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104 lines
3.6 KiB
Python
104 lines
3.6 KiB
Python
from decimal import Decimal as D
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from alpaca.common.exceptions import APIError
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from core.models import Strategy, Trade
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from core.util import logs
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log = logs.get_logger(__name__)
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def execute_strategy(callback, strategy):
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cash_balance = strategy.account.client.get_balance()
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log.debug(f"Cash balance: {cash_balance}")
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user = strategy.user
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account = strategy.account
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hook = callback.hook
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base = callback.base
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quote = callback.quote
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direction = hook.direction
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if callback.exchange != account.exchange:
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log.error("Market exchange differs from account exchange.")
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return
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if account.exchange == "alpaca":
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if quote not in ["usd", "usdt", "usdc", "busd"]:
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log.error(f"Quote not compatible with Dollar: {quote}")
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return False
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quote = "usd" # TODO: MASSIVE HACK
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symbol = f"{base.upper()}/{quote.upper()}"
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elif account.exchange == "oanda":
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symbol = f"{base.upper()}_{quote.upper()}"
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if symbol not in account.supported_symbols:
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log.error(f"Symbol not supported by account: {symbol}")
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return False
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print(f"Identified pair from callback {symbol}")
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# market_from_alpaca = get_market_value(account, symbol)
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# change_percent = abs(((float(market_from_alpaca)-price)/price)*100)
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# if change_percent > strategy.price_slippage_percent:
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# log.error(f"Price slippage too high: {change_percent}")
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# return False
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# type = "limit"
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type = "market"
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trade_size_as_ratio = D(strategy.trade_size_percent) / D(100)
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log.debug(f"Trade size as ratio: {trade_size_as_ratio}")
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amount_usd = D(trade_size_as_ratio) * D(cash_balance)
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log.debug(f"Trade size: {amount_usd}")
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price = round(D(callback.price), 8)
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if not price:
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return
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log.debug(f"Extracted price of quote: {price}")
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# We can do this because the quote IS in $ or equivalent
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trade_size_in_quote = D(amount_usd) / D(price)
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log.debug(f"Trade size in quote: {trade_size_in_quote}")
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# calculate sl/tp
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stop_loss_as_ratio = D(strategy.stop_loss_percent) / D(100)
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take_profit_as_ratio = D(strategy.take_profit_percent) / D(100)
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log.debug(f"Stop loss as ratio: {stop_loss_as_ratio}")
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log.debug(f"Take profit as ratio: {take_profit_as_ratio}")
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stop_loss_subtract = D(price) * D(stop_loss_as_ratio)
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take_profit_add = D(price) * D(take_profit_as_ratio)
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log.debug(f"Stop loss subtract: {stop_loss_subtract}")
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log.debug(f"Take profit add: {take_profit_add}")
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stop_loss = D(price) - D(stop_loss_subtract)
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take_profit = D(price) + D(take_profit_add)
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log.debug(f"Stop loss: {stop_loss}")
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log.debug(f"Take profit: {take_profit}")
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new_trade = Trade.objects.create(
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user=user,
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account=account,
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hook=hook,
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symbol=symbol,
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type=type,
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# amount_usd=amount_usd,
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amount=float(round(trade_size_in_quote, 2)),
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# price=price,
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stop_loss=float(round(stop_loss, 2)),
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take_profit=float(round(take_profit, 2)),
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direction=direction,
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)
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new_trade.save()
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info = new_trade.post()
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log.debug(f"Posted trade: {info}")
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def process_callback(callback):
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log.info(f"Received callback for {callback.hook}")
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strategies = Strategy.objects.filter(hooks=callback.hook, enabled=True)
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log.debug(f"Matched strategies: {strategies}")
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for strategy in strategies:
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log.debug(f"Executing strategy {strategy}")
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if callback.hook.user != strategy.user:
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log.error("Ownership differs between callback and strategy.")
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return
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execute_strategy(callback, strategy)
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