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549 lines
19 KiB
Python
549 lines
19 KiB
Python
from decimal import Decimal as D
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from unittest.mock import patch
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from django.test import TestCase
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from core.exchanges.convert import convert_trades
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from core.lib.schemas.oanda_s import parse_time
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from core.models import (
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Account,
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ActiveManagementPolicy,
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AssetGroup,
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AssetRule,
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Hook,
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Signal,
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User,
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)
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from core.tests.helpers import StrategyMixin, SymbolPriceMock
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from core.trading.active_management import ActiveManagement
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class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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def setUp(self):
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self.user = User.objects.create_user(
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username="testuser", email="test@example.com", password="test"
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)
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self.account = Account.objects.create(
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user=self.user,
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name="Test Account",
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exchange="fake",
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currency="USD",
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initial_balance=100000,
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)
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self.account.supported_symbols = ["EUR_USD", "EUR_XXX", "USD_EUR", "XXX_EUR"]
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self.account.save()
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super().setUp()
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self.active_management_policy = ActiveManagementPolicy.objects.create(
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user=self.user,
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name="Test Policy",
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when_trading_time_violated="close",
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when_trends_violated="close",
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when_position_size_violated="close",
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when_protection_violated="close",
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when_asset_groups_violated="close",
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when_max_open_trades_violated="close",
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when_max_open_trades_per_symbol_violated="close",
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when_max_loss_violated="close",
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when_max_risk_violated="close",
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when_crossfilter_violated="close",
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)
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self.strategy.active_management_policy = self.active_management_policy
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self.strategy.save()
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self.ams = ActiveManagement(self.strategy)
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self.trades = [
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{
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"id": "20083",
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"symbol": "EUR_USD",
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"price": "1.06331",
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"openTime": "2023-02-13T11:38:06.302917985Z", # Monday at 11:38
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"initialUnits": "10",
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"initialMarginRequired": "0.2966",
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"state": "OPEN",
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"currentUnits": "10",
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"realizedPL": "0.0000",
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"financing": "0.0000",
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"dividendAdjustment": "0.0000",
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"unrealizedPL": "-0.0008",
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"marginUsed": "0.2966",
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"takeProfitOrder": {"price": "1.07934"},
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"stopLossOrder": {"price": "1.05276"},
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"trailingStopLossOrder": None,
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"trailingStopValue": None,
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"side": "long",
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},
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{
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"id": "20084",
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"symbol": "EUR_USD",
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"price": "1.06331",
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"openTime": "2023-02-13T11:39:06.302917985Z", # Monday at 11:39
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"initialUnits": "10",
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"initialMarginRequired": "0.2966",
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"state": "OPEN",
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"currentUnits": "10",
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"realizedPL": "0.0000",
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"financing": "0.0000",
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"dividendAdjustment": "0.0000",
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"unrealizedPL": "-0.0008",
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"marginUsed": "0.2966",
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"takeProfitOrder": {"price": "1.07934"},
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"stopLossOrder": {"price": "1.05276"},
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"trailingStopLossOrder": None,
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"trailingStopValue": None,
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"side": "long",
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},
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]
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# Run parse_time on all items in trades
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for trade in self.trades:
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trade["openTime"] = parse_time(trade)
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self.balance = 100000
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self.balance_usd = 120000
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self.ams.get_trades = self.fake_get_trades
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self.ams.get_balance = self.fake_get_balance
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# self.ams.trades = self.trades
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def add_trade(self, id, symbol, side, open_time):
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trade = {
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"id": id,
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"symbol": symbol,
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"price": "1.06331",
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"openTime": open_time,
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"initialUnits": "10",
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"initialMarginRequired": "0.2966",
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"state": "OPEN",
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"currentUnits": "10",
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"realizedPL": "0.0000",
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"financing": "0.0000",
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"dividendAdjustment": "0.0000",
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"unrealizedPL": "-0.0008",
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"marginUsed": "0.2966",
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"takeProfitOrder": {"price": "1.07934"},
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"stopLossOrder": {"price": "1.05276"},
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"trailingStopLossOrder": None,
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"trailingStopValue": None,
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"side": side,
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}
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trade["openTime"] = parse_time(trade)
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self.trades.append(trade)
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def amend_tp_sl_flip_side(self):
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"""
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Amend the take profit and stop loss orders to be the opposite side.
