refactor order execution and event firing

jesse/enums/__init__.py

@@ -12,7 +12,7 @@ class order_statuses:
     ACTIVE = 'ACTIVE'
     CANCELED = 'CANCELED'
     EXECUTED = 'EXECUTED'
-    PARTIALLY_EXECUTED = 'PARTIALLY EXECUTED'
+    PARTIALLY_FILLED = 'PARTIALLY FILLED'
     QUEUED = 'QUEUED'
     LIQUIDATED = 'LIQUIDATED'
 
@@ -42,21 +42,6 @@ class colors:
     BLACK = 'black'
 
 
-class order_roles:
-    OPEN_POSITION = 'OPEN POSITION'
-    CLOSE_POSITION = 'CLOSE POSITION'
-    INCREASE_POSITION = 'INCREASE POSITION'
-    REDUCE_POSITION = 'REDUCE POSITION'
-
-
-class order_flags:
-    OCO = 'OCO'
-    POST_ONLY = 'PostOnly'
-    CLOSE = 'Close'
-    HIDDEN = 'Hidden'
-    REDUCE_ONLY = 'ReduceOnly'
-
-
 class order_types:
     MARKET = 'MARKET'
     LIMIT = 'LIMIT'

jesse/exchanges/exchange.py

@@ -8,15 +8,15 @@ class Exchange(ABC):
     """
 
     @abstractmethod
-    def market_order(self, symbol: str, qty: float, current_price: float, side: str, role: str, flags: list) -> Order:
+    def market_order(self, symbol: str, qty: float, current_price: float, side: str, reduce_only: bool) -> Order:
         pass
 
     @abstractmethod
-    def limit_order(self, symbol: str, qty: float, price: float, side: str, role: str, flags: list) -> Order:
+    def limit_order(self, symbol: str, qty: float, price: float, side: str, reduce_only: bool) -> Order:
         pass
 
     @abstractmethod
-    def stop_order(self, symbol: str, qty: float, price: float, side: str, role: str, flags: list) -> Order:
+    def stop_order(self, symbol: str, qty: float, price: float, side: str, reduce_only: bool) -> Order:
         pass
 
     @abstractmethod
@@ -27,10 +27,6 @@ class Exchange(ABC):
     def cancel_order(self, symbol: str, order_id: str) -> None:
         pass
 
-    @abstractmethod
-    def get_exec_inst(self, flags: list) -> Union[str, None]:
-        pass
-
     @abstractmethod
     def _fetch_precisions(self) -> None:
         pass

jesse/exchanges/sandbox/Sandbox.py

@@ -5,22 +5,22 @@ from jesse.models import Order
 from jesse.store import store
 from typing import Union
 
+
 class Sandbox(Exchange):
     def __init__(self, name='Sandbox'):
         super().__init__()
         self.name = name
 
-    def market_order(self, symbol: str, qty: float, current_price: float, side: str, role: str, flags: list) -> Order:
+    def market_order(self, symbol: str, qty: float, current_price: float, side: str, reduce_only: bool) -> Order:
         order = Order({
             'id': jh.generate_unique_id(),
             'symbol': symbol,
             'exchange': self.name,
             'side': side,
             'type': order_types.MARKET,
-            'flag': self.get_exec_inst(flags),
+            'reduce_only': reduce_only,
             'qty': jh.prepare_qty(qty, side),
             'price': current_price,
-            'role': role
         })
 
         store.orders.add_order(order)
@@ -29,34 +29,32 @@ class Sandbox(Exchange):
 
         return order
 
-    def limit_order(self, symbol: str, qty: float, price: float, side: str, role: str, flags: list) -> Order:
+    def limit_order(self, symbol: str, qty: float, price: float, side: str, reduce_only: bool) -> Order:
         order = Order({
             'id': jh.generate_unique_id(),
             'symbol': symbol,
             'exchange': self.name,
             'side': side,
             'type': order_types.LIMIT,
-            'flag': self.get_exec_inst(flags),
+            'reduce_only': reduce_only,
             'qty': jh.prepare_qty(qty, side),
             'price': price,
-            'role': role
         })
 
         store.orders.add_order(order)
 
         return order
 
-    def stop_order(self, symbol: str, qty: float, price: float, side: str, role: str, flags: list) -> Order:
+    def stop_order(self, symbol: str, qty: float, price: float, side: str, reduce_only: bool) -> Order:
         order = Order({
             'id': jh.generate_unique_id(),
             'symbol': symbol,
             'exchange': self.name,
             'side': side,
             'type': order_types.STOP,
-            'flag': self.get_exec_inst(flags),
+            'reduce_only': reduce_only,
             'qty': jh.prepare_qty(qty, side),
             'price': price,
-            'role': role
         })
 
         store.orders.add_order(order)
@@ -76,10 +74,5 @@ class Sandbox(Exchange):
     def cancel_order(self, symbol: str, order_id: str) -> None:
         store.orders.get_order_by_id(self.name, symbol, order_id).cancel()
 
-    def get_exec_inst(self, flags: list) -> Union[str, None]:
-        if flags:
-            return flags[0]
-        return None
-
     def _fetch_precisions(self) -> None:
         pass

jesse/models/CompletedTrade.py

@@ -4,6 +4,8 @@ import peewee
 import jesse.helpers as jh
 from jesse.config import config
 from jesse.services.db import database
+from jesse.libs.dynamic_numpy_array import DynamicNumpyArray
+from jesse.enums import trade_types
 
 
 if database.is_closed():
@@ -19,19 +21,10 @@ class CompletedTrade(peewee.Model):
     exchange = peewee.CharField()
     type = peewee.CharField()
     timeframe = peewee.CharField()
-    entry_price = peewee.FloatField(default=np.nan)
-    exit_price = peewee.FloatField(default=np.nan)
-    take_profit_at = peewee.FloatField(default=np.nan)
-    stop_loss_at = peewee.FloatField(default=np.nan)
-    qty = peewee.FloatField(default=np.nan)
     opened_at = peewee.BigIntegerField()
     closed_at = peewee.BigIntegerField()
-    entry_candle_timestamp = peewee.BigIntegerField()
-    exit_candle_timestamp = peewee.BigIntegerField()
     leverage = peewee.IntegerField()
 
