diff --git a/.github/workflows/cla.yml b/.github/workflows/cla.yml new file mode 100644 index 0000000..cf95260 --- /dev/null +++ b/.github/workflows/cla.yml @@ -0,0 +1,48 @@ +name: CLA Assistant + +on: + issue_comment: + types: [created] + pull_request_target: + types: [opened, closed, synchronize] + +permissions: + actions: write + contents: write + pull-requests: write + statuses: write + +env: + SIGNATURES_BRANCH: cla-signatures + SIGNATURES_PATH: signatures/version1/cla.json + +jobs: + cla: + name: Contributor License Agreement + if: github.event_name == 'pull_request_target' || contains(github.event.comment.body, 'I have read the CLA Document and I hereby sign the CLA') || github.event.comment.body == 'recheck' + runs-on: ubuntu-latest + steps: + - name: Create the signatures branch and file when missing + env: + GH_TOKEN: ${{ secrets.GITHUB_TOKEN }} + run: | + gh api "repos/$GITHUB_REPOSITORY/git/ref/heads/$SIGNATURES_BRANCH" > /dev/null 2>&1 \ + || gh api --method POST "repos/$GITHUB_REPOSITORY/git/refs" -f "ref=refs/heads/$SIGNATURES_BRANCH" -f "sha=$GITHUB_SHA" + gh api "repos/$GITHUB_REPOSITORY/contents/$SIGNATURES_PATH?ref=$SIGNATURES_BRANCH" > /dev/null 2>&1 \ + || gh api --method PUT "repos/$GITHUB_REPOSITORY/contents/$SIGNATURES_PATH" -f "branch=$SIGNATURES_BRANCH" -f "message=Create the file storing the CLA signatures" -f "content=$(printf '{ "signedContributors": [] }' | base64 -w0)" + + - name: Check the agreement + uses: contributor-assistant/github-action@ca4a40a7d1004f18d9960b404b97e5f30a505a08 # v2.6.1 + env: + GITHUB_TOKEN: ${{ secrets.GITHUB_TOKEN }} + with: + path-to-document: https://github.com/${{ github.repository }}/blob/main/CLA.md + path-to-signatures: ${{ env.SIGNATURES_PATH }} + branch: ${{ env.SIGNATURES_BRANCH }} + allowlist: louis-rt,louis-rt-2,*[bot] + custom-notsigned-prcomment: >- + Thank you for the pull request, I appreciate the help. + Before I can accept a contribution, I ask $you to sign the + [Contributor License Agreement](https://github.com/${{ github.repository }}/blob/main/CLA.md). + One signature covers this and every later pull request, + and it is given by posting the sentence below as a comment: diff --git a/.github/workflows/publish-pypi.yml b/.github/workflows/publish-pypi.yml new file mode 100644 index 0000000..a0a3541 --- /dev/null +++ b/.github/workflows/publish-pypi.yml @@ -0,0 +1,52 @@ +name: Publish to PyPI + +on: + release: + types: [published] + +permissions: + contents: read + +jobs: + build: + name: Build the distributions + runs-on: ubuntu-latest + steps: + - name: Checkout Repository + uses: actions/checkout@v7 + + - name: Install uv + uses: astral-sh/setup-uv@v10.0.1 + + - name: Check the release tag names the project version + run: | + version="$(uv version --short)" + test "v$version" = "$GITHUB_REF_NAME" || { echo "tag $GITHUB_REF_NAME does not name version $version" >&2; exit 1; } + + - name: Build the source distribution and the wheel + run: uv build + + - name: Keep the distributions for the publish job + uses: actions/upload-artifact@v7 + with: + name: distributions + path: dist/ + + publish: + name: Publish to PyPI + needs: build + runs-on: ubuntu-latest + environment: + name: pypi + url: https://pypi.org/p/robottraderslab-envelope + permissions: + id-token: write + steps: + - name: Download the distributions + uses: actions/download-artifact@v8 + with: + name: distributions + path: dist/ + + - name: Publish the distributions with their attestations + uses: pypa/gh-action-pypi-publish@release/v1 diff --git a/CLA.md b/CLA.md new file mode 100644 index 0000000..2b3a735 --- /dev/null +++ b/CLA.md @@ -0,0 +1,27 @@ +# Individual Contributor License Agreement ("Agreement") + +Robot Traders OÜ (the "Company") must have on file a signed Contributor License Agreement ("CLA") from each Contributor, indicating agreement with the license terms below, to clarify the intellectual property license granted with Contributions from any person or entity. This agreement is for your protection as a Contributor as well as the protection of the Company and its users. It does not change your rights to use your own Contributions for any other purpose. + +You accept and agree to the following terms and conditions for Your Contributions (present and future) that you submit to the Company. Except for the license granted herein to the Company and recipients of software distributed by the Company, You reserve all right, title, and interest in and to Your Contributions. + +1. Definitions. + + "You" (or "Your") shall mean the copyright owner or legal entity authorized by the copyright owner that is making this Agreement with the Company. For legal entities, the entity making a Contribution and all other entities that control, are controlled by, or are under common control with that entity are considered to be a single Contributor. For the purposes of this definition, "control" means (i) the power, direct or indirect, to cause the direction or management of such entity, whether by contract or otherwise, or (ii) ownership of fifty percent (50%) or more of the outstanding shares, or (iii) beneficial ownership of such entity. + + "Contribution" shall mean any original work of authorship, including any modifications or additions to an existing work, that is intentionally submitted by You to the Company for inclusion in, or documentation of, any of the products owned or managed by the Company (the "Work"). For the purposes of this definition, "submitted" means any form of electronic, verbal, or written communication sent to the Company or its representatives, including but not limited to communication on electronic mailing lists, source code control systems, and issue tracking systems that are managed by, or on behalf of, the Company for the purpose of discussing and improving the Work, but excluding communication that is conspicuously marked or otherwise designated in writing by You as "Not a Contribution." + +2. Grant of Copyright License. Subject to the terms and conditions of this Agreement, You hereby grant to the Company and to recipients of software distributed by the Company a perpetual, worldwide, non-exclusive, no-charge, royalty-free, irrevocable copyright license to reproduce, prepare derivative works of, publicly display, publicly perform, sublicense, and distribute Your Contributions and such derivative works. + +3. Grant of Patent License. Subject to the terms and conditions of this Agreement, You hereby grant to the Company and to recipients of software distributed by the Company a perpetual, worldwide, non-exclusive, no-charge, royalty-free, irrevocable (except as stated in this section) patent license to make, have made, use, offer to sell, sell, import, and otherwise transfer the Work, where such license applies only to those patent claims licensable by You that are necessarily infringed by Your Contribution(s) alone or by combination of Your Contribution(s) with the Work to which such Contribution(s) was submitted. If any entity institutes patent litigation against You or any other entity (including a cross-claim or counterclaim in a lawsuit) alleging that your Contribution, or the Work to which you have contributed, constitutes direct or contributory patent infringement, then any patent licenses granted to that entity under this Agreement for that Contribution or Work shall terminate as of the date such litigation is filed. + +4. You represent that you are legally entitled to grant the above license. If your employer(s) has rights to intellectual property that you create that includes your Contributions, you represent that you have received permission to make Contributions on behalf of that employer, that your employer has waived such rights for your Contributions to the Company, or that your employer has executed a separate Corporate CLA with the Company. + +5. You represent that each of Your Contributions is Your original creation (see section 7 for submissions on behalf of others). You represent that Your Contribution submissions include complete details of any third-party license or other restriction (including, but not limited to, related patents and trademarks) of which you are personally aware and which are associated with any part of Your Contributions. + +6. You are not expected to provide support for Your Contributions, except to the extent You desire to provide support. You may provide support for free, for a fee, or not at all. Unless required by applicable law or agreed to in writing, You provide Your Contributions on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied, including, without limitation, any warranties or conditions of TITLE, NON-INFRINGEMENT, MERCHANTABILITY, or FITNESS FOR A PARTICULAR PURPOSE. + +7. Should You wish to submit work that is not Your original creation, You may submit it to the Company separately from any Contribution, identifying the complete details of its source and of any license or other restriction (including, but not limited to, related patents, trademarks, and license agreements) of which you are personally aware, and conspicuously marking the work as "Submitted on behalf of a third-party: [named here]". + +8. You agree to notify the Company of any facts or circumstances of which you become aware that would make these representations inaccurate in any respect. + +This Agreement follows the Apache Software Foundation's Individual Contributor License Agreement, version 2.2, with Robot Traders OÜ as the entity. diff --git a/CONTRIBUTING.md b/CONTRIBUTING.md new file mode 100644 index 0000000..b6e2f1f --- /dev/null +++ b/CONTRIBUTING.md @@ -0,0 +1,17 @@ +# Contributing + +The Envelope strategy is licensed under the [Apache License 2.0](LICENSE), and a contribution merged into this repository ships under that licence. Robot Traders OÜ sells products built on the RobotTradersLab engine alongside the open code, the exchange connectors shipped as compiled wheels under the Robot Traders Software License among them, and the [Contributor License Agreement](CLA.md) grants the Company the rights that let a contribution be part of them. Each contributor signs it once. + +## Signing the agreement + +The first pull request from a GitHub account triggers the agreement check. It comments on the pull request with the agreement and the sentence to post, and holds a failing check until the author posts that sentence as a comment: + +```text +I have read the CLA Document and I hereby sign the CLA +``` + +The signature is recorded in this repository, on the `cla-signatures` branch, and every later pull request from that account passes the check without being asked. An account whose written agreement with Robot Traders OÜ already covers its work is never asked. + +## Credit + +A merged contribution keeps its author in the commit history, and GitHub lists every author on the repository's contributors page. diff --git a/LICENSE b/LICENSE new file mode 100644 index 0000000..d645695 --- /dev/null +++ b/LICENSE @@ -0,0 +1,202 @@ + + Apache License + Version 2.0, January 2004 + http://www.apache.org/licenses/ + + TERMS AND CONDITIONS FOR USE, REPRODUCTION, AND DISTRIBUTION + + 1. Definitions. + + "License" shall mean the terms and conditions for use, reproduction, + and distribution as defined by Sections 1 through 9 of this document. + + "Licensor" shall mean the copyright owner or entity authorized by + the copyright owner that is granting the License. + + "Legal Entity" shall mean the union of the acting entity and all + other entities that control, are controlled by, or are under common + control with that entity. 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However, in accepting such obligations, You may act only + on Your own behalf and on Your sole responsibility, not on behalf + of any other Contributor, and only if You agree to indemnify, + defend, and hold each Contributor harmless for any liability + incurred by, or claims asserted against, such Contributor by reason + of your accepting any such warranty or additional liability. + + END OF TERMS AND CONDITIONS + + APPENDIX: How to apply the Apache License to your work. + + To apply the Apache License to your work, attach the following + boilerplate notice, with the fields enclosed by brackets "[]" + replaced with your own identifying information. (Don't include + the brackets!) The text should be enclosed in the appropriate + comment syntax for the file format. We also recommend that a + file or class name and description of purpose be included on the + same "printed page" as the copyright notice for easier + identification within third-party archives. + + Copyright [yyyy] [name of copyright owner] + + Licensed under the Apache License, Version 2.0 (the "License"); + you may not use this file except in compliance with the License. + You may obtain a copy of the License at + + http://www.apache.org/licenses/LICENSE-2.0 + + Unless required by applicable law or agreed to in writing, software + distributed under the License is distributed on an "AS IS" BASIS, + WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + See the License for the specific language governing permissions and + limitations under the License. diff --git a/NOTICE b/NOTICE new file mode 100644 index 0000000..e77a437 --- /dev/null +++ b/NOTICE @@ -0,0 +1,5 @@ +robottraderslab-envelope +Copyright 2026-present Robot Traders OÜ + +This product includes software developed by Robot Traders OÜ +(https://robottraders.io). diff --git a/README.md b/README.md index 22c9277..b859b2c 100644 --- a/README.md +++ b/README.md @@ -1,2 +1,17 @@ -# RobotTradersLab-Envelope -Envelope trading strategy plugin for the RobotTradersLab engine +# robottraderslab-envelope + +Mean reversion strategy plugin for the RobotTradersLab engine, registered under the name `envelope`. + +## Documentation + +The strategy, its parameters and an example config are on its page at [robottraders.io/lab/docs/envelope](https://robottraders.io/lab/docs/envelope.html). + +## Disclaimer + +Nothing in this software constitutes financial, investment, or trading advice, nor a recommendation of any trading strategy. Trading involves substantial risk: deployed capital can be lost entirely, and backtested results do not predict live performance. The software is used at your own risk; the authors and affiliates accept no responsibility for trading results. + +Use of this software is subject to the [Disclaimer](https://robottraders.io/disclaimer). + +## License + +Distributed under the [Apache License 2.0](LICENSE). diff --git a/pyproject.toml b/pyproject.toml new file mode 100644 index 0000000..22e981d --- /dev/null +++ b/pyproject.toml @@ -0,0 +1,34 @@ +[project] +name = "robottraderslab-envelope" +version = "0.1.0" +description = "Envelope trading strategy plugin for the RobotTradersLab engine" +readme = "README.md" +requires-python = ">=3.13,<3.14" +license = "Apache-2.0" +dependencies = [ + "robottraderslab>=0.2.1", + "pandas>=3.0.0", + "numpy>=2.4.2", +] + +[project.urls] +Homepage = "https://robottraders.io/lab/envelope" +Documentation = "https://robottraders.io/lab/docs/envelope.html" +Repository = "https://github.com/RobotTraders/RobotTradersLab-Envelope" + +[project.entry-points."robot_traders_lab.strategies"] +envelope ="robottraderslab_envelope:EnvelopeStrategy" + +[project.entry-points."robot_traders_lab.indicators"] +envelope = "robottraderslab_envelope.chart_indicators:get_lightweight_chart_indicators" + +[project.entry-points."robot_traders_lab.examples"] +envelope = "robottraderslab_envelope" + +[build-system] +requires = ["uv_build>=0.10.4,<0.11.0"] +build-backend = "uv_build" + + +[tool.uv.build-backend] +module-name = "robottraderslab_envelope" diff --git a/src/robottraderslab_envelope/__init__.py b/src/robottraderslab_envelope/__init__.py new file mode 100644 index 0000000..03a0d97 --- /dev/null +++ b/src/robottraderslab_envelope/__init__.py @@ -0,0 +1,5 @@ +from .envelope import EnvelopeStrategy + +__all__ = [ + "EnvelopeStrategy", +] diff --git a/src/robottraderslab_envelope/book_rungs.py b/src/robottraderslab_envelope/book_rungs.py new file mode 100644 index 0000000..fe53ee6 --- /dev/null +++ b/src/robottraderslab_envelope/book_rungs.py @@ -0,0 +1,124 @@ +from collections.abc import Callable + +from robottraderslab.strategies import ( + BookKeeper, + OrderProtocol, + OrderSide, +) +from robottraderslab.strategies.futures import ( + BatchableOrderAction, + FuturesAccount, + OrderModification, +) + +from .profile_config import ProfileConfig +from .profile_snapshot import ProfileSnapshot +from .rungs import WantedRung, rung_band_index + +type RungUpdater = Callable[ + [ + FuturesAccount, + ProfileConfig, + ProfileSnapshot, + list[WantedRung], + BookKeeper, + ], + None, +] + + +def book_cancel_and_place( + account: FuturesAccount, + profile: ProfileConfig, + profile_snapshot: ProfileSnapshot, + wanted: list[WantedRung], + bookkeeper: BookKeeper, +) -> None: + """Drop the resting rungs and place the wanted set once they are gone.""" + symbol = profile.symbol + if profile_snapshot.position is None: + cancels = [bookkeeper.add(account.cancel_orders(symbol), after=())] + else: + cancels = [ + bookkeeper.add( + account.cancel_order(symbol, rung.order_id), + after=(), + ) + for rung in profile_snapshot.pending_rungs + ] + + orders: list[BatchableOrderAction] = [rung.order for rung in wanted] + if orders: + bookkeeper.add(account.place_orders(orders), after=cancels) + + +def book_modify_in_place( + account: FuturesAccount, + profile: ProfileConfig, + profile_snapshot: ProfileSnapshot, + wanted: list[WantedRung], + bookkeeper: BookKeeper, +) -> None: + """Move each resting rung to its own band, so the book is never empty.""" + symbol = profile.symbol + holding = profile_snapshot.position is not None + + modifications: list[OrderModification] = [] + cancel_ids: list[str] = [] if holding else list(profile_snapshot.stray_order_ids) + missing: list[BatchableOrderAction] = [] + for side in (OrderSide.BUY, OrderSide.SELL): + resting, unclaimed = _resting_by_band(profile_snapshot.pending_rungs, side) + cancel_ids.extend(unclaimed) + for rung in wanted: + if rung.order.side != side: + continue + claimed = resting.pop(rung.band_index, None) + if claimed is None: + missing.append(rung.order) + else: + modifications.append( + OrderModification(order_id=claimed.order_id, order=rung.order) + ) + cancel_ids.extend(rung.order_id for rung in resting.values()) + + if modifications: + bookkeeper.add(account.modify_orders(modifications), after=()) + cancels = [ + bookkeeper.add(account.cancel_order(symbol, order_id), after=()) + for order_id in cancel_ids + ] + if missing: + bookkeeper.add(account.place_orders(missing), after=cancels) + + +def book_cancel_entries( + account: FuturesAccount, + profile: ProfileConfig, + profile_snapshot: ProfileSnapshot, + bookkeeper: BookKeeper, +) -> None: + """Clear the resting rungs without placing anything in their place.""" + if profile_snapshot.position is None: + bookkeeper.add(account.cancel_orders(profile.symbol), after=()) + return + for rung in profile_snapshot.pending_rungs: + bookkeeper.add( + account.cancel_order(profile.symbol, rung.order_id), + after=(), + ) + + +def _resting_by_band( + pending_rungs: list[OrderProtocol], side: OrderSide +) -> tuple[dict[int, OrderProtocol], list[str]]: + resting: dict[int, OrderProtocol] = {} + unclaimed: list[str] = [] + for rung in pending_rungs: + if rung.side != side: + continue + band_index = rung_band_index(rung.client_order_id) + if band_index is None or band_index in resting: + unclaimed.append(rung.order_id) + else: + resting[band_index] = rung + return resting, unclaimed diff --git a/src/robottraderslab_envelope/chart_indicators.py b/src/robottraderslab_envelope/chart_indicators.py new file mode 100644 index 0000000..9c8a2fb --- /dev/null +++ b/src/robottraderslab_envelope/chart_indicators.py @@ -0,0 +1,49 @@ +from typing import Any + +from robottraderslab.strategies import Candles, ChartLine, PositionSide + +from .envelope_indicator import compute_envelope, compute_reference +from .profile_config import BAND_LABEL, AverageType, envelopes_by_side + +_BAND_COLOUR = {PositionSide.LONG: "green", PositionSide.SHORT: "red"} + + +def get_lightweight_chart_indicators( + candles: Candles, + indicator_params: dict[str, Any], +) -> list[ChartLine]: + """Draw the reference average and the band a rung rests on beside the candles. + + Args: + indicator_params: `average_type`, `average_period` and either + `envelopes` or `long_envelopes` / `short_envelopes`, spelled as a + profile spells them. + """ + average_type = AverageType(indicator_params["average_type"]) + average_period = indicator_params["average_period"] + reference = compute_reference( + candles.close, + candles.high, + candles.low, + average_type, + average_period, + ) + levels = compute_envelope(reference, envelopes_by_side(indicator_params)) + + lines = [ + ChartLine( + name=f"Reference {average_type} {average_period}", + values=levels.reference, + colour="orange", + ) + ] + for side, bands in levels.bands.items(): + for index, band in enumerate(bands, start=1): + lines.append( + ChartLine( + name=f"Band {index} {BAND_LABEL[side]}", + values=band, + colour=_BAND_COLOUR[side], + ) + ) + return lines diff --git a/src/robottraderslab_envelope/entry_order.py b/src/robottraderslab_envelope/entry_order.py new file mode 100644 index 0000000..eb8737b --- /dev/null +++ b/src/robottraderslab_envelope/entry_order.py @@ -0,0 +1,25 @@ +from robottraderslab.strategies import OrderType +from robottraderslab.strategies.futures import FuturesOrderBuilder + + +class LimitEntryOrder: + def matches(self, order_kind: OrderType | None) -> bool: + return order_kind == OrderType.LIMIT + + def rest_at_band( + self, entry: FuturesOrderBuilder, band_price: float + ) -> FuturesOrderBuilder: + return entry.limit(price=band_price) + + +class TriggerEntryOrder: + def matches(self, order_kind: OrderType | None) -> bool: + return order_kind == OrderType.TRIGGER + + def rest_at_band( + self, entry: FuturesOrderBuilder, band_price: float + ) -> FuturesOrderBuilder: + return entry.trigger(price=band_price) + + +type EntryOrder = LimitEntryOrder | TriggerEntryOrder diff --git a/src/robottraderslab_envelope/envelope.py b/src/robottraderslab_envelope/envelope.py new file mode 100644 index 0000000..db4beee --- /dev/null +++ b/src/robottraderslab_envelope/envelope.py @@ -0,0 +1,256 @@ +import logging +from collections import Counter +from collections.abc import Sequence +from datetime import datetime +from typing import ClassVar, Literal + +from robottraderslab import Symbol +from robottraderslab.exceptions import StrategyCriticalError +from robottraderslab.strategies import ( + AccountSnapshots, + BookKeeper, + Execution, + MarketType, + OHLCVs, + OrderType, + ProfileStrategy, + StrategyRequirements, +) +from robottraderslab.strategies.futures import ( + FuturesAccount, + MarginSettings, + TotalBalanceRatio, +) + +from .book_rungs import ( + RungUpdater, + book_cancel_and_place, + book_cancel_entries, + book_modify_in_place, +) +from .entry_order import EntryOrder, LimitEntryOrder, TriggerEntryOrder +from .envelope_indicator import compute_envelope, compute_reference +from .position_protection import book_position_protections +from .profile_config import ProfileConfig +from .profile_snapshot import ProfileSnapshot +from .reentry_guard import ReentryGuard +from .rungs import ( + entered_side, + rung_band_index, + wanted_while_flat, + wanted_while_holding, +) + +logger = logging.getLogger(__name__) + +_REFERENCE_EXIT_REASON = "moving average reached" +_ENTRY_ORDERS: dict[str, EntryOrder] = { + "limit": LimitEntryOrder(), + "trigger": TriggerEntryOrder(), +} +_RUNG_UPDATERS: dict[str, RungUpdater] = { + "modify": book_modify_in_place, + "cancel_replace": book_cancel_and_place, +} +_WHOLE_BALANCE = 1.0 + + +class EnvelopeStrategy(ProfileStrategy[ProfileConfig]): + """Mean-reversion envelope strategy: rests one entry rung per band around a + moving average. + + The `entry_order` setting chooses what a rung rests as: "trigger" fires a + market order once price reaches the band, "limit" rests at the band price + and fills there or better. + + The `update_mode` setting chooses how the resting rungs follow the bands: + "modify" moves each resting rung to its band so the book is never empty, + "cancel_replace" cancels the resting set and places the wanted one afresh. + """ + + market_type: ClassVar[MarketType] = "futures" + + account: FuturesAccount + entry_order: Literal["trigger", "limit"] = "trigger" + update_mode: Literal["modify", "cancel_replace"] = "modify" + + _entry_order: EntryOrder + _profiles_by_symbol: dict[Symbol, ProfileConfig] + _reentry_guard: ReentryGuard + _update_rungs: RungUpdater + + async def setup(self, requirements: StrategyRequirements) -> None: + """Resolve the settings, validate the profiles and declare the OHLCV and + account state requirements. + """ + self._entry_order = _ENTRY_ORDERS[self.entry_order] + self._update_rungs = _RUNG_UPDATERS[self.update_mode] + self._reentry_guard = ReentryGuard() + self._profiles_by_symbol = { + profile.symbol: profile for profile in self.profiles + } + _validate_profiles(self.profiles) + if self.account.capabilities.reserves_margin_on_pending_orders: + logger.info( + "The exchange reserves margin on pending orders; the envelope " + "keeps many resting orders open at once, so only the rungs " + "covered by free margin will fill." + ) + _warn_when_resting_rungs_outgrow_the_balance(self.profiles) + for profile in self.profiles: + requirements.ohlcv.add( + profile.symbol, profile.timeframe, profile.average_period + ) + requirements.account.add( + self.account, + symbols=[profile.symbol for profile in self.profiles], + positions=True, + open_orders=True, + balances=True, + sizing=[profile.sizing for profile in self.profiles], + executions=True, + notify_entry_fills=True, + describe_fills=self._describe_fill, + margin_targets=_margin_targets(self.profiles), + ) + + def generate_profile_signals(self, profile: ProfileConfig, ohlcvs: OHLCVs) -> None: + """Compute the profile's reference moving average and envelope bands.""" + symbol = profile.symbol + timeframe = profile.timeframe + reference = compute_reference( + ohlcvs.column(symbol, timeframe, "close"), + ohlcvs.column(symbol, timeframe, "high"), + ohlcvs.column(symbol, timeframe, "low"), + profile.average_type, + profile.average_period, + ) + levels = compute_envelope(reference, profile.offsets_by_side) + ohlcvs.add_column(symbol, timeframe, profile.reference_column, levels.reference) + for side, columns in profile.band_columns.items(): + for column, band in zip(columns, levels.bands[side], strict=True): + ohlcvs.add_column(symbol, timeframe, column, band) + + def book_profile_actions( + self, + profile: ProfileConfig, + ohlcvs: OHLCVs, + account_snapshots: AccountSnapshots, + timestamp: datetime, + bookkeeper: BookKeeper, + ) -> None: + """Emit the profile's rung-update, entry and protection actions.""" + account_snapshot = account_snapshots.of(self.account) + profile_snapshot = ProfileSnapshot.build( + profile, ohlcvs, account_snapshot, self._entry_order + ) + if profile_snapshot.has_nan_levels: + logger.warning( + f"{profile.profile_id} ({profile.symbol}): envelope levels are NaN, " + "cancelling entries and waiting for data to recover" + ) + book_cancel_entries(self.account, profile, profile_snapshot, bookkeeper) + return + + reentry_state = self._reentry_guard.state_for( + profile.symbol, + profile.timeframe, + profile.reference_column, + ohlcvs, + account_snapshot.stop_loss_fills(profile.symbol), + timestamp, + ) + position = profile_snapshot.position + if position is not None: + book_position_protections( + self.account, + profile, + profile_snapshot, + position, + bookkeeper, + ) + wanted = wanted_while_holding( + self.account, + profile, + profile_snapshot, + position, + reentry_state, + account_snapshot, + self._entry_order, + ) + else: + wanted = wanted_while_flat( + self.account, + profile, + profile_snapshot, + reentry_state, + account_snapshot, + self._entry_order, + ) + + self._update_rungs( + self.account, + profile, + profile_snapshot, + wanted, + bookkeeper, + ) + + def _describe_fill(self, fill: Execution) -> str | None: + """A take-profit sits at the reference, so its fill is the envelope's exit. + + The venue reports every fill on the symbol, so a fill of the configured + entry kind is one of the envelope's rungs only when the tag on its + client order id says so. + """ + if fill.kind == OrderType.TAKE_PROFIT: + return _REFERENCE_EXIT_REASON + if not self._entry_order.matches(fill.kind): + return None + band_index = rung_band_index(fill.client_order_id) + if band_index is None: + return None + offsets = self._profiles_by_symbol[fill.symbol].offsets_by_side + return f"entry rung {band_index} of {len(offsets[entered_side(fill.side)])}" + + +def _validate_profiles(profiles: Sequence[ProfileConfig]) -> None: + counts = Counter(profile.symbol for profile in profiles) + duplicated = sorted(str(symbol) for symbol, count in counts.items() if count > 1) + if duplicated: + raise StrategyCriticalError( + f"Envelope strategy accepts one profile per symbol, " + f"got several for: {', '.join(duplicated)}." + ) + + +def _warn_when_resting_rungs_outgrow_the_balance( + profiles: Sequence[ProfileConfig], +) -> None: + share = sum(_resting_balance_share(profile) for profile in profiles) + if share > _WHOLE_BALANCE: + logger.warning( + f"The resting rungs of every profile lock {share:.0%} of the " + "balance; the venue refuses the rungs beyond it." + ) + + +def _resting_balance_share(profile: ProfileConfig) -> float: + """A resting rung locks the margin of what it would open, and only a + share of the total balance is known before the first candle. + """ + if not isinstance(profile.sizing, TotalBalanceRatio): + return 0.0 + traded_sides = len(profile.rung_counts) + return profile.sizing.ratio * traded_sides / profile.leverage + + +def _margin_targets( + profiles: Sequence[ProfileConfig], +) -> dict[Symbol, MarginSettings]: + return { + profile.symbol: MarginSettings( + leverage=profile.leverage, margin_mode=profile.margin_mode + ) + for profile in profiles + } diff --git a/src/robottraderslab_envelope/envelope_indicator.py b/src/robottraderslab_envelope/envelope_indicator.py new file mode 100644 index 0000000..bf372f6 --- /dev/null +++ b/src/robottraderslab_envelope/envelope_indicator.py @@ -0,0 +1,56 @@ +from collections.abc import Iterable, Mapping +from dataclasses import dataclass + +import numpy as np +import numpy.typing as npt + +from robottraderslab.indicators import MAType, donchian_midline, moving_average +from robottraderslab.strategies import PositionSide + +from .profile_config import AverageType + + +@dataclass(frozen=True, slots=True) +class EnvelopeLevels: + """Each side's bands keep the order of the offsets they were computed from.""" + + reference: npt.NDArray[np.float64] + bands: dict[PositionSide, list[npt.NDArray[np.float64]]] + + +def compute_envelope( + reference: npt.NDArray[np.float64], + envelopes: Mapping[PositionSide, Iterable[float]], +) -> EnvelopeLevels: + """A band at offset `e` is a fall of `e` in price: from the reference down + to the long band, and from the short band back down to the reference, so + the short band sits `e / (1 - e)` above the reference. + """ + return EnvelopeLevels( + reference=reference, + bands={ + side: [_band(reference, side, offset) for offset in offsets] + for side, offsets in envelopes.items() + }, + ) + + +def compute_reference( + close: npt.NDArray[np.float64], + high: npt.NDArray[np.float64], + low: npt.NDArray[np.float64], + average_type: AverageType, + period: int, +) -> npt.NDArray[np.float64]: + """Return the reference the bands sit around, of the kind the profile asks for.""" + if average_type is AverageType.DCM: + return donchian_midline(high, low, period) + return moving_average(close, period, MAType(average_type.value)) + + +def _band( + reference: npt.NDArray[np.float64], side: PositionSide, offset: float +) -> npt.NDArray[np.float64]: + if side is PositionSide.LONG: + return reference * (1 - offset) + return reference / (1 - offset) diff --git a/src/robottraderslab_envelope/examples/envelope-bot-example.toml b/src/robottraderslab_envelope/examples/envelope-bot-example.toml new file mode 100644 index 0000000..1015c8c --- /dev/null +++ b/src/robottraderslab_envelope/examples/envelope-bot-example.toml @@ -0,0 +1,34 @@ +[strategy] +strategy_class = "envelope" + +[backtest] +initial_balance = { USDT = 1000.0 } +maker_fee_rate = 0.0002 +taker_fee_rate = 0.0005 +start_date = "2025-09-01" +end_date = "2026-09-01" + +[backtest.ohlcv_provider] +ohlcv_provider = "ccxt_bitget" + +[live.ohlcv_provider] +ohlcv_provider = "bitget" + +[live.trading_account] +exchange = "bitget" +demo_trading = true +secret_name = "envelope-example" + +[report] +reference_symbol = "SOL/USDT:USDT" + +[[strategy.profiles]] +symbol = "SOL/USDT:USDT" +timeframe = "4h" +total_balance_ratio = 1.0 +leverage = 1.0 +margin_mode = "isolated" +average_type = "DCM" +average_period = 5 +envelopes = [0.07, 0.11, 0.15] +stop_loss_pct = 0.25 diff --git a/src/robottraderslab_envelope/examples/run_backtest.ipynb b/src/robottraderslab_envelope/examples/run_backtest.ipynb new file mode 100644 index 0000000..0e73d30 --- /dev/null +++ b/src/robottraderslab_envelope/examples/run_backtest.ipynb @@ -0,0 +1,144 @@ +{ + "cells": [ + { + "cell_type": "markdown", + "id": "7fb27b941602401d91542211134fc71a", + "metadata": {}, + "source": [ + "# Envelope Strategy — Backtest\n", + "\n", + "Runs the strategy defined in `envelope-bot-example.toml` over historical data and reviews the results." + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "acae54e37e7d407bbb7b55eff062a284", + "metadata": {}, + "outputs": [], + "source": [ + "from robottraderslab import BotConfig, run_backtest" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "9a63283cbaf04dbcab1f6479b197f3a8", + "metadata": {}, + "outputs": [], + "source": [ + "results = run_backtest(BotConfig.from_file(\"envelope-bot-example.toml\"))" + ] + }, + { + "cell_type": "markdown", + "id": "8dd0d8092fe74a7c96281538738b07e2", + "metadata": {}, + "source": [ + "## Performance Overview" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "72eea5119410473aa328ad9291626812", + "metadata": {}, + "outputs": [], + "source": [ + "analyser = results.create_analyser()" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "8edb47106e1a46a883d545849b8ab81b", + "metadata": {}, + "outputs": [], + "source": [ + "analyser.plot_performance_summary()" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "10185d26023b46108eb7d9f57d49d2b3", + "metadata": {}, + "outputs": [], + "source": [ + "analyser.print_performance_summary()" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "8763a12b2bbd4a93a75aff182afb95dc", + "metadata": {}, + "outputs": [], + "source": [ + "analyser.plot_equity_curve()\n", + "analyser.plot_drawdown()" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "7623eae2785240b9bd12b16a66d81610", + "metadata": {}, + "outputs": [], + "source": [ + "analyser.plot_cumulative_pnl_by_trade()\n", + "analyser.plot_monthly_performance(year=\"all\")" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "7c1f4a02e5b34d17b6c8d9e0f1a2b3c4", + "metadata": {}, + "outputs": [], + "source": [ + "analyser.plot_candlestick(\n", + " indicators_name=\"envelope\",\n", + " symbol=\"SOL/USDT:USDT\",\n", + " timeframe=\"4h\",\n", + " indicators_params={\n", + " \"average_type\": \"DCM\",\n", + " \"average_period\": 5,\n", + " \"envelopes\": [0.07, 0.11, 0.15],\n", + " },\n", + ")" + ] + }, + { + "cell_type": "markdown", + "id": "7cdc8c89c7104fffa095e18ddfef8986", + "metadata": {}, + "source": [ + "## Trades" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "id": "b118ea5561624da68c537baed56e602f", + "metadata": {}, + "outputs": [], + "source": [ + "analyser.trades" + ] + } + ], + "metadata": { + "kernelspec": { + "display_name": "Python 3", + "language": "python", + "name": "python3" + }, + "language_info": { + "name": "python", + "version": "3.12" + } + }, + "nbformat": 4, + "nbformat_minor": 5 +} diff --git a/src/robottraderslab_envelope/position_protection.py b/src/robottraderslab_envelope/position_protection.py new file mode 100644 index 0000000..7ba7d65 --- /dev/null +++ b/src/robottraderslab_envelope/position_protection.py @@ -0,0 +1,37 @@ +from robottraderslab.strategies import BookKeeper, PositionSide +from robottraderslab.strategies.futures import FuturesAccount, PositionSnapshot + +from .profile_config import ProfileConfig +from .profile_snapshot import ProfileSnapshot + + +def book_position_protections( + account: FuturesAccount, + profile: ProfileConfig, + profile_snapshot: ProfileSnapshot, + position: PositionSnapshot, + bookkeeper: BookKeeper, +) -> None: + """Move the position's stop-loss and take-profit to this candle's levels.""" + bookkeeper.add( + account.move_stop_loss( + position.symbol, + stop_loss_trigger_price( + position.side, position.average_entry_price, profile.stop_loss_pct + ), + ), + after=(), + ) + bookkeeper.add( + account.move_take_profit(position.symbol, profile_snapshot.reference), + after=(), + ) + + +def stop_loss_trigger_price( + side: PositionSide, reference_price: float, stop_loss_pct: float +) -> float: + """Return the trigger price a stop-loss sits at, on either side.""" + if side is PositionSide.LONG: + return reference_price * (1 - stop_loss_pct) + return reference_price * (1 + stop_loss_pct) diff --git a/src/robottraderslab_envelope/profile_config.py b/src/robottraderslab_envelope/profile_config.py new file mode 100644 index 0000000..594da8e --- /dev/null +++ b/src/robottraderslab_envelope/profile_config.py @@ -0,0 +1,195 @@ +from collections.abc import Callable, Mapping +from dataclasses import dataclass +from enum import StrEnum +from functools import cached_property +from typing import Any + +from robottraderslab import Symbol +from robottraderslab.exceptions import StrategyCriticalError +from robottraderslab.strategies import ( + AccountSnapshot, + PositionSide, + Profile, + TrackingId, +) +from robottraderslab.strategies.futures import ( + MarginMode, + SizingRule, +) + +BAND_LABEL: dict[PositionSide, str] = { + PositionSide.LONG: "low", + PositionSide.SHORT: "high", +} +_ENVELOPE_KEYS = ("envelopes", "long_envelopes", "short_envelopes") + + +class AverageType(StrEnum): + """The kinds of average the envelope bands can sit around.""" + + SMA = "SMA" + EMA = "EMA" + WMA = "WMA" + DCM = "DCM" + + +@dataclass(frozen=True, kw_only=True) +class ProfileConfig(Profile): + """One symbol traded on one timeframe, with its own bands and sizing. + + A symbol names the profile, so the strategy accepts only one profile per + symbol. `envelopes` gives both sides the same offsets; `long_envelopes` + and `short_envelopes` give a side its own, alone or together. + """ + + average_type: AverageType + average_period: int + stop_loss_pct: float + sizing: SizingRule + envelopes: list[float] | None = None + long_envelopes: list[float] | None = None + short_envelopes: list[float] | None = None + leverage: float = 1.0 + margin_mode: MarginMode = MarginMode.ISOLATED + + def __post_init__(self) -> None: + """ + Raises: + StrategyCriticalError: If a value is out of range, if `envelopes` + is combined with a directional list, or if no side has offsets. + """ + self._validate_envelopes() + self._validate_leverage() + self._validate_stop_loss_pct() + + @cached_property + def band_columns(self) -> dict[PositionSide, tuple[str, ...]]: + return { + side: tuple( + f"{self.profile_id}_band_{BAND_LABEL[side]}_{index}" + for index in range(1, len(offsets) + 1) + ) + for side, offsets in self.offsets_by_side.items() + } + + @cached_property + def offsets_by_side(self) -> dict[PositionSide, list[float]]: + """Each side's band offsets; a side the profile does not trade holds none.""" + written = { + key: getattr(self, key) + for key in _ENVELOPE_KEYS + if getattr(self, key) is not None + } + return envelopes_by_side(written) + + @cached_property + def profile_id(self) -> TrackingId: + return TrackingId(str(self.symbol)) + + @cached_property + def reference_column(self) -> str: + return f"{self.profile_id}_reference" + + @cached_property + def rung_counts(self) -> dict[PositionSide, int]: + """Each side splits the whole quantity the profile's rule sizes over + its rungs. + """ + return { + side: len(offsets) + for side, offsets in self.offsets_by_side.items() + if offsets + } + + @cached_property + def rung_sizing(self) -> dict[PositionSide, SizingRule]: + return { + side: RungShare(self.sizing, rungs) + for side, rungs in self.rung_counts.items() + } + + def _validate_envelopes(self) -> None: + if not any(self.offsets_by_side.values()): + raise StrategyCriticalError( + "profile must declare envelopes, long_envelopes or short_envelopes" + ) + for side, offsets in self.offsets_by_side.items(): + if not all(0 < offset < 1 for offset in offsets): + raise StrategyCriticalError( + f"envelope offsets must be in (0, 1), got {offsets} on the " + f"{side.value} side" + ) + + def _validate_leverage(self) -> None: + if self.leverage <= 0: + raise StrategyCriticalError( + f"leverage must be greater than 0, got {self.leverage} on {self.symbol}" + ) + + def _validate_stop_loss_pct(self) -> None: + if not 0 < self.stop_loss_pct < 1: + raise StrategyCriticalError( + f"stop_loss_pct must be in (0, 1), got {self.stop_loss_pct} on " + f"{self.symbol}" + ) + + +@dataclass(frozen=True, slots=True) +class RungShare(SizingRule): + """A rung trades an equal share of what the profile's rule sizes for its + side. + """ + + rule: SizingRule + rungs: int + + def quantity( + self, + symbol: Symbol, + price: float, + account_snapshot: AccountSnapshot, + *, + placement_reserve_rate: float, + placement_requirement_rate: Callable[[float], float], + stop_loss_price: float | None, + ) -> float: + return ( + self.rule.quantity( + symbol, + price, + account_snapshot, + placement_reserve_rate=placement_reserve_rate, + placement_requirement_rate=placement_requirement_rate, + stop_loss_price=stop_loss_price, + ) + / self.rungs + ) + + +def envelopes_by_side(settings: Mapping[str, Any]) -> dict[PositionSide, list[float]]: + """Read each side's offsets from the envelope keys a profile spells. + + A side no key names carries an empty list, so a caller reads either side + without checking whether the profile trades it; a key that is written holds + at least one offset, so an emptied list is a mistake and not a silent opt-out. + + Raises: + StrategyCriticalError: If `envelopes` is combined with `long_envelopes` + or `short_envelopes`, or if a written key holds an empty list. + """ + for key in _ENVELOPE_KEYS: + if key in settings and not settings[key]: + raise StrategyCriticalError(f"{key} must be a non-empty list") + both_sides = settings.get("envelopes") + long_offsets = settings.get("long_envelopes") + short_offsets = settings.get("short_envelopes") + if both_sides is None: + return { + PositionSide.LONG: long_offsets or [], + PositionSide.SHORT: short_offsets or [], + } + if long_offsets is not None or short_offsets is not None: + raise StrategyCriticalError( + "envelopes cannot be combined with long_envelopes or short_envelopes" + ) + return {PositionSide.LONG: both_sides, PositionSide.SHORT: both_sides} diff --git a/src/robottraderslab_envelope/profile_snapshot.py b/src/robottraderslab_envelope/profile_snapshot.py new file mode 100644 index 0000000..d88497f --- /dev/null +++ b/src/robottraderslab_envelope/profile_snapshot.py @@ -0,0 +1,65 @@ +import math +from dataclasses import dataclass +from typing import Self + +from robottraderslab.strategies import ( + AccountSnapshot, + OHLCVs, + OrderProtocol, + OrderType, + PositionSide, +) +from robottraderslab.strategies.futures import PositionSnapshot + +from .entry_order import EntryOrder +from .profile_config import ProfileConfig + +_PROTECTION_ORDER_TYPES = (OrderType.STOP_LOSS, OrderType.TAKE_PROFIT) + + +@dataclass(frozen=True, slots=True) +class ProfileSnapshot: + """Per-profile view of the current candle: market data plus exchange state.""" + + reference: float + bands: dict[PositionSide, list[float]] + pending_rungs: list[OrderProtocol] + stray_order_ids: list[str] + position: PositionSnapshot | None + + @classmethod + def build( + cls, + profile: ProfileConfig, + ohlcvs: OHLCVs, + account_snapshot: AccountSnapshot, + entry_order: EntryOrder, + ) -> Self: + """Read one profile's levels and resting orders for the current candle.""" + symbol = profile.symbol + timeframe = profile.timeframe + + pending_rungs: list[OrderProtocol] = [] + stray_order_ids: list[str] = [] + for order in account_snapshot.open_orders(symbol): + if entry_order.matches(order.kind): + pending_rungs.append(order) + elif order.kind not in _PROTECTION_ORDER_TYPES: + stray_order_ids.append(order.order_id) + + return cls( + reference=ohlcvs.current(symbol, timeframe, profile.reference_column), + bands={ + side: [ohlcvs.current(symbol, timeframe, column) for column in columns] + for side, columns in profile.band_columns.items() + }, + pending_rungs=pending_rungs, + stray_order_ids=stray_order_ids, + position=account_snapshot.position(symbol), + ) + + @property + def has_nan_levels(self) -> bool: + return math.isnan(self.reference) or any( + math.isnan(price) for prices in self.bands.values() for price in prices + ) diff --git a/src/robottraderslab_envelope/py.typed b/src/robottraderslab_envelope/py.typed new file mode 100644 index 0000000..e69de29 diff --git a/src/robottraderslab_envelope/reentry_guard.py b/src/robottraderslab_envelope/reentry_guard.py new file mode 100644 index 0000000..1db0e06 --- /dev/null +++ b/src/robottraderslab_envelope/reentry_guard.py @@ -0,0 +1,129 @@ +import logging +from dataclasses import dataclass +from datetime import datetime + +from robottraderslab import Symbol, TimeFrame +from robottraderslab.strategies import Execution, OHLCVs, OrderSide, PositionSide + +logger = logging.getLogger(__name__) + +_CLEARANCE_DIRECTION = {PositionSide.LONG: "above", PositionSide.SHORT: "below"} + + +@dataclass(frozen=True, slots=True) +class ReentryState: + """Per-symbol re-entry snapshot. + + After a stop-loss fires on a side, that side is added to `blocked_sides` + and new entries on that side are blocked until price closes back across + the moving average in the opposite direction. Long and short lock + independently, so the set can contain either, both, or neither. + """ + + blocked_sides: frozenset[PositionSide] + + def is_entry_allowed(self, side: PositionSide) -> bool: + return side not in self.blocked_sides + + +class ReentryGuard: + """Blocks re-entry after a stop-loss until price closes back across the reference. + + A side is blocked when the most recent stop-loss fill on that side has not + yet been followed by a close on the opposite side of the moving-average + reference. + """ + + def __init__(self) -> None: + self._last_blocked: dict[Symbol, frozenset[PositionSide]] = {} + + def state_for( + self, + symbol: Symbol, + timeframe: TimeFrame, + reference_column: str, + ohlcvs: OHLCVs, + fills: list[Execution], + timestamp: datetime, + ) -> ReentryState: + """Return the current re-entry state for the symbol. + + Args: + reference_column: Column carrying the price a stopped-out side + must clear before it may be entered again. + ohlcvs: Candles covering the window the fills fall in. + fills: Stop-loss fills covering at least the loaded window; fills + for other symbols or before the window are ignored. + timestamp: The moment the current candle closed. Candles closing + after it are ignored. + """ + symbol_fills = [ + fill + for fill in fills + if fill.symbol == symbol + and ohlcvs.covers(symbol, timeframe, fill.timestamp) + ] + if not symbol_fills: + return self._record_state(symbol, frozenset(), {}, timestamp) + + latest_by_side: dict[PositionSide, Execution] = {} + for fill in symbol_fills: + side = _closed_position_side(fill) + current = latest_by_side.get(side) + if current is None or fill.timestamp > current.timestamp: + latest_by_side[side] = fill + + blocked = frozenset( + side + for side, fill in latest_by_side.items() + if not _has_cleared( + ohlcvs, symbol, timeframe, reference_column, fill, timestamp + ) + ) + return self._record_state(symbol, blocked, latest_by_side, timestamp) + + def _record_state( + self, + symbol: Symbol, + blocked: frozenset[PositionSide], + latest_by_side: dict[PositionSide, Execution], + timestamp: datetime, + ) -> ReentryState: + previous = self._last_blocked.get(symbol, frozenset()) + for side in sorted(blocked - previous, key=lambda s: s.value): + logger.info( + f"{symbol}: {side.value} entries suspended after stop-loss at " + f"{latest_by_side[side].timestamp}, waiting for a close back " + f"{_CLEARANCE_DIRECTION[side]} the moving average" + ) + for side in sorted(previous - blocked, key=lambda s: s.value): + logger.info( + f"{symbol}: {side.value} entries resumed at {timestamp}, close " + f"crossed back {_CLEARANCE_DIRECTION[side]} the moving average" + ) + self._last_blocked[symbol] = blocked + return ReentryState(blocked_sides=blocked) + + +def _closed_position_side(fill: Execution) -> PositionSide: + """A reducing execution sells to close a long and buys to close a short.""" + return PositionSide.SHORT if fill.side == OrderSide.BUY else PositionSide.LONG + + +def _has_cleared( + ohlcvs: OHLCVs, + symbol: Symbol, + timeframe: TimeFrame, + reference_column: str, + fill: Execution, + boundary: datetime, +) -> bool: + """Report whether price closed back across the reference after the fill.""" + since_fill = ohlcvs.candles_between( + symbol, timeframe, boundary, after=fill.timestamp + ) + closes = ohlcvs.column(symbol, timeframe, "close")[since_fill] + references = ohlcvs.column(symbol, timeframe, reference_column)[since_fill] + if _closed_position_side(fill) == PositionSide.LONG: + return bool((closes > references).any()) + return bool((closes < references).any()) diff --git a/src/robottraderslab_envelope/rungs.py b/src/robottraderslab_envelope/rungs.py new file mode 100644 index 0000000..bff332e --- /dev/null +++ b/src/robottraderslab_envelope/rungs.py @@ -0,0 +1,140 @@ +from dataclasses import dataclass + +from robottraderslab.strategies import AccountSnapshot, OrderSide, PositionSide, tag_of +from robottraderslab.strategies.futures import ( + BatchableOrderAction, + FuturesAccount, + PositionSnapshot, +) + +from .entry_order import EntryOrder +from .position_protection import stop_loss_trigger_price +from .profile_config import ProfileConfig +from .profile_snapshot import ProfileSnapshot +from .reentry_guard import ReentryState + +_RUNG_TAG_PREFIX = "r" + + +@dataclass(frozen=True, slots=True) +class WantedRung: + """An entry rung the strategy wants resting at one of its bands.""" + + band_index: int + order: BatchableOrderAction + + +def entered_side(order_side: OrderSide) -> PositionSide: + return PositionSide.LONG if order_side is OrderSide.BUY else PositionSide.SHORT + + +def rung_band_index(client_order_id: str | None) -> int | None: + """Return the band a resting rung was placed for, or None if it is not ours.""" + tag = tag_of(client_order_id) + if tag is None or not tag.startswith(_RUNG_TAG_PREFIX): + return None + band_index = tag[len(_RUNG_TAG_PREFIX) :] + return int(band_index) if band_index.isdigit() else None + + +def wanted_while_flat( + account: FuturesAccount, + profile: ProfileConfig, + profile_snapshot: ProfileSnapshot, + reentry_state: ReentryState, + account_snapshot: AccountSnapshot, + entry_order: EntryOrder, +) -> list[WantedRung]: + """Return a rung for every band the profile may enter on, both sides.""" + wanted: list[WantedRung] = [] + for side, band_prices in profile_snapshot.bands.items(): + if not reentry_state.is_entry_allowed(side): + continue + for band_index, band_price in enumerate(band_prices, start=1): + wanted.append( + _build_rung( + account, + profile, + side, + band_index, + band_price, + profile_snapshot.reference, + account_snapshot, + entry_order, + ) + ) + return wanted + + +def wanted_while_holding( + account: FuturesAccount, + profile: ProfileConfig, + profile_snapshot: ProfileSnapshot, + position: PositionSnapshot, + reentry_state: ReentryState, + account_snapshot: AccountSnapshot, + entry_order: EntryOrder, +) -> list[WantedRung]: + """Return a rung for each band beyond those the position already filled.""" + if not reentry_state.is_entry_allowed(position.side): + return [] + + bands = profile_snapshot.bands[position.side] + unfilled_count = sum( + 1 + for rung in profile_snapshot.pending_rungs + if entered_side(rung.side) is position.side + ) + first_unfilled_band_index = len(bands) - unfilled_count + + wanted: list[WantedRung] = [] + for band_index, band_price in enumerate( + bands[first_unfilled_band_index:], start=first_unfilled_band_index + 1 + ): + wanted.append( + _build_rung( + account, + profile, + position.side, + band_index, + band_price, + profile_snapshot.reference, + account_snapshot, + entry_order, + ) + ) + return wanted + + +def _build_rung( + account: FuturesAccount, + profile: ProfileConfig, + side: PositionSide, + band_index: int, + band_price: float, + reference: float, + account_snapshot: AccountSnapshot, + entry_order: EntryOrder, +) -> WantedRung: + entry = ( + account.long_entry(profile.symbol) + if side is PositionSide.LONG + else account.short_entry(profile.symbol) + ) + resting_at_band = entry_order.rest_at_band(entry, band_price) + return WantedRung( + band_index=band_index, + order=resting_at_band.size( + profile.rung_sizing[side], band_price, account_snapshot + ) + .stop_loss( + price=stop_loss_trigger_price(side, band_price, profile.stop_loss_pct) + ) + .take_profit(price=reference) + .tag(_rung_tag(band_index)) + .build(), + ) + + +def _rung_tag(band_index: int) -> str: + return f"{_RUNG_TAG_PREFIX}{band_index}" diff --git a/tests/conftest.py b/tests/conftest.py new file mode 100644 index 0000000..eaa41ad --- /dev/null +++ b/tests/conftest.py @@ -0,0 +1,59 @@ +from collections.abc import Callable +from pathlib import Path +from typing import Any +from unittest.mock import Mock + +import pytest +from robottraderslab_envelope import EnvelopeStrategy + +from robottraderslab.exchanges import FuturesExchangeProtocol +from robottraderslab.strategies import Balance, TradingMode, TradingSystem +from robottraderslab.strategies.futures import ( + FuturesAccount, + FuturesCapabilities, + MarginMode, + MarginSettings, +) + + +@pytest.fixture +def mock_exchange() -> Mock: + """Mocked futures exchange with a flat account and no open positions.""" + exchange = Mock(spec=FuturesExchangeProtocol) + exchange.placement_reserve_rate = 0.0 + exchange.get_balances.return_value = { + "USDT": Balance(locked=0.0, total=10_000.0), + } + exchange.get_open_positions.return_value = {} + exchange.get_equity.return_value = 10_000.0 + exchange.get_quote_conversion_rate.return_value = 1.0 + exchange.get_open_orders.return_value = [] + exchange.get_executions_since.return_value = [] + exchange.get_margin_settings.side_effect = lambda symbols: { + symbol: MarginSettings(leverage=None, margin_mode=MarginMode.CROSS) + for symbol in symbols + } + exchange.capabilities = FuturesCapabilities() + return exchange + + +@pytest.fixture +def make_strategy( + mock_exchange: Mock, +) -> Callable[..., EnvelopeStrategy]: + """Factory for creating EnvelopeStrategy backed by the mocked exchange.""" + + def _make( + profiles: list[dict[str, Any]], + trading_mode: TradingMode = TradingMode.BACKTEST, + **strategy_kwargs: Any, + ) -> EnvelopeStrategy: + return EnvelopeStrategy( + account=FuturesAccount(exchange=mock_exchange, name="test"), + trading_system=TradingSystem(trading_mode=trading_mode), + config_dir=Path("bot-config-dir"), + profiles=profiles, + **strategy_kwargs, + ) + + return _make diff --git a/tests/data/btc-usdt-1h.csv b/tests/data/btc-usdt-1h.csv new file mode 100644 index 0000000..95a8470 --- /dev/null +++ b/tests/data/btc-usdt-1h.csv @@ -0,0 +1,9727 @@ +date,open,high,low,close,volume +2024-12-31T19:00:00+00:00,93865.1,94266.0,93686.5,94142.9,3171.629 +2024-12-31T20:00:00+00:00,94142.9,94225.8,93437.7,93555.0,6755.001 +2024-12-31T21:00:00+00:00,93555.0,93955.8,93485.8,93881.2,2537.452 +2024-12-31T22:00:00+00:00,93881.2,93881.2,93344.9,93469.2,2738.329 +2024-12-31T23:00:00+00:00,93469.2,93736.2,93356.6,93570.6,1163.732 +2025-01-01T00:00:00+00:00,93570.6,94449.4,93460.2,94363.6,5374.891 +2025-01-01T01:00:00+00:00,94363.6,94363.9,93545.0,93598.3,2862.719 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+2026-02-07T19:00:00+00:00,69473.6,69548.4,69232.1,69339.1,556.4412 +2026-02-07T20:00:00+00:00,69339.1,69705.2,69205.7,69596.9,482.2756 +2026-02-07T21:00:00+00:00,69596.9,69666.7,69308.9,69470.0,576.1327 +2026-02-07T22:00:00+00:00,69470.0,69662.3,69268.8,69367.0,518.9863 +2026-02-07T23:00:00+00:00,69367.0,69423.0,68732.1,69249.6,1294.8145 +2026-02-08T00:00:00+00:00,69249.6,69395.3,68847.0,69098.6,748.8437 +2026-02-08T01:00:00+00:00,69098.6,69470.9,69056.4,69344.5,626.2083 +2026-02-08T02:00:00+00:00,69344.5,69683.2,69121.3,69341.7,1237.229 +2026-02-08T03:00:00+00:00,69341.7,69415.3,69022.2,69064.4,630.8806 +2026-02-08T04:00:00+00:00,69064.4,69330.7,68926.3,69305.0,537.509 +2026-02-08T05:00:00+00:00,69305.0,69387.5,69108.0,69191.5,548.9482 +2026-02-08T06:00:00+00:00,69191.5,69375.1,69049.5,69314.0,845.9899 +2026-02-08T07:00:00+00:00,69314.0,69667.1,69177.6,69667.0,996.9583 +2026-02-08T08:00:00+00:00,69667.0,70768.6,69468.1,70615.9,4541.1795 +2026-02-08T09:00:00+00:00,70615.9,70669.3,70050.2,70066.2,1476.8689 +2026-02-08T10:00:00+00:00,70066.2,70421.3,69843.8,70234.6,1985.286 +2026-02-08T11:00:00+00:00,70234.6,71178.2,70176.1,70950.0,2791.2235 +2026-02-08T12:00:00+00:00,70950.0,71245.0,70662.6,71201.7,2132.5671 +2026-02-08T13:00:00+00:00,71201.7,71486.4,70926.8,71475.6,2401.8258 +2026-02-08T14:00:00+00:00,71475.6,71523.6,71053.0,71220.2,1554.0518 +2026-02-08T15:00:00+00:00,71220.2,71423.4,70732.4,71151.6,2156.1506 +2026-02-08T16:00:00+00:00,71151.6,71219.7,70212.6,70382.7,1820.2941 +2026-02-08T17:00:00+00:00,70382.7,70851.3,70374.4,70760.6,1006.9097 +2026-02-08T18:00:00+00:00,70760.6,71383.0,70713.3,71106.1,1226.7252 +2026-02-08T19:00:00+00:00,71106.1,71490.6,71106.1,71387.0,679.95 +2026-02-08T20:00:00+00:00,71387.0,71393.1,70662.6,70803.6,1279.9259 +2026-02-08T21:00:00+00:00,70803.6,71105.2,70504.8,70670.0,1035.1005 +2026-02-08T22:00:00+00:00,70670.0,71072.4,70626.7,71042.4,999.4869 +2026-02-08T23:00:00+00:00,71042.4,72262.0,69939.1,70291.0,7556.5135 +2026-02-09T00:00:00+00:00,70291.0,70744.6,70067.7,70451.1,1789.9753 +2026-02-09T01:00:00+00:00,70451.1,70892.6,70020.0,70330.2,2086.6262 +2026-02-09T02:00:00+00:00,70330.2,70974.9,70171.6,70586.7,1381.168 +2026-02-09T03:00:00+00:00,70586.7,71401.3,70576.3,71265.6,1691.9656 +2026-02-09T04:00:00+00:00,71265.6,71316.8,70867.1,70958.7,1118.9874 +2026-02-09T05:00:00+00:00,70958.7,71077.4,70764.6,71003.2,849.2519 +2026-02-09T06:00:00+00:00,71003.2,71003.2,70271.4,70628.3,1832.6504 +2026-02-09T07:00:00+00:00,70628.3,70867.3,70314.9,70395.5,1468.3838 +2026-02-09T08:00:00+00:00,70395.5,70582.1,69367.0,69837.0,3223.4881 +2026-02-09T09:00:00+00:00,69837.0,70093.2,69438.2,69594.4,1898.9885 +2026-02-09T10:00:00+00:00,69594.4,69696.3,68376.0,68700.3,5099.7292 +2026-02-09T11:00:00+00:00,68700.3,68985.0,68544.1,68899.3,2193.2812 +2026-02-09T12:00:00+00:00,68899.3,69237.0,68826.6,69111.6,2042.8285 +2026-02-09T13:00:00+00:00,69111.6,69275.2,68553.9,68559.1,2042.6305 +2026-02-09T14:00:00+00:00,68559.1,69742.0,68266.5,69232.5,5928.9246 +2026-02-09T15:00:00+00:00,69232.5,69848.2,68780.2,69530.0,4318.493 +2026-02-09T16:00:00+00:00,69530.0,70399.0,69058.9,70051.7,3766.9714 +2026-02-09T17:00:00+00:00,70051.7,70958.4,69825.0,70582.0,3120.2337 +2026-02-09T18:00:00+00:00,70582.0,71000.0,70050.5,70387.5,2227.9491 +2026-02-09T19:00:00+00:00,70387.5,71045.5,70226.5,70919.6,1393.5805 +2026-02-09T20:00:00+00:00,70919.6,71104.2,70455.0,70699.5,1415.2072 +2026-02-09T21:00:00+00:00,70699.5,70774.9,69774.4,70368.0,2138.6551 +2026-02-09T22:00:00+00:00,70368.0,70700.7,70238.5,70340.8,1065.2196 +2026-02-09T23:00:00+00:00,70340.8,70549.6,70037.4,70107.5,843.6397 +2026-02-10T00:00:00+00:00,70107.5,70231.0,69710.2,69790.1,1293.1274 diff --git a/tests/data/tradingview-trades.csv b/tests/data/tradingview-trades.csv new file mode 100644 index 0000000..f5c5d65 --- /dev/null +++ b/tests/data/tradingview-trades.csv @@ -0,0 +1,97 @@ +Trade number,Type,Date and time,Signal,Price USDT,Size (qty),Size (value),Net PnL USDT,Return %,Commission USDT,Favorable excursion USDT,Favorable excursion %,Adverse excursion USDT,Adverse excursion %,Cumulative PnL USDT,Cumulative PnL %,Duration (bars) +1,Exit long,2025-01-01 01:00,Short 1,94363.6,0.010595,999.782342,-0.4,-0.04,0.4,0,0.00,0,0.00,-0.6,-0.06,0 +1,Entry long,2025-01-01 01:00,Long 1,94363.6,0.010595,999.782342,-0.4,-0.04,0.4,0,0.00,0,0.00,-0.6,-0.06,0 +2,Exit long,2025-01-01 01:00,Short 1,94363.6,0.010595,999.782342,-0.4,-0.04,0.4,0,0.00,0,0.00,-0.8,-0.08,0 +2,Entry long,2025-01-01 01:00,Long 2,94363.6,0.010595,999.782342,-0.4,-0.04,0.4,0,0.00,0,0.00,-0.8,-0.08,0 +3,Exit short,2025-01-01 05:00,Exit,93545.3,0.010595,999.782342,8.27,0.83,0.4,8.9,0.89,-0.2,-0.02,7.27,0.73,4 +3,Entry short,2025-01-01 01:00,Short 1,94363.6,0.010595,999.782342,8.27,0.83,0.4,8.9,0.89,-0.2,-0.02,7.27,0.73,4 +4,Exit short,2025-01-01 05:00,Exit,93545.3,0.010595,999.782342,8.27,0.83,0.4,8.9,0.89,-0.2,-0.02,15.74,1.57,4 +4,Entry short,2025-01-01 01:00,Short 2,94363.6,0.010595,999.782342,8.27,0.83,0.4,8.9,0.89,-0.2,-0.02,15.74,1.57,4 +5,Exit short,2025-01-20 12:00,Exit,108219.9,0.004817,507.8355969,-13.67,-2.69,0.21,0,0.00,-22.08,-4.35,1.98,0.20,6 +5,Entry short,2025-01-20 06:00,Short 1,105425.7,0.004817,507.8355969,-13.67,-2.69,0.21,0,0.00,-22.08,-4.35,1.98,0.20,6 +6,Exit short,2025-01-20 12:00,Exit,108219.9,0.004716,507.7660608,-2.8,-0.55,0.2,3.24,0.64,-11.04,-2.17,-0.72,-0.07,6 +6,Entry short,2025-01-20 06:00,Short 2,107668.8,0.004716,507.7660608,-2.8,-0.55,0.2,3.24,0.64,-11.04,-2.17,-0.72,-0.07,6 +7,Exit long,2025-01-20 18:00,Exit,104351.7,0.004899,499.5598482,11.46,2.29,0.2,11.56,2.31,-7.2,-1.44,10.73,1.07,1 +7,Entry long,2025-01-20 17:00,Long 1,101971.8,0.004899,499.5598482,11.46,2.29,0.2,11.56,2.31,-7.2,-1.44,10.73,1.07,1 +8,Exit long,2025-02-03 02:00,Exit,94911.8,0.005427,505.3291353,9.55,1.89,0.2,9.66,1.91,-7.1,-1.41,20.29,2.03,1 +8,Entry long,2025-02-03 01:00,Long 1,93113.9,0.005427,505.3291353,9.55,1.89,0.2,9.66,1.91,-7.1,-1.41,20.29,2.03,1 +9,Exit short,2025-02-04 01:00,Exit,101026.3,0.005134,510.0901102,-8.78,-1.72,0.21,6.85,1.34,-15.88,-3.11,11.5,1.15,10 +9,Entry short,2025-02-03 15:00,Short 1,99355.3,0.005134,510.0901102,-8.78,-1.72,0.21,6.85,1.34,-15.88,-3.11,11.5,1.15,10 +10,Exit long,2025-02-25 12:00,Exit,89186.8,0.005736,505.748856,5.62,1.11,0.2,10.11,2.00,-7.97,-1.57,17.12,1.71,5 +10,Entry long,2025-02-25 07:00,Long 1,88171,0.005736,505.748856,5.62,1.11,0.2,10.11,2.00,-7.97,-1.57,17.12,1.71,5 +11,Exit long,2025-02-26 21:00,Exit,85003.4,0.006092,508.511424,9.12,1.79,0.21,9.37,1.84,-7.72,-1.52,26.25,2.62,3 +11,Entry long,2025-02-26 18:00,Long 1,83472,0.006092,508.511424,9.12,1.79,0.21,9.37,1.84,-7.72,-1.52,26.25,2.62,3 +12,Exit long,2025-02-28 09:00,Exit,79575.4,0.006444,513.1105884,-0.53,-0.10,0.21,12.03,2.34,-9.18,-1.79,25.72,2.57,7 +12,Entry long,2025-02-28 02:00,Long 1,79626.1,0.006444,513.1105884,-0.53,-0.10,0.21,12.03,2.34,-9.18,-1.79,25.72,2.57,7 +13,Exit short,2025-03-03 00:00,Exit,93680.5,0.00567,512.825418,-18.55,-3.62,0.21,0,0.00,-25.76,-5.02,7.06,0.71,8 +13,Entry short,2025-03-02 16:00,Short 1,90445.4,0.00567,512.825418,-18.55,-3.62,0.21,0,0.00,-25.76,-5.02,7.06,0.71,8 +14,Exit short,2025-03-03 00:00,Exit,93680.5,0.005426,510.6989182,2.18,0.43,0.2,9.74,1.91,-4.71,-0.92,9.35,0.93,7 +14,Entry short,2025-03-02 17:00,Short 2,94120.7,0.005426,510.6989182,2.18,0.43,0.2,9.74,1.91,-4.71,-0.92,9.35,0.93,7 +15,Exit long,2025-03-04 00:00,Exit,86370,0.005753,504.6658166,-7.98,-1.58,0.2,0,0.00,-15.42,-3.05,1.37,0.14,6 +15,Entry long,2025-03-03 18:00,Long 1,87722.2,0.005753,504.6658166,-7.98,-1.58,0.2,0,0.00,-15.42,-3.05,1.37,0.14,6 +16,Exit short,2025-03-05 00:00,Exit,87246,0.005712,500.6779344,2.13,0.43,0.2,6.22,1.24,-7.36,-1.47,3.5,0.35,5 +16,Entry short,2025-03-04 19:00,Short 1,87653.7,0.005712,500.6779344,2.13,0.43,0.2,6.22,1.24,-7.36,-1.47,3.5,0.35,5 +17,Exit long,2025-03-07 01:00,Exit,87927,0.005854,501.679019,12.84,2.56,0.2,12.95,2.58,-6.53,-1.30,16.34,1.63,1 +17,Entry long,2025-03-07 00:00,Long 1,85698.5,0.005854,501.679019,12.84,2.56,0.2,12.95,2.58,-6.53,-1.30,16.34,1.63,1 +18,Exit long,2025-03-10 19:00,Exit,79477.8,0.006403,508.1260725,0.57,0.11,0.2,10.9,2.15,-12.55,-2.47,16.91,1.69,5 +18,Entry long,2025-03-10 14:00,Long 1,79357.5,0.006403,508.1260725,0.57,0.11,0.2,10.9,2.15,-12.55,-2.47,16.91,1.69,5 +19,Exit long,2025-04-03 03:00,Exit,83728.3,0.006133,508.401168,4.9,0.96,0.2,5.93,1.17,-4.7,-0.92,21.81,2.18,5 +19,Entry long,2025-04-02 22:00,Long 1,82896,0.006133,508.401168,4.9,0.96,0.2,5.93,1.17,-4.7,-0.92,21.81,2.18,5 +20,Exit long,2025-04-07 08:00,Exit,76473.5,0.006826,510.8974308,10.9,2.13,0.21,11.01,2.15,-2.69,-0.53,32.71,3.27,2 +20,Entry long,2025-04-07 06:00,Long 1,74845.8,0.006826,510.8974308,10.9,2.13,0.21,11.01,2.15,-2.69,-0.53,32.71,3.27,2 +21,Exit short,2025-04-07 