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This lets the protection tests pass, so we can only test one violation
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per test.
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"""
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for trade in self.trades:
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if trade["side"] == "short":
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trade["stopLossOrder"]["price"] = "1.07386"
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trade["takeProfitOrder"]["price"] = "1.04728"
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def fake_get_trades(self):
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self.ams.trades = self.trades
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return self.trades
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def fake_get_balance(self, return_usd=None):
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if return_usd:
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return self.balance_usd
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return self.balance
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def fake_get_currencies(self, symbols):
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pass
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def test_get_trades(self):
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trades = self.ams.get_trades()
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self.assertEqual(trades, self.trades)
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def test_get_balance(self):
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balance = self.ams.get_balance()
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self.assertEqual(balance, self.balance)
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def check_violation(
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self, violation, calls, expected_action, expected_trades, expected_args=None
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):
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"""
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Check that the violation was called with the expected action and trades.
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Matches the first argument of the call to the violation name.
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:param: violation: type of the violation to check against
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:param: calls: list of calls to the violation
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:param: expected_action: expected action to be called, close, notify, etc.
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:param: expected_trades: list of expected trades to be passed to the violation
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:param: expected_args: optional, expected args to be passed to the violation
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"""
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self.assertEqual(len(calls), len(expected_trades))
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calls = list(calls)
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violation_calls = []
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for call in calls:
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if call[0][0] == violation:
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violation_calls.append(call)
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self.assertEqual(len(violation_calls), len(expected_trades))
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if all(expected_trades):
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expected_trades = convert_trades(expected_trades)
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for call in violation_calls:
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# Ensure the correct action has been called, like close
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self.assertEqual(call[0][1], expected_action)
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# Ensure the correct trade has been passed to the violation
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trade = call[0][2]
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if trade:
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for field in list(trade.keys()):
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if "_usd" in field:
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if field in trade.keys():
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del trade[field]
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self.assertIn(call[0][2], expected_trades)
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if expected_args:
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self.assertEqual(call[0][3], expected_args)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_run_checks(self, handle_violation):
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self.ams.run_checks()
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self.assertEqual(handle_violation.call_count, 0)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_trading_time_violated(self, handle_violation):
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self.trades[0]["openTime"] = "2023-02-17T11:38:06.302917Z" # Friday
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self.ams.run_checks()
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self.check_violation(
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"trading_time", handle_violation.call_args_list, "close", [self.trades[0]]
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)
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def create_hook_signal(self):
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hook = Hook.objects.create(
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user=self.user,
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name="Test Hook",
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)
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signal = Signal.objects.create(
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user=self.user,
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name="Test Signal",
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hook=hook,
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type="trend",
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)
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return signal
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_trends_violated(self, handle_violation):
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signal = self.create_hook_signal()
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self.strategy.trend_signals.set([signal])
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self.strategy.trends = {"EUR_USD": "sell"}
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self.amend_tp_sl_flip_side()
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self.strategy.save()
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self.ams.run_checks()
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self.check_violation(
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"trends", handle_violation.call_args_list, "close", self.trades
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_trends_violated_none(self, handle_violation):
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signal = self.create_hook_signal()
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self.strategy.trend_signals.set([signal])
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self.strategy.trends = {"EUR_USD": "buy"}
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self.strategy.save()
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self.ams.run_checks()
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self.check_violation("trends", handle_violation.call_args_list, "close", [])
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# Mock crossfilter here since we want to allow this conflict in order to test that
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# trends only close trades that are in the wrong direction
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@patch(
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"core.trading.active_management.ActiveManagement.check_crossfilter",
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return_value=None,
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_trends_violated_partial(self, handle_violation, check_crossfilter):
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signal = self.create_hook_signal()
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self.strategy.trend_signals.set([signal])
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self.strategy.trends = {"EUR_USD": "sell"}
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self.strategy.save()
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# Change the side of the first trade to match the trends
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self.trades[0]["side"] = "short"
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self.amend_tp_sl_flip_side()
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self.ams.run_checks()
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self.check_violation(
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"trends", handle_violation.call_args_list, "close", [self.trades[1]]
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_position_size_violated(self, handle_violation):
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self.trades[0]["currentUnits"] = "100000"
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self.ams.run_checks()
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self.check_violation(
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"position_size",
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handle_violation.call_args_list,
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"close",
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[self.trades[0]],
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{"size": 500},
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_protection_violated_absent(self, handle_violation):
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self.trades[0]["takeProfitOrder"] = None
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self.trades[0]["stopLossOrder"] = None
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self.ams.run_checks()
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expected_args = {