-    orders = []
-
     class Meta:
         from jesse.services.db import database
 
@@ -47,8 +40,13 @@ class CompletedTrade(peewee.Model):
         for a, value in attributes.items():
             setattr(self, a, value)
 
+        # used for fast calculation of the total qty, entry_price, exit_price, etc.
+        self.buy_orders = DynamicNumpyArray((10, 2))
+        self.sell_orders = DynamicNumpyArray((10, 2))
+        # to store the actual order objects
+        self.orders = []
+
     def toJSON(self) -> dict:
-        orders = [o.__dict__ for o in self.orders]
         return {
             "id": self.id,
             "strategy_name": self.strategy_name,
@@ -65,9 +63,6 @@ class CompletedTrade(peewee.Model):
             "holding_period": self.holding_period,
             "opened_at": self.opened_at,
             "closed_at": self.closed_at,
-            "entry_candle_timestamp": self.entry_candle_timestamp,
-            "exit_candle_timestamp": self.exit_candle_timestamp,
-            "orders": orders,
         }
 
     def to_dict(self) -> dict:
@@ -82,8 +77,6 @@ class CompletedTrade(peewee.Model):
             'qty': self.qty,
             'opened_at': self.opened_at,
             'closed_at': self.closed_at,
-            'entry_candle_timestamp': self.entry_candle_timestamp,
-            'exit_candle_timestamp': self.exit_candle_timestamp,
             "fee": self.fee,
             "size": self.size,
             "PNL": self.pnl,
@@ -136,6 +129,45 @@ class CompletedTrade(peewee.Model):
         """How many SECONDS has it taken for the trade to be done."""
         return (self.closed_at - self.opened_at) / 1000
 
+    @property
+    def is_long(self) -> bool:
+        return self.type == trade_types.LONG
+
+    @property
+    def is_short(self) -> bool:
+        return self.type == trade_types.SHORT
+
+    @property
+    def qty(self) -> float:
+        if self.is_long:
+            return self.buy_orders[:][:, 0].sum()
+        elif self.is_short:
+            return self.sell_orders[:][:, 0].sum()
+        else:
+            return 0.0
+
+    @property
+    def entry_price(self) -> float:
+        if self.is_long:
+            orders = self.buy_orders[:]
+        elif self.is_short:
+            orders = self.sell_orders[:]
+        else:
+            return np.nan
+
+        return (orders[:, 0] * orders[:, 1]).sum() / orders[:, 0].sum()
+
+    @property
+    def exit_price(self) -> float:
+        if self.is_long:
+            orders = self.sell_orders[:]
+        elif self.is_short:
+            orders = self.buy_orders[:]
+        else:
+            return np.nan
+
+        return (orders[:, 0] * orders[:, 1]).sum() / orders[:, 0].sum()
+
 
 # if database is open, create the table
 if database.is_open():

jesse/models/FuturesExchange.py

@@ -11,10 +11,20 @@ from .Exchange import Exchange
 
 
 class FuturesExchange(Exchange):
+    # # used for live-trading only:
+    # in futures trading, margin is only with one asset, so:
+    _available_margin = 0
+    # in futures trading, wallet is only with one asset, so:
+    _wallet_balance = 0
+    # so is started_balance
+    _started_balance = 0
+
     # current holding assets
     assets = {}
     # current available assets (dynamically changes based on active orders)
     available_assets = {}
+    # used to estimating metrics
+    starting_assets = {}
 
     buy_orders = {}
     sell_orders = {}
@@ -58,10 +68,22 @@ class FuturesExchange(Exchange):
 
         self.settlement_currency = settlement_currency.upper()
 
+    def started_balance(self) -> float:
+        if jh.is_livetrading():
+            return self._started_balance
+
+        return self.starting_assets[jh.app_currency()]
+
     def wallet_balance(self, symbol: str = '') -> float:
+        if jh.is_livetrading():
+            return self._wallet_balance
+
         return self.assets[self.settlement_currency]
 
     def available_margin(self, symbol: str = '') -> float:
+        if jh.is_livetrading():
+            return self._available_margin
+
         # a temp which gets added to per each asset (remember that all future assets use the same currency for settlement)
         temp_credits = self.assets[self.settlement_currency]
 
@@ -97,6 +119,9 @@ class FuturesExchange(Exchange):
         return temp_credits * self.futures_leverage
 
     def charge_fee(self, amount: float) -> None:
+        if jh.is_livetrading():
+            return
+
         fee_amount = abs(amount) * self.fee_rate
         new_balance = self.assets[self.settlement_currency] - fee_amount
         if fee_amount != 0:
@@ -106,16 +131,22 @@ class FuturesExchange(Exchange):
         self.assets[self.settlement_currency] = new_balance
 
     def add_realized_pnl(self, realized_pnl: float) -> None:
+        if jh.is_livetrading():
+            return
+
         new_balance = self.assets[self.settlement_currency] + realized_pnl
         logger.info(
             f'Added realized PNL of {round(realized_pnl, 2)}. Balance for {self.settlement_currency} on {self.name} changed from {round(self.assets[self.settlement_currency], 2)} to {round(new_balance, 2)}')
         self.assets[self.settlement_currency] = new_balance
 
     def on_order_submission(self, order: Order, skip_market_order: bool = True) -> None:
+        if jh.is_livetrading():
+            return
+
         base_asset = jh.base_asset(order.symbol)
 
         # make sure we don't spend more than we're allowed considering current allowed leverage
-        if (order.type != order_types.MARKET or skip_market_order) and not order.is_reduce_only:
+        if (order.type != order_types.MARKET or skip_market_order) and not order.reduce_only:
             order_size = abs(order.qty * order.price)
             remaining_margin = self.available_margin()
             if order_size > remaining_margin:
@@ -130,19 +161,22 @@ class FuturesExchange(Exchange):
 
         self.available_assets[base_asset] += order.qty
 
-        if not order.is_reduce_only:
+        if not order.reduce_only:
             if order.side == sides.BUY:
                 self.buy_orders[base_asset].append(np.array([order.qty, order.price]))
             else:
                 self.sell_orders[base_asset].append(np.array([order.qty, order.price]))
 
     def on_order_execution(self, order: Order) -> None:
+        if jh.is_livetrading():
+            return
+
         base_asset = jh.base_asset(order.symbol)
 
         if order.type == order_types.MARKET:
             self.on_order_submission(order, skip_market_order=False)
 
