501 lines
18 KiB
Python
501 lines
18 KiB
Python
import uuid
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from datetime import timedelta
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import stripe
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from django.conf import settings
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from django.contrib.auth.models import AbstractUser
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from django.db import models
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from core.exchanges.alpaca import AlpacaExchange
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from core.exchanges.oanda import OANDAExchange
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from core.lib.customers import get_or_create, update_customer_fields
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from core.util import logs
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log = logs.get_logger(__name__)
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EXCHANGE_MAP = {"alpaca": AlpacaExchange, "oanda": OANDAExchange}
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TYPE_CHOICES = (
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("market", "Market"),
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("limit", "Limit"),
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)
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DIRECTION_CHOICES = (
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("buy", "Buy"),
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("sell", "Sell"),
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)
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TIF_CHOICES = (
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("gtc", "GTC (Good Til Cancelled)"),
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("gfd", "GFD (Good For Day)"),
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("fok", "FOK (Fill Or Kill)"),
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("ioc", "IOC (Immediate Or Cancel)"),
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)
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DAY_CHOICES = (
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(1, "Monday"),
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(2, "Tuesday"),
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(3, "Wednesday"),
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(4, "Thursday"),
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(5, "Friday"),
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(6, "Saturday"),
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(7, "Sunday"),
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)
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SIGNAL_TYPE_CHOICES = (
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("entry", "Entry"),
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("exit", "Exit"),
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("trend", "Trend"),
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)
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AGGREGATION_CHOICES = (
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("none", "None"),
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("avg_sentiment", "Average sentiment"),
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)
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STATUS_CHOICES = (
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(0, "No data"),
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(1, "No match"),
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(2, "Bullish"),
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(3, "Bearish"),
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(4, "No aggregation"),
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(5, "Not in bounds"),
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(6, "Always allow"),
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(7, "Always deny"),
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)
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MAPPING_CHOICES = (
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(6, "Always allow"),
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(7, "Always deny"),
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(2, "Bullish"),
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(3, "Bearish"),
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)
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class Plan(models.Model):
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name = models.CharField(max_length=255, unique=True)
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description = models.CharField(max_length=1024, null=True, blank=True)
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cost = models.IntegerField()
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product_id = models.CharField(max_length=255, unique=True, null=True, blank=True)
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image = models.CharField(max_length=1024, null=True, blank=True)
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def __str__(self):
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return f"{self.name} (£{self.cost})"
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class User(AbstractUser):
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# Stripe customer ID
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stripe_id = models.CharField(max_length=255, null=True, blank=True)
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last_payment = models.DateTimeField(null=True, blank=True)
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plans = models.ManyToManyField(Plan, blank=True)
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email = models.EmailField(unique=True)
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def __init__(self, *args, **kwargs):
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super().__init__(*args, **kwargs)
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self._original = self
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def save(self, *args, **kwargs):
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"""
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Override the save function to create a Stripe customer.
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"""
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if settings.STRIPE_ENABLED:
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if not self.stripe_id: # stripe ID not stored
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self.stripe_id = get_or_create(
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self.email, self.first_name, self.last_name
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)
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to_update = {}
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if self.email != self._original.email:
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to_update["email"] = self.email
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if self.first_name != self._original.first_name:
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to_update["first_name"] = self.first_name
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if self.last_name != self._original.last_name:
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to_update["last_name"] = self.last_name
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update_customer_fields(self.stripe_id, **to_update)
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super().save(*args, **kwargs)
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def delete(self, *args, **kwargs):
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if settings.STRIPE_ENABLED:
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if self.stripe_id:
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stripe.Customer.delete(self.stripe_id)
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log.info(f"Deleted Stripe customer {self.stripe_id}")
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super().delete(*args, **kwargs)
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def has_plan(self, plan):
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plan_list = [plan.name for plan in self.plans.all()]
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return plan in plan_list
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def get_notification_settings(self):
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return NotificationSettings.objects.get_or_create(user=self)[0]
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class Account(models.Model):
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EXCHANGE_CHOICES = (("alpaca", "Alpaca"), ("oanda", "OANDA"))
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user = models.ForeignKey(User, on_delete=models.CASCADE)
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name = models.CharField(max_length=255)
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exchange = models.CharField(choices=EXCHANGE_CHOICES, max_length=255)
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api_key = models.CharField(max_length=255)
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api_secret = models.CharField(max_length=255)
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sandbox = models.BooleanField(default=False)
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enabled = models.BooleanField(default=True)
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supported_symbols = models.JSONField(default=list)
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instruments = models.JSONField(default=list)
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currency = models.CharField(max_length=255, null=True, blank=True)
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# risk_model = models.ForeignKey(
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# "core.RiskModel", on_delete=models.SET_NULL, null=True, blank=True
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# )
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initial_balance = models.FloatField(default=0)
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def __str__(self):
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name = f"{self.name} ({self.exchange})"
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if self.sandbox:
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name += " (sandbox)"
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return name
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def update_info(self, save=True):
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client = self.get_client()
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if client:
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response = client.get_instruments()
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supported_symbols = client.get_supported_assets(response)
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currency = client.get_account()["currency"]
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log.debug(f"Supported symbols for {self.name}: {supported_symbols}")
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self.supported_symbols = supported_symbols
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self.instruments = response
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self.currency = currency
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if save:
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self.save()
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def save(self, *args, **kwargs):
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"""
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Override the save function to update supported symbols.
