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487 lines
17 KiB
Python
487 lines
17 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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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 ActiveManagementMixinTestCase(StrategyMixin):
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def setUp(self):
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super().setUp()
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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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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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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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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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# Don't violate position size check
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trade_size = market.get_trade_size_in_base(
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"buy", self.account, self.strategy, self.account.client.get_balance(), "EUR"
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)
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trade_size = round(trade_size, 0)
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print("TRADE SIZE", trade_size)
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print("TYPE", type(trade_size))
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complex_trade = self.create_complex_trade("buy", trade_size, "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.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.checks["close"][0]["extra"]
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self.assertEqual(self.ams.checks, expected)
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def test_ams_protection_violated_adjust(self):
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# Don't violate position size check
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trade_size = market.get_trade_size_in_base(
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"buy", self.account, self.strategy, self.account.client.get_balance(), "EUR"
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)
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trade_size = round(trade_size, 0)
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print("TRADE SIZE", trade_size)
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print("TYPE", type(trade_size))
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complex_trade = self.create_complex_trade("buy", trade_size, "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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expected = {
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"adjust": [
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{
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"id": "21381",
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"check": "protection",
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"extra": {
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"stop_loss_price": D("1.05812"),
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"take_profit_price": D("1.08484"),
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},
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}
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]
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}
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print("CHECKS", self.ams.actions)
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def test_ams_asset_groups_violated(self):
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pass
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def test_ams_crossfilter_violated(self):
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pass
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def test_ams_max_open_trades_violated(self):
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pass
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def test_ams_max_open_trades_per_symbol_violated(self):
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pass
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def test_ams_max_loss_violated(self):
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pass
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def test_ams_max_risk_violated(self):
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pass
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class LiveTradingTestCase(
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ElasticMock, ActiveManagementMixinTestCase, LiveBase, TestCase
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):
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def setUp(self):
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super(LiveTradingTestCase, 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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def test_account_functional(self):
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"""
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Test that the account is functional.
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"""
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balance = self.account.client.get_balance()
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# We need some money to place trades
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self.assertTrue(balance > 1000)
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def open_trade(self, trade=None):
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if trade:
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posted = trade.post()
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else:
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trade = self.trade
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posted = self.trade.post()
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# Check the opened trade
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self.assertEqual(posted["type"], "MARKET_ORDER")
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self.assertEqual(posted["symbol"], trade.symbol)
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self.assertEqual(posted["units"], str(trade.amount))
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self.assertEqual(posted["timeInForce"], "FOK")
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return posted
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def close_trade(self, trade=None):
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if trade:
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trade.refresh_from_db()
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closed = self.account.client.close_trade(trade.order_id)
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else:
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trade = self.trade
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# refresh the trade to get the trade id
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self.trade.refresh_from_db()
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closed = self.account.client.close_trade(self.trade.order_id)
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# Check the feedback from closing the trade
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self.assertEqual(closed["type"], "MARKET_ORDER")
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self.assertEqual(closed["symbol"], trade.symbol)
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self.assertEqual(closed["units"], str(0 - int(trade.amount)))
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self.assertEqual(closed["timeInForce"], "FOK")
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self.assertEqual(closed["reason"], "TRADE_CLOSE")
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return closed
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def test_place_close_trade(self):
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"""
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Test placing a trade.
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"""
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self.open_trade()
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self.close_trade()
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def test_get_all_open_trades(self):
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"""
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Test getting all open trades.
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"""
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self.open_trade()
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trades = self.account.client.get_all_open_trades()
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self.trade.refresh_from_db()
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found = False
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for trade in trades:
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if trade["id"] == self.trade.order_id:
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self.assertEqual(trade["symbol"], "EUR_USD")
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self.assertEqual(trade["currentUnits"], "10")
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self.assertEqual(trade["initialUnits"], "10")
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self.assertEqual(trade["state"], "OPEN")
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found = True
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break
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self.close_trade()
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if not found:
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self.fail("Could not find the trade in the list of open trades")
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def create_complex_trade(self, direction, amount, symbol, tp_percent, sl_percent):
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eur_usd_price = market.get_price(self.account, direction, symbol)
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trade_tp = market.get_tp(direction, tp_percent, eur_usd_price)
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trade_sl = market.get_sl(direction, sl_percent, eur_usd_price)
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# trade_tsl = market.get_sl("buy", 1, eur_usd_price, return_var=True)
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# # TP 1% profit
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# trade_tp = eur_usd_price * D(1.01)
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# # SL 2% loss
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# trade_sl = eur_usd_price * D(0.98)
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# # TSL 1% loss
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# trade_tsl = eur_usd_price * D(0.99)
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trade_precision, display_precision = market.get_precision(self.account, symbol)
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# Round everything to the display precision
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trade_tp = round(trade_tp, display_precision)
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trade_sl = round(trade_sl, display_precision)
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# trade_tsl = round(trade_tsl, display_precision)
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complex_trade = Trade.objects.create(
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user=self.user,
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account=self.account,
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symbol=symbol,
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time_in_force="FOK",
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type="market",
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amount=amount,
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direction=direction,
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take_profit=trade_tp,
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stop_loss=trade_sl,
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# trailing_stop_loss=trade_tsl,
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)
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return complex_trade
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@patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=100000)
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def test_check_risk_max_risk_pass(self, mock_balance):
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# SL of 19% on a 10000 trade on a 100000 account is 1.8 loss
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# Should be comfortably under 2% risk
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trade = self.create_complex_trade("buy", 10000, "EUR_USD", 1, 18)
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allowed = risk.check_risk(self.risk_model, self.account, trade)
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self.assertTrue(allowed["allowed"])
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@patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=100000)
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def test_check_risk_max_risk_fail(self, mock_balance):
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# SL of 21% on a 10000 trade on a 100000 account is 2.2 loss
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# Should be over 2% risk
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trade = self.create_complex_trade("buy", 10000, "EUR_USD", 1, 22)
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allowed = risk.check_risk(self.risk_model, self.account, trade)
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self.assertFalse(allowed["allowed"])
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self.assertEqual(allowed["reason"], "Maximum risk exceeded.")