-        if not order.is_reduce_only:
+        if not order.reduce_only:
             if order.side == sides.BUY:
                 # find and set order to [0, 0] (same as removing it)
                 for index, item in enumerate(self.buy_orders[base_asset]):
@@ -157,11 +191,14 @@ class FuturesExchange(Exchange):
                         break
 
     def on_order_cancellation(self, order: Order) -> None:
+        if jh.is_livetrading():
+            return
+
         base_asset = jh.base_asset(order.symbol)
 
         self.available_assets[base_asset] -= order.qty
         # self.available_assets[quote_asset] += order.qty * order.price
-        if not order.is_reduce_only:
+        if not order.reduce_only:
             if order.side == sides.BUY:
                 # find and set order to [0, 0] (same as removing it)
                 for index, item in enumerate(self.buy_orders[base_asset]):
@@ -174,3 +211,15 @@ class FuturesExchange(Exchange):
                     if item[0] == order.qty and item[1] == order.price:
                         self.sell_orders[base_asset][index] = np.array([0, 0])
                         break
+
+    def update_from_stream(self, data: dict) -> None:
+        """
+        Used for updating the exchange from the WS stream (only for live trading)
+        """
+        if not jh.is_livetrading():
+            raise Exception('This method is only for live trading')
+
+        self._available_margin = data['available_margin']
+        self._wallet_balance = data['wallet_balance']
+        if self._started_balance == 0:
+            self._started_balance = self._wallet_balance

jesse/models/Order.py

@@ -6,7 +6,7 @@ import jesse.services.selectors as selectors
 from jesse import sync_publish
 from jesse.config import config
 from jesse.services.notifier import notify
-from jesse.enums import order_statuses, order_flags
+from jesse.enums import order_statuses
 from jesse.services.db import database
 
 
@@ -28,14 +28,14 @@ class Order(Model):
     exchange = CharField()
     side = CharField()
     type = CharField()
-    flag = CharField(null=True)
+    reduce_only = BooleanField()
     qty = FloatField()
+    filled_qty = FloatField(default=0)
     price = FloatField(null=True)
     status = CharField(default=order_statuses.ACTIVE)
     created_at = BigIntegerField()
     executed_at = BigIntegerField(null=True)
     canceled_at = BigIntegerField(null=True)
-    role = CharField(null=True)
     submitted_via = None
 
     class Meta:
@@ -117,12 +117,8 @@ class Order(Model):
         return self.is_executed
 
     @property
-    def is_reduce_only(self) -> bool:
-        return self.flag == order_flags.REDUCE_ONLY
-
-    @property
-    def is_close(self) -> bool:
-        return self.flag == order_flags.CLOSE
+    def is_partially_filled(self) -> bool:
+        return self.status == order_statuses.PARTIALLY_FILLED
 
     @property
     def is_stop_loss(self):
@@ -142,6 +138,7 @@ class Order(Model):
             'side': self.side,
             'type': self.type,
             'qty': self.qty,
+            'filled_qty': self.filled_qty,
             'price': self.price,
             'flag': self.flag,
             'status': self.status,
@@ -198,6 +195,10 @@ class Order(Model):
                 if config['env']['notifications']['events']['executed_orders']:
                     notify(txt)
 
+        # log the order of the trade for metrics
+        from jesse.store import store
+        store.completed_trades.add_executed_order(self)
+
         p = selectors.get_position(self.exchange, self.symbol)
 
         if p:

jesse/models/Position.py

@@ -225,7 +225,7 @@ class Position:
             'mode': self.mode,
         }
 
-    def _close(self, close_price: float) -> None:
+    def _mutating_close(self, close_price: float) -> None:
         if self.is_open is False:
             raise EmptyPosition('The position is already closed.')
 
@@ -243,18 +243,24 @@ class Position:
         if self.exchange:
             self.exchange.add_realized_pnl(estimated_profit)
             self.exchange.temp_reduced_amount[jh.base_asset(self.symbol)] += abs(close_qty * close_price)
-        self.qty = 0
-        self.entry_price = None
         self.closed_at = jh.now_to_timestamp()
 
-        if not jh.is_unit_testing():
-            info_text = f'CLOSED {trade_type} position: {self.exchange_name}, {self.symbol}, {self.strategy.name}. PNL: ${round(estimated_profit, 2)}, Balance: ${jh.format_currency(round(self.exchange.wallet_balance(self.symbol), 2))}, entry: {entry}, exit: {close_price}'
+        self.qty = 0
+        self.entry_price = None
 
-            if jh.is_debuggable('position_closed'):
-                logger.info(info_text)
+        self._close()
 
-            if jh.is_live() and config['env']['notifications']['events']['updated_position']:
-                notifier.notify(info_text)
+    def _close(self):
+        from jesse.store import store
+        store.completed_trades.close_trade(self)
+        # if not jh.is_unit_testing():
+        #     info_text = f'CLOSED {trade_type} position: {self.exchange_name}, {self.symbol}, {self.strategy.name}. PNL: ${round(estimated_profit, 2)}, Balance: ${jh.format_currency(round(self.exchange.wallet_balance(self.symbol), 2))}, entry: {entry}, exit: {close_price}'
+        #
+        #     if jh.is_debuggable('position_closed'):
+        #         logger.info(info_text)
+        #
+        #     if jh.is_live() and config['env']['notifications']['events']['updated_position']:
+        #         notifier.notify(info_text)
 
     def _reduce(self, qty: float, price: float) -> None:
         if self.is_open is False:
@@ -288,10 +294,6 @@ class Position:
             raise OpenPositionError('position must be already open in order to increase its size')
 
         qty = abs(qty)
-        # size = qty * price
-
-        # if self.exchange:
-        #     self.exchange.decrease_futures_balance(size)
 
         self.entry_price = jh.estimate_average_price(qty, price, self.qty,
                                                      self.entry_price)
@@ -309,7 +311,7 @@ class Position:
         if jh.is_live() and config['env']['notifications']['events']['updated_position']:
             notifier.notify(info_text)
 
