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1004 lines
35 KiB
Python
1004 lines
35 KiB
Python
from decimal import Decimal as D
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from unittest.mock import patch
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from django.test import TestCase
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from core.lib.schemas.oanda_s import parse_time
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from core.models import (
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Account,
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ActiveManagementPolicy,
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AssetGroup,
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AssetRule,
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Hook,
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Signal,
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User,
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)
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from core.tests.helpers import StrategyMixin, SymbolPriceMock
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from core.trading.active_management import ActiveManagement
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class ActiveManagementTestCase(StrategyMixin, SymbolPriceMock, TestCase):
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def setUp(self):
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self.user = User.objects.create_user(
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username="testuser", email="test@example.com", password="test"
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)
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self.account = Account.objects.create(
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user=self.user,
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name="Test Account",
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exchange="fake",
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currency="USD",
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initial_balance=100000,
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)
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self.account.supported_symbols = ["EUR_USD", "EUR_XXX", "USD_EUR", "XXX_EUR"]
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self.account.save()
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super().setUp()
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self.active_management_policy = ActiveManagementPolicy.objects.create(
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user=self.user,
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name="Test Policy",
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when_trading_time_violated="close",
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when_trends_violated="close",
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when_position_size_violated="close",
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when_protection_violated="close",
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when_asset_groups_violated="close",
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when_max_open_trades_violated="close",
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when_max_open_trades_per_symbol_violated="close",
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when_max_loss_violated="close",
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when_max_risk_violated="close",
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when_crossfilter_violated="close",
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)
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self.strategy.active_management_policy = self.active_management_policy
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self.strategy.save()
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self.ams = ActiveManagement(self.strategy)
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self.trades = [
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{
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"id": "20083",
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"symbol": "EUR_USD",
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"price": "1.06331",
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"openTime": "2023-02-13T11:38:06.302917985Z", # Monday at 11:38
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"initialUnits": "10",
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"initialMarginRequired": "0.2966",
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"state": "OPEN",
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"currentUnits": "10",
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"realizedPL": "0.0000",
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"financing": "0.0000",
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"dividendAdjustment": "0.0000",
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"unrealizedPL": "-0.0008",
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"marginUsed": "0.2966",
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"takeProfitOrder": {"price": "1.07934"},
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"stopLossOrder": {"price": "1.05276"},
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"trailingStopLossOrder": None,
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"trailingStopValue": None,
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"side": "long",
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},
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{
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"id": "20084",
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"symbol": "EUR_USD",
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"price": "1.06331",
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"openTime": "2023-02-13T11:39:06.302917985Z", # Monday at 11:39
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"initialUnits": "10",
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"initialMarginRequired": "0.2966",
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"state": "OPEN",
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"currentUnits": "10",
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"realizedPL": "0.0000",
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"financing": "0.0000",
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"dividendAdjustment": "0.0000",
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"unrealizedPL": "-0.0008",
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"marginUsed": "0.2966",
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"takeProfitOrder": {"price": "1.07934"},
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"stopLossOrder": {"price": "1.05276"},
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"trailingStopLossOrder": None,
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"trailingStopValue": None,
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"side": "long",
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},
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]
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# Run parse_time on all items in trades
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for trade in self.trades:
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trade["openTime"] = parse_time(trade)
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self.balance = 100000
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self.balance_usd = 120000
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self.ams.get_trades = self.fake_get_trades
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self.ams.get_balance = self.fake_get_balance
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# self.ams.trades = self.trades
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def get_ids(self, trades):
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return [trade["id"] for trade in trades]
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def add_trade(self, id, symbol, side, open_time):
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trade = {
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"id": id,
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"symbol": symbol,
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"price": "1.06331",
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"openTime": open_time,
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"initialUnits": "10",
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"initialMarginRequired": "0.2966",
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"state": "OPEN",
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"currentUnits": "10",
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"realizedPL": "0.0000",
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"financing": "0.0000",
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"dividendAdjustment": "0.0000",
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"unrealizedPL": "-0.0008",
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"marginUsed": "0.2966",
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"takeProfitOrder": {"price": "1.07934"},
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"stopLossOrder": {"price": "1.05276"},
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"trailingStopLossOrder": None,
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"trailingStopValue": None,
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"side": side,
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}
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trade["openTime"] = parse_time(trade)
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self.trades.append(trade)
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def amend_tp_sl_flip_side(self):
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"""
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Amend the take profit and stop loss orders to be the opposite side.
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This lets the protection tests pass, so we can only test one violation
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per test.