15:00,Exit,78473.7,0.006431,516.3044747,11.44,2.21,0.2,11.54,2.23,-5.9,-1.14,44.15,4.41,1 +21,Entry short,2025-04-07 14:00,Short 1,80283.7,0.006431,516.3044747,11.44,2.21,0.2,11.54,2.23,-5.9,-1.14,44.15,4.41,1 +22,Exit short,2025-04-09 23:00,Exit,82612.1,0.006495,522.030429,-14.75,-2.82,0.21,0,0.00,-20.75,-3.97,29.3,2.93,6 +22,Entry short,2025-04-09 17:00,Short 1,80374.2,0.006495,522.030429,-14.75,-2.82,0.21,0,0.00,-20.75,-3.97,29.3,2.93,6 +23,Exit short,2025-04-09 23:00,Exit,82612.1,0.00636,522.056148,-3.57,-0.68,0.21,2.53,0.48,-9.45,-1.81,25.83,2.58,6 +23,Entry short,2025-04-09 17:00,Short 2,82084.3,0.00636,522.056148,-3.57,-0.68,0.21,2.53,0.48,-9.45,-1.81,25.83,2.58,6 +24,Exit short,2025-07-11 00:00,Exit,115277.7,0.004376,512.8724512,8.21,1.60,0.2,8.31,1.62,-1.41,-0.27,34.05,3.40,3 +24,Entry short,2025-07-10 21:00,Short 1,117201.2,0.004376,512.8724512,8.21,1.60,0.2,8.31,1.62,-1.41,-0.27,34.05,3.40,3 +25,Exit long,2025-10-10 22:00,Exit,113259.5,0.004554,516.9104226,-1.33,-0.26,0.21,6.97,1.35,-54.02,-10.45,32.61,3.26,2 +25,Entry long,2025-10-10 20:00,Long 1,113506.9,0.004554,516.9104226,-1.33,-0.26,0.21,6.97,1.35,-54.02,-10.45,32.61,3.26,2 +26,Exit long,2025-10-10 22:00,Exit,113259.5,0.004749,518.4692256,19.19,3.70,0.21,19.3,3.72,-35.75,-6.89,51.9,5.19,1 +26,Entry long,2025-10-10 21:00,Long 2,109174.4,0.004749,518.4692256,19.19,3.70,0.21,19.3,3.72,-35.75,-6.89,51.9,5.19,1 +27,Exit short,2025-10-11 03:00,Exit,112858.2,0.0046,525.84808,6.49,1.23,0.21,15.3,2.91,-2.11,-0.40,58.4,5.84,4 +27,Entry short,2025-10-10 23:00,Short 1,114314.8,0.0046,525.84808,6.49,1.23,0.21,15.3,2.91,-2.11,-0.40,58.4,5.84,4 +28,Exit long,2025-11-20 22:00,Exit,87267.4,0.006046,529.112667,-1.71,-0.32,0.21,3.76,0.71,-8.79,-1.66,56.69,5.67,6 +28,Entry long,2025-11-20 16:00,Long 1,87514.5,0.006046,529.112667,-1.71,-0.32,0.21,3.76,0.71,-8.79,-1.66,56.69,5.67,6 +29,Exit long,2025-11-21 08:00,Exit,83997.6,0.006386,528.3131414,7.88,1.49,0.21,7.99,1.51,-8.95,-1.69,64.57,6.46,1 +29,Entry long,2025-11-21 07:00,Long 1,82729.9,0.006386,528.3131414,7.88,1.49,0.21,7.99,1.51,-8.95,-1.69,64.57,6.46,1 +30,Exit long,2025-12-01 07:00,Exit,86517.7,0.006096,532.2411504,-5.04,-0.95,0.21,2.4,0.45,-10.8,-2.03,59.53,5.95,7 +30,Entry long,2025-12-01 00:00,Long 1,87309.9,0.006096,532.2411504,-5.04,-0.95,0.21,2.4,0.45,-10.8,-2.03,59.53,5.95,7 +31,Exit long,2026-01-31 22:00,Exit,78258.4,0.006765,529.7380605,-0.53,-0.10,0.21,5.27,0.99,-17.94,-3.39,59,5.90,5 +31,Entry long,2026-01-31 17:00,Long 1,78305.7,0.006765,529.7380605,-0.53,-0.10,0.21,5.27,0.99,-17.94,-3.39,59,5.90,5 +32,Exit long,2026-02-03 20:00,Exit,75539.5,0.007197,529.4940855,13.95,2.63,0.21,14.06,2.65,-4.91,-0.93,72.95,7.29,2 +32,Entry long,2026-02-03 18:00,Long 1,73571.5,0.007197,529.4940855,13.95,2.63,0.21,14.06,2.65,-4.91,-0.93,72.95,7.29,2 +33,Exit long,2026-02-05 23:00,Exit,64428.1,0.007936,536.4148736,-25.32,-4.72,0.21,8.31,1.55,-42.57,-7.93,47.52,4.75,8 +33,Entry long,2026-02-05 15:00,Long 1,67592.6,0.007936,536.4148736,-25.32,-4.72,0.21,8.31,1.55,-42.57,-7.93,47.52,4.75,8 +34,Exit long,2026-02-05 23:00,Exit,64428.1,0.008325,527.0532525,9.1,1.73,0.21,12.06,2.29,-8.99,-1.71,56.72,5.67,3 +34,Entry long,2026-02-05 20:00,Long 2,63309.7,0.008325,527.0532525,9.1,1.73,0.21,12.06,2.29,-8.99,-1.71,56.72,5.67,3 +35,Exit long,2026-02-06 01:00,Exit,63468.1,0.008542,528.3303878,13.6,2.57,0.21,13.71,2.59,-16.77,-3.17,70.22,7.02,1 +35,Entry long,2026-02-06 00:00,Long 1,61850.9,0.008542,528.3303878,13.6,2.57,0.21,13.71,2.59,-16.77,-3.17,70.22,7.02,1 +36,Exit long,2026-02-06 01:00,Exit,63468.1,0.008724,528.3463776,25.13,4.76,0.22,25.24,4.78,-5.88,-1.11,95.46,9.55,1 +36,Entry long,2026-02-06 00:00,Long 2,60562.4,0.008724,528.3463776,25.13,4.76,0.22,25.24,4.78,-5.88,-1.11,95.46,9.55,1 +37,Exit short,2026-02-06 06:00,Exit,65127.5,0.008371,549.7645879,4.36,0.79,0.22,16.09,2.93,-9.46,-1.72,99.82,9.98,4 +37,Entry short,2026-02-06 02:00,Short 1,65674.9,0.008371,549.7645879,4.36,0.79,0.22,16.09,2.93,-9.46,-1.72,99.82,9.98,4 +38,Exit short,2026-02-06 21:00,Exit,69911,0.007749,549.8589663,7.9,1.44,0.22,12.8,2.33,-3.92,-0.71,107.72,10.77,4 +38,Entry short,2026-02-06 17:00,Short 1,70958.7,0.007749,549.8589663,7.9,1.44,0.22,12.8,2.33,-3.92,-0.71,107.72,10.77,4 +39,Exit long,2026-02-07 12:00,Exit,68176.5,0.00822,553.853736,6.33,1.14,0.22,11.16,2.01,-0.85,-0.15,114.05,11.41,5 +39,Entry long,2026-02-07 07:00,Long 1,67378.8,0.00822,553.853736,6.33,1.14,0.22,11.16,2.01,-0.85,-0.15,114.05,11.41,5 +40,Exit long,2026-02-23 06:00,Exit,65482.1,0.008633,557.0166994,8.07,1.45,0.22,8.18,1.47,-2.45,-0.44,122.12,12.21,5 +40,Entry long,2026-02-23 01:00,Long 1,64521.8,0.008633,557.0166994,8.07,1.45,0.22,8.18,1.47,-2.45,-0.44,122.12,12.21,5 +41,Exit long,2026-02-28 11:00,Exit,64264,0.008892,561.0069504,10.2,1.82,0.23,10.62,1.89,-1.22,-0.22,132.32,13.23,5 +41,Entry long,2026-02-28 06:00,Long 1,63091.2,0.008892,561.0069504,10.2,1.82,0.23,10.62,1.89,-1.22,-0.22,132.32,13.23,5 +42,Exit short,2026-03-02 21:00,Exit,69061.1,0.008209,566.1057744,-1.04,-0.18,0.23,3.4,0.60,-9.22,-1.63,131.28,13.13,6 +42,Entry short,2026-03-02 15:00,Short 1,68961.6,0.008209,566.1057744,-1.04,-0.18,0.23,3.4,0.60,-9.22,-1.63,131.28,13.13,6 +43,Exit short,2026-03-23 16:00,Exit,70098,0.007966,565.6401688,7.01,1.24,0.22,10.87,1.92,-6.16,-1.09,138.29,13.83,5 +43,Entry short,2026-03-23 11:00,Short 1,71006.8,0.007966,565.6401688,7.01,1.24,0.22,10.87,1.92,-6.16,-1.09,138.29,13.83,5 +44,Exit long,2026-06-04 03:00,Exit,63573.4,0.00927,569.093643,20,3.51,0.23,20.32,3.57,-0.68,-0.12,158.29,15.83,1 +44,Entry long,2026-06-04 02:00,Long 1,61390.9,0.00927,569.093643,20,3.51,0.23,20.32,3.57,-0.68,-0.12,158.29,15.83,1 +45,Exit long,2026-06-25 14:00,Exit,59916.1,0.009815,579.0899075,8.75,1.51,0.23,8.87,1.53,-9.33,-1.61,167.05,16.70,1 +45,Entry long,2026-06-25 13:00,Long 1,59000.5,0.009815,579.0899075,8.75,1.51,0.23,8.87,1.53,-9.33,-1.61,167.05,16.70,1 +46,Exit short,2026-08-20 02:00,Exit,69493.5,0.0086,583.46786,-14.41,-2.47,0.24,0.27,0.05,-19.07,-3.27,152.52,15.25,11 +46,Entry short,2026-08-19 15:00,Short 1,67845.1,0.0086,583.46786,-14.41,-2.47,0.24,0.27,0.05,-19.07,-3.27,152.52,15.25,11 +47,Exit short,2026-08-20 02:00,Exit,69493.5,0.008421,583.4793006,-1.96,-0.34,0.23,12.42,2.13,-6.52,-1.12,150.68,15.07,11 +47,Entry short,2026-08-19 15:00,Short 2,69288.6,0.008421,583.4793006,-1.96,-0.34,0.23,12.42,2.13,-6.52,-1.12,150.68,15.07,11 +48,Exit short,2026-08-21 11:00,Exit,77318.9,0.00731,575.323316,9.89,1.72,0.23,10.86,1.89,-6.49,-1.13,160.57,16.06,3 +48,Entry short,2026-08-21 08:00,Short 1,78703.6,0.00731,575.323316,9.89,1.72,0.23,10.86,1.89,-6.49,-1.13,160.57,16.06,3 \ No newline at end of file diff --git a/tests/test_envelope_book_trading_actions.py b/tests/test_envelope_book_trading_actions.py new file mode 100644 index 0000000..2b63139 --- /dev/null +++ b/tests/test_envelope_book_trading_actions.py @@ -0,0 +1,1557 @@ +import asyncio +from collections.abc import Callable +from datetime import datetime, timedelta +from unittest.mock import Mock + +import pandas as pd +import pytest +from robottraderslab_envelope import EnvelopeStrategy + +from robottraderslab import Symbol +from robottraderslab.exchanges import OrderType +from robottraderslab.strategies import ( + AccountSnapshot, + AccountSnapshots, + Balance, + BookKeeper, + Execution, + OHLCVs, + OrderProtocol, + OrderSide, + PositionSide, + StrategyRequirements, +) +from robottraderslab.strategies.futures import ( + BatchableOrderAction, + CancelOrderByIdAction, + CancelOrdersForSymbolAction, + FuturesMarketOrderAction, + FuturesOrderBatchAction, + FuturesOrderModifyAction, + MarginMode, + MarginSettings, + OrderModification, + PositionSnapshot, + SetLeverageAction, + SetMarginModeAction, + UpdatePositionStopLossAction, + UpdatePositionTakeProfitAction, +) + +BTC = Symbol.create("BTC/USDT:USDT") +ACCOUNT_NAME = "test" +TIMEFRAME = "1d" +TIMESTAMP = datetime(2024, 2, 19) +SETUP_ID = "BTC/USDT:USDT" +_FAKE_PROCESS_TAG = "fakeprocess99-1" + + +def _stand_on_first_candle(ohlcvs: OHLCVs) -> None: + """Set the iteration cursor so `current` and `signal` read the first candle.""" + next(ohlcvs._iter_timeframes()) + + +def _make_ohlcvs( + *, + close: float = 100.0, + reference: float = 100.0, + band_low_1: float = 95.0, + band_high_1: float = 105.0, +) -> OHLCVs: + dates = pd.date_range("2024-02-19", periods=1, freq="1D") + df = pd.DataFrame( + { + "open": [close], + "high": [close + 1], + "low": [close - 1], + "close": [close], + "volume": [1000.0], + }, + index=dates, + ) + ohlcvs = OHLCVs({TIMEFRAME: {BTC: df}}) + ohlcvs.add_column(BTC, TIMEFRAME, f"{SETUP_ID}_reference", [reference]) + ohlcvs.add_column(BTC, TIMEFRAME, f"{SETUP_ID}_band_low_1", [band_low_1]) + ohlcvs.add_column(BTC, TIMEFRAME, f"{SETUP_ID}_band_high_1", [band_high_1]) + + _stand_on_first_candle(ohlcvs) + + return ohlcvs + + +def _account_state( + *, + open_orders: list[OrderProtocol] | None = None, + positions: dict[Symbol, PositionSnapshot] | None = None, + executions: list[Execution] | None = None, + total_balance: float = 10_000.0, +) -> AccountSnapshots: + snapshot = AccountSnapshot( + account_name=ACCOUNT_NAME, + balances={"USDT": Balance(locked=0.0, total=total_balance)}, + open_orders=[] if open_orders is None else open_orders, + positions={} if positions is None else positions, + executions=[] if executions is None else executions, + executions_declared=True, + margin_settings={ + BTC: MarginSettings(leverage=None, margin_mode=MarginMode.CROSS) + }, + conversion_rates={BTC: 1.0}, + ) + return AccountSnapshots({ACCOUNT_NAME: snapshot}) + + +PROFILE = { + "symbol": "BTC/USDT:USDT", + "timeframe": TIMEFRAME, + "average_type": "SMA", + "average_period": 100, + "envelopes": [0.05], + "stop_loss_pct": 0.04, + "total_balance_ratio": 0.5, + "leverage": 5.0, + "margin_mode": "isolated", +} + + +def _directional_profile(**envelope_keys: object) -> dict[str, object]: + return { + key: value for key, value in PROFILE.items() if key != "envelopes" + } | envelope_keys + + +PROFILE_LONG_ONLY = _directional_profile(long_envelopes=[0.05]) +PROFILE_SHORT_ONLY = _directional_profile(short_envelopes=[0.05]) +PROFILE_UNEQUAL_SIDES = _directional_profile( + long_envelopes=[0.05, 0.10, 0.15], short_envelopes=[0.05] +) + + +@pytest.fixture +def strategy(make_strategy) -> EnvelopeStrategy: + strategy = make_strategy([PROFILE]) + asyncio.run(strategy.setup(StrategyRequirements())) + return strategy + + +def _rung_orders(bookkeeper: BookKeeper) -> list[FuturesMarketOrderAction]: + return [ + order + for action in bookkeeper.list_actions() + if isinstance(action, FuturesOrderBatchAction) + for order in action.orders + if isinstance(order, FuturesMarketOrderAction) + ] + + +def _limit_rung_orders(bookkeeper: BookKeeper) -> list[BatchableOrderAction]: + return [ + order + for action in bookkeeper.list_actions() + if isinstance(action, FuturesOrderBatchAction) + for order in action.orders + if order.kind == "limit" + ] + + +def _modifications(bookkeeper: BookKeeper) -> list[OrderModification]: + return [ + modification + for action in bookkeeper.list_actions() + if isinstance(action, FuturesOrderModifyAction) + for modification in action.modifications + ] + + +class TestMarginTargets: + def test_each_symbol_declares_its_profiles_settings(self, make_strategy): + requirements = StrategyRequirements() + + asyncio.run(make_strategy([PROFILE]).setup(requirements)) + + assert requirements.account._get_all()[0].margin_targets == { + BTC: MarginSettings(leverage=5.0, margin_mode=MarginMode.ISOLATED) + } + + def test_a_drifted_symbol_books_no_margin_action(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), _account_state(), TIMESTAMP, bookkeeper, [TIMEFRAME] + ) + + setters = [ + action + for action in bookkeeper.list_actions() + if isinstance(action, (SetLeverageAction, SetMarginModeAction)) + ] + assert setters == [] + + +class TestReconciliation: + def test_flat_book_without_resting_orders(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), _account_state(), TIMESTAMP, bookkeeper, [TIMEFRAME] + ) + + cancels = [ + a + for a in bookkeeper.list_actions() + if isinstance(a, (CancelOrdersForSymbolAction, CancelOrderByIdAction)) + ] + assert cancels == [] + assert _modifications(bookkeeper) == [] + + def test_resting_rungs_are_reshaped_to_the_new_bands(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), + _account_state( + open_orders=[ + _fake_order( + "long-1", "trigger", OrderSide.BUY, trigger_price=96.0, rung=1 + ), + _fake_order( + "short-1", + "trigger", + OrderSide.SELL, + trigger_price=104.0, + rung=1, + ), + ] + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + reshaped = { + modification.order_id: modification.order.trigger_price + for modification in _modifications(bookkeeper) + } + assert reshaped == {"long-1": 95.0, "short-1": 105.0} + assert _rung_orders(bookkeeper) == [] + + def test_extra_resting_rungs_are_cancelled(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), + _account_state( + open_orders=[ + _fake_order( + "long-1", "trigger", OrderSide.BUY, trigger_price=96.0, rung=1 + ), + _fake_order( + "long-2", "trigger", OrderSide.BUY, trigger_price=93.0, rung=2 + ), + _fake_order( + "short-1", + "trigger", + OrderSide.SELL, + trigger_price=104.0, + rung=1, + ), + ] + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + cancelled_ids = { + a.order_id + for a in bookkeeper.list_actions() + if isinstance(a, CancelOrderByIdAction) + } + reshaped_ids = {m.order_id for m in _modifications(bookkeeper)} + assert cancelled_ids == {"long-2"} + assert reshaped_ids == {"long-1", "short-1"} + + def test_second_rung_on_the_same_band_is_cancelled(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), + _account_state( + open_orders=[ + _fake_order( + "long-1a", "trigger", OrderSide.BUY, trigger_price=96.0, rung=1 + ), + _fake_order( + "long-1b", "trigger", OrderSide.BUY, trigger_price=94.0, rung=1 + ), + ] + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + cancelled_ids = { + a.order_id + for a in bookkeeper.list_actions() + if isinstance(a, CancelOrderByIdAction) + } + reshaped_ids = {m.order_id for m in _modifications(bookkeeper)} + assert cancelled_ids == {"long-1b"} + assert reshaped_ids == {"long-1a"} + + def test_surviving_rung_keeps_its_own_band_while_the_others_refill( + self, make_strategy + ): + strategy = make_strategy([PROFILE_THREE_RUNGS]) + asyncio.run(strategy.setup(StrategyRequirements())) + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_three_rung_ohlcvs(), + _account_state( + open_orders=[ + _fake_order( + "rung-3", "trigger", OrderSide.BUY, trigger_price=86.0, rung=3 + ), + ] + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + reshaped = { + modification.order_id: modification.order.trigger_price + for modification in _modifications(bookkeeper) + } + placed_long_triggers = sorted( + order.trigger_price + for order in _rung_orders(bookkeeper) + if order.side == OrderSide.BUY + ) + assert reshaped == {"rung-3": 85.0} + assert placed_long_triggers == [90.0, 95.0] + + def test_resting_rung_of_another_program_is_cancelled(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), + _account_state( + open_orders=[ + _fake_order( + "manual-1", "trigger", OrderSide.BUY, trigger_price=96.0 + ) + ] + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + cancelled_ids = { + a.order_id + for a in bookkeeper.list_actions() + if isinstance(a, CancelOrderByIdAction) + } + assert cancelled_ids == {"manual-1"} + assert _modifications(bookkeeper) == [] + + def test_stray_resting_order_is_cancelled(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), + _account_state( + open_orders=[ + _fake_order("ghost-1", "limit", OrderSide.BUY), + _fake_order("sl-1", "stop-loss", OrderSide.SELL), + _fake_order("tp-1", "take-profit", OrderSide.SELL), + ] + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + cancelled_ids = { + a.order_id + for a in bookkeeper.list_actions() + if isinstance(a, CancelOrderByIdAction) + } + assert cancelled_ids == {"ghost-1"} + + def test_emits_long_and_short_rungs_per_band(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), _account_state(), TIMESTAMP, bookkeeper, [TIMEFRAME] + ) + + orders = _rung_orders(bookkeeper) + assert len(orders) == 2 + sides = {o.side for o in orders} + assert sides == {OrderSide.BUY, OrderSide.SELL} + + +class TestRungShape: + def test_long_rung_trigger_price_at_low_band(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(band_low_1=95.0), + _account_state(), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + long_orders = [o for o in _rung_orders(bookkeeper) if o.side == OrderSide.BUY] + assert len(long_orders) == 1 + assert long_orders[0].trigger_price == 95.0 + + def test_short_rung_trigger_price_at_high_band(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(band_high_1=105.0), + _account_state(), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + short_orders = [o for o in _rung_orders(bookkeeper) if o.side == OrderSide.SELL] + assert len(short_orders) == 1 + assert short_orders[0].trigger_price == 105.0 + + def test_long_rung_stop_loss_below_entry(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(band_low_1=100.0), + _account_state(), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + long_orders = [o for o in _rung_orders(bookkeeper) if o.side == OrderSide.BUY] + assert long_orders[0].stop_loss.trigger_price == pytest.approx( + 100.0 * (1 - 0.04) + ) + + def test_short_rung_stop_loss_above_entry(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(band_high_1=100.0), + _account_state(), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + short_orders = [o for o in _rung_orders(bookkeeper) if o.side == OrderSide.SELL] + assert short_orders[0].stop_loss.trigger_price == pytest.approx( + 100.0 * (1 + 0.04) + ) + + def test_rung_take_profit_at_reference(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(reference=110.0), + _account_state(), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + for order in _rung_orders(bookkeeper): + assert order.take_profit.trigger_price == pytest.approx(110.0) + + +class _LimitRungCase: + @pytest.fixture + def strategy(self, make_strategy) -> EnvelopeStrategy: + strategy = make_strategy([PROFILE], entry_order="limit") + asyncio.run(strategy.setup(StrategyRequirements())) + return strategy + + +class TestLimitRungShape(_LimitRungCase): + def test_rungs_rest_at_their_bands(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(band_low_1=95.0, band_high_1=105.0), + _account_state(), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + prices = {order.side: order.price for order in _limit_rung_orders(bookkeeper)} + assert prices == {OrderSide.BUY: 95.0, OrderSide.SELL: 105.0} + assert _rung_orders(bookkeeper) == [] + + def test_rungs_carry_their_brackets_and_tag(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(band_low_1=100.0, reference=110.0), + _account_state(), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + long_rung = next( + order + for order in _limit_rung_orders(bookkeeper) + if order.side == OrderSide.BUY + ) + assert long_rung.stop_loss.trigger_price == pytest.approx(100.0 * (1 - 0.04)) + assert long_rung.take_profit.trigger_price == pytest.approx(110.0) + assert long_rung.tag == "r1" + + def test_rungs_are_sized_like_trigger_rungs(self, strategy, make_strategy): + trigger_strategy = make_strategy([PROFILE]) + asyncio.run(trigger_strategy.setup(StrategyRequirements())) + limit_bookkeeper = BookKeeper() + trigger_bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), _account_state(), TIMESTAMP, limit_bookkeeper, [TIMEFRAME] + ) + trigger_strategy.book_trading_actions( + _make_ohlcvs(), _account_state(), TIMESTAMP, trigger_bookkeeper, [TIMEFRAME] + ) + + limit_quantities = [ + order.quantity for order in _limit_rung_orders(limit_bookkeeper) + ] + trigger_quantities = [ + order.quantity for order in _rung_orders(trigger_bookkeeper) + ] + assert limit_quantities == trigger_quantities + + def test_trigger_named_outright_keeps_trigger_rungs(self, make_strategy): + strategy = make_strategy([PROFILE], entry_order="trigger") + asyncio.run(strategy.setup(StrategyRequirements())) + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(band_low_1=95.0, band_high_1=105.0), + _account_state(), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + prices = {order.side: order.trigger_price for order in _rung_orders(bookkeeper)} + assert prices == {OrderSide.BUY: 95.0, OrderSide.SELL: 105.0} + assert _limit_rung_orders(bookkeeper) == [] + + +class TestLimitRungUpdates(_LimitRungCase): + def test_resting_rungs_are_reshaped_to_the_new_bands(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), + _account_state( + open_orders=[ + _fake_order("long-1", "limit", OrderSide.BUY, rung=1), + _fake_order("short-1", "limit", OrderSide.SELL, rung=1), + ] + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + reshaped = { + modification.order_id: modification.order.price + for modification in _modifications(bookkeeper) + } + assert reshaped == {"long-1": 95.0, "short-1": 105.0} + assert _limit_rung_orders(bookkeeper) == [] + + def test_untagged_limit_order_is_cancelled_as_a_stray(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), + _account_state( + open_orders=[_fake_order("untagged-1", "limit", OrderSide.BUY)] + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + cancelled_ids = { + action.order_id + for action in bookkeeper.list_actions() + if isinstance(action, CancelOrderByIdAction) + } + assert cancelled_ids == {"untagged-1"} + + def test_cancel_replace_puts_limit_rungs_back(self, make_strategy): + strategy = make_strategy( + [PROFILE], entry_order="limit", update_mode="cancel_replace" + ) + asyncio.run(strategy.setup(StrategyRequirements())) + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), + _account_state( + open_orders=[_fake_order("long-1", "limit", OrderSide.BUY, rung=1)] + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + assert _modifications(bookkeeper) == [] + prices = {order.side: order.price for order in _limit_rung_orders(bookkeeper)} + assert prices == {OrderSide.BUY: 95.0, OrderSide.SELL: 105.0} + + def test_open_position_reshapes_its_unfilled_limit_rungs(self, make_strategy): + strategy = make_strategy([PROFILE_THREE_RUNGS], entry_order="limit") + asyncio.run(strategy.setup(StrategyRequirements())) + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_three_rung_ohlcvs(), + _account_state( + positions={BTC: _open_long_position()}, + open_orders=[ + _fake_order("rung-2", "limit", OrderSide.BUY, rung=2), + _fake_order("rung-3", "limit", OrderSide.BUY, rung=3), + ], + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + reshaped = { + modification.order_id: modification.order.price + for modification in _modifications(bookkeeper) + } + assert reshaped == {"rung-2": 90.0, "rung-3": 85.0} + assert _limit_rung_orders(bookkeeper) == [] + + +class TestDirectionalProfiles: + def test_long_envelopes_alone_emits_only_long_rungs(self, make_strategy): + strategy = make_strategy([PROFILE_LONG_ONLY]) + asyncio.run(strategy.setup(StrategyRequirements())) + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), _account_state(), TIMESTAMP, bookkeeper, [TIMEFRAME] + ) + + orders = _rung_orders(bookkeeper) + assert len(orders) == 1 + assert orders[0].side == OrderSide.BUY + + def test_short_envelopes_alone_emits_only_short_rungs(self, make_strategy): + strategy = make_strategy([PROFILE_SHORT_ONLY]) + asyncio.run(strategy.setup(StrategyRequirements())) + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), _account_state(), TIMESTAMP, bookkeeper, [TIMEFRAME] + ) + + orders = _rung_orders(bookkeeper) + assert len(orders) == 1 + assert orders[0].side == OrderSide.SELL + + def test_unequal_side_counts_emit_their_own_number_of_rungs(self, make_strategy): + strategy = make_strategy([PROFILE_UNEQUAL_SIDES]) + asyncio.run(strategy.setup(StrategyRequirements())) + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_three_rung_ohlcvs(), + _account_state(), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + orders = _rung_orders(bookkeeper) + long_orders = [o for o in orders if o.side == OrderSide.BUY] + short_orders = [o for o in orders if o.side == OrderSide.SELL] + assert len(long_orders) == 3 + assert len(short_orders) == 1 + + def test_unequal_side_counts_size_rungs_from_their_own_side(self, make_strategy): + strategy = make_strategy([PROFILE_UNEQUAL_SIDES]) + asyncio.run(strategy.setup(StrategyRequirements())) + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_three_rung_ohlcvs(), + _account_state(), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + quantity_by_trigger_price = { + order.trigger_price: order.quantity for order in _rung_orders(bookkeeper) + } + balance = 10_000.0 + long_ratio = PROFILE_UNEQUAL_SIDES["total_balance_ratio"] / 3 + short_ratio = PROFILE_UNEQUAL_SIDES["total_balance_ratio"] / 1 + assert quantity_by_trigger_price[95.0] == pytest.approx( + balance * long_ratio / 95.0 + ) + assert quantity_by_trigger_price[90.0] == pytest.approx( + balance * long_ratio / 90.0 + ) + assert quantity_by_trigger_price[85.0] == pytest.approx( + balance * long_ratio / 85.0 + ) + assert quantity_by_trigger_price[105.0] == pytest.approx( + balance * short_ratio / 105.0 + ) + + def test_a_notional_splits_over_the_rungs_of_each_side(self, make_strategy): + profile = {**PROFILE_UNEQUAL_SIDES, "notional": 300.0} + del profile["total_balance_ratio"] + strategy = make_strategy([profile]) + asyncio.run(strategy.setup(StrategyRequirements())) + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_three_rung_ohlcvs(), + _account_state(), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + quantity_by_trigger_price = { + order.trigger_price: order.quantity for order in _rung_orders(bookkeeper) + } + assert quantity_by_trigger_price[90.0] == pytest.approx(300.0 / 3 / 90.0) + assert quantity_by_trigger_price[105.0] == pytest.approx(300.0 / 105.0) + + def test_an_empty_balance_books_rungs_sized_to_nothing(self, make_strategy): + strategy = make_strategy([PROFILE_UNEQUAL_SIDES]) + asyncio.run(strategy.setup(StrategyRequirements())) + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_three_rung_ohlcvs(), + _account_state(total_balance=0.0), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + assert [order.quantity for order in _rung_orders(bookkeeper)] == [0.0] * 4 + + +class TestSkipConditions: + def test_untriggered_timeframe_skips_profile(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), _account_state(), TIMESTAMP, bookkeeper, ["4h"] + ) + + assert _rung_orders(bookkeeper) == [] + + +class TestNanLevels: + def test_nan_reference_cancels_orders_and_emits_no_rungs(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs( + reference=float("nan"), + band_low_1=float("nan"), + band_high_1=float("nan"), + ), + _account_state(), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + cancels = [ + a + for a in bookkeeper.list_actions() + if isinstance(a, CancelOrdersForSymbolAction) + ] + assert len(cancels) == 1 + assert cancels[0].symbol == BTC + assert _rung_orders(bookkeeper) == [] + + def test_nan_long_band_alone_emits_no_rungs(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(band_low_1=float("nan")), + _account_state(), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + assert _rung_orders(bookkeeper) == [] + + def test_nan_short_band_alone_emits_no_rungs(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(band_high_1=float("nan")), + _account_state(), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + assert _rung_orders(bookkeeper) == [] + + +def _fake_order( + order_id: str, + order_type: str, + side: OrderSide, + symbol: Symbol = BTC, + trigger_price: float | None = None, + rung: int | None = None, +) -> Mock: + order = Mock() + order.order_id = order_id + order.kind = order_type + order.symbol = symbol + order.side = side + order.trigger_price = trigger_price + order.client_order_id = None if rung is None else f"{_FAKE_PROCESS_TAG}-r{rung}" + return order + + +def _open_long_position( + quantity: float = 1.0, entry_price: float = 100.0 +) -> PositionSnapshot: + return PositionSnapshot( + symbol=BTC, + side=PositionSide.LONG, + quantity=quantity, + average_entry_price=entry_price, + entry_time=TIMESTAMP, + leverage=5.0, + liquidation_price=entry_price * 0.5, + ) + + +def _open_short_position( + quantity: float = 1.0, entry_price: float = 100.0 +) -> PositionSnapshot: + return PositionSnapshot( + symbol=BTC, + side=PositionSide.SHORT, + quantity=quantity, + average_entry_price=entry_price, + entry_time=TIMESTAMP, + leverage=5.0, + liquidation_price=entry_price * 1.5, + ) + + +PROFILE_THREE_RUNGS = { + **PROFILE, + "envelopes": [0.05, 0.10, 0.15], +} +PROFILE_THREE_SHORT_ONE_LONG = _directional_profile( + long_envelopes=[0.05], short_envelopes=[0.05, 0.10, 0.15] +) + + +def _make_three_rung_ohlcvs( + *, + reference: float = 100.0, + band_lows: tuple[float, float, float] = (95.0, 90.0, 85.0), + band_highs: tuple[float, float, float] = (105.0, 110.0, 115.0), +) -> OHLCVs: + dates = pd.date_range("2024-02-19", periods=1, freq="1D") + df = pd.DataFrame( + { + "open": [reference], + "high": [reference + 1], + "low": [reference - 1], + "close": [reference], + "volume": [1000.0], + }, + index=dates, + ) + ohlcvs = OHLCVs({TIMEFRAME: {BTC: df}}) + ohlcvs.add_column(BTC, TIMEFRAME, f"{SETUP_ID}_reference", [reference]) + for index, (low, high) in enumerate(zip(band_lows, band_highs), start=1): + ohlcvs.add_column(BTC, TIMEFRAME, f"{SETUP_ID}_band_low_{index}", [low]) + ohlcvs.add_column(BTC, TIMEFRAME, f"{SETUP_ID}_band_high_{index}", [high]) + _stand_on_first_candle(ohlcvs) + return ohlcvs + + +class TestOpenPosition: + def test_position_side_rung_is_reshaped(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), + _account_state( + positions={BTC: _open_long_position()}, + open_orders=[ + _fake_order( + "rung-1", "trigger", OrderSide.BUY, trigger_price=96.0, rung=1 + ), + _fake_order("tp-1", "take-profit", OrderSide.SELL), + _fake_order("sl-1", "stop-loss", OrderSide.SELL), + ], + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + cancels = [ + a for a in bookkeeper.list_actions() if isinstance(a, CancelOrderByIdAction) + ] + reshaped = { + modification.order_id: modification.order.trigger_price + for modification in _modifications(bookkeeper) + } + assert cancels == [] + assert reshaped == {"rung-1": 95.0} + + def test_opposite_side_rung_is_cancelled(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), + _account_state( + positions={BTC: _open_long_position()}, + open_orders=[ + _fake_order( + "short-1", + "trigger", + OrderSide.SELL, + trigger_price=104.0, + rung=1, + ), + ], + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + cancelled_ids = { + a.order_id + for a in bookkeeper.list_actions() + if isinstance(a, CancelOrderByIdAction) + } + assert cancelled_ids == {"short-1"} + + def test_emits_update_take_profit_at_reference(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(reference=110.0), + _account_state(positions={BTC: _open_long_position()}), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + tp_updates = [ + a + for a in bookkeeper.list_actions() + if isinstance(a, UpdatePositionTakeProfitAction) + ] + assert len(tp_updates) == 1 + assert tp_updates[0].symbol == BTC + assert tp_updates[0].trigger_price == pytest.approx(110.0) + + def test_emits_update_stop_loss_from_average_entry_for_long(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), + _account_state(positions={BTC: _open_long_position(entry_price=98.0)}), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + sl_updates = [ + a + for a in bookkeeper.list_actions() + if isinstance(a, UpdatePositionStopLossAction) + ] + assert len(sl_updates) == 1 + assert sl_updates[0].trigger_price == pytest.approx(98.0 * (1 - 0.04)) + + def test_emits_update_stop_loss_from_average_entry_for_short(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), + _account_state(positions={BTC: _open_short_position(entry_price=102.0)}), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + sl_updates = [ + a + for a in bookkeeper.list_actions() + if isinstance(a, UpdatePositionStopLossAction) + ] + assert len(sl_updates) == 1 + assert sl_updates[0].trigger_price == pytest.approx(102.0 * (1 + 0.04)) + + def test_long_position_reshapes_only_unfilled_long_rungs(self, make_strategy): + strategy = make_strategy([PROFILE_THREE_RUNGS]) + asyncio.run(strategy.setup(StrategyRequirements())) + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_three_rung_ohlcvs(), + _account_state( + positions={BTC: _open_long_position()}, + open_orders=[ + _fake_order( + "rung-2", "trigger", OrderSide.BUY, trigger_price=91.0, rung=2 + ), + _fake_order( + "rung-3", "trigger", OrderSide.BUY, trigger_price=86.0, rung=3 + ), + ], + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + reshaped = { + modification.order_id: modification.order.trigger_price + for modification in _modifications(bookkeeper) + } + assert reshaped == {"rung-2": 90.0, "rung-3": 85.0} + assert _rung_orders(bookkeeper) == [] + + def test_short_position_reshapes_only_unfilled_short_rungs(self, make_strategy): + strategy = make_strategy([PROFILE_THREE_RUNGS]) + asyncio.run(strategy.setup(StrategyRequirements())) + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_three_rung_ohlcvs(), + _account_state( + positions={BTC: _open_short_position()}, + open_orders=[ + _fake_order( + "rung-2", "trigger", OrderSide.SELL, trigger_price=109.0, rung=2 + ), + _fake_order( + "rung-3", "trigger", OrderSide.SELL, trigger_price=114.0, rung=3 + ), + ], + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + reshaped = { + modification.order_id: modification.order.trigger_price + for modification in _modifications(bookkeeper) + } + assert reshaped == {"rung-2": 110.0, "rung-3": 115.0} + assert _rung_orders(bookkeeper) == [] + + def test_long_position_reshape_uses_the_long_sides_own_count(self, make_strategy): + strategy = make_strategy([PROFILE_UNEQUAL_SIDES]) + asyncio.run(strategy.setup(StrategyRequirements())) + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_three_rung_ohlcvs(), + _account_state( + positions={BTC: _open_long_position()}, + open_orders=[ + _fake_order( + "rung-2", "trigger", OrderSide.BUY, trigger_price=91.0, rung=2 + ), + _fake_order( + "rung-3", "trigger", OrderSide.BUY, trigger_price=86.0, rung=3 + ), + ], + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + reshaped = { + modification.order_id: modification.order.trigger_price + for modification in _modifications(bookkeeper) + } + assert reshaped == {"rung-2": 90.0, "rung-3": 85.0} + assert _rung_orders(bookkeeper) == [] + + def test_short_position_reshape_uses_the_short_sides_own_count(self, make_strategy): + strategy = make_strategy([PROFILE_THREE_SHORT_ONE_LONG]) + asyncio.run(strategy.setup(StrategyRequirements())) + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_three_rung_ohlcvs(), + _account_state( + positions={BTC: _open_short_position()}, + open_orders=[ + _fake_order( + "rung-2", "trigger", OrderSide.SELL, trigger_price=109.0, rung=2 + ), + _fake_order( + "rung-3", "trigger", OrderSide.SELL, trigger_price=114.0, rung=3 + ), + ], + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + reshaped = { + modification.order_id: modification.order.trigger_price + for modification in _modifications(bookkeeper) + } + assert reshaped == {"rung-2": 110.0, "rung-3": 115.0} + assert _rung_orders(bookkeeper) == [] + + def test_nan_levels_cancel_only_rungs_and_skip_updates(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs( + reference=float("nan"), + band_low_1=float("nan"), + band_high_1=float("nan"), + ), + _account_state( + positions={BTC: _open_long_position()}, + open_orders=[ + _fake_order( + "rung-1", "trigger", OrderSide.BUY, trigger_price=96.0, rung=1 + ), + _fake_order("sl-1", "stop-loss", OrderSide.SELL), + ], + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + cancelled_ids = { + a.order_id + for a in bookkeeper.list_actions() + if isinstance(a, CancelOrderByIdAction) + } + updates = [ + a + for a in bookkeeper.list_actions() + if isinstance( + a, (UpdatePositionStopLossAction, UpdatePositionTakeProfitAction) + ) + ] + assert cancelled_ids == {"rung-1"} + assert updates == [] + assert _rung_orders(bookkeeper) == [] + + def test_does_not_emit_cancel_all_for_symbol(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), + _account_state(positions={BTC: _open_long_position()}), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + cancel_all = [ + a + for a in bookkeeper.list_actions() + if isinstance(a, CancelOrdersForSymbolAction) + ] + assert cancel_all == [] + + +class TestCancelReplaceMode: + @pytest.fixture + def strategy(self, make_strategy) -> EnvelopeStrategy: + strategy = make_strategy([PROFILE], update_mode="cancel_replace") + asyncio.run(strategy.setup(StrategyRequirements())) + return strategy + + def test_flat_book_cancels_all_orders_for_the_symbol(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), _account_state(), TIMESTAMP, bookkeeper, [TIMEFRAME] + ) + + cancels = [ + a + for a in bookkeeper.list_actions() + if isinstance(a, CancelOrdersForSymbolAction) + ] + assert len(cancels) == 1 + assert cancels[0].symbol == BTC + + def test_resting_rungs_are_replaced_not_reshaped(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), + _account_state( + open_orders=[ + _fake_order( + "long-1", "trigger", OrderSide.BUY, trigger_price=96.0, rung=1 + ), + ] + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + orders = _rung_orders(bookkeeper) + assert _modifications(bookkeeper) == [] + assert len(orders) == 2 + assert {o.side for o in orders} == {OrderSide.BUY, OrderSide.SELL} + + def test_open_position_cancels_pending_rungs_by_id(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), + _account_state( + positions={BTC: _open_long_position()}, + open_orders=[ + _fake_order("rung-1", "trigger", OrderSide.BUY), + _fake_order("tp-1", "take-profit", OrderSide.SELL), + _fake_order("sl-1", "stop-loss", OrderSide.SELL), + ], + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + cancelled_ids = { + a.order_id + for a in bookkeeper.list_actions() + if isinstance(a, CancelOrderByIdAction) + } + assert cancelled_ids == {"rung-1"} + + def test_long_position_re_emits_only_unfilled_long_rungs(self, make_strategy): + strategy = make_strategy([PROFILE_THREE_RUNGS], update_mode="cancel_replace") + asyncio.run(strategy.setup(StrategyRequirements())) + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_three_rung_ohlcvs(), + _account_state( + positions={BTC: _open_long_position()}, + open_orders=[ + _fake_order("rung-2", "trigger", OrderSide.BUY), + _fake_order("rung-3", "trigger", OrderSide.BUY), + ], + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + entry_orders = [o for o in _rung_orders(bookkeeper) if not o.reduce_only] + assert len(entry_orders) == 2 + assert {o.side for o in entry_orders} == {OrderSide.BUY} + assert {o.trigger_price for o in entry_orders} == {90.0, 85.0} + + def test_open_position_does_not_emit_cancel_all_for_symbol(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(), + _account_state(positions={BTC: _open_long_position()}), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + cancel_all = [ + a + for a in bookkeeper.list_actions() + if isinstance(a, CancelOrdersForSymbolAction) + ] + assert cancel_all == [] + + +def _long_sl_fill(timestamp: datetime) -> Execution: + return Execution( + execution_id="sl-long", + order_id="sl-long", + symbol=BTC, + side=OrderSide.SELL, + price=100.0, + quantity=1.0, + timestamp=timestamp, + kind="stop-loss", + ) + + +def _short_sl_fill(timestamp: datetime) -> Execution: + return Execution( + execution_id="sl-short", + order_id="sl-short", + symbol=BTC, + side=OrderSide.BUY, + price=100.0, + quantity=1.0, + timestamp=timestamp, + kind="stop-loss", + ) + + +class TestReentryGating: + def test_long_locked_suppresses_long_rungs(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(close=95.0, reference=100.0), + _account_state(executions=[_long_sl_fill(TIMESTAMP)]), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + orders = _rung_orders(bookkeeper) + assert len(orders) == 1 + assert orders[0].side == OrderSide.SELL + + def test_short_locked_suppresses_short_rungs(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(close=105.0, reference=100.0), + _account_state(executions=[_short_sl_fill(TIMESTAMP)]), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + orders = _rung_orders(bookkeeper) + assert len(orders) == 1 + assert orders[0].side == OrderSide.BUY + + def test_both_locked_suppresses_all_rungs(self, strategy): + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs(close=100.0, reference=100.0), + _account_state( + executions=[_long_sl_fill(TIMESTAMP), _short_sl_fill(TIMESTAMP)] + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + assert _rung_orders(bookkeeper) == [] + + def test_open_position_with_own_side_locked_skips_re_emission(self, make_strategy): + strategy = make_strategy([PROFILE_THREE_RUNGS]) + asyncio.run(strategy.setup(StrategyRequirements())) + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_three_rung_ohlcvs(reference=100.0), + _account_state( + positions={BTC: _open_long_position()}, + open_orders=[ + _fake_order( + "rung-2", "trigger", OrderSide.BUY, trigger_price=91.0, rung=2 + ), + _fake_order( + "rung-3", "trigger", OrderSide.BUY, trigger_price=86.0, rung=3 + ), + ], + executions=[_long_sl_fill(TIMESTAMP)], + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + entry_orders = [o for o in _rung_orders(bookkeeper) if not o.reduce_only] + assert entry_orders == [] + + def test_open_position_with_own_side_locked_still_updates_sl_tp( + self, make_strategy + ): + strategy = make_strategy([PROFILE_THREE_RUNGS]) + asyncio.run(strategy.setup(StrategyRequirements())) + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_three_rung_ohlcvs(reference=100.0), + _account_state( + positions={BTC: _open_long_position()}, + executions=[_long_sl_fill(TIMESTAMP)], + ), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + sl_updates = [ + a + for a in bookkeeper.list_actions() + if isinstance(a, UpdatePositionStopLossAction) + ] + tp_updates = [ + a + for a in bookkeeper.list_actions() + if isinstance(a, UpdatePositionTakeProfitAction) + ] + assert len(sl_updates) == 1 + assert len(tp_updates) == 1 + + +class TestFillReasons: + @staticmethod + def _declared_describer( + strategy: EnvelopeStrategy, + ) -> Callable[[Execution], str | None]: + requirements = StrategyRequirements() + asyncio.run(strategy.setup(requirements)) + describer = requirements.account._get_all()[0].describe_fills + assert describer is not None + return describer + + def test_names_the_rung_its_tag_claims(self, make_strategy): + strategy = make_strategy([PROFILE_THREE_RUNGS]) + fill = _fired_entry(f"{_FAKE_PROCESS_TAG}-r2") + + reason = self._declared_describer(strategy)(fill) + + assert reason == "entry rung 2 of 3" + + def test_counts_the_fills_own_side_when_sides_are_unequal(self, make_strategy): + strategy = make_strategy([PROFILE_UNEQUAL_SIDES]) + long_fill = _fired_entry(f"{_FAKE_PROCESS_TAG}-r2", side=OrderSide.BUY) + short_fill = _fired_entry(f"{_FAKE_PROCESS_TAG}-r1", side=OrderSide.SELL) + describer = self._declared_describer(strategy) + + assert describer(long_fill) == "entry rung 2 of 3" + assert describer(short_fill) == "entry rung 1 of 1" + + def test_fill_of_another_program(self, strategy): + fill = _fired_entry("t1785908301620") + + reason = self._declared_describer(strategy)(fill) + + assert reason is None + + def test_fill_without_a_client_order_id(self, strategy): + fill = _fired_entry(None) + + reason = self._declared_describer(strategy)(fill) + + assert reason is None + + def