-    def _open(self, qty: float, price: float, change_balance: bool = True) -> None:
+    def _mutating_open(self, qty: float, price: float, change_balance: bool = True) -> None:
         if self.is_open:
             raise OpenPositionError('an already open position cannot be opened')
 
@@ -318,6 +320,12 @@ class Position:
         self.qty = qty
         self.opened_at = jh.now_to_timestamp()
 
+        self._open()
+
+    def _open(self):
+        from jesse.store import store
+        store.completed_trades.open_trade(self)
+
         info_text = f'OPENED {self.type} position: {self.exchange_name}, {self.symbol}, {self.qty}, ${round(self.entry_price, 2)}'
 
         if jh.is_debuggable('position_opened'):
@@ -327,43 +335,64 @@ class Position:
             notifier.notify(info_text)
 
     def _on_executed_order(self, order: Order) -> None:
-        qty = order.qty
-        price = order.price
+        if not jh.is_livetrading():
+            qty = order.qty
+            price = order.price
 
-        # TODO: detect reduce_only order, and if so, see if you need to adjust qty and price (above variables)
+            # TODO: detect reduce_only order, and if so, see if you need to adjust qty and price (above variables)
 
-        self.exchange.charge_fee(qty * price)
+            self.exchange.charge_fee(qty * price)
 
-        # order opens position
-        if self.qty == 0:
-            change_balance = order.type == order_types.MARKET
-            self._open(qty, price, change_balance)
-        # order closes position
-        elif (sum_floats(self.qty, qty)) == 0:
-            self._close(price)
-        # order increases the size of the position
-        elif self.qty * qty > 0:
-            if order.is_reduce_only:
-                logger.info('Did not increase position because order is a reduce_only order')
-            else:
-                self._increase(qty, price)
-        # order reduces the size of the position
-        elif self.qty * qty < 0:
-            # if size of the order is big enough to both close the
-            # position AND open it on the opposite side
-            if abs(qty) > abs(self.qty):
-                if order.is_reduce_only:
-                    logger.info(
-                        f'Executed order is bigger than the current position size but it is a reduce_only order so it just closes it. Order QTY: {qty}, Position QTY: {self.qty}')
-                    self._close(price)
+            # order opens position
+            if self.qty == 0:
+                change_balance = order.type == order_types.MARKET
+                self._mutating_open(qty, price, change_balance)
+            # order closes position
+            elif (sum_floats(self.qty, qty)) == 0:
+                self._mutating_close(price)
+            # order increases the size of the position
+            elif self.qty * qty > 0:
+                if order.reduce_only:
+                    logger.info('Did not increase position because order is a reduce_only order')
                 else:
-                    logger.info(
-                        f'Executed order is big enough to not close, but flip the position type. Order QTY: {qty}, Position QTY: {self.qty}')
-                    diff_qty = sum_floats(self.qty, qty)
-                    self._close(price)
-                    self._open(diff_qty, price)
-            else:
-                self._reduce(qty, price)
+                    self._increase(qty, price)
+            # order reduces the size of the position
+            elif self.qty * qty < 0:
+                # if size of the order is big enough to both close the
+                # position AND open it on the opposite side
+                if abs(qty) > abs(self.qty):
+                    if order.reduce_only:
+                        logger.info(
+                            f'Executed order is bigger than the current position size but it is a reduce_only order so it just closes it. Order QTY: {qty}, Position QTY: {self.qty}')
+                        self._mutating_close(price)
+                    else:
+                        logger.info(
+                            f'Executed order is big enough to not close, but flip the position type. Order QTY: {qty}, Position QTY: {self.qty}')
+                        diff_qty = sum_floats(self.qty, qty)
+                        self._mutating_close(price)
+                        self._mutating_open(diff_qty, price)
+                else:
+                    self._reduce(qty, price)
 
         if self.strategy:
             self.strategy._on_updated_position(order)
+
+    def update_from_stream(self, data: dict) -> None:
+        """
+        Used for updating the position from the WS stream (only for live trading)
+        """
+        before_qty = abs(self.qty)
+        after_qty = abs(data['qty'])
+
+        self.entry_price = data['entry_price']
+        self._liquidation_price = data['liquidation_price']
+        self.qty = data['qty']
+
+        # if opening position
+        if before_qty == 0 and after_qty != 0:
+            self.opened_at = jh.now_to_timestamp()
+            self._open()
+        # if closing position
+        elif after_qty != 0 and before_qty == 0:
+            self.closed_at = jh.now_to_timestamp()
+            self._close()

jesse/models/utils.py

@@ -96,8 +96,6 @@ def store_completed_trade_into_db(completed_trade) -> None:
         'qty': completed_trade.qty,
         'opened_at': completed_trade.opened_at,
         'closed_at': completed_trade.closed_at,
-        'entry_candle_timestamp': completed_trade.entry_candle_timestamp,
-        'exit_candle_timestamp': completed_trade.exit_candle_timestamp,
         'leverage': completed_trade.leverage,
     }
 