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"""
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for trade in self.trades:
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if trade["side"] == "short":
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trade["stopLossOrder"]["price"] = "1.07386"
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trade["takeProfitOrder"]["price"] = "1.04728"
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def fake_get_trades(self):
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self.ams.trades = self.trades
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return self.trades
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def fake_get_balance(self, return_usd=None):
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if return_usd:
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return self.balance_usd
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return self.balance
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def fake_get_currencies(self, symbols):
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pass
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def test_get_trades(self):
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trades = self.ams.get_trades()
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self.assertEqual(trades, self.trades)
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def test_get_balance(self):
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balance = self.ams.get_balance()
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self.assertEqual(balance, self.balance)
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def check_violation(
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self, violation, calls, expected_action, expected_trades, expected_args=None
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):
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"""
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Check that the violation was called with the expected action and trades.
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Matches the first argument of the call to the violation name.
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:param: violation: type of the violation to check against
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:param: calls: list of calls to the violation
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:param: expected_action: expected action to be called, close, notify, etc.
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:param: expected_trades: list of expected trades to be passed to the violation
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:param: expected_args: optional, expected args to be passed to the violation
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"""
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self.assertEqual(len(calls), len(expected_trades))
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calls = list(calls)
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violation_calls = []
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for call in calls:
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if call[0][0] == violation:
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violation_calls.append(call)
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self.assertEqual(len(violation_calls), len(expected_trades))
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if all(expected_trades):
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# expected_trades = convert_trades(expected_trades)
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expected_trades = self.get_ids(expected_trades)
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for call in violation_calls:
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# Ensure the correct action has been called, like close
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self.assertEqual(call[0][1], expected_action)
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# Ensure the correct trade has been passed to the violation
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self.assertIn(call[0][2], expected_trades)
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if expected_args:
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_, kwargs = call
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self.assertEqual(kwargs, expected_args)
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# self.assertEqual(call[0][3], expected_args)
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def test_run_checks(self):
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self.ams.run_checks()
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self.assertEqual(len(self.ams.actions), 0)
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def test_trading_time_violated(self):
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self.trades[0]["openTime"] = "2023-02-17T11:38:06.302917Z" # Friday
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self.ams.run_checks()
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self.assertEqual(
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self.ams.actions,
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{"close": [{"id": "20083", "check": "trading_time", "extra": {}}]},
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)
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def create_hook_signal(self):
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hook = Hook.objects.create(
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user=self.user,
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name="Test Hook",
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)
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signal = Signal.objects.create(
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user=self.user,
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name="Test Signal",
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hook=hook,
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type="trend",
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)
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return signal
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def test_trends_violated(self):
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signal = self.create_hook_signal()
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self.strategy.trend_signals.set([signal])
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self.strategy.trends = {"EUR_USD": "sell"}
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self.amend_tp_sl_flip_side()
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self.strategy.save()
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self.ams.run_checks()
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self.assertEqual(
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self.ams.actions,
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{
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"close": [
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{"id": "20084", "check": "trends", "extra": {}},
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{"id": "20083", "check": "trends", "extra": {}},
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]
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},
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)
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def test_trends_violated_none(self):
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signal = self.create_hook_signal()
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self.strategy.trend_signals.set([signal])
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self.strategy.trends = {"EUR_USD": "buy"}
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self.strategy.save()
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self.ams.run_checks()
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self.assertEqual(self.ams.actions, {})
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# Mock crossfilter here since we want to allow this conflict in order to test that
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# trends only close trades that are in the wrong direction
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@patch(
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"core.trading.active_management.ActiveManagement.check_crossfilter",
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return_value=None,
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)
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def test_trends_violated_partial(self, check_crossfilter):
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signal = self.create_hook_signal()
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self.strategy.trend_signals.set([signal])
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self.strategy.trends = {"EUR_USD": "sell"}
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self.strategy.save()
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# Change the side of the first trade to match the trends
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self.trades[0]["side"] = "short"
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self.amend_tp_sl_flip_side()
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self.ams.run_checks()
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self.assertEqual(
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self.ams.actions,
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{"close": [{"id": "20084", "check": "trends", "extra": {}}]},
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)
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def test_position_size_violated(self):
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self.trades[0]["currentUnits"] = "100000"
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self.ams.run_checks()
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self.assertEqual(
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self.ams.actions,
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{
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"close": [
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{
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"id": "20083",
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"check": "position_size",
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"extra": {"size": D("500.000")},
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}
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]
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},
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)
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def test_position_size_violated_increase_only(self):
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pass
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def test_position_size_violated_decrease_only(self):
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pass
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def test_position_size_violated_increase_decrease(self):
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pass
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def test_protection_violated(self):
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self.trades[0]["takeProfitOrder"] = {"price": "0.0001"}
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self.trades[0]["stopLossOrder"] = {"price": "0.0001"}
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self.ams.run_checks()
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expected_args = {
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"take_profit_price": D("1.07934"),
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"stop_loss_price": D("1.05276"),
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}
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self.assertEqual(
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self.ams.actions,
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{
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"close": [
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{
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"id": "20083",
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"check": "protection",
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"extra": {
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**expected_args,
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},
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}
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]
