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692 lines
23 KiB
Python
692 lines
23 KiB
Python
from datetime import time
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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.exchanges.convert import convert_trades
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from core.models import (
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ActiveManagementPolicy,
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AssetGroup,
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AssetRule,
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Hook,
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RiskModel,
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Signal,
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Trade,
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TradingTime,
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)
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from core.tests.helpers import ElasticMock, LiveBase, StrategyMixin
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from core.trading import market, risk
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from core.trading.active_management import ActiveManagement
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class ActiveManagementLiveTestCase(ElasticMock, StrategyMixin, LiveBase, TestCase):
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def setUp(self):
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super(ActiveManagementLiveTestCase, self).setUp()
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self.trade = Trade.objects.create(
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user=self.user,
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account=self.account,
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symbol="EUR_USD",
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time_in_force="FOK",
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type="market",
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amount=10,
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direction="buy",
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)
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self.commission = 0.025
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self.risk_model = RiskModel.objects.create(
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user=self.user,
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name="Test Risk Model",
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max_loss_percent=4,
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max_risk_percent=2,
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max_open_trades=3,
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max_open_trades_per_symbol=2,
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)
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self.trading_time_all = TradingTime.objects.create(
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user=self.user,
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name="All",
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start_day=1,
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start_time=time(0, 0, 0),
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end_day=7,
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end_time=time(23, 59, 59),
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)
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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="adjust",
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when_protection_violated="adjust",
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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.trading_times.set([self.trading_time_all])
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self.strategy.save()
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self.ams = ActiveManagement(self.strategy)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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def test_ams_success(self):
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complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(complex_trade)
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self.ams.run_checks()
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self.assertEqual(self.ams.actions, {})
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self.close_trade(complex_trade)
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def test_ams_trading_time_violated(self):
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# Forex market is closed on Saturday and Sunday.
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# All of these tests will fail then anyway, so it's the only time
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# we can use for this.
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trading_time_weekend = TradingTime.objects.create(
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user=self.user,
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name="Weekend",
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start_day=6,
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start_time=time(0, 0, 0),
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end_day=7,
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end_time=time(23, 59, 59),
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)
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self.strategy.trading_times.set([trading_time_weekend])
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self.strategy.save()
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complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(complex_trade)
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self.ams.run_checks()
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expected_actions = {
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"close": [
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{"id": complex_trade.order_id, "check": "trading_time", "extra": {}}
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]
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}
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self.assertEqual(self.ams.actions, expected_actions)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 1)
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self.ams.execute_actions()
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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# Don't need to close the trade, it's already closed.
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# Otherwise the test would fail.
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def test_ams_trends_violated(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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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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complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(complex_trade)
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self.ams.run_checks()
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expected_actions = {
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"close": [{"id": complex_trade.order_id, "check": "trends", "extra": {}}]
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}
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self.assertEqual(self.ams.actions, expected_actions)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 1)
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self.ams.execute_actions()
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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# Don't need to close the trade, it's already closed.
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# Otherwise the test would fail.
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self.strategy.trend_signals.set([])
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self.strategy.trends = {}
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self.strategy.save()
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def test_ams_position_size_violated(self):
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self.active_management_policy.when_position_size_violated = "close"
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self.active_management_policy.save()
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complex_trade = self.create_complex_trade("buy", 600, "EUR_USD", 1.5, 1.0)
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self.open_trade(complex_trade)
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self.ams.run_checks()
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expected_actions = {
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"close": [
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{"id": complex_trade.order_id, "check": "position_size", "extra": {}}
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]
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}
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self.assertEqual(len(self.ams.actions["close"]), 1)
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del self.ams.actions["close"][0]["extra"]["size"] # We don't know the size
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self.assertEqual(self.ams.actions, expected_actions)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 1)
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self.ams.execute_actions()
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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def test_ams_position_size_violated_adjust(self):