@@ -124,14 +122,14 @@ def store_order_into_db(order) -> None:
         'exchange': order.exchange,
         'side': order.side,
         'type': order.type,
-        'flag': order.flag,
+        'reduce_only': order.reduce_only,
         'qty': order.qty,
+        'filled_qty': order.filled_qty,
         'price': order.price,
         'status': order.status,
         'created_at': order.created_at,
         'executed_at': order.executed_at,
         'canceled_at': order.canceled_at,
-        'role': order.role,
     }
 
     def async_save() -> None:

jesse/modes/backtest_mode.py

@@ -12,7 +12,7 @@ import jesse.services.required_candles as required_candles
 import jesse.services.selectors as selectors
 from jesse import exceptions
 from jesse.config import config
-from jesse.enums import timeframes, order_types, order_roles, order_flags
+from jesse.enums import timeframes, order_types
 from jesse.models import Candle, Order, Position
 from jesse.modes.utils import save_daily_portfolio_balance
 from jesse.routes import router
@@ -450,10 +450,9 @@ def _check_for_liquidations(candle: np.ndarray, exchange: str, symbol: str) -> N
             'exchange': exchange,
             'side': closing_order_side,
             'type': order_types.MARKET,
-            'flag': order_flags.REDUCE_ONLY,
+            'reduce_only': True,
             'qty': jh.prepare_qty(p.qty, closing_order_side),
-            'price': p.bankruptcy_price,
-            'role': order_roles.CLOSE_POSITION
+            'price': p.bankruptcy_price
         })
 
         store.orders.add_order(order)

jesse/services/api.py

@@ -49,13 +49,12 @@ class API:
         qty: float,
         current_price: float,
         side: str,
-        role: str,
-        flags: list
+        reduce_only: bool
     ) -> Union[Order, None]:
         if exchange not in self.drivers:
             logger.info(f'Exchange "{exchange}" driver not initiated yet. Trying again in the next candle')
             return None
-        return self.drivers[exchange].market_order(symbol, qty, current_price, side, role, flags)
+        return self.drivers[exchange].market_order(symbol, qty, current_price, side, reduce_only)
 
     def limit_order(
         self,
@@ -64,13 +63,12 @@ class API:
         qty: float,
         price: float,
         side: str,
-        role: str,
-        flags: list
+        reduce_only: bool
     ) -> Union[Order, None]:
         if exchange not in self.drivers:
             logger.info(f'Exchange "{exchange}" driver not initiated yet. Trying again in the next candle')
             return None
-        return self.drivers[exchange].limit_order(symbol, qty, price, side, role, flags)
+        return self.drivers[exchange].limit_order(symbol, qty, price, side, reduce_only)
 
     def stop_order(
         self, exchange: str,
@@ -78,13 +76,12 @@ class API:
         qty: float,
         price: float,
         side: str,
-        role: str,
-        flags: list
+        reduce_only: bool
     ) -> Union[Order, None]:
         if exchange not in self.drivers:
             logger.info(f'Exchange "{exchange}" driver not initiated yet. Trying again in the next candle')
             return None
-        return self.drivers[exchange].stop_order(symbol, qty, price, side, role, flags)
+        return self.drivers[exchange].stop_order(symbol, qty, price, side, reduce_only)
 
     def cancel_all_orders(self, exchange: str, symbol: str) -> bool:
         if exchange not in self.drivers:

jesse/services/broker.py

@@ -1,7 +1,7 @@
 from typing import Union
 
 import jesse.helpers as jh
-from jesse.enums import sides, order_flags
+from jesse.enums import sides
 from jesse.exceptions import OrderNotAllowed, InvalidStrategy
 from jesse.models import Order
 from jesse.models import Position
@@ -21,7 +21,7 @@ class Broker:
         if qty == 0:
             raise InvalidStrategy('qty cannot be 0')
 
-    def sell_at_market(self, qty: float, role: str = None) -> Union[Order, None]:
+    def sell_at_market(self, qty: float) -> Union[Order, None]:
         self._validate_qty(qty)
 
         return self.api.market_order(
@@ -30,10 +30,10 @@ class Broker:
             abs(qty),
             self.position.current_price,
             sides.SELL,
-            role, []
+            reduce_only=False
         )
 
-    def sell_at(self, qty: float, price: float, role: str = None) -> Union[Order, None]:
+    def sell_at(self, qty: float, price: float) -> Union[Order, None]:
         self._validate_qty(qty)
 
         if price < 0:
@@ -45,11 +45,10 @@ class Broker:
             abs(qty),
             price,
             sides.SELL,
-            role,
-            []
+            reduce_only=False
         )
 
-    def buy_at_market(self, qty: float, role: str = None) -> Union[Order, None]:
+    def buy_at_market(self, qty: float) -> Union[Order, None]:
         self._validate_qty(qty)
 
         return self.api.market_order(
@@ -58,11 +57,10 @@ class Broker:
             abs(qty),
             self.position.current_price,
             sides.BUY,
-            role,
-            []
+            reduce_only=False
         )
 
-    def buy_at(self, qty: float, price: float, role: str = None) -> Union[Order, None]:
+    def buy_at(self, qty: float, price: float) -> Union[Order, None]:
         self._validate_qty(qty)
 
         if price < 0:
@@ -74,11 +72,10 @@ class Broker:
             abs(qty),
             price,
             sides.BUY,
-            role,
-            []
+            reduce_only=False
         )
 
-    def reduce_position_at(self, qty: float, price: float, role: str = None) -> Union[Order, None]:
+    def reduce_position_at(self, qty: float, price: float) -> Union[Order, None]:
         self._validate_qty(qty)
 
         qty = abs(qty)
@@ -102,8 +99,7 @@ class Broker:
                 qty,
                 price,
                 side,
-                role,
-                [order_flags.REDUCE_ONLY]
+                reduce_only=True
             )
 
         elif (side == 'sell' and self.position.type == 'long' and price > self.position.current_price) or (
@@ -114,8 +110,7 @@ class Broker:
                 qty,
                 price,
                 side,
-                role,
-                [order_flags.REDUCE_ONLY]
+                reduce_only=True
             )
         elif (side == 'sell' and self.position.type == 'long' and price < self.position.current_price) or (
                 side == 'buy' and self.position.type == 'short' and price > self.position.current_price):
@@ -125,13 +120,12 @@ class Broker:
                 abs(qty),
                 price,
                 side,
-                role,
-                [order_flags.REDUCE_ONLY]
+                reduce_only=True
             )
         else:
             raise OrderNotAllowed("This order doesn't seem to be for reducing the position.")
 