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},
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)
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def test_protection_violated_absent(self):
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self.trades[0]["takeProfitOrder"] = None
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self.trades[0]["stopLossOrder"] = None
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self.ams.run_checks()
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expected_args = {
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"take_profit_price": D("1.07934"),
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"stop_loss_price": D("1.05276"),
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}
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self.assertEqual(
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self.ams.actions,
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{
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"close": [
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{
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"id": "20083",
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"check": "protection",
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"extra": {
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**expected_args,
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},
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}
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]
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},
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)
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def test_protection_violated_absent_not_required(self):
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self.strategy.order_settings.take_profit_percent = 0
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self.strategy.order_settings.stop_loss_percent = 0
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self.strategy.order_settings.save()
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self.trades[0]["takeProfitOrder"] = None
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self.trades[0]["stopLossOrder"] = None
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self.ams.run_checks()
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self.assertEqual(self.ams.actions, {})
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def test_asset_groups_violated(self):
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asset_group = AssetGroup.objects.create(
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user=self.user,
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name="Test Asset Group",
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)
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AssetRule.objects.create(
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user=self.user,
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asset="USD",
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group=asset_group,
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status=2, # Bullish
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)
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self.strategy.asset_group = asset_group
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self.strategy.save()
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self.ams.run_checks()
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self.assertEqual(
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self.ams.actions,
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{
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"close": [
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{"id": "20084", "check": "asset_group", "extra": {}},
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{"id": "20083", "check": "asset_group", "extra": {}},
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]
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},
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)
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def test_asset_groups_violated_invert(self):
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self.trades[0]["side"] = "short"
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self.trades[1]["side"] = "short"
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self.amend_tp_sl_flip_side()
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asset_group = AssetGroup.objects.create(
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user=self.user,
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name="Test Asset Group",
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)
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AssetRule.objects.create(
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user=self.user,
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asset="USD",
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group=asset_group,
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status=3, # Bullish
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)
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self.strategy.asset_group = asset_group
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self.strategy.save()
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self.ams.run_checks()
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self.assertEqual(
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self.ams.actions,
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{
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"close": [
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{"id": "20084", "check": "asset_group", "extra": {}},
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{"id": "20083", "check": "asset_group", "extra": {}},
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]
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},
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)
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def test_crossfilter_violated_side(self):
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self.trades[1]["side"] = "short"
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self.amend_tp_sl_flip_side()
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self.ams.run_checks()
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self.assertEqual(
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self.ams.actions,
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{"close": [{"id": "20084", "check": "crossfilter", "extra": {}}]},
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)
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def test_crossfilter_violated_side_multiple(self):
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self.add_trade(
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"20085", "EUR_USD", "short", "2023-02-13T12:39:06.302917985Z"
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) # 2:
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self.add_trade("20086", "EUR_USD", "short", "2023-02-13T13:39:07.302917985Z")
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self.add_trade("20087", "EUR_USD", "short", "2023-02-13T14:39:06.302917985Z")
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self.amend_tp_sl_flip_side()
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self.ams.run_checks()
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self.assertEqual(
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self.ams.actions,
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{
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"close": [
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{"id": "20087", "check": "crossfilter", "extra": {}},
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{"id": "20086", "check": "crossfilter", "extra": {}},
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{"id": "20085", "check": "crossfilter", "extra": {}},
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]
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},
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)
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def test_crossfilter_violated_symbol(self):
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# Change symbol to conflict with long on EUR_USD
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self.trades[1]["symbol"] = "USD_EUR"
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self.ams.run_checks()
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self.assertEqual(
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self.ams.actions,
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{"close": [{"id": "20084", "check": "crossfilter", "extra": {}}]},
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)
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def test_crossfilter_violated_symbol_multiple(self):
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self.add_trade(
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"20085", "USD_EUR", "long", "2023-02-13T12:39:06.302917985Z"
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) # 2:
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self.add_trade("20086", "USD_EUR", "long", "2023-02-13T13:39:06.302917985Z")
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self.add_trade("20087", "USD_EUR", "long", "2023-02-13T14:39:06.302917985Z")
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self.ams.run_checks()
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self.assertEqual(
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self.ams.actions,
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{
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"close": [
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{"id": "20087", "check": "crossfilter", "extra": {}},
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{"id": "20086", "check": "crossfilter", "extra": {}},
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{"id": "20085", "check": "crossfilter", "extra": {}},
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]
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},
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)
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def test_max_open_trades_violated(self):
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for x in range(9):
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self.add_trade(
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str(x),
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f"EUR_USD{x}", # Vary symbol to prevent max open trades per symbol
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"long",
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f"2023-02-13T12:39:1{x}.302917985Z",
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)
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self.ams.run_checks()
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self.assertEqual(
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self.ams.actions,
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{"close": [{"id": "8", "check": "max_open_trades", "extra": {}}]},
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)
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def test_max_open_trades_per_symbol_violated(self):
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for x in range(4):
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self.add_trade(
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str(x),
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"EUR_USD",
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"long",
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f"2023-02-13T12:39:1{x}.302917985Z",
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)
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self.ams.run_checks()
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self.assertEqual(
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self.ams.actions,
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{
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"close": [
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{"id": "3", "check": "max_open_trades_per_symbol", "extra": {}}
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]
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},
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)
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# Mock position size as we have no way of checking the balance at the start of the
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# trade.
