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79 lines
2.7 KiB
Python
79 lines
2.7 KiB
Python
def check_max_loss(risk_model, initial_balance, account_balance):
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"""
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Check that the account balance is within the max loss limit.
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"""
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max_loss_percent = risk_model.max_loss_percent
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max_loss = initial_balance * (max_loss_percent / 100)
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return account_balance > max_loss
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def check_max_risk(risk_model, account_trades):
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"""
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Check that all of the trades in the account are within the max risk limit.
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"""
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max_risk_percent = risk_model.max_risk_percent
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total_risk = 0
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for trade in account_trades:
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max_tmp = []
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if "sl_percent" in trade:
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max_tmp.append(trade["sl_percent"])
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if "tsl_percent" in trade:
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max_tmp.append(trade["tsl_percent"])
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total_risk += max(max_tmp)
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return total_risk < max_risk_percent
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def check_max_open_trades(risk_model, account_trades):
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"""
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Check that the number of trades in the account is within the max open trades limit.
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"""
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return len(account_trades) < risk_model.max_open_trades
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def check_max_open_trades_per_symbol(risk_model, account_trades):
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"""
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Check we cannot open more trades per symbol than permissible.
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"""
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symbol_map = {}
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for trade in account_trades:
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symbol = trade["symbol"]
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if symbol not in symbol_map:
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symbol_map[symbol] = 0
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symbol_map[symbol] += 1
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for symbol, count in symbol_map.items():
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if count >= risk_model.max_open_trades_per_symbol:
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return False
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return True
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def check_risk(risk_model, account, proposed_trade):
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"""
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Run the risk checks on the account and the proposed trade.
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"""
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# Check that the max loss is not exceeded
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max_loss_check = check_max_loss(
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risk_model, account.initial_balance, account.client.get_balance()
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)
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if not max_loss_check:
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return {"allowed": False, "reason": "Maximum loss exceeded."}
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# Check that the account max trades is not exceeded
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account_trades = account.client.get_all_open_trades() # TODO
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account_trades.append(proposed_trade) # TODO
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max_open_trades_check = check_max_open_trades(risk_model, account_trades)
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if not max_open_trades_check:
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return {"allowed": False, "reason": "Maximum open trades exceeded."}
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# Check that the max trades per symbol is not exceeded
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max_open_trades_per_symbol_check = check_max_open_trades_per_symbol(
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risk_model, account_trades
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)
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if not max_open_trades_per_symbol_check:
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return {"allowed": False, "reason": "Maximum open trades per symbol exceeded."}
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# Check that the max risk is not exceeded
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max_risk_check = check_max_risk(risk_model, account_trades)
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if not max_risk_check:
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return {"allowed": False, "reason": "Maximum risk exceeded."}
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