-    def start_profit_at(self, side: str, qty: float, price: float, role: str = None) -> Union[Order, None]:
+    def start_profit_at(self, side: str, qty: float, price: float) -> Union[Order, None]:
         self._validate_qty(qty)
 
         if price < 0:
@@ -152,8 +146,7 @@ class Broker:
             abs(qty),
             price,
             side,
-            role,
-            []
+            reduce_only=False
         )
 
     def cancel_all_orders(self) -> bool:

jesse/services/report.py

@@ -36,7 +36,7 @@ def positions() -> list:
             'value': round(p.value, 2),
             'entry': p.entry_price,
             'current_price': p.current_price,
-            'liq_price': p.liquidation_price,
+            'liquidation_price': p.liquidation_price,
             'pnl': p.pnl,
             'pnl_perc': p.pnl_percentage
         })
@@ -88,15 +88,13 @@ def candles() -> dict:
 
 
 def livetrade():
-    # TODO: for now, we assume that we trade on one exchange only. Later, we need to support for more than one exchange at a time
-    # sum up balance of all trading exchanges
     starting_balance = 0
     current_balance = 0
     for e in store.exchanges.storage:
-        starting_balance += store.exchanges.storage[e].starting_assets[jh.app_currency()]
-        current_balance += store.exchanges.storage[e].assets[jh.app_currency()]
-    starting_balance = round(starting_balance, 2)
-    current_balance = round(current_balance, 2)
+        starting_balance = round(store.exchanges.storage[e].started_balance(), 2)
+        current_balance = round(store.exchanges.storage[e].wallet_balance(), 2)
+        # there's only one exchange, so we can break
+        break
 
     # short trades summary
     if len(store.completed_trades.trades):

jesse/store/state_completed_trades.py

@@ -1,9 +1,83 @@
+import numpy as np
+
+from jesse.models import Position, CompletedTrade, Order
+import jesse.helpers as jh
+from jesse.models.utils import store_completed_trade_into_db
+from jesse.enums import sides
+
+
 class CompletedTrades:
     def __init__(self) -> None:
         self.trades = []
+        self.tempt_trades = {}
 
-    def add_trade(self, trade) -> None:
-        self.trades.append(trade)
+    def _get_current_trade(self, exchange: str, symbol: str) -> CompletedTrade:
+        key = jh.key(exchange, symbol)
+        # if already exists, return it
+        if key in self.tempt_trades:
+            t: CompletedTrade = self.tempt_trades[key]
+            # set the trade.id if not generated already
+            if not t.id:
+                t.id = jh.generate_unique_id()
+            return t
+        # else, create a new trade, store it, and return it
+        t = CompletedTrade()
+        t.id = jh.generate_unique_id()
+        self.tempt_trades[key] = t
+        return t
+
+    def _reset_current_trade(self, exchange: str, symbol: str) -> None:
+        key = jh.key(exchange, symbol)
+        self.tempt_trades[key] = CompletedTrade()
+
+    def add_executed_order(self, executed_order: Order) -> None:
+        t = self._get_current_trade(executed_order.exchange, executed_order.symbol)
+        executed_order.trade_id = t.id
+        t.orders.append(executed_order)
+        if executed_order.side == sides.BUY:
+            t.buy_orders.append(np.array([abs(executed_order.qty), executed_order.price]))
+        elif executed_order.side == sides.SELL:
+            t.sell_orders.append(np.array([abs(executed_order.qty), executed_order.price]))
+        else:
+            raise Exception("Invalid order side")
+
+    def open_trade(self, position: Position) -> None:
+        t = self._get_current_trade(position.exchange_name, position.symbol)
+        t.opened_at = position.opened_at
+        t.leverage = position.leverage
+        try:
+            t.timeframe = position.strategy.timeframe
+            t.strategy_name = position.strategy.name
+        except AttributeError:
+            if not jh.is_unit_testing():
+                raise
+            t.timeframe = None
+            t.strategy_name = None
+        t.exchange = position.exchange_name
+        t.symbol = position.symbol
+        t.type = position.type
+
+    def close_trade(self, position: Position) -> None:
+        t = self._get_current_trade(position.exchange_name, position.symbol)
+        t.closed_at = position.closed_at
+        try:
+            position.strategy.trades_count += 1
+        except AttributeError:
+            if not jh.is_unit_testing():
+                raise
+
+        if jh.is_livetrading():
+            store_completed_trade_into_db(t)
+        # store the trade into the list
+        self.trades.append(t)
+        # at the end, reset the trade variable
+        self._reset_current_trade(position.exchange_name, position.symbol)
+
+    # TODO: to detect initially received orders from the exchange in live mode:
+    # position qty increase from 0: OPEN
+    # position qty becoming 0: CLOSE
+    # position qty increasing in size: INCREASE
+    # position qty decreasing in size: REDUCE
 
     @property
     def count(self) -> int:

jesse/strategies/CanAddCompletedTradeToStore/__init__.py

@@ -0,0 +1,14 @@
+from jesse.strategies import Strategy
+import jesse.helpers as jh
+
+
+class CanAddCompletedTradeToStore(Strategy):
+    def should_long(self):
+        return self.price == 10
+
+    def should_cancel(self):
+        return False
+
+    def go_long(self):
+        self.buy = 1, self.price
+        self.take_profit = 1, 15

jesse/strategies/Strategy.py

@@ -3,15 +3,13 @@ from time import sleep
 from typing import List, Dict
 
 import numpy as np
-import pydash
 
 import jesse.helpers as jh
 import jesse.services.logger as logger
 import jesse.services.selectors as selectors
 from jesse import exceptions
-from jesse.enums import sides, trade_types, order_roles
+from jesse.enums import sides
 from jesse.models import CompletedTrade, Order, Route, FuturesExchange, SpotExchange, Position
-from jesse.models.utils import store_completed_trade_into_db, store_order_into_db
 from jesse.services import metrics
 from jesse.services.broker import Broker
 from jesse.store import store
@@ -119,40 +117,34 @@ class Strategy(ABC):
 
     def _on_updated_position(self, order: Order) -> None:
         """
-        Handles the after-effect of the executed order
-
-        Note that it assumes that the position has already been affected
-        by the executed order.
-
-        Arguments:
-            order {Order} -- the executed order object
+        Handles the after-effect of the executed order to execute strategy
+        events. Note that it assumes that the position has already
+        been affected by the executed order.
         """
+
         # in live-mode, sometimes order-update effects and new execution has overlaps, so:
         self._is_handling_updated_order = True
 