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"""
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self.update_info(save=False)
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super().save(*args, **kwargs)
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def get_client(self):
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if self.exchange in EXCHANGE_MAP:
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return EXCHANGE_MAP[self.exchange](self)
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else:
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raise Exception(f"Exchange not supported : {self.exchange}")
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@property
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def client(self):
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"""
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Convenience property for one-off API calls.
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"""
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return self.get_client()
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@property
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def rawclient(self):
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"""
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Convenience property for one-off API calls.
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"""
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return self.get_client().client
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@classmethod
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def get_by_id(cls, account_id, user):
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return cls.objects.get(id=account_id, user=user)
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@classmethod
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def get_by_id_no_user_check(cls, account_id):
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return cls.objects.get(id=account_id)
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class Session(models.Model):
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user = models.ForeignKey(User, on_delete=models.CASCADE)
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request = models.CharField(max_length=255, null=True, blank=True)
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session = models.CharField(max_length=255, null=True, blank=True)
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subscription_id = models.CharField(max_length=255, null=True, blank=True)
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plan = models.ForeignKey(Plan, null=True, blank=True, on_delete=models.CASCADE)
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class Hook(models.Model):
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user = models.ForeignKey(User, on_delete=models.CASCADE)
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name = models.CharField(max_length=1024)
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hook = models.CharField(max_length=255, unique=True) # hook URL
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received = models.IntegerField(default=0)
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def __str__(self):
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return f"{self.name} ({self.hook})"
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class Signal(models.Model):
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user = models.ForeignKey(User, on_delete=models.CASCADE)
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name = models.CharField(max_length=1024)
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signal = models.CharField(max_length=256) # signal name
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hook = models.ForeignKey(Hook, on_delete=models.CASCADE)
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direction = models.CharField(choices=DIRECTION_CHOICES, max_length=255)
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received = models.IntegerField(default=0)
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type = models.CharField(choices=SIGNAL_TYPE_CHOICES, max_length=255)
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def __str__(self):
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return f"{self.name} ({self.hook.name}) - {self.direction}"
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class Trade(models.Model):
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user = models.ForeignKey(User, on_delete=models.CASCADE)
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account = models.ForeignKey(Account, on_delete=models.CASCADE)
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hook = models.ForeignKey(Hook, on_delete=models.CASCADE, null=True, blank=True)
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signal = models.ForeignKey(Signal, on_delete=models.CASCADE, null=True, blank=True)
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symbol = models.CharField(max_length=255)
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time_in_force = models.CharField(choices=TIF_CHOICES, max_length=255, default="gtc")
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type = models.CharField(choices=TYPE_CHOICES, max_length=255)
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amount = models.FloatField(null=True, blank=True)
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amount_usd = models.FloatField(null=True, blank=True)
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price = models.FloatField(null=True, blank=True)
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stop_loss = models.FloatField(null=True, blank=True)
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trailing_stop_loss = models.FloatField(null=True, blank=True)
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take_profit = models.FloatField(null=True, blank=True)
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status = models.CharField(max_length=255, null=True, blank=True)
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information = models.JSONField(null=True, blank=True)
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direction = models.CharField(choices=DIRECTION_CHOICES, max_length=255)
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# To populate from the trade
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order_id = models.CharField(max_length=255, null=True, blank=True)
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client_order_id = models.CharField(max_length=255, null=True, blank=True)
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response = models.JSONField(null=True, blank=True)
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def __init__(self, *args, **kwargs):
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super().__init__(*args, **kwargs)
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self._original = self
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def post(self):
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if self.status in ["rejected", "close"]:
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log.debug(f"Trade {self.id} rejected. Not posting.")
