641 lines
22 KiB
Python
641 lines
22 KiB
Python
from datetime import datetime
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from decimal import Decimal as D
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from core.exchanges import GenericAPIError
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from core.lib.notify import sendmsg
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from core.models import Account, Strategy, Trade
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from core.util import logs
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log = logs.get_logger(__name__)
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def check_existing_position(
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func: str,
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position: dict,
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open_side: str,
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open_symbol: str,
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open_units: str,
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new_side: str,
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new_symbol: str,
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trade_side_opposite: str,
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):
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# Check if we already have a position for the symbol
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if open_symbol == new_symbol:
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# If the live side is the inverse of what we want to do,
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# we can't open a position
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if open_side == trade_side_opposite:
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# If there is a position open, we can't open a new one in the opposite
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# direction
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if open_units != "0":
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# If we have a short on GBP/AUD, we can only place more shorts on
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# GBP/AUD.
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if func == "entry":
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log.debug(
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f"Refusing to open new {new_side} position on {new_symbol} due "
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f"to {open_side} position on {open_symbol}"
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)
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return {
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"action": "rejected",
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"positions": position,
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}
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elif func == "exit":
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log.debug(
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(
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f"Found {open_units} units of "
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f"{open_symbol} on side {trade_side_opposite}"
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)
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)
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# Pass back opposing side so we can close it
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return {
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"action": "close",
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"side": trade_side_opposite,
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"positions": position,
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}
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return False
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def check_conflicting_position(
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func: str,
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position: dict,
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open_base: str,
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open_quote: str,
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open_side: str,
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open_symbol: str,
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open_units: str,
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new_base: str,
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new_quote: str,
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new_side: str,
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new_symbol: str,
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trade_side_opposite: str,
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):
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if open_base == new_quote or open_quote == new_base:
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# If we have a long on GBP/AUD, we can only place shorts on XAU/GBP.
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if open_side != trade_side_opposite:
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if open_units != "0":
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# Only do this for entries
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if func == "entry":
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log.debug(
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f"Refusing to open {new_side} position on {new_symbol} due to "
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f"{open_side} position on {open_symbol}"
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)
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return {
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"action": "rejected",
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"positions": position,
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}
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def crossfilter(account, new_symbol, new_direction, func):
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"""
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Determine if we are betting against ourselves.
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Checks open positions for the account, rejecting the trade if there is one
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with an opposite direction to this one.
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:param account: Account object
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:param symbol: Symbol
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:param direction: Direction of the trade
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:param func: Whether we are checking entries or exits
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:return: dict of action and opposing position, or False
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"""
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try:
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# Only get the data we need
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if func == "entry":
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all_positions = account.client.get_all_positions()
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else:
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all_positions = [account.client.get_position_info(new_symbol)]
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except GenericAPIError as e:
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if "No position exists for the specified instrument" in str(e):
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log.debug("No position exists for this symbol")
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return False
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else:
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log.error(f"Error getting position info: {e}")
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return None
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if new_direction == "buy":
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opposing_side = "short"
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new_side = "long"
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elif new_direction == "sell":
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opposing_side = "long"
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new_side = "short"
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quotes = []
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new_base, new_quote = new_symbol.split("_")
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for position in all_positions:
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# For Forex, get a list of all the quotes.
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# This is to prevent betting against ourselves.
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# Consider we have a long position open, EUR/USD, and we want to open a
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# long position on USD/JPY. If the first goes up, the second one will go
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# down just as much. We won't make any money.
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if "_" in position["symbol"]:
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open_base, open_quote = position["symbol"].split("_")
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quotes.append(open_quote)
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open_symbol = position["symbol"]
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open_side = position["side"]
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open_base, open_quote = open_symbol.split("_")
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# Check if we already have a position
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existing_position_check = check_existing_position(
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func=func,
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position=position,
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open_side=open_side,
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open_symbol=open_symbol,
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open_units=position["units"],
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new_side=new_side,
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new_symbol=new_symbol,
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trade_side_opposite=opposing_side,
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)
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if existing_position_check:
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return existing_position_check
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# Check if we are betting against ourselves
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conflicting_position_check = check_conflicting_position(
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func=func,
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position=position,
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open_base=open_base,
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open_quote=open_quote,
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open_side=open_side,
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open_symbol=open_symbol,
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open_units=position["units"],
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new_base=new_base,
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new_quote=new_quote,
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new_side=new_side,
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new_symbol=new_symbol,
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trade_side_opposite=opposing_side,
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)
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if conflicting_position_check:
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return conflicting_position_check
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return False
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def get_pair(account, base, quote, invert=False):
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"""
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Get the pair for the given account and currencies.