-        role = order.role
+        # this is the last executed order, and had its effect on
+        # the position. We need to know what its effect was:
+        before_qty = self.position.qty - order.qty
+        after_qty = self.position.qty
 
-        # if the order's role is CLOSE_POSITION but the position qty is not the same as this order's qty,
-        # then it's increase_position order (because the position was already open before this)
-        if self.trade and role == order_roles.OPEN_POSITION and abs(self.position.qty) != abs(order.qty):
-            order.role = order_roles.INCREASE_POSITION
-            role = order_roles.INCREASE_POSITION
-
-        # if the order's role is CLOSE_POSITION but the position is still open, then it's reduce_position order
-        if role == order_roles.CLOSE_POSITION and self.position.is_open:
-            order.role = order_roles.REDUCE_POSITION
-            role = order_roles.REDUCE_POSITION
-
-        self._log_position_update(order, role)
-
-        if role == order_roles.OPEN_POSITION:
+        # call the relevant strategy event handler:
+        # if opening position
+        if before_qty == 0 and after_qty != 0:
             self._on_open_position(order)
-        elif role == order_roles.CLOSE_POSITION:
+        # if closing position
+        elif before_qty != 0 and after_qty == 0:
             self._on_close_position(order)
-        elif role == order_roles.INCREASE_POSITION:
+        # if increasing position size
+        elif abs(after_qty) > abs(before_qty):
             self._on_increased_position(order)
-        elif role == order_roles.REDUCE_POSITION:
+        # if reducing position size
+        elif abs(after_qty) < abs(before_qty):
             self._on_reduced_position(order)
+        else:
+            pass
 
         self._is_handling_updated_order = False
 
@@ -196,13 +188,13 @@ class Strategy(ABC):
         for o in self._buy:
             # MARKET order
             if abs(o[1] - self.price) < 0.0001:
-                submitted_order = self.broker.buy_at_market(o[0], order_roles.OPEN_POSITION)
+                submitted_order = self.broker.buy_at_market(o[0])
             # STOP order
             elif o[1] > self.price:
-                submitted_order = self.broker.start_profit_at(sides.BUY, o[0], o[1], order_roles.OPEN_POSITION)
+                submitted_order = self.broker.start_profit_at(sides.BUY, o[0], o[1])
             # LIMIT order
             elif o[1] < self.price:
-                submitted_order = self.broker.buy_at(o[0], o[1], order_roles.OPEN_POSITION)
+                submitted_order = self.broker.buy_at(o[0], o[1])
             else:
                 raise ValueError(f'Invalid order price: o[1]:{o[1]}, self.price:{self.price}')
 
@@ -236,13 +228,13 @@ class Strategy(ABC):
         for o in self._sell:
             # MARKET order
             if abs(o[1] - self.price) < 0.0001:
-                submitted_order = self.broker.sell_at_market(o[0], order_roles.OPEN_POSITION)
+                submitted_order = self.broker.sell_at_market(o[0])
             # STOP order
             elif o[1] < self.price:
-                submitted_order = self.broker.start_profit_at(sides.SELL, o[0], o[1], order_roles.OPEN_POSITION)
+                submitted_order = self.broker.start_profit_at(sides.SELL, o[0], o[1])
             # LIMIT order
             elif o[1] > self.price:
-                submitted_order = self.broker.sell_at(o[0], o[1], order_roles.OPEN_POSITION)
+                submitted_order = self.broker.sell_at(o[0], o[1])
             else:
                 raise ValueError(f'Invalid order price: o[1]:{o[1]}, self.price:{self.price}')
 
@@ -484,14 +476,13 @@ class Strategy(ABC):
                     for o in self._buy:
                         # MARKET order
                         if abs(o[1] - self.price) < 0.0001:
-                            submitted_order = self.broker.buy_at_market(o[0], order_roles.OPEN_POSITION)
+                            submitted_order = self.broker.buy_at_market(o[0])
                         # STOP order
                         elif o[1] > self.price:
-                            submitted_order = self.broker.start_profit_at(sides.BUY, o[0], o[1],
-                                                                          order_roles.OPEN_POSITION)
+                            submitted_order = self.broker.start_profit_at(sides.BUY, o[0], o[1])
                         # LIMIT order
                         elif o[1] < self.price:
-                            submitted_order = self.broker.buy_at(o[0], o[1], order_roles.OPEN_POSITION)
+                            submitted_order = self.broker.buy_at(o[0], o[1])
                         else:
                             raise ValueError(f'Invalid order price: o[1]:{o[1]}, self.price:{self.price}')
 
@@ -514,14 +505,13 @@ class Strategy(ABC):
                     for o in self._sell:
                         # MARKET order
                         if abs(o[1] - self.price) < 0.0001:
-                            submitted_order = self.broker.sell_at_market(o[0], order_roles.OPEN_POSITION)
+                            submitted_order = self.broker.sell_at_market(o[0])
                         # STOP order
                         elif o[1] < self.price:
-                            submitted_order = self.broker.start_profit_at(sides.SELL, o[0], o[1],
-                                                                          order_roles.OPEN_POSITION)
+                            submitted_order = self.broker.start_profit_at(sides.SELL, o[0], o[1])
                         # LIMIT order
                         elif o[1] > self.price:
-                            submitted_order = self.broker.sell_at(o[0], o[1], order_roles.OPEN_POSITION)
+                            submitted_order = self.broker.sell_at(o[0], o[1])
                         else:
                             raise ValueError(f'Invalid order price: o[1]:{o[1]}, self.price:{self.price}')
 