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complex_trade = self.create_complex_trade("buy", 600, "EUR_USD", 1.5, 1.0)
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self.open_trade(complex_trade)
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self.ams.run_checks()
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# Convert to int to make a whole number
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expected = round(self.ams.actions["adjust"][0]["extra"]["size"], 0)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 1)
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self.assertEqual(trades[0]["currentUnits"], "600")
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self.ams.execute_actions()
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 1)
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self.assertEqual(trades[0]["currentUnits"], str(expected))
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complex_trade.amount = expected
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complex_trade.save()
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self.close_trade(complex_trade)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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def test_ams_position_size_violated_increase(self):
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pass
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def test_ams_position_size_violated_decrease(self):
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pass
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def test_ams_position_size_violated_increase_decrease(self):
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pass
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def test_ams_protection_violated(self):
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self.active_management_policy.when_protection_violated = "close"
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self.active_management_policy.save()
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complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 5, 5)
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self.open_trade(complex_trade)
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self.ams.run_checks()
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self.assertEqual(len(self.ams.actions["close"]), 1)
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expected = {
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"close": [
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{
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"id": complex_trade.order_id,
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"check": "protection",
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}
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]
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}
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del self.ams.actions["close"][0]["extra"]
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self.assertEqual(self.ams.actions, expected)
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self.ams.execute_actions()
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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def test_ams_protection_violated_adjust(self):
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complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 5, 5)
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self.open_trade(complex_trade)
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self.ams.run_checks()
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self.assertEqual(len(self.ams.actions["adjust"]), 1)
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expected_tp = self.ams.actions["adjust"][0]["extra"]["take_profit_price"]
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expected_sl = self.ams.actions["adjust"][0]["extra"]["stop_loss_price"]
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self.assertEqual(len(self.ams.actions["adjust"]), 1)
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self.ams.execute_actions()
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 1)
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self.assertEqual(D(trades[0]["takeProfitOrder"]["price"]), expected_tp)
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self.assertEqual(D(trades[0]["stopLossOrder"]["price"]), expected_sl)
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self.close_trade(complex_trade)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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def test_ams_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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complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(complex_trade)
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self.ams.run_checks()
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expected = {
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"close": [
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{"id": complex_trade.order_id, "check": "asset_group", "extra": {}}
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]
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}
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self.assertEqual(self.ams.actions, expected)
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self.ams.execute_actions()
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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def test_ams_crossfilter_violated(self):
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complex_trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(complex_trade1)
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complex_trade2 = self.create_complex_trade("buy", 10, "USD_JPY", 1.5, 1.0)
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self.open_trade(complex_trade2)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 2)
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self.ams.run_checks()
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expected = {
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"close": [
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{
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"id": complex_trade2.order_id, # Only the second one
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"check": "crossfilter",
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"extra": {},
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}
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]
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}
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self.assertEqual(self.ams.actions, expected)
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self.ams.execute_actions()
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 1)
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self.close_trade(complex_trade1)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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@patch(
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"core.trading.active_management.ActiveManagement.check_trends",
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return_value=None,
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)
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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_ams_max_open_trades_violated(self, check_crossfilter, check_trends):
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self.strategy.risk_model.max_open_trades = 2
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self.strategy.risk_model.save()
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trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(trade1)
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trade2 = self.create_complex_trade("buy", 10, "USD_JPY", 1.5, 1.0)
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self.open_trade(trade2)
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trade3 = self.create_complex_trade("buy", 10, "EUR_JPY", 1.5, 1.0)
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self.open_trade(trade3)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 3)
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self.ams.run_checks()
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expected = {
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"close": [
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{
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"id": trade3.order_id,
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"check": "max_open_trades",
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"extra": {},
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}
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]
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}
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self.assertEqual(self.ams.actions, expected)
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self.ams.execute_actions()
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 2)
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trade_ids = [trade["id"] for trade in trades]
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self.assertIn(trade1.order_id, trade_ids)
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self.assertIn(trade2.order_id, trade_ids)
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self.assertNotIn(trade3.order_id, trade_ids)
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for x in [trade1, trade2]:
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self.close_trade(x)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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@patch(