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# TODO: Fix this when we have a way of checking the balance at the start of the
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# trade.
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@patch(
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"core.trading.active_management.ActiveManagement.check_position_size",
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return_value=None,
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)
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def test_max_loss_violated(self, check_position_size):
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self.balance = D("1")
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self.balance_usd = D("0.69")
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|
|
self.trades = []
|
|
|
|
self.ams.run_checks()
|
|
|
|
self.assertEqual(
|
|
self.ams.actions,
|
|
{"close": [{"id": None, "check": "max_loss", "extra": {}}]},
|
|
)
|
|
|
|
@patch(
|
|
"core.trading.active_management.ActiveManagement.check_position_size",
|
|
return_value=None,
|
|
)
|
|
@patch(
|
|
"core.trading.active_management.ActiveManagement.check_protection",
|
|
return_value=None,
|
|
)
|
|
def test_max_risk_violated(self, check_protection, check_position_size):
|
|
self.add_trade(
|
|
"20085",
|
|
"EUR_USD",
|
|
"long",
|
|
"2023-02-13T15:39:19.302917985Z",
|
|
)
|
|
self.trades[2]["stopLossOrder"]["price"] = "0.001"
|
|
self.trades[2]["currentUnits"] = "13000"
|
|
|
|
self.ams.run_checks()
|
|
|
|
self.assertEqual(
|
|
self.ams.actions,
|
|
{"close": [{"id": "20085", "check": "max_risk", "extra": {}}]},
|
|
)
|
|
|
|
@patch(
|
|
"core.trading.active_management.ActiveManagement.check_position_size",
|
|
return_value=None,
|
|
)
|
|
@patch(
|
|
"core.trading.active_management.ActiveManagement.check_protection",
|
|
return_value=None,
|
|
)
|
|
def test_max_risk_violated_multiple(self, check_protection, check_position_size):
|
|
self.add_trade(
|
|
"20085",
|
|
"EUR_USD",
|
|
"long",
|
|
"2023-02-13T15:39:19.302917985Z",
|
|
)
|
|
self.add_trade(
|
|
"20086",
|
|
"EUR_USD",
|
|
"long",
|
|
"2023-02-13T15:45:19.302917985Z",
|
|
)
|
|
self.trades[2]["stopLossOrder"]["price"] = "0.001"
|
|
self.trades[2]["currentUnits"] = "13000"
|
|
self.trades[3]["stopLossOrder"]["price"] = "0.001"
|
|
self.trades[3]["currentUnits"] = "13000"
|
|
|
|
self.ams.run_checks()
|
|
|
|
self.assertEqual(
|
|
self.ams.actions,
|
|
{
|
|
"close": [
|
|
{"id": "20086", "check": "max_risk", "extra": {}},
|
|
{"id": "20085", "check": "max_risk", "extra": {}},
|
|
]
|
|
},
|
|
)
|
|
|
|
@patch(
|
|
"core.trading.active_management.ActiveManagement.add_action",
|
|
)
|
|
def test_handle_violation(self, add_action):
|
|
self.ams.handle_violation("max_loss", "close", "trade_id")
|
|
self.ams.handle_violation("position_size", "adjust", "trade_id2", size=1000)
|
|
|
|
self.assertEqual(add_action.call_count, 2)
|
|
add_action.assert_any_call("close", "max_loss", "trade_id")
|
|
add_action.assert_any_call("adjust", "position_size", "trade_id2", size=1000)
|
|
|
|
def test_add_action(self):
|
|
protection_args = {
|
|
"take_profit_price": D("1.07934"),
|
|
"stop_loss_price": D("1.05276"),
|
|
}
|
|
self.ams.add_action("close", "trading_time", "fake_trade_id")
|
|
self.ams.add_action("close", "protection", "fake_trade_id2", **protection_args)
|
|
|
|
self.assertEqual(
|
|
self.ams.actions,
|
|
{
|
|
"close": [
|
|
{"id": "fake_trade_id", "check": "trading_time", "extra": {}},
|
|
{
|
|
"id": "fake_trade_id2",
|
|
"check": "protection",
|
|
"extra": protection_args,
|
|
},
|
|
],
|
|
},
|
|
)
|
|
|
|
def test_reduce_actions(self):
|
|
"""
|
|
Test that closing actions precede adjusting actions.