test_take_profit_means_the_moving_average_was_reached(self, strategy): + fill = _venue_fired_exit("take-profit") + + reason = self._declared_describer(strategy)(fill) + + assert reason == "moving average reached" + + def test_stop_loss_is_left_to_its_own_name(self, strategy): + fill = _venue_fired_exit("stop-loss") + + reason = self._declared_describer(strategy)(fill) + + assert reason is None + + def test_limit_fill_names_the_rung_its_tag_claims(self, make_strategy): + strategy = make_strategy([PROFILE_THREE_RUNGS], entry_order="limit") + fill = _fired_entry(f"{_FAKE_PROCESS_TAG}-r2", kind="limit") + + reason = self._declared_describer(strategy)(fill) + + assert reason == "entry rung 2 of 3" + + def test_trigger_fill_when_the_rungs_rest_as_limits(self, make_strategy): + strategy = make_strategy([PROFILE_THREE_RUNGS], entry_order="limit") + fill = _fired_entry(f"{_FAKE_PROCESS_TAG}-r2") + + reason = self._declared_describer(strategy)(fill) + + assert reason is None + + def test_limit_fill_when_the_rungs_rest_as_triggers(self, strategy): + fill = _fired_entry(f"{_FAKE_PROCESS_TAG}-r1", kind="limit") + + reason = self._declared_describer(strategy)(fill) + + assert reason is None + + +def _venue_fired_exit(kind: OrderType) -> Execution: + return Execution( + execution_id="fired-2", + order_id="fired-2", + symbol=BTC, + side=OrderSide.SELL, + price=105.0, + quantity=0.5, + timestamp=TIMESTAMP + timedelta(hours=6), + kind=kind, + ) + + +def _fired_entry( + client_order_id: str | None, + side: OrderSide = OrderSide.BUY, + kind: OrderType = "trigger", +) -> Execution: + return Execution( + execution_id="fired-1", + order_id="fired-1", + symbol=BTC, + side=side, + price=95.0, + quantity=0.5, + timestamp=TIMESTAMP + timedelta(hours=5), + kind=kind, + client_order_id=client_order_id, + ) diff --git a/tests/test_envelope_capabilities.py b/tests/test_envelope_capabilities.py new file mode 100644 index 0000000..9ccc5d5 --- /dev/null +++ b/tests/test_envelope_capabilities.py @@ -0,0 +1,44 @@ +import asyncio +import logging + +from robottraderslab.strategies import StrategyRequirements +from robottraderslab.strategies.futures import FuturesCapabilities + +_PROFILE = { + "symbol": "BTC/USDT:USDT", + "timeframe": "1d", + "total_balance_ratio": 1.0, + "average_type": "SMA", + "average_period": 100, + "envelopes": [0.05], + "stop_loss_pct": 0.04, +} +_NOTICE = "reserves margin on pending orders" + + +def test_logs_notice_when_exchange_reserves_margin_on_pending_orders( + make_strategy, mock_exchange, caplog +): + mock_exchange.capabilities = FuturesCapabilities( + reserves_margin_on_pending_orders=True + ) + strategy = make_strategy([_PROFILE]) + + with caplog.at_level(logging.INFO): + asyncio.run(strategy.setup(StrategyRequirements())) + + assert _NOTICE in caplog.text + + +def test_no_notice_when_exchange_does_not_reserve_margin( + make_strategy, mock_exchange, caplog +): + mock_exchange.capabilities = FuturesCapabilities( + reserves_margin_on_pending_orders=False + ) + strategy = make_strategy([_PROFILE]) + + with caplog.at_level(logging.INFO): + asyncio.run(strategy.setup(StrategyRequirements())) + + assert _NOTICE not in caplog.text diff --git a/tests/test_envelope_chart_indicators.py b/tests/test_envelope_chart_indicators.py new file mode 100644 index 0000000..10d4111 --- /dev/null +++ b/tests/test_envelope_chart_indicators.py @@ -0,0 +1,98 @@ +import numpy as np +import pytest +from robottraderslab_envelope.chart_indicators import get_lightweight_chart_indicators + +from robottraderslab.strategies import Candles, ChartLine + +CLOSES = np.array([100.0 + i * 2.0 for i in range(50)]) +CANDLES = Candles( + open=CLOSES, + high=CLOSES + 8.0, + low=CLOSES - 2.0, + close=CLOSES, + volume=np.ones_like(CLOSES), +) +AVERAGE_PERIOD = 5 +PARAMS = { + "average_type": "SMA", + "average_period": AVERAGE_PERIOD, + "envelopes": [0.04, 0.06], +} +SETTLED = slice(AVERAGE_PERIOD, None) + + +def _named(lines: list[ChartLine]) -> dict[str, ChartLine]: + return {line.name: line for line in lines} + + +class TestGetLightweightChartIndicators: + @pytest.fixture + def lines(self) -> dict[str, ChartLine]: + return _named(get_lightweight_chart_indicators(CANDLES, PARAMS)) + + def test_names_the_reference_after_its_average(self, lines): + assert "Reference SMA 5" in lines + + def test_draws_a_low_and_a_high_line_per_offset(self, lines): + assert set(lines) == { + "Reference SMA 5", + "Band 1 low", + "Band 1 high", + "Band 2 low", + "Band 2 high", + } + + def test_a_band_brackets_the_reference(self, lines): + reference = lines["Reference SMA 5"].values[SETTLED] + + assert (lines["Band 1 low"].values[SETTLED] < reference).all() + assert (lines["Band 1 high"].values[SETTLED] > reference).all() + + def test_the_wider_offset_sits_further_out(self, lines): + wider = lines["Band 2 low"].values[SETTLED] + + assert (wider < lines["Band 1 low"].values[SETTLED]).all() + + def test_a_donchian_reference_reads_the_highs_and_lows(self, lines): + donchian = _named( + get_lightweight_chart_indicators(CANDLES, {**PARAMS, "average_type": "DCM"}) + ) + + assert not np.allclose( + lines["Reference SMA 5"].values, + donchian["Reference DCM 5"].values, + equal_nan=True, + ) + + def test_a_line_carries_one_value_per_candle(self, lines): + assert all(len(line.values) == len(CLOSES) for line in lines.values()) + + +class TestDirectionalForms: + def test_long_envelopes_alone_draws_only_low_bands(self): + lines = _named( + get_lightweight_chart_indicators( + CANDLES, + { + "average_type": "SMA", + "average_period": AVERAGE_PERIOD, + "long_envelopes": [0.04, 0.06], + }, + ) + ) + + assert set(lines) == {"Reference SMA 5", "Band 1 low", "Band 2 low"} + + def test_short_envelopes_alone_draws_only_high_bands(self): + lines = _named( + get_lightweight_chart_indicators( + CANDLES, + { + "average_type": "SMA", + "average_period": AVERAGE_PERIOD, + "short_envelopes": [0.04], + }, + ) + ) + + assert set(lines) == {"Reference SMA 5", "Band 1 high"} diff --git a/tests/test_envelope_entry_order.py b/tests/test_envelope_entry_order.py new file mode 100644 index 0000000..e0c468a --- /dev/null +++ b/tests/test_envelope_entry_order.py @@ -0,0 +1,43 @@ +from unittest.mock import Mock + +import pytest +from robottraderslab_envelope.entry_order import LimitEntryOrder, TriggerEntryOrder + +from robottraderslab.strategies.futures import FuturesOrderBuilder + + +@pytest.fixture +def entry() -> Mock: + return Mock(spec=FuturesOrderBuilder) + + +class TestRestAtBand: + def test_limit_rests_at_the_band_price(self, entry): + resting = LimitEntryOrder().rest_at_band(entry, 95.0) + + entry.limit.assert_called_once_with(price=95.0) + entry.trigger.assert_not_called() + assert resting is entry.limit.return_value + + def test_trigger_rests_at_the_band_price(self, entry): + resting = TriggerEntryOrder().rest_at_band(entry, 95.0) + + entry.trigger.assert_called_once_with(price=95.0) + entry.limit.assert_not_called() + assert resting is entry.trigger.return_value + + +class TestMatches: + @pytest.mark.parametrize( + ("kind", "order_kind", "expected"), + [ + (LimitEntryOrder(), "limit", True), + (LimitEntryOrder(), "trigger", False), + (TriggerEntryOrder(), "trigger", True), + (TriggerEntryOrder(), "limit", False), + (LimitEntryOrder(), None, False), + (TriggerEntryOrder(), None, False), + ], + ) + def test_matches_the_configured_kind_alone(self, kind, order_kind, expected): + assert kind.matches(order_kind) is expected diff --git a/tests/test_envelope_examples.py b/tests/test_envelope_examples.py new file mode 100644 index 0000000..fa972a8 --- /dev/null +++ b/tests/test_envelope_examples.py @@ -0,0 +1,14 @@ +from importlib.resources import as_file, files + +from robottraderslab import BotConfig + + +def test_backtest_example_config_loads(): + config_path = ( + files("robottraderslab_envelope") / "examples" / "envelope-bot-example.toml" + ) + + with as_file(config_path) as path: + bot_config = BotConfig.from_file(str(path)) + + assert bot_config.strategy.strategy_class == "envelope" diff --git a/tests/test_envelope_generate_trading_signals.py b/tests/test_envelope_generate_trading_signals.py new file mode 100644 index 0000000..7e38ffa --- /dev/null +++ b/tests/test_envelope_generate_trading_signals.py @@ -0,0 +1,175 @@ +from collections.abc import Callable + +import pandas as pd +import pytest +from robottraderslab_envelope import EnvelopeStrategy + +from robottraderslab import Symbol +from robottraderslab.exceptions import MissingOhlcvDataError +from robottraderslab.strategies import OHLCVs, TradingMode + +BTC = Symbol.create("BTC/USDT:USDT") +TIMEFRAME = "1d" +SETUP_ID = "BTC/USDT:USDT" + + +def _build_ohlcvs( + *, + close: list[float], + high: list[float] | None = None, + low: list[float] | None = None, +) -> OHLCVs: + length = len(close) + high = high if high is not None else [c + 1 for c in close] + low = low if low is not None else [c - 1 for c in close] + dates = pd.date_range("2024-01-01", periods=length, freq="1D") + df = pd.DataFrame( + { + "open": close, + "high": high, + "low": low, + "close": close, + "volume": [1000.0] * length, + }, + index=dates, + ) + return OHLCVs({TIMEFRAME: {BTC: df}}) + + +def _profile( + *, + average_type: str = "SMA", + average_period: int = 3, + envelopes: list[float] | None = None, +) -> dict: + return { + "symbol": "BTC/USDT:USDT", + "timeframe": TIMEFRAME, + "total_balance_ratio": 1.0, + "average_type": average_type, + "average_period": average_period, + "envelopes": envelopes if envelopes is not None else [0.05, 0.10], + "stop_loss_pct": 0.04, + } + + +def _collect_values(ohlcvs: OHLCVs, column: str) -> list[float]: + values: list[float] = [] + for _ in ohlcvs._iter_timeframes(): + values.append(ohlcvs.current(BTC, TIMEFRAME, column)) + return values + + +@pytest.fixture +def strategy_factory( + make_strategy: Callable[..., EnvelopeStrategy], +) -> Callable[[dict], EnvelopeStrategy]: + def _make(profile_dict: dict) -> EnvelopeStrategy: + return make_strategy([profile_dict]) + + return _make + + +def _ohlcvs_without_the_profile_pair() -> OHLCVs: + eth = Symbol.create("ETH/USDT:USDT") + dates = pd.date_range("2024-01-01", periods=5, freq="1D") + frame = pd.DataFrame( + { + "open": [1.0] * 5, + "high": [2.0] * 5, + "low": [0.5] * 5, + "close": [1.0] * 5, + "volume": [1000.0] * 5, + }, + index=dates, + ) + return OHLCVs({TIMEFRAME: {eth: frame}}) + + +class TestGenerateTradingSignals: + def test_a_missing_pair_propagates_in_backtest(self, strategy_factory): + strategy = strategy_factory(_profile()) + ohlcvs = _ohlcvs_without_the_profile_pair() + + with pytest.raises(MissingOhlcvDataError): + strategy.generate_trading_signals(ohlcvs) + + def test_a_missing_pair_skips_the_profile_in_live(self, make_strategy, caplog): + strategy = make_strategy([_profile()], trading_mode=TradingMode.LIVE) + ohlcvs = _ohlcvs_without_the_profile_pair() + + strategy.generate_trading_signals(ohlcvs) + + assert "sat out this candle" in caplog.text + + def test_adds_reference_and_band_columns_per_envelope(self, strategy_factory): + strategy = strategy_factory( + _profile(envelopes=[0.05, 0.10], average_period=3, average_type="SMA") + ) + ohlcvs = _build_ohlcvs(close=[100.0, 102.0, 104.0, 106.0]) + + strategy.generate_trading_signals(ohlcvs) + + for column in ( + f"{SETUP_ID}_reference", + f"{SETUP_ID}_band_low_1", + f"{SETUP_ID}_band_high_1", + f"{SETUP_ID}_band_low_2", + f"{SETUP_ID}_band_high_2", + ): + assert len(_collect_values(ohlcvs, column)) == 4 + + def test_sma_reference_matches_rolling_mean(self, strategy_factory): + strategy = strategy_factory(_profile(average_type="SMA", average_period=3)) + ohlcvs = _build_ohlcvs(close=[100.0, 102.0, 104.0, 106.0]) + + strategy.generate_trading_signals(ohlcvs) + + references = _collect_values(ohlcvs, f"{SETUP_ID}_reference") + assert references[2] == pytest.approx(102.0) + assert references[3] == pytest.approx(104.0) + + def test_ema_reference_uses_exponential_average(self, strategy_factory): + strategy = strategy_factory(_profile(average_type="EMA", average_period=3)) + ohlcvs = _build_ohlcvs(close=[100.0, 100.0, 100.0, 100.0]) + + strategy.generate_trading_signals(ohlcvs) + + references = _collect_values(ohlcvs, f"{SETUP_ID}_reference") + assert references[3] == pytest.approx(100.0) + + def test_wma_reference_uses_weighted_average(self, strategy_factory): + strategy = strategy_factory(_profile(average_type="WMA", average_period=3)) + ohlcvs = _build_ohlcvs(close=[100.0, 102.0, 104.0]) + + strategy.generate_trading_signals(ohlcvs) + + references = _collect_values(ohlcvs, f"{SETUP_ID}_reference") + expected = (100.0 * 1 + 102.0 * 2 + 104.0 * 3) / 6 + assert references[2] == pytest.approx(expected) + + def test_dcm_reference_uses_high_and_low(self, strategy_factory): + strategy = strategy_factory(_profile(average_type="DCM", average_period=3)) + ohlcvs = _build_ohlcvs( + close=[100.0, 100.0, 100.0], + high=[105.0, 110.0, 108.0], + low=[95.0, 90.0, 92.0], + ) + + strategy.generate_trading_signals(ohlcvs) + + references = _collect_values(ohlcvs, f"{SETUP_ID}_reference") + expected = (max(105.0, 110.0, 108.0) + min(95.0, 90.0, 92.0)) / 2 + assert references[2] == pytest.approx(expected) + + def test_bands_fall_the_offset_from_the_reference(self, strategy_factory): + strategy = strategy_factory(_profile(envelopes=[0.10], average_period=1)) + ohlcvs = _build_ohlcvs(close=[100.0]) + + strategy.generate_trading_signals(ohlcvs) + + references = _collect_values(ohlcvs, f"{SETUP_ID}_reference") + band_lows = _collect_values(ohlcvs, f"{SETUP_ID}_band_low_1") + band_highs = _collect_values(ohlcvs, f"{SETUP_ID}_band_high_1") + assert band_lows[0] == pytest.approx(references[0] * 0.90) + assert band_highs[0] == pytest.approx(references[0] / 0.90) diff --git a/tests/test_envelope_indicator.py b/tests/test_envelope_indicator.py new file mode 100644 index 0000000..49f83d4 --- /dev/null +++ b/tests/test_envelope_indicator.py @@ -0,0 +1,56 @@ +import pandas as pd +import pytest +from robottraderslab_envelope.envelope_indicator import compute_envelope +from robottraderslab_envelope.profile_config import AverageType + +from robottraderslab.indicators import MAType +from robottraderslab.strategies import PositionSide + +LONG = PositionSide.LONG +SHORT = PositionSide.SHORT + + +class TestComputeEnvelope: + def test_returns_one_band_per_offset_in_configured_order(self): + reference = pd.Series([100.0, 101.0, 102.0]) + + levels = compute_envelope(reference, {LONG: [0.05, 0.10], SHORT: [0.05]}) + + assert len(levels.bands[LONG]) == 2 + assert levels.bands[LONG][0].iloc[0] == pytest.approx(100.0 * 0.95) + assert levels.bands[LONG][1].iloc[0] == pytest.approx(100.0 * 0.90) + assert len(levels.bands[SHORT]) == 1 + + def test_a_fall_of_the_offset_lands_on_the_reference_from_either_band(self): + reference = pd.Series([100.0]) + + levels = compute_envelope(reference, {LONG: [0.10], SHORT: [0.10]}) + + band_low = levels.bands[LONG][0].iloc[0] + band_high = levels.bands[SHORT][0].iloc[0] + assert band_low == pytest.approx(90.0) + assert band_high == pytest.approx(111.111111) + assert band_high * (1 - 0.10) == pytest.approx(reference.iloc[0]) + + def test_preserves_reference_series(self): + reference = pd.Series([100.0, 105.0, 110.0]) + + levels = compute_envelope(reference, {LONG: [0.05], SHORT: [0.05]}) + + pd.testing.assert_series_equal(levels.reference, reference, check_names=False) + + def test_preserves_index(self): + index = pd.date_range("2024-01-01", periods=3, freq="h") + reference = pd.Series([100.0, 101.0, 102.0], index=index) + + levels = compute_envelope(reference, {LONG: [0.05], SHORT: [0.05]}) + + assert (levels.bands[LONG][0].index == index).all() + assert (levels.bands[SHORT][0].index == index).all() + + +# compute_reference casts an AverageType back into an MAType by value, so a +# moving average the framework gains must be offered by the profile too. +@pytest.mark.parametrize("moving_average_type", list(MAType)) +def test_every_moving_average_type_is_an_average_type(moving_average_type): + assert moving_average_type.value in {average.value for average in AverageType} diff --git a/tests/test_envelope_profile_config.py b/tests/test_envelope_profile_config.py new file mode 100644 index 0000000..daa23a9 --- /dev/null +++ b/tests/test_envelope_profile_config.py @@ -0,0 +1,187 @@ +import re + +import pytest +from robottraderslab_envelope.profile_config import AverageType, ProfileConfig + +from robottraderslab.exceptions import StrategyCriticalError +from robottraderslab.strategies import PositionSide +from robottraderslab.strategies.futures import ( + MarginMode, + TotalBalanceRatio, +) + +SYMBOL = "BTC/USDT:USDT" +LONG = PositionSide.LONG +SHORT = PositionSide.SHORT + + +def _kwargs(**overrides: object) -> dict[str, object]: + defaults: dict[str, object] = { + "symbol": SYMBOL, + "timeframe": "1h", + "sizing": TotalBalanceRatio(1.0), + "average_type": AverageType.SMA, + "average_period": 100, + "stop_loss_pct": 0.15, + } + defaults.update(overrides) + return defaults + + +def _section(**overrides: object) -> dict[str, object]: + section: dict[str, object] = { + "symbol": SYMBOL, + "timeframe": "1h", + "total_balance_ratio": 1.0, + "average_type": "SMA", + "average_period": 100, + "envelopes": [0.05], + "stop_loss_pct": 0.15, + } + section.update(overrides) + return section + + +class TestConstruction: + def test_derives_profile_id_from_symbol(self): + profile = ProfileConfig(**_kwargs(envelopes=[0.07, 0.11, 0.14])) + + assert str(profile.profile_id) == "BTC/USDT:USDT" + + def test_defaults_applied(self): + profile = ProfileConfig(**_kwargs(envelopes=[0.07, 0.11, 0.14])) + + assert profile.leverage == 1.0 + assert profile.margin_mode is MarginMode.ISOLATED + + +class TestBuiltFromASection: + def test_the_strings_a_section_spells(self, make_strategy): + strategy = make_strategy([_section(margin_mode="cross", average_type="DCM")]) + + (profile,) = strategy.profiles + assert profile.margin_mode is MarginMode.CROSS + assert profile.average_type is AverageType.DCM + + def test_unknown_margin_mode_rejected(self, make_strategy): + with pytest.raises(StrategyCriticalError, match="margin_mode: Input should be"): + make_strategy([_section(margin_mode="nonsense")]) + + def test_unknown_average_type_rejected(self, make_strategy): + with pytest.raises( + StrategyCriticalError, match="average_type: Input should be" + ): + make_strategy([_section(average_type="DCA")]) + + +class TestLevelColumns: + def test_reference_column_named_after_profile(self): + profile = ProfileConfig(**_kwargs(envelopes=[0.07, 0.11, 0.14])) + + assert profile.reference_column == "BTC/USDT:USDT_reference" + + def test_band_columns_named_low_and_high_per_index(self): + profile = ProfileConfig(**_kwargs(envelopes=[0.05, 0.10])) + + assert profile.band_columns == { + LONG: ("BTC/USDT:USDT_band_low_1", "BTC/USDT:USDT_band_low_2"), + SHORT: ("BTC/USDT:USDT_band_high_1", "BTC/USDT:USDT_band_high_2"), + } + + def test_band_columns_reflect_each_sides_own_count(self): + profile = ProfileConfig( + **_kwargs(long_envelopes=[0.05, 0.10, 0.15], short_envelopes=[0.05]), + ) + + assert len(profile.band_columns[LONG]) == 3 + assert len(profile.band_columns[SHORT]) == 1 + + +class TestEnvelopesValidation: + def test_one_side_empty_is_allowed(self): + profile = ProfileConfig(**_kwargs(long_envelopes=[0.05])) + + assert profile.offsets_by_side == {LONG: [0.05], SHORT: []} + + @pytest.mark.parametrize( + "offsets", [[0.0, 0.1], [-0.05, 0.1], [0.1, 1.0], [0.1, 1.2]] + ) + def test_offset_outside_the_unit_interval_rejected(self, offsets): + with pytest.raises(StrategyCriticalError, match="must be in"): + ProfileConfig(**_kwargs(long_envelopes=offsets, short_envelopes=[0.1])) + + +class TestLeverageValidation: + @pytest.mark.parametrize("leverage", [0.0, -1.0]) + def test_not_above_zero_rejected(self, leverage): + with pytest.raises( + StrategyCriticalError, match=rf"leverage.*{re.escape(SYMBOL)}" + ): + ProfileConfig(**_kwargs(envelopes=[0.05], leverage=leverage)) + + +class TestStopLossPctValidation: + @pytest.mark.parametrize("stop_loss_pct", [0.0, -0.1, 1.0, 1.5]) + def test_outside_the_unit_interval_rejected(self, stop_loss_pct): + with pytest.raises( + StrategyCriticalError, match=rf"stop_loss_pct.