stop_loss_percent,
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"take_profit_percent": self.strategy.order_settings.take_profit_percent,
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"trailing_stop_percent": self.strategy.order_settings.trailing_stop_loss_percent,
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}
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violations = {}
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for key, expected in matches.items():
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if expected == 0:
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continue
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if key in trade:
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actual = D(trade[key])
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expected = D(expected)
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min_val = expected - (deviation * expected)
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max_val = expected + (deviation * expected)
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within_deviation = min_val <= actual <= max_val
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else:
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within_deviation = False
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if not within_deviation:
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# violations[key] = expected
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if key == "take_profit_percent":
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tp_price = tp_percent_to_price(
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expected,
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trade["side"],
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trade["current_price"],
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trade["amount"],
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trade["pl"],
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)
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violations["take_profit_price"] = tp_price
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elif key == "stop_loss_percent":
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sl_price = sl_percent_to_price(
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expected,
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trade["side"],
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trade["current_price"],
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trade["amount"],
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trade["pl"],
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)
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violations["stop_loss_price"] = sl_price
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elif key == "trailing_stop_loss_percent":
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tsl_price = sl_percent_to_price(
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expected,
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trade["side"],
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trade["current_price"],
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trade["amount"],
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trade["pl"],
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)
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violations["trailing_stop_loss_price"] = tsl_price
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if violations:
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self.handle_violation(
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"protection", self.policy.when_protection_violated, trade, violations
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)
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def check_asset_groups(self, trade):
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if self.strategy.asset_group is not None:
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base, quote = get_base_quote(
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self.strategy.account.exchange, trade["symbol"]
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)
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allowed = assetfilter.get_allowed(
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self.strategy.asset_group, base, quote, trade["side"]
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)
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if not allowed:
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self.handle_violation(
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"asset_group", self.policy.when_asset_groups_violated, trade
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)
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def get_sorted_trades_copy(self, trades, reverse=True):
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trades_copy = trades.copy()
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# sort by open time, newest first
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trades_copy.sort(
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key=lambda x: datetime.strptime(x["open_time"], "%Y-%m-%dT%H:%M:%S.%fZ"),
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reverse=reverse,
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)
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return trades_copy
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def check_crossfilter(self, trades):
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close_trades = []
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trades_copy = self.get_sorted_trades_copy(trades)
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iterations = 0
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finished = []
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# Recursively run crossfilter on the newest-first list until we have no more conflicts
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while not len(finished) == len(trades):
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iterations += 1
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if iterations > 10000:
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raise Exception("Too many iterations")
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# For each trade
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for trade in trades_copy:
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# Abort if we've already checked this trade
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if trade in close_trades:
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continue
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# Calculate trades excluding this one
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# Also remove if we have already checked this
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others = [
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t
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for t in trades_copy
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if t["id"] != trade["id"] and t not in close_trades
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]
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symbol = trade["symbol"]
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direction = trade["direction"]
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func = "entry"
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# Check if this trade is filtered, pretending we are opening it
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# And passing the remaining trades as the other trades in the account
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filtered = crossfilter(
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self.strategy.account, symbol, direction, func, all_positions=others
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)
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if not filtered:
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# This trade is fine, add it to finished
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finished.append(trade)
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continue
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if filtered["action"] == "rejected":
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# It's rejected, add it to the close trades list
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# And don't check it again
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finished.append(trade)
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close_trades.append(trade)
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if not close_trades:
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return
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# For each conflicting symbol, identify the oldest trades
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# removed_trades = []
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# for symbol in conflict:
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# newest_trade = max(conflict, key=lambda x: datetime.strptime(x["open_time"], "%Y-%m-%dT%H:%M:%S.%fZ"))
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# removed_trades.append(newest_trade)
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# print("KEEP TRADES", keep_trade_ids)
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# close_trades = []
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# for x in keep_trade_ids:
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# for position in conflict[x]:
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# if position["id"] not in keep_trade_ids[x]:
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# close_trades.append(position)
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if close_trades:
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for trade in close_trades:
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self.handle_violation(
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"crossfilter", self.policy.when_crossfilter_violated, trade
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)
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def check_max_open_trades(self, trades):
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if self.strategy.risk_model is not None:
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max_open_pass = risk.check_max_open_trades(self.strategy.risk_model, trades)
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if not max_open_pass:
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trades_copy = self.get_sorted_trades_copy(trades, reverse=False)
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print("TRADES COPY", [x["id"] for x in trades_copy])
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print("MAX", self.strategy.risk_model.max_open_trades)
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trades_over_limit = trades_copy[
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self.strategy.risk_model.max_open_trades :
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]
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for trade in trades_over_limit:
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self.handle_violation(
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"max_open_trades",
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self.policy.when_max_open_trades_violated,
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trade,
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)
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print("TRADES OVER LIMNIT", trades_over_limit)
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def check_max_open_trades_per_symbol(self, trades):
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if self.strategy.risk_model is not None:
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max_open_pass = risk.check_max_open_trades_per_symbol(
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self.strategy.risk_model, trades, return_symbols=True
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)
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print("max_open_pass", max_open_pass)
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max_open_pass = list(max_open_pass)
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print("MAX OPEN PASS", max_open_pass)
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if max_open_pass:
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trades_copy = self.get_sorted_trades_copy(trades, reverse=False)
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trades_over_limit = []
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for symbol in max_open_pass:
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print("SYMBOL", symbol)
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print("TRADES", trades)
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symbol_trades = [x for x in trades_copy if x["symbol"] == symbol]
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exceeding_limit = symbol_trades[
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self.strategy.risk_model.max_open_trades_per_symbol :
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]
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for x in exceeding_limit:
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trades_over_limit.append(x)
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for trade in trades_over_limit:
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self.handle_violation(
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"max_open_trades_per_symbol",
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self.policy.when_max_open_trades_violated,
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trade,
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)
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print("TRADES OVER LIMNIT", trades_over_limit)
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def check_max_loss(self):
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check_passed = risk.check_max_loss(self.strategy.risk_model, self.strategy.account.initial_balance, self.get_balance())
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def check_max_risk(self, trades):
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pass
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def run_checks(self):
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converted_trades = convert_trades(self.get_trades())
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for trade in converted_trades:
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self.check_trading_time(trade)
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self.check_trends(trade)
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self.check_position_size(trade)
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self.check_protection(trade)
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self.check_asset_groups(trade)
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self.check_crossfilter(converted_trades)
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self.check_max_open_trades(converted_trades)
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self.check_max_open_trades_per_symbol(converted_trades)
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self.check_max_loss()
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self.check_max_risk(converted_trades)
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# Trading Time
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# Max loss
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# Trends
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# Asset Groups
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# Position Size
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# Protection
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# Max open positions
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# Max open positions per asset
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# Max risk
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# Crossfilter
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