|
|
"""
|
|
self.ams.add_action("close", "trading_time", "fake_trade_id")
|
|
self.ams.add_action("adjust", "position_size", "fake_trade_id", size=1000)
|
|
self.assertEqual(len(self.ams.actions["close"]), 1)
|
|
self.assertEqual(len(self.ams.actions["adjust"]), 1)
|
|
|
|
self.ams.reduce_actions()
|
|
self.assertEqual(len(self.ams.actions["close"]), 1)
|
|
self.assertEqual(len(self.ams.actions["adjust"]), 0)
|
|
|
|
@patch("core.trading.active_management.ActiveManagement.bulk_close_trades")
|
|
@patch("core.trading.active_management.ActiveManagement.bulk_notify")
|
|
def test_run_actions(self, bulk_notify, bulk_close_trades):
|
|
protection_args = {
|
|
"take_profit_price": D("1.07934"),
|
|
"stop_loss_price": D("1.05276"),
|
|
}
|
|
self.ams.add_action("close", "trading_time", "fake_trade_id")
|
|
self.ams.add_action("close", "protection", "fake_trade_id2", **protection_args)
|
|
self.ams.run_actions()
|
|
|
|
expected_action_cast = [
|
|
{"id": "fake_trade_id", "check": "trading_time", "extra": {}},
|
|
{
|
|
"id": "fake_trade_id2",
|
|
"check": "protection",
|
|
"extra": {
|
|
**protection_args,
|
|
},
|
|
},
|
|
]
|
|
bulk_notify.assert_called_once_with(
|
|
"close",
|
|
expected_action_cast,
|
|
)
|
|
|
|
bulk_close_trades.assert_called_once_with(
|
|
["fake_trade_id", "fake_trade_id2"],
|
|
)
|
|
|
|
@patch("core.trading.active_management.ActiveManagement.bulk_close_trades")
|
|
@patch("core.trading.active_management.ActiveManagement.bulk_notify")
|
|
def test_run_actions_notify_only(self, bulk_notify, bulk_close_trades):
|
|
protection_args = {
|
|
"take_profit_price": D("1.07934"),
|
|
"stop_loss_price": D("1.05276"),
|
|
}
|
|
self.ams.add_action("notify", "trading_time", "fake_trade_id")
|
|
self.ams.add_action("notify", "protection", "fake_trade_id2", **protection_args)
|
|
self.ams.run_actions()
|
|
|
|
expected_action_cast = [
|
|
{"id": "fake_trade_id", "check": "trading_time", "extra": {}},
|
|
{
|
|
"id": "fake_trade_id2",
|
|
"check": "protection",
|
|
"extra": {
|
|
**protection_args,
|
|
},
|
|
},
|
|
]
|
|
bulk_notify.assert_called_once_with(
|
|
"notify",
|
|
expected_action_cast,
|
|
)
|
|
|
|
bulk_close_trades.assert_not_called()
|
|
|
|
@patch("core.trading.active_management.ActiveManagement.bulk_close_trades")
|
|
@patch("core.trading.active_management.ActiveManagement.bulk_adjust")
|
|
@patch("core.trading.active_management.ActiveManagement.bulk_notify")
|
|
def test_run_actions_notify_adjust_only(
|
|
self, bulk_notify, bulk_adjust, bulk_close_trades
|
|
):
|
|
protection_args = {
|
|
"take_profit_price": D("1.07934"),
|
|
"stop_loss_price": D("1.05276"),
|
|
}
|
|
self.ams.add_action("adjust", "position_size", "fake_trade_id", size=1000)
|
|
self.ams.add_action("adjust", "protection", "fake_trade_id2", **protection_args)
|
|
self.ams.run_actions()
|
|
|
|
expected_action_cast = [
|
|
{"id": "fake_trade_id", "check": "position_size", "extra": {"size": 1000}},
|
|
{
|
|
"id": "fake_trade_id2",
|
|
"check": "protection",
|
|
"extra": {
|
|
**protection_args,
|
|
},
|
|
},
|
|
]
|
|
bulk_notify.assert_called_once_with(
|
|
"adjust",
|
|
expected_action_cast,
|
|
)
|
|
|
|
bulk_adjust.assert_called_once_with(expected_action_cast)
|
|
bulk_close_trades.assert_not_called()
|
|
|
|
@patch("core.trading.active_management.ActiveManagement.adjust_position_size")
|
|
@patch("core.trading.active_management.ActiveManagement.adjust_protection")
|
|