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"core.trading.active_management.ActiveManagement.check_trends",
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return_value=None,
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)
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def test_ams_max_open_trades_per_symbol_violated(self, check_trends):
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self.strategy.risk_model.max_open_trades_per_symbol = 2
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self.strategy.risk_model.save()
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trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(trade1)
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trade2 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(trade2)
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trade3 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(trade3)
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trade4 = self.create_complex_trade("buy", 10, "EUR_JPY", 1.5, 1.0)
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self.open_trade(trade4)
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trade5 = self.create_complex_trade("buy", 10, "EUR_JPY", 1.5, 1.0)
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self.open_trade(trade5)
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trade6 = self.create_complex_trade("buy", 10, "EUR_JPY", 1.5, 1.0)
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self.open_trade(trade6)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 6)
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self.ams.run_checks()
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expected = {
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"close": [
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{
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"id": trade3.order_id,
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"check": "max_open_trades_per_symbol",
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"extra": {},
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},
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{
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"id": trade6.order_id,
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"check": "max_open_trades_per_symbol",
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"extra": {},
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},
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]
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}
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self.assertEqual(self.ams.actions, expected)
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self.ams.execute_actions()
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 4)
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trade_ids = [trade["id"] for trade in trades]
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self.assertIn(trade1.order_id, trade_ids)
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self.assertIn(trade2.order_id, trade_ids)
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self.assertNotIn(trade3.order_id, trade_ids)
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self.assertIn(trade4.order_id, trade_ids)
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self.assertIn(trade5.order_id, trade_ids)
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self.assertNotIn(trade6.order_id, trade_ids)
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for x in [trade1, trade2, trade4, trade5]:
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self.close_trade(x)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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self.strategy.risk_model.max_open_trades_per_symbol = 5
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self.strategy.risk_model.save()
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def test_ams_max_loss_violated(self):
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trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(trade1)
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self.account.initial_balance = self.account.client.get_balance() * 2
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self.account.save()
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self.ams.run_checks()
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expected = {
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"close": [
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{
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"id": None,
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"check": "max_loss",
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"extra": {},
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}
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]
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}
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self.assertEqual(self.ams.actions, expected)
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self.ams.execute_actions()
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 0)
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self.account.initial_balance = 100000
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self.account.save()
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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_ams_max_risk_violated(self, check_position_size):
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self.strategy.risk_model.max_risk_percent = 0.001
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self.strategy.risk_model.save()
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trade1 = self.create_complex_trade("buy", 10, "EUR_USD", 1.5, 1.0)
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self.open_trade(trade1)
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trade2 = self.create_complex_trade("buy", 1000, "EUR_USD", 1.5, 1.0)
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self.open_trade(trade2)
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trades = self.account.client.get_all_open_trades()
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self.assertEqual(len(trades), 2)
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self.ams.run_checks()
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expected = {
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"close": [
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{
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"id": trade2.order_id,
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"check": "max_risk",
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"extra": {},
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}
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|
]
|
|
}
|
|
|
|
self.assertEqual(self.ams.actions, expected)
|
|
|
|
self.ams.execute_actions()
|
|
|
|
trades = self.account.client.get_all_open_trades()
|
|
self.assertEqual(len(trades), 1)
|
|
|
|
trade_ids = [trade["id"] for trade in trades]
|
|
self.assertIn(trade1.order_id, trade_ids)
|
|
self.assertNotIn(trade2.order_id, trade_ids)
|
|
|
|
self.close_trade(trade1)
|
|
trades = self.account.client.get_all_open_trades()
|
|
self.assertEqual(len(trades), 0)
|
|
|
|
|
|
class LiveTradingTestCase(ElasticMock, LiveBase, TestCase):
|
|
def setUp(self):
|
|
super(LiveTradingTestCase, self).setUp()
|
|
self.trade = Trade.objects.create(
|
|
user=self.user,
|
|
account=self.account,
|
|
symbol="EUR_USD",
|
|
time_in_force="FOK",
|
|
type="market",
|
|
amount=10,
|
|
direction="buy",
|
|
)
|
|
self.commission = 0.025
|
|
self.risk_model = RiskModel.objects.create(
|
|
user=self.user,
|
|
name="Test Risk Model",
|
|
max_loss_percent=4,
|
|
max_risk_percent=2,
|
|
max_open_trades=3,
|
|
max_open_trades_per_symbol=2,
|
|
)
|
|
|
|
def test_account_functional(self):
|
|
"""
|
|
Test that the account is functional.
|
|
"""
|
|
balance = self.account.client.get_balance()
|
|
# We need some money to place trades
|
|
self.assertTrue(balance > 1000)
|
|
|
|
def test_place_close_trade(self):
|
|
"""
|
|
Test placing a trade.
|
|
"""
|
|
self.open_trade()
|
|
self.close_trade()
|
|
|
|
def test_get_all_open_trades(self):
|
|
"""
|
|
Test getting all open trades.
|
|
"""
|
|
|
|
self.open_trade()
|
|
|
|
trades = self.account.client.get_all_open_trades()
|
|
self.trade.refresh_from_db()
|
|
found = False
|
|
for trade in trades:
|
|
if trade["id"] == self.trade.order_id:
|
|
self.assertEqual(trade["symbol"], "EUR_USD")
|
|
self.assertEqual(trade["currentUnits"], "10")
|
|
self.assertEqual(trade["initialUnits"], "10")
|
|
self.assertEqual(trade["state"], "OPEN")
|
|
found = True
|
|
break
|
|
self.close_trade()
|
|
|
|
if not found:
|
|
self.fail("Could not find the trade in the list of open trades")
|
|
|
|
@patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=100000)
|
|
def test_check_risk_max_risk_pass(self, mock_balance):
|
|
# SL of 19% on a 10000 trade on a 100000 account is 1.8 loss
|
|
# Should be comfortably under 2% risk
|
|
trade = self.create_complex_trade("buy", 10000, "EUR_USD", 1, 18)
|
|
allowed = risk.check_risk(self.risk_model, self.account, trade)
|
|
self.assertTrue(allowed["allowed"])
|
|
|
|
@patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=100000)
|
|
def test_check_risk_max_risk_fail(self, mock_balance):
|
|
# SL of 21% on a 10000 trade on a 100000 account is 2.2 loss
|
|
# Should be over 2% risk
|
|
trade = self.create_complex_trade("buy", 10000, "EUR_USD", 1, 22)
|
|
allowed = risk.check_risk(self.risk_model, self.account, trade)
|
|
self.assertFalse(allowed["allowed"])
|
|
self.assertEqual(allowed["reason"], "Maximum risk exceeded.")