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:param account: Account object
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:param base: Base currency
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:param quote: Quote currency
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:param invert: Invert the pair
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:return: currency symbol, e.g. BTC_USD, BTC/USD, etc.
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"""
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# Currently we only have two exchanges with different pair separators
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if account.exchange == "alpaca":
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separator = "/"
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elif account.exchange == "oanda":
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separator = "_"
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# Flip the pair if needed
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if invert:
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symbol = f"{quote.upper()}{separator}{base.upper()}"
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else:
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symbol = f"{base.upper()}{separator}{quote.upper()}"
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# Check it exists
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if symbol not in account.supported_symbols:
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return False
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return symbol
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def to_currency(direction, account, amount, from_currency, to_currency):
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"""
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Convert an amount from one currency to another.
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:param direction: Direction of the trade
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:param account: Account object
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:param amount: Amount to convert
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:param from_currency: Currency to convert from
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:param to_currency: Currency to convert to
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:return: Converted amount
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"""
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inverted = False
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# This is needed because OANDA has different values for bid and ask
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if direction == "buy":
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price_index = "bids"
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elif direction == "sell":
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price_index = "asks"
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symbol = get_pair(account, from_currency, to_currency)
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if not symbol:
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symbol = get_pair(account, from_currency, to_currency, invert=True)
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inverted = True
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# Bit of a hack but it works
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if not symbol:
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log.error(f"Could not find symbol for {from_currency} -> {to_currency}")
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raise Exception("Could not find symbol")
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try:
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prices = account.client.get_currencies([symbol])
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except GenericAPIError as e:
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log.error(f"Error getting currencies and inverted currencies: {e}")
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return None
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price = D(prices["prices"][0][price_index][0]["price"])
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# If we had to flip base and quote, we need to use the reciprocal of the price
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if inverted:
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price = D(1.0) / price
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# Convert the amount to the destination currency
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converted = D(amount) * price
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return converted
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def get_price(account, direction, symbol):
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"""
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Get the price for a given symbol.
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:param account: Account object
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:param direction: direction of the trade
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:param symbol: symbol
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:return: price of bid for buys, price of ask for sells
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"""
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if direction == "buy":
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price_index = "bids"
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elif direction == "sell":
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price_index = "asks"
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try:
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prices = account.client.get_currencies([symbol])
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except GenericAPIError as e:
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log.error(f"Error getting currencies: {e}")
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return None
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price = D(prices["prices"][0][price_index][0]["price"])
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return price
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def get_trade_size_in_base(direction, account, strategy, cash_balance, base):
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"""
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Get the trade size in the base currency.
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:param direction: Direction of the trade
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:param account: Account object
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:param strategy: Strategy object
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:param cash_balance: Cash balance in the Account's base currency
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:param base: Base currency
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:return: Trade size in the base currency
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"""
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# Convert the trade size in percent to a ratio
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trade_size_as_ratio = D(strategy.trade_size_percent) / D(100)
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log.debug(f"Trade size as ratio: {trade_size_as_ratio}")
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# Multiply with cash balance to get the trade size in the account's
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# base currency
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amount_fiat = D(trade_size_as_ratio) * D(cash_balance)
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log.debug(f"Trade size: {amount_fiat}")
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# Convert the trade size to the base currency
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if account.currency.lower() == base.lower():
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trade_size_in_base = amount_fiat
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else:
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trade_size_in_base = to_currency(
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direction, account, amount_fiat, account.currency, base
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)
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log.debug(f"Trade size in base: {trade_size_in_base}")
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return trade_size_in_base
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def get_tp(direction, take_profit_percent, price):
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"""
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Get the take profit price.