def test_bulk_adjust(self, adjust_protection, adjust_position_size):
|
|
expected_protection = {"take_profit_price": 1.10, "stop_loss_price": 1.05}
|
|
cast_list = [
|
|
{"id": "id1", "check": "position_size", "extra": {"size": 1000}},
|
|
{"id": "id2", "check": "protection", "extra": expected_protection},
|
|
]
|
|
|
|
self.ams.bulk_adjust(cast_list)
|
|
|
|
adjust_position_size.assert_called_once_with("id1", 1000)
|
|
adjust_protection.assert_called_once_with("id2", expected_protection)
|
|
|
|
@patch("core.trading.active_management.ActiveManagement.close_trade")
|
|
def test_bulk_close_trades(self, close_trade):
|
|
self.ams.bulk_close_trades(["id1", "id2"])
|
|
|
|
self.assertEqual(close_trade.call_count, 2)
|
|
close_trade.assert_any_call("id1")
|
|
close_trade.assert_any_call("id2")
|
|
|
|
@patch("core.trading.active_management.sendmsg")
|
|
def test_bulk_notify_plain(self, sendmsg):
|
|
self.ams.bulk_notify("close", [{"id": "id1", "check": "check1", "extra": {}}])
|
|
|
|
sendmsg.assert_called_once_with(
|
|
self.user,
|
|
"ACTION: 'close' on trade ID 'id1'\nVIOLATION: 'check1'\n=========\n",
|
|
title="AMS: close",
|
|
)
|
|
|
|
@patch("core.trading.active_management.sendmsg")
|
|
def test_bulk_notify_extra(self, sendmsg):
|
|
self.ams.bulk_notify(
|
|
"close", [{"id": "id1", "check": "check1", "extra": {"field1": "value1"}}]
|
|
)
|
|
|
|
sendmsg.assert_called_once_with(
|
|
self.user,
|
|
(
|
|
"ACTION: 'close' on trade ID 'id1'\nVIOLATION: 'check1'\nEXTRA:"
|
|
" field1: value1\n=========\n"
|
|
),
|
|
title="AMS: close",
|
|
)
|
|
|
|
@patch("core.trading.active_management.ActiveManagement.check_protection")
|
|
def test_position_size_reduced(self, check_protection):
|
|
self.active_management_policy.when_position_size_violated = "adjust"
|
|
self.active_management_policy.save()
|
|
|
|
self.trades[0]["currentUnits"] = "100000"
|
|
self.ams.run_checks()
|
|
|
|
call_args = check_protection.call_args[0][0]
|
|
|
|
self.assertEqual(call_args["amount"], 500)
|
|
self.assertEqual(call_args["units"], 500)
|
|
|
|
@patch("core.trading.active_management.ActiveManagement.check_asset_groups")
|
|
def test_protection_added(self, check_asset_groups):
|
|
self.active_management_policy.when_protection_violated = "adjust"
|
|
self.active_management_policy.save()
|
|
self.trades[0]["takeProfitOrder"] = None
|
|
self.trades[0]["stopLossOrder"] = None
|
|
self.ams.run_checks()
|
|
|
|
call_args = check_asset_groups.call_args[0][0]
|
|
self.assertEqual(call_args["take_profit_price"], D("1.07934"))
|
|
self.assertEqual(call_args["stop_loss_price"], D("1.05276"))
|
|
|
|
@patch("core.trading.active_management.ActiveManagement.check_asset_groups")
|
|
def test_protection_amended(self, check_asset_groups):
|
|
self.active_management_policy.when_protection_violated = "adjust"
|
|
self.active_management_policy.save()
|
|
self.trades[0]["takeProfitOrder"] = {"price": "0.0001"}
|
|
self.trades[0]["stopLossOrder"] = {"price": "0.0001"}
|
|
self.ams.run_checks()
|
|
|
|
call_args = check_asset_groups.call_args[0][0]
|
|
self.assertEqual(call_args["take_profit_price"], D("1.07934"))
|
|
self.assertEqual(call_args["stop_loss_price"], D("1.05276"))
|
|
|
|
@patch("core.trading.active_management.ActiveManagement.close_trade")
|
|
def test_max_risk_not_violated_after_adjusting_protection(self, close_trade):
|
|
"""
|
|
Ensure the max risk check is not violated after adjusting the protection.