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"take_profit_price": D("1.07934"),
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"stop_loss_price": D("1.05276"),
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}
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self.check_violation(
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"protection",
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handle_violation.call_args_list,
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"close",
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[self.trades[0]],
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expected_args,
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_protection_violated_absent_not_required(self, handle_violation):
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self.strategy.order_settings.take_profit_percent = 0
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self.strategy.order_settings.stop_loss_percent = 0
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self.strategy.order_settings.save()
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self.trades[0]["takeProfitOrder"] = None
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self.trades[0]["stopLossOrder"] = None
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self.ams.run_checks()
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self.assertEqual(handle_violation.call_count, 0)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_asset_groups_violated(self, handle_violation):
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asset_group = AssetGroup.objects.create(
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user=self.user,
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name="Test Asset Group",
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)
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AssetRule.objects.create(
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user=self.user,
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asset="USD",
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group=asset_group,
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status=2, # Bullish
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)
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self.strategy.asset_group = asset_group
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self.strategy.save()
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self.ams.run_checks()
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self.check_violation(
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"asset_group",
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handle_violation.call_args_list,
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"close",
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self.trades, # All trades should be closed, since all are USD quote
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_asset_groups_violated_invert(self, handle_violation):
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self.trades[0]["side"] = "short"
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self.trades[1]["side"] = "short"
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self.amend_tp_sl_flip_side()
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asset_group = AssetGroup.objects.create(
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user=self.user,
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name="Test Asset Group",
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)
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AssetRule.objects.create(
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user=self.user,
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asset="USD",
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group=asset_group,
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status=3, # Bullish
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)
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self.strategy.asset_group = asset_group
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self.strategy.save()
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self.ams.run_checks()
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self.check_violation(
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"asset_group",
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handle_violation.call_args_list,
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"close",
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self.trades, # All trades should be closed, since all are USD quote
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_crossfilter_violated_side(self, handle_violation):
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self.trades[1]["side"] = "short"
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self.amend_tp_sl_flip_side()
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self.ams.run_checks()
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self.check_violation(
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"crossfilter",
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handle_violation.call_args_list,
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"close",
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[self.trades[1]], # Only close newer trade
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_crossfilter_violated_side_multiple(self, handle_violation):
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self.add_trade(
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"20085", "EUR_USD", "short", "2023-02-13T12:39:06.302917985Z"
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) # 2:
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self.add_trade("20086", "EUR_USD", "short", "2023-02-13T13:39:07.302917985Z")
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self.add_trade("20087", "EUR_USD", "short", "2023-02-13T14:39:06.302917985Z")
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self.amend_tp_sl_flip_side()
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self.ams.run_checks()
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self.check_violation(
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"crossfilter",
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handle_violation.call_args_list,
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"close",
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self.trades[2:], # Only close newer trades
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_crossfilter_violated_symbol(self, handle_violation):
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# Change symbol to conflict with long on EUR_USD
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self.trades[1]["symbol"] = "USD_EUR"
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self.ams.run_checks()
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self.check_violation(
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"crossfilter",
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handle_violation.call_args_list,
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"close",
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[self.trades[1]], # Only close newer trade
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_crossfilter_violated_symbol_multiple(self, handle_violation):
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self.add_trade(
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"20085", "USD_EUR", "long", "2023-02-13T12:39:06.302917985Z"
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) # 2:
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self.add_trade("20086", "USD_EUR", "long", "2023-02-13T13:39:06.302917985Z")
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self.add_trade("20087", "USD_EUR", "long", "2023-02-13T14:39:06.302917985Z")
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self.ams.run_checks()
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self.check_violation(
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"crossfilter",
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handle_violation.call_args_list,
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"close",
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self.trades[2:], # Only close newer trades
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_max_open_trades_violated(self, handle_violation):
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for x in range(9):
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self.add_trade(
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str(x),
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f"EUR_USD{x}", # Vary symbol to prevent max open trades per symbol
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"long",
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f"2023-02-13T12:39:1{x}.302917985Z",
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)
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self.ams.run_checks()
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self.check_violation(
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"max_open_trades",
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handle_violation.call_args_list,
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"close",
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self.trades[10:], # Only close newer trades
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_max_open_trades_per_symbol_violated(self, handle_violation):
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for x in range(4):
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self.add_trade(
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str(x),
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"EUR_USD",
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"long",
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f"2023-02-13T12:39:1{x}.302917985Z",
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)
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self.ams.run_checks()
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self.check_violation(
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"max_open_trades_per_symbol",
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handle_violation.call_args_list,
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"close",
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self.trades[5:], # Only close newer trades
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)
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# Mock position size as we have no way of checking the balance at the start of the
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# trade.