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:param direction: Direction of the trade
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:param strategy: Strategy object
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:param price: Entry price
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"""
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# Convert to ratio
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take_profit_as_ratio = D(take_profit_percent) / D(100)
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log.debug(f"Take profit as ratio: {take_profit_as_ratio}")
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take_profit_var = D(price) * D(take_profit_as_ratio)
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log.debug(f"Take profit var: {take_profit_var}")
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if direction == "buy":
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take_profit = D(price) + D(take_profit_var)
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elif direction == "sell":
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take_profit = D(price) - D(take_profit_var)
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log.debug(f"Take profit: {take_profit}")
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return take_profit
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def get_sl(direction, stop_loss_percent, price, return_var=False):
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"""
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Get the stop loss price.
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Also used for trailing stop loss.
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:param direction: Direction of the trade
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:param strategy: Strategy object
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:param price: Entry price
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"""
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# Convert to ratio
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stop_loss_as_ratio = D(stop_loss_percent) / D(100)
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log.debug(f"Stop loss as ratio: {stop_loss_as_ratio}")
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stop_loss_var = D(price) * D(stop_loss_as_ratio)
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log.debug(f"Stop loss var: {stop_loss_var}")
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if return_var:
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return stop_loss_var
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if direction == "buy":
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stop_loss = D(price) - D(stop_loss_var)
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elif direction == "sell":
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stop_loss = D(price) + D(stop_loss_var)
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log.debug(f"Stop loss: {stop_loss}")
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return stop_loss
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def get_tp_sl(direction, strategy, price):
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"""
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Get the take profit and stop loss prices.
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:param direction: Direction of the trade
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:param strategy: Strategy object
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:param price: Price of the trade
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:return: Take profit and stop loss prices
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"""
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take_profit = get_tp(direction, strategy.take_profit_percent, price)
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stop_loss = get_sl(direction, strategy.stop_loss_percent, price)
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cast = {"tp": take_profit, "sl": stop_loss}
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# Look up the TSL if required by the strategy
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if strategy.trailing_stop_loss_percent:
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trailing_stop_loss = get_sl(
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direction, strategy.trailing_stop_loss_percent, price, return_var=True
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)
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cast["tsl"] = trailing_stop_loss
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return cast
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def get_price_bound(direction, strategy, price, current_price):
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"""
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Get the price bound for a given price using the slippage from the strategy.
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* Check that the price of the callback is within the callback price deviation of the
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current price
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* Calculate the price bounds such that the maximum slippage should be within the
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price slippage relative to the current price.
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Note that the maximum actual slippage may be as high as the sum of these two values.
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:param direction: Direction of the trade
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:param strategy: Strategy object
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:param price: Price of the trade
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:param current_price: current price from the exchange
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:return: Price bound
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"""
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# Convert the callback price deviation to a ratio
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callback_price_deviation_as_ratio = D(
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strategy.callback_price_deviation_percent
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) / D(100)
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log.debug(f"Callback price deviation as ratio: {callback_price_deviation_as_ratio}")
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maximum_price_deviation = D(current_price) * D(callback_price_deviation_as_ratio)
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# Ensure the current price is within price_slippage_as_ratio of the callback price
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if abs(current_price - price) <= maximum_price_deviation:
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log.debug("Current price is within price deviation of callback price")
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else:
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log.error("Current price is not within price deviation of callback price")
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log.debug(f"Difference: {abs(current_price - price)}")
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return None
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# Convert the maximum price slippage to a ratio
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price_slippage_as_ratio = D(strategy.price_slippage_percent) / D(100)
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log.debug(f"Maximum price slippage as ratio: {price_slippage_as_ratio}")
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# Calculate the price bound by multiplying with the price
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# The price bound is the worst price we are willing to pay for the trade
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price_slippage = D(current_price) * D(price_slippage_as_ratio)
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log.debug(f"Maximum deviation from callback price: {price_slippage}")
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current_price_slippage = D(current_price) * D(price_slippage_as_ratio)
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log.debug(f"Maximum deviation from current price: {current_price_slippage}")
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# Price bound is the worst price we are willing to pay for the trade
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# For buys, a higher price is worse
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if direction == "buy":
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price_bound = D(current_price) + D(price_slippage)
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# For sells, a lower price is worse
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elif direction == "sell":
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price_bound = D(current_price) - D(price_slippage)
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log.debug(f"Price bound: {price_bound}")
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return price_bound
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def execute_strategy(callback, strategy, func):
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"""
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Execute a strategy.
