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126 lines
4.5 KiB
Python
126 lines
4.5 KiB
Python
from datetime import datetime
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from decimal import Decimal as D
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from core.exchanges.convert import convert_trades, side_to_direction
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from core.trading import checks
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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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print("CHECK PROTECTION", 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 key in trade:
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actual = D(trade[key])
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if expected is None:
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continue
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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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if not within_deviation:
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violations[key] = expected
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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 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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# 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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