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# TODO: Fix this when we have a way of checking the balance at the start of the
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# trade.
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# Max risk is also mocked as this puts us over the limit, due to the low account
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# size.
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@patch(
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"core.trading.active_management.ActiveManagement.check_max_risk",
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return_value=None,
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)
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@patch(
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"core.trading.active_management.ActiveManagement.check_position_size",
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return_value=None,
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)
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@patch("core.trading.active_management.ActiveManagement.handle_violation")
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def test_max_loss_violated(
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self, handle_violation, check_position_size, check_max_risk
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):
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self.balance = D("1")
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self.balance_usd = D("0.69")
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self.ams.run_checks()
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self.check_violation(
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"max_loss",
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handle_violation.call_args_list,
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"close",
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[None],
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)
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@patch(
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|
"core.trading.active_management.ActiveManagement.check_position_size",
|
|
return_value=None,
|
|
)
|
|
@patch(
|
|
"core.trading.active_management.ActiveManagement.check_protection",
|
|
return_value=None,
|
|
)
|
|
@patch("core.trading.active_management.ActiveManagement.handle_violation")
|
|
def test_max_risk_violated(
|
|
self, handle_violation, check_protection, check_position_size
|
|
):
|
|
self.add_trade(
|
|
"20085",
|
|
"EUR_USD",
|
|
"long",
|
|
"2023-02-13T15:39:19.302917985Z",
|
|
)
|
|
self.trades[2]["stopLossOrder"]["price"] = "0.001"
|
|
self.trades[2]["currentUnits"] = "13000"
|
|
|
|
self.ams.run_checks()
|
|
|
|
self.check_violation(
|
|
"max_risk",
|
|
handle_violation.call_args_list,
|
|
"close",
|
|
[self.trades[2]],
|
|
)
|
|
|
|
@patch(
|
|
"core.trading.active_management.ActiveManagement.check_position_size",
|
|
return_value=None,
|
|
)
|
|
@patch(
|
|
"core.trading.active_management.ActiveManagement.check_protection",
|
|
return_value=None,
|
|
)
|
|
@patch("core.trading.active_management.ActiveManagement.handle_violation")
|
|
def test_max_risk_violated_multiple(
|
|
self, handle_violation, check_protection, check_position_size
|
|
):
|
|
self.add_trade(
|
|
"20085",
|
|
"EUR_USD",
|
|
"long",
|
|
"2023-02-13T15:39:19.302917985Z",
|
|
)
|
|
self.add_trade(
|
|
"20086",
|
|
"EUR_USD",
|
|
"long",
|
|
"2023-02-13T15:45:19.302917985Z",
|
|
)
|
|
self.trades[2]["stopLossOrder"]["price"] = "0.001"
|
|
self.trades[2]["currentUnits"] = "13000"
|
|
self.trades[3]["stopLossOrder"]["price"] = "0.001"
|
|
self.trades[3]["currentUnits"] = "13000"
|
|
|
|
self.ams.run_checks()
|
|
|
|
self.check_violation(
|
|
"max_risk",
|
|
handle_violation.call_args_list,
|
|
"close",
|
|
[self.trades[2], self.trades[3]],
|
|
)
|