|
|
"""
|
|
self.active_management_policy.when_protection_violated = "adjust"
|
|
self.active_management_policy.save()
|
|
|
|
self.add_trade(
|
|
"20085",
|
|
"EUR_USD",
|
|
"long",
|
|
"2023-02-13T15:39:19.302917985Z",
|
|
)
|
|
self.trades[2]["stopLossOrder"]["price"] = "0.001"
|
|
self.trades[2]["currentUnits"] = "13000"
|
|
|
|
self.ams.run_checks()
|
|
|
|
self.assertEqual(close_trade.call_count, 0)
|
|
|
|
@patch("core.trading.active_management.ActiveManagement.close_trade")
|
|
def test_max_risk_not_violated_after_adjusting_position_size(self, close_trade):
|
|
"""
|
|
Ensure the max risk check is not violated after adjusting the position size.
|
|
"""
|
|
self.active_management_policy.when_position_size_violated = "adjust"
|
|
self.active_management_policy.save()
|
|
|
|
self.trades[0]["currentUnits"] = "100000"
|
|
self.ams.run_checks()
|
|
|
|
self.assertEqual(close_trade.call_count, 0)
|
|
|
|
@patch("core.trading.active_management.ActiveManagement.check_crossfilter")
|
|
@patch("core.trading.active_management.ActiveManagement.check_trends")
|
|
def test_trading_time_mutation(self, check_trends, check_crossfilter):
|
|
self.trades[0]["openTime"] = "2023-02-17T11:38:06.302917Z" # Friday
|
|
self.ams.run_checks()
|
|
|
|
self.assertEqual(check_trends.call_count, 1)
|
|
call_args = check_trends.call_args[0][0]
|
|
self.assertEqual(
|
|
call_args["id"], "20084"
|
|
) # Only run trends on the second trade
|
|
|
|
crossfilter_call_args = check_crossfilter.call_args[0][0]
|
|
self.assertEqual(len(crossfilter_call_args), 1)
|
|
self.assertEqual(
|
|
crossfilter_call_args[0]["id"], "20084"
|
|
) # Same for crossfilter
|
|
|
|
@patch("core.trading.active_management.ActiveManagement.check_crossfilter")
|
|
@patch("core.trading.active_management.ActiveManagement.check_position_size")
|
|
def test_check_trends_mutation(self, check_position_size, check_crossfilter):
|
|
signal = self.create_hook_signal()
|
|
self.strategy.trend_signals.set([signal])
|
|
self.strategy.trends = {"EUR_USD": "sell"}
|
|
self.amend_tp_sl_flip_side()
|
|
self.strategy.save()
|
|
|
|
self.ams.run_checks()
|
|
|
|
self.assertEqual(check_position_size.call_count, 0)
|
|
|
|
crossfilter_call_args = check_crossfilter.call_args[0][0]
|
|
self.assertEqual(len(crossfilter_call_args), 0)
|
|
|
|
@patch("core.trading.active_management.ActiveManagement.check_crossfilter")
|
|
@patch("core.trading.active_management.ActiveManagement.check_protection")
|
|
def test_check_position_size_mutation(self, check_protection, check_crossfilter):
|
|
self.trades[0]["currentUnits"] = "100000"
|
|
self.ams.run_checks()
|
|
|
|
self.assertEqual(check_protection.call_count, 1)
|
|
|
|
call_args = check_protection.call_args[0][0]
|
|
self.assertEqual(
|
|
call_args["id"], "20084"
|
|
) # Only run protection on the second trade
|
|
|
|
crossfilter_call_args = check_crossfilter.call_args[0][0]
|
|
self.assertEqual(len(crossfilter_call_args), 1)
|
|
self.assertEqual(
|
|
crossfilter_call_args[0]["id"], "20084"
|
|
) # Same for crossfilter
|
|
|
|
@patch("core.trading.active_management.ActiveManagement.check_crossfilter")
|
|
@patch("core.trading.active_management.ActiveManagement.check_protection")
|
|
def test_check_protection_mutation(self, check_protection, check_crossfilter):
|
|
self.trades[0]["currentUnits"] = "100000"
|
|
self.ams.run_checks()
|
|
|
|
self.assertEqual(check_protection.call_count, 1)
|
|
|
|
call_args = check_protection.call_args[0][0]
|
|
self.assertEqual(
|
|
call_args["id"], "20084"
|
|
) # Only run protection on the second trade
|
|
|
|
crossfilter_call_args = check_crossfilter.call_args[0][0]
|
|
self.assertEqual(len(crossfilter_call_args), 1)
|
|
self.assertEqual(
|
|
crossfilter_call_args[0]["id"], "20084"