*{re.escape(SYMBOL)}" + ): + ProfileConfig(**_kwargs(envelopes=[0.05], stop_loss_pct=stop_loss_pct)) + + +class TestEnvelopeForms: + def test_envelopes_applies_to_both_sides(self): + profile = ProfileConfig(**_kwargs(envelopes=[0.05, 0.10])) + + assert profile.offsets_by_side == {LONG: [0.05, 0.10], SHORT: [0.05, 0.10]} + + def test_long_envelopes_alone_leaves_short_side_empty(self): + profile = ProfileConfig(**_kwargs(long_envelopes=[0.05, 0.10])) + + assert profile.offsets_by_side == {LONG: [0.05, 0.10], SHORT: []} + + def test_short_envelopes_alone_leaves_long_side_empty(self): + profile = ProfileConfig(**_kwargs(short_envelopes=[0.05, 0.10])) + + assert profile.offsets_by_side == {LONG: [], SHORT: [0.05, 0.10]} + + def test_both_directional_lists_declared_together(self): + profile = ProfileConfig( + **_kwargs(long_envelopes=[0.05, 0.10, 0.15], short_envelopes=[0.08]), + ) + + assert profile.offsets_by_side == {LONG: [0.05, 0.10, 0.15], SHORT: [0.08]} + + @pytest.mark.parametrize( + "directional", [{"long_envelopes": [0.05]}, {"short_envelopes": [0.05]}] + ) + def test_envelopes_with_a_directional_list_rejected(self, directional): + with pytest.raises(StrategyCriticalError, match="cannot be combined"): + ProfileConfig(**_kwargs(envelopes=[0.05], **directional)) + + def test_no_form_declared_rejected(self): + with pytest.raises(StrategyCriticalError, match="must declare"): + ProfileConfig(**_kwargs()) + + @pytest.mark.parametrize("key", ["envelopes", "long_envelopes", "short_envelopes"]) + def test_a_written_key_with_an_empty_list_rejected(self, key): + with pytest.raises(StrategyCriticalError, match=f"{key} must be a non-empty"): + ProfileConfig(**_kwargs(**{key: []})) + + def test_offset_out_of_range_rejected(self): + with pytest.raises(StrategyCriticalError, match="must be in"): + ProfileConfig(**_kwargs(long_envelopes=[1.2])) + + +class TestRungCounts: + def test_each_traded_side_counts_its_own_rungs(self): + profile = ProfileConfig( + **_kwargs(long_envelopes=[0.05, 0.10, 0.15], short_envelopes=[0.05]) + ) + + assert profile.rung_counts == {LONG: 3, SHORT: 1} + + def test_a_side_without_offsets_counts_none(self): + profile = ProfileConfig(**_kwargs(long_envelopes=[0.05, 0.10])) + + assert profile.rung_counts == {LONG: 2} diff --git a/tests/test_envelope_profile_isolation.py b/tests/test_envelope_profile_isolation.py new file mode 100644 index 0000000..d5cc1e6 --- /dev/null +++ b/tests/test_envelope_profile_isolation.py @@ -0,0 +1,142 @@ +import asyncio +from datetime import datetime + +import pandas as pd +from robottraderslab_envelope import EnvelopeStrategy + +from robottraderslab import Symbol +from robottraderslab.strategies import ( + AccountSnapshot, + AccountSnapshots, + Balance, + BookKeeper, + OHLCVs, + StrategyRequirements, + TradingMode, +) +from robottraderslab.strategies.futures import ( + FuturesMarketOrderAction, + FuturesOrderBatchAction, + MarginMode, + MarginSettings, +) + +BTC = Symbol.create("BTC/USDT:USDT") +ETH = Symbol.create("ETH/USDT:USDT") +ACCOUNT_NAME = "test" +TIMEFRAME = "1d" +TIMESTAMP = datetime(2024, 2, 19) + +BTC_PROFILE = { + "symbol": "BTC/USDT:USDT", + "timeframe": TIMEFRAME, + "average_type": "SMA", + "average_period": 100, + "envelopes": [0.05], + "stop_loss_pct": 0.04, + "total_balance_ratio": 0.25, + "leverage": 5.0, + "margin_mode": "isolated", +} +ETH_PROFILE = {**BTC_PROFILE, "symbol": "ETH/USDT:USDT"} + + +def _stand_on_first_candle(ohlcvs: OHLCVs) -> None: + """Set the iteration cursor so `current` and `signal` read the first candle.""" + next(ohlcvs._iter_timeframes()) + + +def _make_ohlcvs(symbols_with_columns: list[Symbol]) -> OHLCVs: + dates = pd.date_range("2024-02-19", periods=1, freq="1D") + frames = { + symbol: pd.DataFrame( + { + "open": [100.0], + "high": [101.0], + "low": [99.0], + "close": [100.0], + "volume": [1000.0], + }, + index=dates, + ) + for symbol in (BTC, ETH) + } + ohlcvs = OHLCVs({TIMEFRAME: frames}) + + for symbol in symbols_with_columns: + profile_id = str(symbol) + ohlcvs.add_column(symbol, TIMEFRAME, f"{profile_id}_reference", [100.0]) + ohlcvs.add_column(symbol, TIMEFRAME, f"{profile_id}_band_low_1", [95.0]) + ohlcvs.add_column(symbol, TIMEFRAME, f"{profile_id}_band_high_1", [105.0]) + + _stand_on_first_candle(ohlcvs) + + return ohlcvs + + +def _account_state(*symbols: Symbol) -> AccountSnapshot: + snapshot = AccountSnapshot( + account_name=ACCOUNT_NAME, + balances={"USDT": Balance(locked=0.0, total=10_000.0)}, + open_orders=[], + positions={}, + executions=[], + executions_declared=True, + margin_settings={ + symbol: MarginSettings(leverage=None, margin_mode=MarginMode.CROSS) + for symbol in symbols + }, + conversion_rates={symbol: 1.0 for symbol in symbols}, + ) + return AccountSnapshots({ACCOUNT_NAME: snapshot}) + + +def _rung_orders_for(bookkeeper: BookKeeper, symbol: Symbol) -> list: + return [ + order + for action in bookkeeper.list_actions() + if isinstance(action, FuturesOrderBatchAction) + for order in action.orders + if isinstance(order, FuturesMarketOrderAction) and order.symbol == symbol + ] + + +def _load(strategy: EnvelopeStrategy) -> EnvelopeStrategy: + asyncio.run(strategy.setup(StrategyRequirements())) + return strategy + + +class TestLiveModeIsolation: + def test_profile_with_internal_error(self, make_strategy): + strategy = _load( + make_strategy([BTC_PROFILE, ETH_PROFILE], trading_mode=TradingMode.LIVE) + ) + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs([ETH]), + _account_state(BTC, ETH), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + assert not _rung_orders_for(bookkeeper, BTC) + assert _rung_orders_for(bookkeeper, ETH) + + +class TestSharedExchangeState: + def test_single_snapshot_serves_all_profiles(self, make_strategy): + strategy = _load(make_strategy([BTC_PROFILE, ETH_PROFILE])) + bookkeeper = BookKeeper() + + strategy.book_trading_actions( + _make_ohlcvs([BTC, ETH]), + _account_state(BTC, ETH), + TIMESTAMP, + bookkeeper, + [TIMEFRAME], + ) + + assert _rung_orders_for(bookkeeper, BTC) + assert _rung_orders_for(bookkeeper, ETH) diff --git a/tests/test_envelope_profile_snapshot.py b/tests/test_envelope_profile_snapshot.py new file mode 100644 index 0000000..dcb2401 --- /dev/null +++ b/tests/test_envelope_profile_snapshot.py @@ -0,0 +1,150 @@ +from unittest.mock import Mock + +import pandas as pd +import pytest +from robottraderslab_envelope.entry_order import ( + EntryOrder, + LimitEntryOrder, + TriggerEntryOrder, +) +from robottraderslab_envelope.profile_config import AverageType, ProfileConfig +from robottraderslab_envelope.profile_snapshot import ProfileSnapshot + +from robottraderslab import Symbol +from robottraderslab.strategies import ( + AccountSnapshot, + Balance, + OHLCVs, + OrderProtocol, + OrderSide, + PositionSide, +) +from robottraderslab.strategies.futures import ( + MarginMode, + MarginSettings, + TotalBalanceRatio, +) + +BTC = Symbol.create("BTC/USDT:USDT") +TIMEFRAME = "1h" + + +def _stand_on_first_candle(ohlcvs: OHLCVs) -> None: + """Set the iteration cursor so `current` and `signal` read the first candle.""" + next(ohlcvs._iter_timeframes()) + + +def _order(order_id: str, order_type: str, trigger_price: float | None = None) -> Mock: + order = Mock(spec=OrderProtocol) + order.order_id = order_id + order.symbol = BTC + order.kind = order_type + order.side = OrderSide.BUY + order.trigger_price = trigger_price + order.client_order_id = None + return order + + +def _build( + orders: list[Mock], + profile: ProfileConfig, + ohlcvs: OHLCVs, + entry_order: EntryOrder = TriggerEntryOrder(), +) -> ProfileSnapshot: + account_snapshot = AccountSnapshot( + account_name="test", + balances={"USDT": Balance(locked=0.0, total=10_000.0)}, + open_orders=orders, + positions={}, + margin_settings={ + BTC: MarginSettings(leverage=None, margin_mode=MarginMode.CROSS) + }, + conversion_rates={BTC: 1.0}, + ) + return ProfileSnapshot.build(profile, ohlcvs, account_snapshot, entry_order) + + +@pytest.fixture +def profile() -> ProfileConfig: + return ProfileConfig( + sizing=TotalBalanceRatio(1.0), + symbol=str(BTC), + timeframe=TIMEFRAME, + average_type=AverageType.SMA, + average_period=100, + envelopes=[0.05], + stop_loss_pct=0.04, + ) + + +@pytest.fixture +def ohlcvs(profile: ProfileConfig) -> OHLCVs: + frame = pd.DataFrame( + {"close": [100.0]}, index=pd.date_range("2024-01-01", periods=1, freq="h") + ) + ohlcvs = OHLCVs({TIMEFRAME: {BTC: frame}}) + ohlcvs.add_column(BTC, TIMEFRAME, profile.reference_column, [100.0]) + ohlcvs.add_column( + BTC, TIMEFRAME, profile.band_columns[PositionSide.LONG][0], [95.0] + ) + ohlcvs.add_column( + BTC, TIMEFRAME, profile.band_columns[PositionSide.SHORT][0], [105.0] + ) + _stand_on_first_candle(ohlcvs) + return ohlcvs + + +class TestOrderSorting: + def test_trigger_order_is_a_rung(self, profile, ohlcvs): + snapshot = _build([_order("1", "trigger", 95.0)], profile, ohlcvs) + + assert [rung.order_id for rung in snapshot.pending_rungs] == ["1"] + assert snapshot.stray_order_ids == [] + + def test_trigger_order_without_a_trigger_price_is_still_a_rung( + self, profile, ohlcvs + ): + snapshot = _build([_order("1", "trigger")], profile, ohlcvs) + + assert [rung.order_id for rung in snapshot.pending_rungs] == ["1"] + assert snapshot.stray_order_ids == [] + + def test_protection_orders_are_neither_rung_nor_stray(self, profile, ohlcvs): + orders = [_order("1", "stop-loss"), _order("2", "take-profit")] + + snapshot = _build(orders, profile, ohlcvs) + + assert snapshot.pending_rungs == [] + assert snapshot.stray_order_ids == [] + + def test_other_order_types_are_strays(self, profile, ohlcvs): + snapshot = _build([_order("1", "limit")], profile, ohlcvs) + + assert snapshot.pending_rungs == [] + assert snapshot.stray_order_ids == ["1"] + + def test_limit_order_is_a_rung_when_rungs_rest_as_limits(self, profile, ohlcvs): + snapshot = _build([_order("1", "limit")], profile, ohlcvs, LimitEntryOrder()) + + assert [rung.order_id for rung in snapshot.pending_rungs] == ["1"] + assert snapshot.stray_order_ids == [] + + def test_trigger_order_is_a_stray_when_rungs_rest_as_limits(self, profile, ohlcvs): + snapshot = _build( + [_order("1", "trigger", 95.0)], profile, ohlcvs, LimitEntryOrder() + ) + + assert snapshot.pending_rungs == [] + assert snapshot.stray_order_ids == ["1"] + + +class TestLevels: + def test_reads_reference_and_bands_for_the_current_bar(self, profile, ohlcvs): + snapshot = _build([], profile, ohlcvs) + + assert snapshot.reference == 100.0 + assert snapshot.bands == { + PositionSide.LONG: [95.0], + PositionSide.SHORT: [105.0], + } + assert snapshot.has_nan_levels is False diff --git a/tests/test_envelope_reentry_guard.py b/tests/test_envelope_reentry_guard.py new file mode 100644 index 0000000..d104e19 --- /dev/null +++ b/tests/test_envelope_reentry_guard.py @@ -0,0 +1,263 @@ +import logging +from datetime import datetime, timedelta + +import pandas as pd +import pytest +from robottraderslab_envelope.reentry_guard import ReentryGuard, ReentryState + +from robottraderslab import Symbol +from robottraderslab.strategies import Execution, OHLCVs, OrderSide, PositionSide + +BTC = Symbol.create("BTC/USDT:USDT") +ETH = Symbol.create("ETH/USDT:USDT") +TIMEFRAME = "1h" +REFERENCE_COLUMN = "reference" +BAR_START = "2024-01-01" + + +def _bars(count: int) -> pd.DatetimeIndex: + return pd.date_range(BAR_START, periods=count, freq="1h") + + +def _moments(count: int) -> pd.DatetimeIndex: + return _bars(count) + pd.Timedelta(hours=1) + + +def _ohlcvs( + closes: list[float], references: list[float], symbol: Symbol = BTC +) -> OHLCVs: + frame = pd.DataFrame({"close": closes}, index=_bars(len(closes))) + ohlcvs = OHLCVs({TIMEFRAME: {symbol: frame}}) + ohlcvs.add_column(symbol, TIMEFRAME, REFERENCE_COLUMN, references) + return ohlcvs + + +def _long_sl_fill(symbol: Symbol, timestamp: datetime) -> Execution: + return Execution( + execution_id="sl-long", + order_id="sl-long", + symbol=symbol, + side=OrderSide.SELL, + price=100.0, + quantity=1.0, + timestamp=timestamp, + kind="stop-loss", + ) + + +def _short_sl_fill(symbol: Symbol, timestamp: datetime) -> Execution: + return Execution( + execution_id="sl-short", + order_id="sl-short", + symbol=symbol, + side=OrderSide.BUY, + price=100.0, + quantity=1.0, + timestamp=timestamp, + kind="stop-loss", + ) + + +class TestReentryState: + def test_allows_entry_when_side_not_locked(self): + state = ReentryState(blocked_sides=frozenset()) + + assert state.is_entry_allowed(PositionSide.LONG) is True + assert state.is_entry_allowed(PositionSide.SHORT) is True + + def test_blocks_long_when_long_locked(self): + state = ReentryState(blocked_sides=frozenset({PositionSide.LONG})) + + assert state.is_entry_allowed(PositionSide.LONG) is False + assert state.is_entry_allowed(PositionSide.SHORT) is True + + def test_blocks_short_when_short_locked(self): + state = ReentryState(blocked_sides=frozenset({PositionSide.SHORT})) + + assert state.is_entry_allowed(PositionSide.LONG) is True + assert state.is_entry_allowed(PositionSide.SHORT) is False + + +class TestReentryGuard: + @pytest.fixture + def guard(self) -> ReentryGuard: + return ReentryGuard() + + def test_returns_empty_when_no_fills(self, guard): + moments = _moments(3) + ohlcvs = _ohlcvs([100.0, 101.0, 102.0], [100.0, 100.0, 100.0]) + + state = guard.state_for( + BTC, TIMEFRAME, REFERENCE_COLUMN, ohlcvs, [], moments[-1] + ) + + assert state.blocked_sides == frozenset() + + def test_returns_empty_when_close_series_empty(self, guard): + ohlcvs = _ohlcvs([], []) + + state = guard.state_for( + BTC, TIMEFRAME, REFERENCE_COLUMN, ohlcvs, [], datetime(2024, 1, 1) + ) + + assert state.blocked_sides == frozenset() + + def test_locks_long_when_long_stop_loss_fills_and_no_clearance(self, guard): + moments = _moments(3) + ohlcvs = _ohlcvs([100.0, 99.0, 98.0], [100.0, 100.0, 100.0]) + fills = [_long_sl_fill(BTC, moments[0])] + + state = guard.state_for( + BTC, TIMEFRAME, REFERENCE_COLUMN, ohlcvs, fills, moments[-1] + ) + + assert state.blocked_sides == frozenset({PositionSide.LONG}) + + def test_locks_short_when_short_stop_loss_fills_and_no_clearance(self, guard): + moments = _moments(3) + ohlcvs = _ohlcvs([100.0, 101.0, 102.0], [100.0, 100.0, 100.0]) + fills = [_short_sl_fill(BTC, moments[0])] + + state = guard.state_for( + BTC, TIMEFRAME, REFERENCE_COLUMN, ohlcvs, fills, moments[-1] + ) + + assert state.blocked_sides == frozenset({PositionSide.SHORT}) + + def test_unblocks_long_when_close_rises_back_above_reference(self, guard): + moments = _moments(3) + ohlcvs = _ohlcvs([99.0, 98.0, 101.0], [100.0, 100.0, 100.0]) + fills = [_long_sl_fill(BTC, moments[0])] + + state = guard.state_for( + BTC, TIMEFRAME, REFERENCE_COLUMN, ohlcvs, fills, moments[-1] + ) + + assert state.blocked_sides == frozenset() + + def test_unblocks_short_when_close_falls_back_below_reference(self, guard): + moments = _moments(3) + ohlcvs = _ohlcvs([101.0, 102.0, 99.0], [100.0, 100.0, 100.0]) + fills = [_short_sl_fill(BTC, moments[0])] + + state = guard.state_for( + BTC, TIMEFRAME, REFERENCE_COLUMN, ohlcvs, fills, moments[-1] + ) + + assert state.blocked_sides == frozenset() + + def test_ignores_bars_after_the_current_one(self, guard): + moments = _moments(3) + ohlcvs = _ohlcvs([99.0, 98.0, 101.0], [100.0, 100.0, 100.0]) + fills = [_long_sl_fill(BTC, moments[0])] + + state = guard.state_for( + BTC, TIMEFRAME, REFERENCE_COLUMN, ohlcvs, fills, moments[1] + ) + + assert state.blocked_sides == frozenset({PositionSide.LONG}) + + def test_ignores_the_bar_the_stop_loss_fired_on(self, guard): + moments = _moments(2) + ohlcvs = _ohlcvs([101.0, 99.0], [100.0, 100.0]) + fills = [_long_sl_fill(BTC, moments[0])] + + state = guard.state_for( + BTC, TIMEFRAME, REFERENCE_COLUMN, ohlcvs, fills, moments[-1] + ) + + assert state.blocked_sides == frozenset({PositionSide.LONG}) + + def test_uses_most_recent_fill_per_side(self, guard): + moments = _moments(5) + ohlcvs = _ohlcvs( + [100.0, 101.0, 102.0, 99.0, 98.0], [100.0, 100.0, 100.0, 100.0, 100.0] + ) + fills = [_long_sl_fill(BTC, moments[0]), _long_sl_fill(BTC, moments[3])] + + state = guard.state_for( + BTC, TIMEFRAME, REFERENCE_COLUMN, ohlcvs, fills, moments[-1] + ) + + assert state.blocked_sides == frozenset({PositionSide.LONG}) + + def test_locks_both_sides_independently(self, guard): + moments = _moments(4) + ohlcvs = _ohlcvs([100.0, 99.0, 100.5, 101.0], [100.0, 100.0, 100.0, 100.0]) + fills = [_long_sl_fill(BTC, moments[0]), _short_sl_fill(BTC, moments[2])] + + state = guard.state_for( + BTC, TIMEFRAME, REFERENCE_COLUMN, ohlcvs, fills, moments[-1] + ) + + assert state.blocked_sides == frozenset({PositionSide.SHORT}) + + def test_ignores_fills_for_other_symbols(self, guard): + moments = _moments(3) + ohlcvs = _ohlcvs([100.0, 99.0, 98.0], [100.0, 100.0, 100.0]) + fills = [_long_sl_fill(ETH, moments[0])] + + state = guard.state_for( + BTC, TIMEFRAME, REFERENCE_COLUMN, ohlcvs, fills, moments[-1] + ) + + assert state.blocked_sides == frozenset() + + def test_ignores_fills_before_loaded_window(self, guard): + moments = _moments(3) + ohlcvs = _ohlcvs([100.0, 99.0, 98.0], [100.0, 100.0, 100.0]) + fills = [_long_sl_fill(BTC, _bars(3)[0] - timedelta(minutes=1))] + + state = guard.state_for( + BTC, TIMEFRAME, REFERENCE_COLUMN, ohlcvs, fills, moments[-1] + ) + + assert state.blocked_sides == frozenset() + + def test_reads_the_candles_of_the_latest_store(self, guard): + moments = _moments(3) + stale = _ohlcvs([100.0, 99.0, 98.0], [100.0, 100.0, 100.0]) + fresh = _ohlcvs([100.0, 99.0, 101.0], [100.0, 100.0, 100.0]) + fills = [_long_sl_fill(BTC, moments[0])] + + guard.state_for(BTC, TIMEFRAME, REFERENCE_COLUMN, stale, fills, moments[-1]) + state = guard.state_for( + BTC, TIMEFRAME, REFERENCE_COLUMN, fresh, fills, moments[-1] + ) + + assert state.blocked_sides == frozenset() + + def test_logs_suspension_once_while_block_persists(self, guard, caplog): + moments = _moments(3) + ohlcvs = _ohlcvs([100.0, 99.0, 98.0], [100.0, 100.0, 100.0]) + fills = [_long_sl_fill(BTC, moments[0])] + + with caplog.at_level(logging.INFO): + guard.state_for(BTC, TIMEFRAME, REFERENCE_COLUMN, ohlcvs, fills, moments[1]) + guard.state_for(BTC, TIMEFRAME, REFERENCE_COLUMN, ohlcvs, fills, moments[2]) + + assert len(caplog.records) == 1 + assert "long entries suspended" in caplog.records[0].message + + def test_logs_resumption_when_block_clears(self, guard, caplog): + moments = _moments(3) + ohlcvs = _ohlcvs([99.0, 98.0, 101.0], [100.0, 100.0, 100.0]) + fills = [_long_sl_fill(BTC, moments[0])] + + with caplog.at_level(logging.INFO): + guard.state_for(BTC, TIMEFRAME, REFERENCE_COLUMN, ohlcvs, fills, moments[1]) + guard.state_for(BTC, TIMEFRAME, REFERENCE_COLUMN, ohlcvs, fills, moments[2]) + + messages = [record.message for record in caplog.records] + assert len(messages) == 2 + assert "long entries suspended" in messages[0] + assert "long entries resumed" in messages[1] + + def test_no_logging_while_never_locked(self, guard, caplog): + moments = _moments(3) + ohlcvs = _ohlcvs([100.0, 101.0, 102.0], [100.0, 100.0, 100.0]) + + with caplog.at_level(logging.INFO): + guard.state_for(BTC, TIMEFRAME, REFERENCE_COLUMN, ohlcvs, [], moments[-1]) + + assert len(caplog.records) == 0 diff --git a/tests/test_envelope_reentry_integration.py b/tests/test_envelope_reentry_integration.py new file mode 100644 index 0000000..e4bb0c4 --- /dev/null +++ b/tests/test_envelope_reentry_integration.py @@ -0,0 +1,317 @@ +import asyncio +from datetime import datetime, timedelta +from pathlib import Path +from typing import Any + +import pandas as pd +import pytest +from robottraderslab_envelope import EnvelopeStrategy +from robottraderslab_envelope.reentry_guard import ReentryGuard + +from robottraderslab import Symbol +from robottraderslab.backtester.simulator import ( + SimulatedFuturesExchange, +) +from robottraderslab.strategies import ( + AccountSnapshots, + BookKeeper, + Execution, + OHLCVs, + OrderSide, + PositionSide, + StopLoss, + StrategyRequirements, + TradingMode, + TradingSystem, +) +from robottraderslab.strategies.futures import ( + FuturesAccount, + FuturesMarketOrderAction, + FuturesOrderBatchAction, +) + +BTC = Symbol.create("BTC/USDT:USDT") +ETH = Symbol.create("ETH/USDT:USDT") +TIMEFRAME = "1h" +BAR_START = datetime(2024, 1, 1) +REFERENCE = 100.0 +ENVELOPE = 0.05 + + +def _make_profile(symbol: Symbol) -> dict[str, Any]: + return { + "symbol": str(symbol), + "timeframe": TIMEFRAME, + "average_type": "SMA", + "average_period": 3, + "envelopes": [ENVELOPE], + "stop_loss_pct": 0.04, + "total_balance_ratio": 0.3, + "leverage": 5.0, + "margin_mode": "isolated", + } + + +def _build_ohlcvs( + closes_by_symbol: dict[Symbol, list[float]], +) -> tuple[OHLCVs, datetime]: + n_bars = len(next(iter(closes_by_symbol.values()))) + dates = pd.date_range(BAR_START, periods=n_bars, freq="1h") + frames = { + symbol: pd.DataFrame( + { + "open": closes, + "high": [c + 0.5 for c in closes], + "low": [c - 0.5 for c in closes], + "close": closes, + "volume": [1000.0] * n_bars, + }, + index=dates, + ) + for symbol, closes in closes_by_symbol.items() + } + ohlcvs = OHLCVs({TIMEFRAME: frames}) + for symbol in closes_by_symbol: + profile_id = str(symbol) + ohlcvs.add_column( + symbol, TIMEFRAME, f"{profile_id}_reference", [REFERENCE] * n_bars + ) + ohlcvs.add_column( + symbol, + TIMEFRAME, + f"{profile_id}_band_low_1", + [REFERENCE * (1 - ENVELOPE)] * n_bars, + ) + ohlcvs.add_column( + symbol, + TIMEFRAME, + f"{profile_id}_band_high_1", + [REFERENCE * (1 + ENVELOPE)] * n_bars, + ) + last_timestamp = BAR_START + for snapshot in ohlcvs._iter_timeframes(): + last_timestamp = snapshot.timestamp + return ohlcvs, last_timestamp + + +def _entry_rungs(bookkeeper: BookKeeper, symbol: Symbol, side: OrderSide) -> list: + return [ + order + for action in bookkeeper.list_actions() + if isinstance(action, FuturesOrderBatchAction) + for order in action.orders + if isinstance(order, FuturesMarketOrderAction) + and order.symbol == symbol + and order.side == side + and not order.reduce_only + ] + + +class _StrategyHarness: + def __init__(self, profiles: list[dict[str, Any]]) -> None: + self.exchange = SimulatedFuturesExchange.create_from_settings( + initial_balance={"USDT": 10_000.0}, + maker_fee_rate=0.0, + taker_fee_rate=0.0, + fee_mode="cost", + ) + self.engine = self.exchange.simulation_engine + self.account = FuturesAccount(exchange=self.exchange) + self.requirements = StrategyRequirements() + self.strategy = EnvelopeStrategy( + account=self.account, + trading_system=TradingSystem(trading_mode=TradingMode.BACKTEST), + config_dir=Path("bot-config-dir"), + profiles=profiles, + ) + + def setup(self) -> None: + asyncio.run(self.strategy.setup(self.requirements)) + + def account_state(self, since: datetime) -> AccountSnapshots: + requirement = self.requirements.account._get_all()[0] + account_snapshot = asyncio.run( + self.account._snapshot(requirement, executions_since=since) + ) + return AccountSnapshots({self.account.name: account_snapshot}) + + def record_sl_fill( + self, symbol: Symbol, side: PositionSide, timestamp: datetime + ) -> None: + closing_side = OrderSide.SELL if side == PositionSide.LONG else OrderSide.BUY + self.engine._executions.append( + Execution( + execution_id="sl-1", + order_id="sl-1", + symbol=symbol, + side=closing_side, + price=100.0, + quantity=1.0, + timestamp=timestamp, + kind="stop-loss", + ) + ) + + +@pytest.fixture +def btc_harness() -> _StrategyHarness: + harness = _StrategyHarness([_make_profile(BTC)]) + harness.setup() + return