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:param callback: Callback object
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:param strategy: Strategy object
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"""
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# Only check times for entries. We can always exit trades and set trends.
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if func == "entry":
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# Check if we can trade now!
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now_utc = datetime.utcnow()
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trading_times = strategy.trading_times.all()
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if not trading_times:
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log.error("No trading times set for strategy")
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return
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matches = [x.within_range(now_utc) for x in trading_times]
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if not any(matches):
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log.debug("Not within trading time range")
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return
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# Instruments supported by the account
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if not strategy.account.instruments:
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strategy.account.update_info()
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# Refresh account object
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strategy.account = Account.objects.get(id=strategy.account.id)
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instruments = strategy.account.instruments
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if not instruments:
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log.error("No instruments found")
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return
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# Shorten some hook, strategy and callback vars for convenience
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user = strategy.user
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account = strategy.account
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hook = callback.hook
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signal = callback.signal
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base = callback.base
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quote = callback.quote
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direction = signal.direction
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# Don't be silly
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if callback.exchange != account.exchange:
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log.error("Market exchange differs from account exchange.")
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return
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# Get the pair we are trading
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symbol = get_pair(account, base, quote)
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if not symbol:
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log.error(f"Symbol not supported by account: {symbol}")
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return
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# Extract the information for the symbol
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instrument = strategy.account.client.extract_instrument(instruments, symbol)
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if not instrument:
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log.error(f"Symbol not found: {symbol}")
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return
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# Get the required precision
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try:
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trade_precision = instrument["tradeUnitsPrecision"]
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display_precision = instrument["displayPrecision"]
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except KeyError:
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log.error(f"Precision not found for {symbol}")
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return
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# Round the received price to the display precision
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price = round(D(callback.price), display_precision)
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log.debug(f"Extracted price of quote: {price}")
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current_price = get_price(account, direction, symbol)
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log.debug(f"Callback price: {price}")
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log.debug(f"Current price: {current_price}")
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# Calculate price bound and round to the display precision
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price_bound = get_price_bound(direction, strategy, price, current_price)
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if not price_bound:
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return
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price_bound = round(price_bound, display_precision)
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# Callback now verified
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if func == "exit":
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check_exit = crossfilter(account, symbol, direction, func)
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if check_exit is None:
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return
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if not check_exit:
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log.debug("Exit conditions not met.")
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return
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if check_exit["action"] == "close":
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log.debug(f"Closing position on exit signal: {symbol}")
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side = check_exit["side"]
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response = account.client.close_position(side, symbol)
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log.debug(f"Close position response: {response}")
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return
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# Set the trend
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elif func == "trend":
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if strategy.trends is None:
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strategy.trends = {}
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strategy.trends[symbol] = direction
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strategy.save()
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log.debug(f"Set trend for {symbol}: {direction}")
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return
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# Check if we are trading against the trend
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if strategy.trend_signals.exists():
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if strategy.trends is None:
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log.debug("Refusing to trade with no trend signals received")
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return
|
|
if symbol not in strategy.trends:
|
|
log.debug("Refusing to trade asset without established trend")
|
|
return
|
|
else:
|
|
if strategy.trends[symbol] != direction:
|
|
log.debug("Refusing to trade against the trend")
|
|
return
|
|
else:
|
|
log.debug(f"Trend check passed for {symbol} - {direction}")
|
|
|
|
type = strategy.order_type
|
|
|
|
# Get the account's balance in the native account currency
|
|
cash_balance = strategy.account.client.get_balance()
|
|
log.debug(f"Cash balance: {cash_balance}")
|
|
|
|
# Convert the trade size, which is currently in the account's base currency,
|
|
# to the base currency of the pair we are trading
|
|
trade_size_in_base = get_trade_size_in_base(
|
|
direction, account, strategy, cash_balance, base
|
|
)
|
|
|
|
# Calculate TP/SL/TSL
|
|
protection = get_tp_sl(direction, strategy, current_price)
|
|
stop_loss = protection["sl"]
|
|
take_profit = protection["tp"]
|
|
trailing_stop_loss = None
|
|
if "tsl" in protection:
|
|
trailing_stop_loss = protection["tsl"]
|
|
|
|
# Create object, note that the amount is rounded to the trade precision
|
|
amount_rounded = float(round(trade_size_in_base, trade_precision))
|
|
new_trade = Trade.objects.create(
|
|
user=user,
|
|
account=account,
|
|
hook=hook,
|
|
signal=signal,
|
|
symbol=symbol,
|
|
type=type,
|
|
time_in_force=strategy.time_in_force,
|
|
# amount_fiat=amount_fiat,
|
|
amount=amount_rounded,
|
|
# price=price_bound,
|
|
price=price_bound,
|
|
stop_loss=float(round(stop_loss, display_precision)),
|
|
take_profit=float(round(take_profit, display_precision)),
|
|
direction=direction,
|
|
)
|
|
# Add TSL if applicable
|
|
if trailing_stop_loss:
|
|
new_trade.trailing_stop_loss = float(
|
|
round(trailing_stop_loss, display_precision)
|
|
)
|
|
new_trade.save()
|
|
|
|
# Run the crossfilter to ensure we don't trade the same pair in opposite directions
|
|
filtered = crossfilter(account, symbol, direction, func)
|
|
|
|
# TP/SL calculation and get_trade_size_in_base are wasted here, but it's important
|
|
# to record the decision in the Trade object. We can only get it after we do those.
|
|
# It shows what would be done.
|
|
if filtered:
|
|
log.debug(f"Trade filtered. Action: {filtered['action']}")
|
|
if filtered["action"] == "rejected":
|
|
new_trade.status = "rejected"
|
|
new_trade.save()
|
|
else:
|
|
info = new_trade.post()
|
|
log.debug(f"Posted trade: {info}")
|
|
|
|
# Send notification with limited number of fields
|
|
wanted_fields = ["requestID", "type", "symbol", "units", "reason"]
|
|
sendmsg(
|
|
user,
|
|
", ".join([str(v) for k, v in info.items() if k in wanted_fields]),
|
|
title=f"{direction} {amount_rounded} on {symbol}",
|
|
)
|
|
|
|
|
|
def process_callback(callback):
|
|
log.info(f"Received callback for {callback.hook} - {callback.signal}")
|
|
|
|
# Scan for trend
|
|
log.debug("Scanning for trend strategies...")
|
|
strategies = Strategy.objects.filter(trend_signals=callback.signal, enabled=True)
|
|
log.debug(f"Matched strategies: {strategies}")
|
|
for strategy in strategies:
|
|
log.debug(f"Executing strategy {strategy}")
|
|
if callback.hook.user != strategy.user:
|
|
log.error("Ownership differs between callback and strategy.")
|
|
continue
|
|
execute_strategy(callback, strategy, func="trend")
|
|
|
|
# Scan for entry
|
|
log.debug("Scanning for entry strategies...")
|
|
strategies = Strategy.objects.filter(entry_signals=callback.signal, enabled=True)
|
|
log.debug(f"Matched strategies: {strategies}")
|
|
for strategy in strategies:
|
|
log.debug(f"Executing strategy {strategy}")
|
|
if callback.hook.user != strategy.user:
|
|
log.error("Ownership differs between callback and strategy.")
|
|
continue
|
|
execute_strategy(callback, strategy, func="entry")
|
|
|
|
# Scan for exit
|
|
log.debug("Scanning for exit strategies...")
|
|
strategies = Strategy.objects.filter(exit_signals=callback.signal, enabled=True)
|
|
log.debug(f"Matched strategies: {strategies}")
|
|
for strategy in strategies:
|
|
log.debug(f"Executing strategy {strategy}")
|
|
if callback.hook.user != strategy.user:
|
|
log.error("Ownership differs between callback and strategy.")
|
|
continue
|
|
execute_strategy(callback, strategy, func="exit")
|