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log.debug(f"Trade {self.id} information: {self.information}")
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else:
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return self.account.client.post_trade(self)
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def delete(self, *args, **kwargs):
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# close the trade
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super().delete(*args, **kwargs)
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@classmethod
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def get_by_id(cls, trade_id, user):
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return cls.objects.get(id=trade_id, user=user)
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@classmethod
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def get_by_id_or_order(cls, trade_id, account_id, user):
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try:
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account = Account.objects.get(id=account_id, user=user)
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except Account.DoesNotExist:
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return None
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try:
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return cls.objects.get(id=trade_id, account=account, user=user)
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except cls.DoesNotExist:
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try:
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return cls.objects.get(order_id=trade_id, account=account, user=user)
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except cls.DoesNotExist:
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return None
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class Callback(models.Model):
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hook = models.ForeignKey(Hook, on_delete=models.CASCADE)
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signal = models.ForeignKey(Signal, on_delete=models.CASCADE)
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title = models.CharField(max_length=1024, null=True, blank=True)
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message = models.CharField(max_length=1024, null=True, blank=True)
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period = models.CharField(max_length=255, null=True, blank=True)
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sent = models.BigIntegerField(null=True, blank=True)
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trade = models.BigIntegerField(null=True, blank=True)
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exchange = models.CharField(max_length=255, null=True, blank=True)
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base = models.CharField(max_length=255, null=True, blank=True)
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quote = models.CharField(max_length=255, null=True, blank=True)
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contract = models.CharField(max_length=255, null=True, blank=True)
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price = models.FloatField(null=True, blank=True)
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symbol = models.CharField(max_length=255)
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class TradingTime(models.Model):
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user = models.ForeignKey(User, on_delete=models.CASCADE)
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name = models.CharField(max_length=255)
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description = models.TextField(null=True, blank=True)
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start_day = models.IntegerField(choices=DAY_CHOICES)
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end_day = models.IntegerField(choices=DAY_CHOICES)
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start_time = models.TimeField()
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end_time = models.TimeField()
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def within_range(self, ts):
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"""
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Check if the specified time is within the configured trading times.
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:param ts: Timestamp
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:type ts: datetime
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:return: whether or not the time is within the trading range
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:rtype: bool
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"""
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start_day = self.start_day
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end_day = self.end_day
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# Check the day is between the start and end day
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if not start_day <= ts.weekday() + 1 <= end_day:
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return False
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start_time = self.start_time
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end_time = self.end_time
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# Get what the start time would be this week
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ts_monday = ts - timedelta(days=ts.weekday())
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# Now we need to add our day of week to monday
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# Let's set the offset now since it's off by one
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offset_start = start_day - 1
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# Datetime: monday=0, tuesday=1, us: monday=1, tuesday=2, so we need to subtract
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# one from ours to not be off by one
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offset_end = end_day - 1
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# Now we can add the offset to the monday
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start = ts_monday + timedelta(days=offset_start)
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start = start.replace(
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hour=start_time.hour,
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minute=start_time.minute,
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second=start_time.second,
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microsecond=start_time.microsecond,
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)
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end = ts_monday + timedelta(days=offset_end)
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end = end.replace(
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hour=end_time.hour,
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minute=end_time.minute,
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second=end_time.second,
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microsecond=end_time.microsecond,
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)
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# Check if the ts is between the start and end times
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# ts must be more than start and less than end
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return ts >= start and ts <= end
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return True
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def __str__(self):
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return (
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f"{self.name} ({self.get_start_day_display()} at {self.start_time} - "
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f"{self.get_end_day_display()} at {self.end_time})"
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)
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class Strategy(models.Model):
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user = models.ForeignKey(User, on_delete=models.CASCADE)
