fisk/core/trading/crossfilter.py

from core.exchanges import GenericAPIError
from core.util import logs

log = logs.get_logger(__name__)


def check_existing_position(
    func: str,
    position: dict,
    open_side: str,
    open_symbol: str,
    open_units: str,
    new_side: str,
    new_symbol: str,
    trade_side_opposite: str,
):
    # Check if we already have a position for the symbol
    if open_symbol == new_symbol:
        # If the live side is the inverse of what we want to do,
        # we can't open a position
        if open_side == trade_side_opposite:
            # If there is a position open, we can't open a new one in the opposite
            # direction
            if open_units != "0":
                # If we have a short on GBP/AUD, we can only place more shorts on
                # GBP/AUD.
                if func == "entry":
                    log.debug(
                        f"Refusing to open new {new_side} position on {new_symbol} due "
                        f"to {open_side} position on {open_symbol}"
                    )
                    return {
                        "action": "rejected",
                        "positions": position,
                    }
                elif func == "exit":
                    log.debug(
                        (
                            f"Found {open_units} units of "
                            f"{open_symbol} on side {trade_side_opposite}"
                        )
                    )
                    # Pass back opposing side so we can close it
                    return {
                        "action": "close",
                        "side": trade_side_opposite,
                        "positions": position,
                    }
    return False


def check_conflicting_position(
    func: str,
    position: dict,
    open_base: str,
    open_quote: str,
    open_side: str,
    open_symbol: str,
    open_units: str,
    new_base: str,
    new_quote: str,
    new_side: str,
    new_symbol: str,
    trade_side_opposite: str,
):
    """
    Determine if we have a conflicting position open.
    :param func: Whether we are checking entries, exits or trends
    :param position: Position dict
    :param open_base: Base currency of the open position
    :param open_quote: Quote currency of the open position
    :param open_side: Side of the open position
    :param open_symbol: Symbol of the open position
    :param open_units: Units of the open position
    :param new_base: Base currency of the new position
    :param new_quote: Quote currency of the new position
    :param new_side: Side of the new position
    :param new_symbol: Symbol of the new position
    :param trade_side_opposite: Opposite side of the trade
    :return: dict of action and opposing position, or None
    """
    if open_base == new_quote or open_quote == new_base:
        # If we have a long on GBP/AUD, we can only place shorts on XAU/GBP.
        if open_side != trade_side_opposite:
            if open_units != "0":
                # Only do this for entries
                if func == "entry":
                    log.debug(
                        f"Refusing to open {new_side} position on {new_symbol} due to "
                        f"{open_side} position on {open_symbol}"
                    )
                    return {
                        "action": "rejected",
                        "positions": position,
                    }


def crossfilter(account, new_symbol, new_direction, func, all_positions=None):
    """
    Determine if we are betting against ourselves.
    Checks open positions for the account, rejecting the trade if there is one
    with an opposite direction to this one.
    :param account: Account object
    :param new_symbol: Symbol of the new position
    :param new_direction: Direction of the new position
    :param func: Whether we are checking entries, exits or trends
    :return: dict of action and opposing position, False or None
    """
    try:
        # Only get the data we need
        if func == "entry":
            if all_positions is None:
                all_positions = account.client.get_all_positions()
        else:
            if all_positions is None:
                all_positions = [account.client.get_position_info(new_symbol)]
    except GenericAPIError as e:
        if "No position exists for the specified instrument" in str(e):
            log.debug("No position exists for this symbol")
            return False
        else:
            log.error(f"Error getting position info: {e}")
            return None
    if new_direction == "buy":
        opposing_side = "short"
        new_side = "long"
    elif new_direction == "sell":
        opposing_side = "long"
        new_side = "short"

    quotes = []
    new_base, new_quote = new_symbol.split("_")
    for position in all_positions:
        # For Forex, get a list of all the quotes.
        # This is to prevent betting against ourselves.
        # Consider we have a long position open, EUR/USD, and we want to open a
        # long position on USD/JPY. If the first goes up, the second one will go
        # down just as much. We won't make any money.
        if "_" in position["symbol"]:
            open_base, open_quote = position["symbol"].split("_")
            quotes.append(open_quote)

        open_symbol = position["symbol"]
        open_side = position["side"]
        open_base, open_quote = open_symbol.split("_")

        # Check if we already have a position
        existing_position_check = check_existing_position(
            func=func,
            position=position,
            open_side=open_side,
            open_symbol=open_symbol,
            open_units=position["units"],
            new_side=new_side,
            new_symbol=new_symbol,
            trade_side_opposite=opposing_side,
        )
        if existing_position_check:
            return existing_position_check

        # Check if we are betting against ourselves
        conflicting_position_check = check_conflicting_position(
            func=func,
            position=position,
            open_base=open_base,
            open_quote=open_quote,
            open_side=open_side,
            open_symbol=open_symbol,
            open_units=position["units"],
            new_base=new_base,
            new_quote=new_quote,
            new_side=new_side,
            new_symbol=new_symbol,
            trade_side_opposite=opposing_side,
        )
        if conflicting_position_check:
            return conflicting_position_check

    return False