|
|
) # Same for crossfilter
|
|
|
|
# This may look similar but check_crossfilter is called with the whole trade list.
|
|
# Check that the trade that is removed from the list is not checked.
|
|
@patch("core.trading.active_management.ActiveManagement.check_crossfilter")
|
|
def test_check_asset_groups_mutation(self, check_crossfilter):
|
|
asset_group = AssetGroup.objects.create(
|
|
user=self.user,
|
|
name="Test Asset Group",
|
|
)
|
|
AssetRule.objects.create(
|
|
user=self.user,
|
|
asset="USD",
|
|
group=asset_group,
|
|
status=2, # Bullish
|
|
)
|
|
self.strategy.asset_group = asset_group
|
|
self.strategy.save()
|
|
self.ams.run_checks()
|
|
|
|
check_crossfilter.assert_called_once_with([])
|
|
|
|
@patch("core.trading.active_management.ActiveManagement.check_max_open_trades")
|
|
def test_check_crossfilter_mutation(self, check_max_open_trades):
|
|
self.trades[1]["side"] = "short"
|
|
self.amend_tp_sl_flip_side()
|
|
self.ams.run_checks()
|
|
|
|
self.assertEqual(check_max_open_trades.call_count, 1)
|
|
call_args = check_max_open_trades.call_args[0][0]
|
|
|
|
self.assertEqual(len(call_args), 1)
|
|
self.assertEqual(call_args[0]["id"], "20083")
|
|
|
|
@patch( # When the string is just too damn long
|
|
(
|
|
"core.trading.active_management.ActiveManagement."
|
|
"check_max_open_trades_per_symbol"
|
|
)
|
|
)
|
|
def test_check_max_open_trades_mutation(self, check_max_open_trades_per_symbol):
|
|
for x in range(9):
|
|
self.add_trade(
|
|
str(x),
|
|
f"EUR_USD{x}", # Vary symbol to prevent max open trades per symbol
|
|
"long",
|
|
f"2023-02-13T12:39:1{x}.302917985Z",
|
|
)
|
|
|
|
self.ams.run_checks()
|
|
|
|
self.assertEqual(check_max_open_trades_per_symbol.call_count, 1)
|
|
call_args = check_max_open_trades_per_symbol.call_args[0][0]
|
|
called_with_ids = [x["id"] for x in call_args]
|
|
self.assertListEqual(
|
|
called_with_ids, ["20083", "20084", "0", "1", "2", "3", "4", "5", "6", "7"]
|
|
)
|
|
|
|
@patch("core.trading.active_management.ActiveManagement.check_max_loss")
|
|
def test_check_max_open_trades_per_symbol_mutation(self, check_max_loss):
|
|
for x in range(4):
|
|
self.add_trade(
|
|
str(x),
|
|
"EUR_USD",
|
|
"long",
|
|
f"2023-02-13T12:39:1{x}.302917985Z",
|
|
)
|
|
|
|
self.ams.run_checks()
|
|
|
|
self.assertEqual(check_max_loss.call_count, 1)
|
|
call_args = check_max_loss.call_args[0][0]
|
|
called_with_ids = [x["id"] for x in call_args]
|
|
self.assertListEqual(called_with_ids, ["20083", "20084", "0", "1", "2"])
|
|
|
|
@patch("core.trading.active_management.ActiveManagement.check_max_risk")
|
|
def test_check_max_loss_mutation(self, check_max_risk):
|
|
self.balance = D("1")
|
|
self.balance_usd = D("0.69")
|
|
|
|
self.trades = []
|
|
|
|
self.ams.run_checks()
|
|
|
|
self.assertEqual(check_max_risk.call_count, 1)
|
|
call_args = check_max_risk.call_args[0][0]
|
|
called_with_ids = [x["id"] for x in call_args]
|
|
self.assertListEqual(called_with_ids, [])
|
|
|
|
def test_check_max_risk_mutation(self):
|
|
"""
|
|
This cannot be tested as there are no hooks after it.
|
|
"""
|
|
pass
|