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name = models.CharField(max_length=255)
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description = models.TextField(null=True, blank=True)
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account = models.ForeignKey(Account, on_delete=models.CASCADE)
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trading_times = models.ManyToManyField(TradingTime)
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order_type = models.CharField(
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choices=TYPE_CHOICES, max_length=255, default="market"
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)
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time_in_force = models.CharField(choices=TIF_CHOICES, max_length=255, default="gtc")
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entry_signals = models.ManyToManyField(
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Signal, related_name="entry_strategies", blank=True
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)
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exit_signals = models.ManyToManyField(
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Signal, related_name="exit_strategies", blank=True
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)
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trend_signals = models.ManyToManyField(
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Signal, related_name="trend_strategies", blank=True
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)
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enabled = models.BooleanField(default=False)
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take_profit_percent = models.FloatField(default=1.5)
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stop_loss_percent = models.FloatField(default=1.0)
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trailing_stop_loss_percent = models.FloatField(default=1.0, null=True, blank=True)
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# price_slippage_percent = models.FloatField(default=2.5)
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# callback_price_deviation_percent = models.FloatField(default=0.5)
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trade_size_percent = models.FloatField(default=0.5)
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trends = models.JSONField(null=True, blank=True)
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asset_group = models.ForeignKey(
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"core.AssetGroup", on_delete=models.PROTECT, null=True, blank=True
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)
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risk_model = models.ForeignKey(
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"core.RiskModel", on_delete=models.PROTECT, null=True, blank=True
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)
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order_settings = models.ForeignKey(
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"core.OrderSettings", on_delete=models.PROTECT, null=True, blank=True
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)
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class Meta:
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verbose_name_plural = "strategies"
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def __str__(self):
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return self.name
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class NotificationSettings(models.Model):
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user = models.OneToOneField(User, on_delete=models.CASCADE)
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ntfy_topic = models.CharField(max_length=255, null=True, blank=True)
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ntfy_url = models.CharField(max_length=255, null=True, blank=True)
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def __str__(self):
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return f"Notification settings for {self.user}"
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class RiskModel(models.Model):
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user = models.ForeignKey(User, on_delete=models.CASCADE)
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name = models.CharField(max_length=255)
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description = models.TextField(null=True, blank=True)
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# Maximum amount of money to have lost from the initial balance to stop trading
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max_loss_percent = models.FloatField(default=0.05)
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# Maximum amount of money to risk on all open trades
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max_risk_percent = models.FloatField(default=0.05)
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# Maximum number of trades
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max_open_trades = models.IntegerField(default=10)
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# Maximum number of trades per symbol
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max_open_trades_per_symbol = models.IntegerField(default=2)
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price_slippage_percent = models.FloatField(default=2.5)
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callback_price_deviation_percent = models.FloatField(default=0.5)
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def __str__(self):
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return self.name
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class AssetGroup(models.Model):
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user = models.ForeignKey(User, on_delete=models.CASCADE)
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name = models.CharField(max_length=255)
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description = models.TextField(null=True, blank=True)
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# Dict like {"RUB": True, "USD": False}
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# allowed = models.JSONField(null=True, blank=True, default=dict)
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webhook_id = models.UUIDField(default=uuid.uuid4, editable=False, unique=True)
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when_no_data = models.IntegerField(choices=MAPPING_CHOICES, default=7)
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when_no_match = models.IntegerField(choices=MAPPING_CHOICES, default=6)
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when_no_aggregation = models.IntegerField(choices=MAPPING_CHOICES, default=6)
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when_not_in_bounds = models.IntegerField(choices=MAPPING_CHOICES, default=6)
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when_bullish = models.IntegerField(choices=MAPPING_CHOICES, default=2)
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when_bearish = models.IntegerField(choices=MAPPING_CHOICES, default=3)
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def __str__(self):
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return f"{self.name}"
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@property
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def matches(self):
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"""
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Get the total number of matches for this group.
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"""
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asset_rule_total = AssetRule.objects.filter(group=self).count()
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asset_rule_positive = AssetRule.objects.filter(group=self, status=2).count()
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return f"{asset_rule_positive}/{asset_rule_total}"
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|
|
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|
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class AssetRule(models.Model):
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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)
|