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@patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=94000)
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# We have lost 6% of our account
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def test_check_risk_max_loss_fail(self, mock_balance):
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# Doesn't matter, shouldn't get as far as the trade
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trade = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)
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allowed = risk.check_risk(self.risk_model, self.account, trade)
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self.assertFalse(allowed["allowed"])
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self.assertEqual(allowed["reason"], "Maximum loss exceeded.")
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@patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=100000)
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def test_check_risk_max_open_trades_fail(self, mock_balance):
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# The maximum open trades is 3. Let's open 2 trades
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# This would not be allowed by the risk model but we're doing it
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# manually
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# Don't be confused by the next test. The max open trades check
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# fails before the symbol one is run, but yes, they would both
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# fail.
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trade1 = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)
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self.open_trade(trade1)
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trade2 = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)
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self.open_trade(trade2)
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trade3 = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)
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allowed = risk.check_risk(self.risk_model, self.account, trade3)
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self.assertFalse(allowed["allowed"])
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self.assertEqual(allowed["reason"], "Maximum open trades exceeded.")
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self.close_trade(trade1)
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self.close_trade(trade2)
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@patch("core.exchanges.oanda.OANDAExchange.get_balance", return_value=100000)
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def test_check_risk_max_open_trades_per_symbol_fail(self, mock_balance):
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trade1 = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)
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self.open_trade(trade1)
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trade2 = self.create_complex_trade("buy", 1, "EUR_USD", 1, 1)
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allowed = risk.check_risk(self.risk_model, self.account, trade2)
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self.assertFalse(allowed["allowed"])
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self.assertEqual(allowed["reason"], "Maximum open trades per symbol exceeded.")
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self.close_trade(trade1)
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def test_convert_trades(self):
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"""
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Test converting open trades response to Trade-like format.
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"""
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complex_trade = self.create_complex_trade("buy", 10, "EUR_USD", 1, 2)
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self.open_trade(complex_trade)
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# Get and annotate the trades
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trades = self.account.client.get_all_open_trades()
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trades_converted = convert_trades(trades)
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# Check the converted trades
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self.assertEqual(len(trades_converted), 1)
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expected_tp_percent = D(1 - self.commission)
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expected_sl_percent = D(2 - self.commission)
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actual_tp_percent = trades_converted[0]["take_profit_percent"]
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actual_sl_percent = trades_converted[0]["stop_loss_percent"]
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tp_percent_difference = abs(expected_tp_percent - actual_tp_percent)
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sl_percent_difference = abs(expected_sl_percent - actual_sl_percent)
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max_difference = D(0.08) # depends on market conditions
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self.assertLess(tp_percent_difference, max_difference)
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self.assertLess(sl_percent_difference, max_difference)
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# Convert the trades to USD
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trades_usd = market.convert_trades_to_usd(self.account, trades_converted)
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# Convert the trade to USD ourselves
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trade_in_usd = D(trades_usd[0]["amount"]) * D(trades_usd[0]["current_price"])
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# It will never be perfect, but let's check it's at least close
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trade_usd_conversion_difference = (
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trades_usd[0]["trade_amount_usd"] - trade_in_usd
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)
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self.assertLess(trade_usd_conversion_difference, D(0.01))
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# Check the converted TP and SL values
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trade_usd_tp_difference = trades_usd[0]["take_profit_usd"] - D(0.1)
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trade_usd_sl_difference = trades_usd[0]["stop_loss_usd"] - D(0.2)
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self.assertLess(trade_usd_tp_difference, D(0.01))
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self.assertLess(trade_usd_sl_difference, D(0.02))
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|
|
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self.close_trade(complex_trade)
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