|
|
|
|
@patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=94000)
|
|
# We have lost 6% of our account
|
|
def test_check_risk_max_loss_fail(self, mock_balance):
|
|
# Doesn't matter, shouldn't get as far as the trade
|
|
trade = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)
|
|
allowed = risk.check_risk(self.risk_model, self.account, trade)
|
|
self.assertFalse(allowed["allowed"])
|
|
self.assertEqual(allowed["reason"], "Maximum loss exceeded.")
|
|
|
|
@patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=100000)
|
|
def test_check_risk_max_open_trades_fail(self, mock_balance):
|
|
# The maximum open trades is 3. Let's open 2 trades
|
|
# This would not be allowed by the risk model but we're doing it
|
|
# manually
|
|
# Don't be confused by the next test. The max open trades check
|
|
# fails before the symbol one is run, but yes, they would both
|
|
# fail.
|
|
trade1 = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)
|
|
self.open_trade(trade1)
|
|
|
|
trade2 = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)
|
|
self.open_trade(trade2)
|
|
|
|
trade3 = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)
|
|
|
|
allowed = risk.check_risk(self.risk_model, self.account, trade3)
|
|
self.assertFalse(allowed["allowed"])
|
|
self.assertEqual(allowed["reason"], "Maximum open trades exceeded.")
|
|
|
|
self.close_trade(trade1)
|
|
self.close_trade(trade2)
|
|
|
|
@patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=100000)
|
|
def test_check_risk_max_open_trades_per_symbol_fail(self, mock_balance):
|
|
trade1 = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)
|
|
self.open_trade(trade1)
|
|
|
|
trade2 = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)
|
|
|
|
allowed = risk.check_risk(self.risk_model, self.account, trade2)
|
|
self.assertFalse(allowed["allowed"])
|
|
self.assertEqual(allowed["reason"], "Maximum open trades per symbol exceeded.")
|
|
|
|
self.close_trade(trade1)
|
|
|
|
def test_convert_trades(self):
|
|
"""
|
|
Test converting open trades response to Trade-like format.
|
|
"""
|
|
complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 1, 2)
|
|
|
|
self.open_trade(complex_trade)
|
|
|
|
# Get and annotate the trades
|
|
trades = self.account.client.get_all_open_trades()
|
|
trades_converted = convert_trades(trades)
|
|
|
|
# Check the converted trades
|
|
self.assertEqual(len(trades_converted), 1)
|
|
expected_tp_percent = D(1 - self.commission)
|
|
expected_sl_percent = D(2 - self.commission)
|
|
actual_tp_percent = trades_converted[0]["take_profit_percent"]
|
|
actual_sl_percent = trades_converted[0]["stop_loss_percent"]
|
|
|
|
tp_percent_difference = abs(expected_tp_percent - actual_tp_percent)
|
|
sl_percent_difference = abs(expected_sl_percent - actual_sl_percent)
|
|
max_difference = D(0.08) # depends on market conditions
|
|
|
|
self.assertLess(tp_percent_difference, max_difference)
|
|
self.assertLess(sl_percent_difference, max_difference)
|
|
|
|
# Convert the trades to USD
|
|
trades_usd = market.convert_trades_to_usd(self.account, trades_converted)
|
|
|
|
# Convert the trade to USD ourselves
|
|
trade_in_usd = D(trades_usd[0]["amount"]) * D(trades_usd[0]["current_price"])
|
|
|
|
# It will never be perfect, but let's check it's at least close
|
|
trade_usd_conversion_difference = (
|
|
trades_usd[0]["trade_amount_usd"] - trade_in_usd
|
|
)
|
|
self.assertLess(trade_usd_conversion_difference, D(0.01))
|
|
|
|
# Check the converted TP and SL values
|
|
trade_usd_tp_difference = trades_usd[0]["take_profit_usd"] - D(0.1)
|
|
trade_usd_sl_difference = trades_usd[0]["stop_loss_usd"] - D(0.2)
|
|
|
|
self.assertLess(trade_usd_tp_difference, D(0.01))
|
|
self.assertLess(trade_usd_sl_difference, D(0.02))
|
|
|
|
self.close_trade(complex_trade)
|