harness + + +class TestReentryLifecycleIntegration: + def test_blocks_long_rungs_after_sl_fills(self, btc_harness): + btc_harness.record_sl_fill( + BTC, PositionSide.LONG, BAR_START + timedelta(hours=4) + ) + ohlcvs, last_timestamp = _build_ohlcvs( + {BTC: [100.0] * 5 + [95.0] * 5} # close stays below MA after fire + ) + bookkeeper = BookKeeper() + + btc_harness.strategy.book_trading_actions( + ohlcvs, + btc_harness.account_state(BAR_START), + last_timestamp, + bookkeeper, + [TIMEFRAME], + ) + + assert _entry_rungs(bookkeeper, BTC, OrderSide.BUY) == [] + assert len(_entry_rungs(bookkeeper, BTC, OrderSide.SELL)) == 1 + + def test_releases_when_close_crosses_back_above_ma(self, btc_harness): + btc_harness.record_sl_fill( + BTC, PositionSide.LONG, BAR_START + timedelta(hours=4) + ) + ohlcvs, last_timestamp = _build_ohlcvs( + {BTC: [100.0] * 5 + [95.0, 96.0, 97.0, 101.0, 100.0]} + ) + bookkeeper = BookKeeper() + + btc_harness.strategy.book_trading_actions( + ohlcvs, + btc_harness.account_state(BAR_START), + last_timestamp, + bookkeeper, + [TIMEFRAME], + ) + + assert len(_entry_rungs(bookkeeper, BTC, OrderSide.BUY)) == 1 + assert len(_entry_rungs(bookkeeper, BTC, OrderSide.SELL)) == 1 + + +class TestReentrySymbolIsolation: + def test_sl_on_btc_does_not_gate_eth(self): + harness = _StrategyHarness([_make_profile(BTC), _make_profile(ETH)]) + harness.setup() + harness.record_sl_fill(BTC, PositionSide.LONG, BAR_START + timedelta(hours=4)) + ohlcvs, last_timestamp = _build_ohlcvs( + { + BTC: [100.0] * 5 + [95.0] * 5, + ETH: [100.0] * 5 + [95.0] * 5, + } + ) + bookkeeper = BookKeeper() + + harness.strategy.book_trading_actions( + ohlcvs, + harness.account_state(BAR_START), + last_timestamp, + bookkeeper, + [TIMEFRAME], + ) + + assert _entry_rungs(bookkeeper, BTC, OrderSide.BUY) == [] + assert len(_entry_rungs(bookkeeper, ETH, OrderSide.BUY)) == 1 + + +def _candles_around_a_stop(closes_from_19h: list[float]) -> OHLCVs: + """1h candles from 17:00 to 22:00, a long stop at 95 firing on the candle + opened at 19:00. + """ + closes = [100.0, 100.0, *closes_from_19h] + frame = pd.DataFrame( + { + "open": closes, + "high": [close + 0.5 for close in closes], + "low": [99.5, 99.5, 90.0, 98.5, 98.5], + "close": closes, + "volume": [1000.0] * 5, + }, + index=pd.date_range("2024-01-01 17:00", periods=5, freq="1h"), + ) + ohlcvs = OHLCVs({TIMEFRAME: {BTC: frame}}) + ohlcvs.add_column(BTC, TIMEFRAME, "reference", [REFERENCE] * 5) + return ohlcvs + + +def _simulated_stop_loss(ohlcvs: OHLCVs) -> Execution: + exchange = SimulatedFuturesExchange.create_from_settings( + initial_balance={"USDT": 10_000.0}, + maker_fee_rate=0.0, + taker_fee_rate=0.0, + fee_mode="cost", + ) + engine = exchange.simulation_engine + engine.enable_execution_recording() + asyncio.run( + exchange.place_market_order( + BTC, OrderSide.BUY, 1.0, stop_loss=StopLoss(trigger_price=95.0) + ) + ) + for snapshot in ohlcvs._iter_timeframes(): + engine.simulate_on_current_ohlcvs(snapshot.timestamp, snapshot.ohlcvs_by_symbol) + return next( + execution + for execution in engine.get_executions_since(BAR_START) + if execution.kind == "stop-loss" + ) + + +def _live_stop_loss() -> Execution: + return Execution( + execution_id="sl-live", + order_id="sl-live", + symbol=BTC, + side=OrderSide.SELL, + price=95.0, + quantity=1.0, + timestamp=datetime(2024, 1, 1, 19, 23), + kind="stop-loss", + ) + + +def _blocked_sides(ohlcvs: OHLCVs, fill: Execution) -> frozenset[PositionSide]: + state = ReentryGuard().state_for( + BTC, TIMEFRAME, "reference", ohlcvs, [fill], datetime(2024, 1, 1, 22) + ) + return state.blocked_sides + + +class TestReentryLiveAndBacktestAgree: + def test_the_simulated_stop_carries_the_close_of_its_candle(self): + ohlcvs = _candles_around_a_stop([101.0, 99.0, 99.0]) + + stop_loss = _simulated_stop_loss(ohlcvs) + + assert stop_loss.timestamp == datetime(2024, 1, 1, 20) + + def test_the_candle_the_stop_fired_in_does_not_clear_it(self): + ohlcvs = _candles_around_a_stop([101.0, 99.0, 99.0]) + + simulated = _blocked_sides(ohlcvs, _simulated_stop_loss(ohlcvs)) + live = _blocked_sides(ohlcvs, _live_stop_loss()) + + assert simulated == frozenset({PositionSide.LONG}) + assert live == frozenset({PositionSide.LONG}) + + def test_the_first_candle_after_the_stop_clears_it(self): + ohlcvs = _candles_around_a_stop([99.0, 101.0, 99.0]) + + simulated = _blocked_sides(ohlcvs, _simulated_stop_loss(ohlcvs)) + live = _blocked_sides(ohlcvs, _live_stop_loss()) + + assert simulated == frozenset() + assert live == frozenset() diff --git a/tests/test_envelope_setup.py b/tests/test_envelope_setup.py new file mode 100644 index 0000000..eabfcbc --- /dev/null +++ b/tests/test_envelope_setup.py @@ -0,0 +1,229 @@ +import asyncio +import logging +from collections.abc import Callable +from typing import Any + +import pytest +from robottraderslab_envelope import EnvelopeStrategy + +from robottraderslab import Symbol +from robottraderslab.exceptions import StrategyCriticalError +from robottraderslab.strategies import StrategyRequirements + + +def _sized_profile( + symbol: str, total_balance_ratio: float, leverage: float +) -> dict[str, Any]: + return { + "symbol": symbol, + "timeframe": "1d", + "average_type": "SMA", + "average_period": 100, + "envelopes": [0.05, 0.10], + "stop_loss_pct": 0.04, + "total_balance_ratio": total_balance_ratio, + "leverage": leverage, + } + + +def _warnings(caplog: pytest.LogCaptureFixture) -> list[str]: + return [ + record.getMessage() + for record in caplog.records + if record.levelno == logging.WARNING + ] + + +class TestSetup: + @pytest.fixture + def single_profile_strategy( + self, make_strategy: Callable[..., EnvelopeStrategy] + ) -> EnvelopeStrategy: + return make_strategy( + [ + { + "symbol": "BTC/USDT:USDT", + "timeframe": "1d", + "total_balance_ratio": 1.0, + "average_type": "SMA", + "average_period": 100, + "envelopes": [0.05, 0.10, 0.15], + "stop_loss_pct": 0.04, + } + ] + ) + + def test_registers_requirement_per_profile(self, single_profile_strategy): + requirements = StrategyRequirements() + + asyncio.run(single_profile_strategy.setup(requirements)) + + registered = requirements.ohlcv._get_all() + assert len(registered) == 1 + assert registered[0].symbol == Symbol.create("BTC/USDT:USDT") + assert registered[0].timeframe == "1d" + assert registered[0].lookback == 100 + + def test_multiple_profiles_register_each_requirement(self, make_strategy): + strategy = make_strategy( + [ + { + "symbol": "BTC/USDT:USDT", + "timeframe": "1d", + "total_balance_ratio": 1.0, + "average_type": "SMA", + "average_period": 100, + "envelopes": [0.05], + "stop_loss_pct": 0.04, + }, + { + "symbol": "ETH/USDT:USDT", + "timeframe": "1h", + "total_balance_ratio": 1.0, + "average_type": "EMA", + "average_period": 50, + "envelopes": [0.03, 0.06], + "stop_loss_pct": 0.02, + }, + ] + ) + requirements = StrategyRequirements() + + asyncio.run(strategy.setup(requirements)) + + registered = requirements.ohlcv._get_all() + assert len(registered) == 2 + + def test_duplicate_symbol_across_profiles_rejected(self, make_strategy): + strategy = make_strategy( + [ + { + "symbol": "BTC/USDT:USDT", + "timeframe": "1d", + "total_balance_ratio": 1.0, + "average_type": "SMA", + "average_period": 100, + "envelopes": [0.05], + "stop_loss_pct": 0.04, + }, + { + "symbol": "BTC/USDT:USDT", + "timeframe": "4h", + "total_balance_ratio": 1.0, + "average_type": "EMA", + "average_period": 50, + "envelopes": [0.03], + "stop_loss_pct": 0.02, + }, + ] + ) + requirements = StrategyRequirements() + + with pytest.raises(StrategyCriticalError, match="BTC/USDT:USDT"): + asyncio.run(strategy.setup(requirements)) + + def test_unknown_update_mode(self, make_strategy): + profile = { + "symbol": "BTC/USDT:USDT", + "timeframe": "1d", + "total_balance_ratio": 1.0, + "average_type": "SMA", + "average_period": 100, + "envelopes": [0.05], + "stop_loss_pct": 0.04, + } + + with pytest.raises(StrategyCriticalError, match="update_mode"): + make_strategy([profile], update_mode="amend") + + def test_unknown_entry_order(self, make_strategy): + profile = { + "symbol": "BTC/USDT:USDT", + "timeframe": "1d", + "total_balance_ratio": 1.0, + "average_type": "SMA", + "average_period": 100, + "envelopes": [0.05], + "stop_loss_pct": 0.04, + } + + with pytest.raises(StrategyCriticalError, match="'trigger' or 'limit'"): + make_strategy([profile], entry_order="stop") + + +class TestRestingRungBalance: + def test_rungs_outgrowing_the_balance(self, make_strategy, caplog): + strategy = make_strategy( + [ + _sized_profile("BTC/USDT:USDT", total_balance_ratio=0.6, leverage=2.0), + _sized_profile("ETH/USDT:USDT", total_balance_ratio=0.6, leverage=2.0), + ] + ) + + with caplog.at_level(logging.WARNING): + asyncio.run(strategy.setup(StrategyRequirements())) + + assert _warnings(caplog) == [ + "The resting rungs of every profile lock 120% of the balance; " + "the venue refuses the rungs beyond it." + ] + + def test_rungs_fitting_the_balance(self, make_strategy, caplog): + strategy = make_strategy( + [ + _sized_profile("BTC/USDT:USDT", total_balance_ratio=0.4, leverage=2.0), + _sized_profile("ETH/USDT:USDT", total_balance_ratio=0.4, leverage=2.0), + ] + ) + + with caplog.at_level(logging.WARNING): + asyncio.run(strategy.setup(StrategyRequirements())) + + assert _warnings(caplog) == [] + + def test_a_side_the_profile_leaves_out_rests_nothing(self, make_strategy, caplog): + profile = _sized_profile("BTC/USDT:USDT", total_balance_ratio=1.0, leverage=1.0) + profile["long_envelopes"] = profile.pop("envelopes") + strategy = make_strategy([profile]) + + with caplog.at_level(logging.WARNING): + asyncio.run(strategy.setup(StrategyRequirements())) + + assert _warnings(caplog) == [] + + +class TestSizingReads: + def test_a_rule_reading_equity_declares_it(self, make_strategy): + profile = _sized_profile("BTC/USDT:USDT", total_balance_ratio=0.5, leverage=1.0) + profile["equity_ratio"] = profile.pop("total_balance_ratio") + strategy = make_strategy([profile]) + requirements = StrategyRequirements() + + asyncio.run(strategy.setup(requirements)) + + (account_requirement,) = requirements.account._get_all() + assert account_requirement.equity == ("USDT",) + + def test_a_rule_reading_the_balance_declares_no_equity(self, make_strategy): + strategy = make_strategy( + [_sized_profile("BTC/USDT:USDT", total_balance_ratio=0.5, leverage=1.0)] + ) + requirements = StrategyRequirements() + + asyncio.run(strategy.setup(requirements)) + + (account_requirement,) = requirements.account._get_all() + assert account_requirement.equity == () + + def test_a_rule_sizing_from_no_share_of_the_balance_warns_of_nothing( + self, make_strategy, caplog + ): + profile = _sized_profile("BTC/USDT:USDT", total_balance_ratio=1.0, leverage=0.5) + profile["notional"] = 1_000_000.0 + del profile["total_balance_ratio"] + strategy = make_strategy([profile]) + + with caplog.at_level(logging.WARNING): + asyncio.run(strategy.setup(StrategyRequirements())) + + assert _warnings(caplog) == [] diff --git a/tests/test_envelope_tradingview_parity.py b/tests/test_envelope_tradingview_parity.py new file mode 100644 index 0000000..8bd7a1d --- /dev/null +++ b/tests/test_envelope_tradingview_parity.py @@ -0,0 +1,341 @@ +from dataclasses import dataclass +from pathlib import Path + +import pandas as pd +import pytest + +from robottraderslab import BotConfig, run_backtest + +DATA_DIR = Path(__file__).parent / "data" +CANDLES_FILE = DATA_DIR / "btc-usdt-1h.csv" +TRADINGVIEW_FILE = DATA_DIR / "tradingview-trades.csv" +FIRST_TRADE = 5 +LAST_TRADE = 39 +CANDLE = pd.Timedelta(hours=1) +PRICE_TOLERANCE = 0.1 +MONEY_TOLERANCE = 0.1 +RATIO_TOLERANCE = 0.01 + +TRADINGVIEW_EXIT_REASONS = { + "Exit": "moving average reached", + "SL Long": "stop-loss", + "SL Short": "stop-loss", +} + + +@dataclass(frozen=True) +class Divergence: + """A trade value where the engine and TradingView part for a measured + cause, so the engine's own value is the expected one. + """ + + trade_number: int + column: str + engine_value: float + label: str + cause: str + + +TRIGGER_WAITS_FOR_BAND = ( + "The short band (65429.95) already sat below the close (65674.9) when the " + "rung was placed: TradingView's limit is marketable and fills at the next " + "open, 65674.9; the engine's trigger waits for the price to fall back to " + "the band and fills at 65429.95." +) +RUNG_TWO_SIZED_ON_WALLET = ( + "TradingView sizes rung 2 on equity holding rung 1's open PnL at the close " + "before the fill; the engine sizes it on the wallet balance, realised PnL " + "only." +) + +DIVERGENCES = ( + Divergence( + 37, "entry_price", 65429.95, "trigger-waits-for-band", TRIGGER_WAITS_FOR_BAND + ), + Divergence(37, "net_pnl", 2.31, "trigger-waits-for-band", TRIGGER_WAITS_FOR_BAND), + Divergence( + 26, + "net_pnl", + 19.13, + "rung-2-sized-on-wallet", + RUNG_TWO_SIZED_ON_WALLET + + " TradingView 1036.94 = 1034.05 realised + 2.89 open; engine 1033.74.", + ), + Divergence( + 34, + "net_pnl", + 9.26, + "rung-2-sized-on-wallet", + RUNG_TWO_SIZED_ON_WALLET + + " TradingView 1054.10 = 1072.95 realised - 18.85 open; engine 1072.56.", + ), +) + +MOVED_BY_DIVERGENCES = "moved-by-divergences" + + +def _trade_params(column: str) -> list[object]: + labels = { + divergence.trade_number: divergence.label + for divergence in DIVERGENCES + if divergence.column == column + } + return [ + pytest.param(number, id=f"{number}-{labels[number]}") + if number in labels + else pytest.param(number, id=str(number)) + for number in range(FIRST_TRADE, LAST_TRADE + 1) + ] + + +@pytest.fixture(scope="module") +def engine_trades() -> pd.DataFrame: + """The run's trades in TradingView's order: by entry, then by rung. + + Module scope, since the backtest is one run every check reads. + """ + outputs = run_backtest(BotConfig.from_text(_config_text())) + trades = outputs.create_analyser(save=False).trades + return _normalise_engine_trades(trades) + + +@pytest.fixture(scope="module") +def expected_trades() -> pd.DataFrame: + """The export's trades in the window, one row each, stamped the way the + engine stamps a fill, at the close of the candle it happens in, and + carrying the engine's value wherever a divergence names one. + """ + export = pd.read_csv(TRADINGVIEW_FILE, encoding="utf-8-sig") + window = export[export["Trade number"].between(FIRST_TRADE, LAST_TRADE)] + expected = _normalise_tradingview_trades(window) + for divergence in DIVERGENCES: + expected.loc[divergence.trade_number, divergence.column] = ( + divergence.engine_value + ) + return expected + + +@pytest.fixture +def engine_figures(engine_trades: pd.DataFrame) -> dict[str, float]: + return _window_figures(engine_trades) + + +@pytest.fixture +def expected_figures(expected_trades: pd.DataFrame) -> dict[str, float]: + return _window_figures(expected_trades) + + +class TestEveryTrade: + def test_trade_count(self, engine_trades, expected_trades): + assert len(engine_trades) == len(expected_trades) + + @pytest.mark.parametrize("trade_number", _trade_params("side")) + def test_side(self, trade_number, engine_trades, expected_trades): + assert ( + engine_trades.loc[trade_number, "side"] + == expected_trades.loc[trade_number, "side"] + ) + + @pytest.mark.parametrize("trade_number", _trade_params("rung")) + def test_rung(self, trade_number, engine_trades, expected_trades): + assert ( + engine_trades.loc[trade_number, "rung"] + == expected_trades.loc[trade_number, "rung"] + ) + + @pytest.mark.parametrize("trade_number", _trade_params("entry_time")) + def test_entry_candle(self, trade_number, engine_trades, expected_trades): + assert ( + engine_trades.loc[trade_number, "entry_time"] + == expected_trades.loc[trade_number, "entry_time"] + ) + + @pytest.mark.parametrize("trade_number", _trade_params("exit_time")) + def test_exit_candle(self, trade_number, engine_trades, expected_trades): + assert ( + engine_trades.loc[trade_number, "exit_time"] + == expected_trades.loc[trade_number, "exit_time"] + ) + + @pytest.mark.parametrize("trade_number", _trade_params("entry_price")) + def test_entry_price(self, trade_number, engine_trades, expected_trades): + assert engine_trades.loc[trade_number, "entry_price"] == pytest.approx( + expected_trades.loc[trade_number, "entry_price"], abs=PRICE_TOLERANCE + ) + + @pytest.mark.parametrize("trade_number", _trade_params("exit_price")) + def test_exit_price(self, trade_number, engine_trades, expected_trades): + assert engine_trades.loc[trade_number, "exit_price"] == pytest.approx( + expected_trades.loc[trade_number, "exit_price"], abs=PRICE_TOLERANCE + ) + + @pytest.mark.parametrize("trade_number", _trade_params("exit_reason")) + def test_exit_reason(self, trade_number, engine_trades, expected_trades): + assert ( + engine_trades.loc[trade_number, "exit_reason"] + == expected_trades.loc[trade_number, "exit_reason"] + ) + + @pytest.mark.parametrize("trade_number", _trade_params("net_pnl")) + def test_net_pnl(self, trade_number, engine_trades, expected_trades): + assert engine_trades.loc[trade_number, "net_pnl"] == pytest.approx( + expected_trades.loc[trade_number, "net_pnl"], abs=MONEY_TOLERANCE + ) + + @pytest.mark.parametrize("trade_number", _trade_params("commission")) + def test_commission(self, trade_number, engine_trades, expected_trades): + assert engine_trades.loc[trade_number, "commission"] == pytest.approx( + expected_trades.loc[trade_number, "commission"], abs=MONEY_TOLERANCE + ) + + @pytest.mark.parametrize("trade_number", _trade_params("duration")) + def test_duration(self, trade_number, engine_trades, expected_trades): + assert ( + engine_trades.loc[trade_number, "duration"] + == expected_trades.loc[trade_number, "duration"] + ) + + +class TestWindowFigures: + @pytest.mark.parametrize( + ("figure", "tolerance"), + [ + ("trades", 0), + ("longs", 0), + ("shorts", 0), + ("winners", 0), + ("losers", 0), + ("win_rate", RATIO_TOLERANCE), + pytest.param( + "gross_profit", + MONEY_TOLERANCE, + id=f"gross_profit-{MOVED_BY_DIVERGENCES}", + ), + ("gross_loss", MONEY_TOLERANCE), + pytest.param( + "profit_factor", + RATIO_TOLERANCE, + id=f"profit_factor-{MOVED_BY_DIVERGENCES}", + ), + ("largest_win", MONEY_TOLERANCE), + ("largest_loss", MONEY_TOLERANCE), + pytest.param( + "average_win", MONEY_TOLERANCE, id=f"average_win-{MOVED_BY_DIVERGENCES}" + ), + ("average_loss", MONEY_TOLERANCE), + ("total_commission", MONEY_TOLERANCE), + pytest.param( + "net_pnl_rung_1", + MONEY_TOLERANCE, + id=f"net_pnl_rung_1-{MOVED_BY_DIVERGENCES}", + ), + pytest.param( + "net_pnl_rung_2", + MONEY_TOLERANCE, + id=f"net_pnl_rung_2-{MOVED_BY_DIVERGENCES}", + ), + ], + ) + def test_figure(self, figure, tolerance, engine_figures, expected_figures): + assert engine_figures[figure] == pytest.approx( + expected_figures[figure], abs=tolerance + ) + + +def _config_text() -> str: + return f"""\ +[strategy] +strategy_class = "envelope" + +[[strategy.profiles]] +symbol = "BTC/USDT:USDT" +timeframe = "1h" +average_type = "DCM" +average_period = 5 +envelopes = [0.04, 0.06] +stop_loss_pct = 0.25 +total_balance_ratio = 1.0 +leverage = 1.0 +margin_mode = "isolated" + +[backtest] +initial_balance = {{ USDT = 1015.74 }} +maker_fee_rate = 0.0002 +taker_fee_rate = 0.0002 +placement_reserve = {{ margin_markup = 0.0, fee_markup = 0.0, notional_reserve = 0.0 }} +start_date = "2025-01-05" +end_date = "2026-02-10" + +[backtest.ohlcv_provider] +ohlcv_provider = "csv" +file = "{CANDLES_FILE.as_posix()}" +symbol = "BTC/USDT:USDT" +timeframe = "1h" +""" + + +def _normalise_engine_trades(trades: pd.DataFrame) -> pd.DataFrame: + rungs = trades["entry_reason"].str.extract(r"entry rung (\d+)")[0].astype(int) + normalised = pd.DataFrame( + { + "side": trades["side"], + "rung": rungs, + "entry_time": trades["entry_time"], + "exit_time": trades["exit_time"], + "entry_price": trades["entry_price"], + "exit_price": trades["exit_price"], + "exit_reason": trades["exit_reason"], + "net_pnl": trades["net_pnl"], + "commission": trades["entry_fee"] + trades["exit_fee"], + "duration": (trades["exit_time"] - trades["entry_time"]) // CANDLE, + } + ).sort_values(["entry_time", "rung"]) + normalised.index = pd.RangeIndex(FIRST_TRADE, FIRST_TRADE + len(normalised)) + return normalised + + +def _normalise_tradingview_trades(export: pd.DataFrame) -> pd.DataFrame: + entries = export[export["Type"].str.startswith("Entry")].set_index("Trade number") + exits = export[export["Type"].str.startswith("Exit")].set_index("Trade number") + return pd.DataFrame( + { + "side": entries["Type"].str.removeprefix("Entry "), + "rung": entries["Signal"].str[-1].astype(int), + "entry_time": _engine_stamp(entries["Date and time"]), + "exit_time": _engine_stamp(exits["Date and time"]), + "entry_price": entries["Price USDT"], + "exit_price": exits["Price USDT"], + "exit_reason": exits["Signal"].map(TRADINGVIEW_EXIT_REASONS), + "net_pnl": entries["Net PnL USDT"], + "commission": entries["Commission USDT"], + "duration": entries["Duration (bars)"], + } + ).sort_index() + + +def _engine_stamp(tradingview_times: pd.Series) -> pd.Series: + return pd.to_datetime(tradingview_times, utc=True) + CANDLE + + +def _window_figures(trades: pd.DataFrame) -> dict[str, float]: + net_pnl = trades["net_pnl"] + wins = net_pnl[net_pnl > 0] + losses = net_pnl[net_pnl <= 0] + return { + "trades": len(trades), + "longs": int((trades["side"] == "long").sum()), + "shorts": int((trades["side"] == "short").sum()), + "winners": len(wins), + "losers": len(losses), + "win_rate": len(wins) / len(trades), + "gross_profit": wins.sum(), + "gross_loss": losses.sum(), + "profit_factor": wins.sum() / -losses.sum(), + "largest_win": wins.max(), + "largest_loss": losses.min(), + "average_win": wins.mean(), + "average_loss": losses.mean(), + "total_commission": trades["commission"].sum(), + "net_pnl_rung_1": net_pnl[trades["rung"] == 1].sum(), + "net_pnl_rung_2": net_pnl[trades["rung"] == 2].sum(), + }