@@ -543,11 +533,7 @@ class Strategy(ABC):
                     # remove canceled orders to optimize the loop
                     self._exit_orders = [o for o in self._exit_orders if not o.is_canceled]
                     for o in self._take_profit:
-                        submitted_order: Order = self.broker.reduce_position_at(
-                            o[0],
-                            o[1],
-                            order_roles.CLOSE_POSITION
-                        )
+                        submitted_order: Order = self.broker.reduce_position_at(o[0], o[1])
                         if submitted_order:
                             submitted_order.submitted_via = 'take-profit'
                             self._exit_orders.append(submitted_order)
@@ -568,11 +554,7 @@ class Strategy(ABC):
                     # remove canceled orders to optimize the loop
                     self._exit_orders = [o for o in self._exit_orders if not o.is_canceled]
                     for o in self._stop_loss:
-                        submitted_order: Order = self.broker.reduce_position_at(
-                            o[0],
-                            o[1],
-                            order_roles.CLOSE_POSITION
-                        )
+                        submitted_order: Order = self.broker.reduce_position_at(o[0], o[1])
                         if submitted_order:
                             submitted_order.submitted_via = 'stop-loss'
                             self._exit_orders.append(submitted_order)
@@ -670,19 +652,15 @@ class Strategy(ABC):
             for o in self._take_profit:
                 # validation: make sure take-profit will exit with profit, if not, close the position
                 if self.is_long and o[1] <= self.position.entry_price:
-                    submitted_order: Order = self.broker.sell_at_market(o[0], order_roles.CLOSE_POSITION)
+                    submitted_order: Order = self.broker.sell_at_market(o[0])
                     logger.info(
                         'The take-profit is below entry-price for long position, so it will be replaced with a market order instead')
                 elif self.is_short and o[1] >= self.position.entry_price:
-                    submitted_order: Order = self.broker.buy_at_market(o[0], order_roles.CLOSE_POSITION)
+                    submitted_order: Order = self.broker.buy_at_market(o[0])
                     logger.info(
                         'The take-profit is above entry-price for a short position, so it will be replaced with a market order instead')
                 else:
-                    submitted_order: Order = self.broker.reduce_position_at(
-                        o[0],
-                        o[1],
-                        order_roles.CLOSE_POSITION
-                    )
+                    submitted_order: Order = self.broker.reduce_position_at(o[0], o[1])
 
                 if submitted_order:
                     submitted_order.submitted_via = 'take-profit'
@@ -692,17 +670,13 @@ class Strategy(ABC):
             for o in self._stop_loss:
                 # validation: make sure stop-loss will exit with profit, if not, close the position
                 if self.is_long and o[1] >= self.position.entry_price:
-                    submitted_order: Order = self.broker.sell_at_market(o[0], order_roles.CLOSE_POSITION)
+                    submitted_order: Order = self.broker.sell_at_market(o[0])
                     logger.info('The stop-loss is above entry-price for long position, so it will be replaced with a market order instead')
                 elif self.is_short and o[1] <= self.position.entry_price:
-                    submitted_order: Order = self.broker.buy_at_market(o[0], order_roles.CLOSE_POSITION)
+                    submitted_order: Order = self.broker.buy_at_market(o[0])
                     logger.info('The stop-loss is below entry-price for a short position, so it will be replaced with a market order instead')
                 else:
-                    submitted_order: Order = self.broker.reduce_position_at(
-                        o[0],
-                        o[1],
-                        order_roles.CLOSE_POSITION
-                    )
+                    submitted_order: Order = self.broker.reduce_position_at(o[0], o[1])
 
                 if submitted_order:
                     submitted_order.submitted_via = 'stop-loss'
@@ -853,9 +827,7 @@ class Strategy(ABC):
                 f"Closed open {self.exchange}-{self.symbol} position at {self.position.current_price} with PNL: {round(self.position.pnl, 4)}({round(self.position.pnl_percentage, 2)}%) because we reached the end of the backtest session."
             )
             # fake a closing (market) order so that the calculations would be correct
-            self.broker.reduce_position_at(
-                self.position.qty, self.position.current_price, order_roles.CLOSE_POSITION
-            )
+            self.broker.reduce_position_at(self.position.qty, self.position.current_price)
             return
 
         if len(self._entry_orders):
@@ -1015,83 +987,6 @@ class Strategy(ABC):
     def fee_rate(self) -> float:
         return selectors.get_exchange(self.exchange).fee_rate
 
-    def _log_position_update(self, order: Order, role: str) -> None:
-        """
-        A log can be either about opening, adding, reducing, or closing the position.
-
-        Arguments:
-            order {order} -- the order object
-        """
-        # set the trade_id for the order if we're in the middle of a trade. Otherwise, it
-        # is done at order_roles.OPEN_POSITION
-        if self.trade:
-            order.trade_id = self.trade.id
-
-        if role == order_roles.OPEN_POSITION:
-            self.trade = CompletedTrade()
-            self.trade.leverage = self.leverage
-            self.trade.orders = [order]
-            self.trade.timeframe = self.timeframe
-            self.trade.id = jh.generate_unique_id()
-            order.trade_id = self.trade.id
-            self.trade.strategy_name = self.name
-            self.trade.exchange = order.exchange
-            self.trade.symbol = order.symbol
-            self.trade.type = trade_types.LONG if order.side == sides.BUY else trade_types.SHORT
-            self.trade.qty = order.qty
-            self.trade.opened_at = jh.now_to_timestamp()
-            self.trade.entry_candle_timestamp = self.current_candle[0]
-        elif role in [order_roles.INCREASE_POSITION, order_roles.REDUCE_POSITION]:
-            self.trade.orders.append(order)
-            self.trade.qty += order.qty
-        elif role == order_roles.CLOSE_POSITION:
-            self.trade.exit_candle_timestamp = self.current_candle[0]
-            self.trade.orders.append(order)
-
-            # calculate average entry_price price
-            sum_price = 0
-            sum_qty = 0
-            for trade_order in self.trade.orders:
-                if not trade_order.is_executed:
-                    continue
-
-                if jh.side_to_type(trade_order.side) != self.trade.type:
-                    continue
-
-                sum_qty += abs(trade_order.qty)
-                sum_price += abs(trade_order.qty) * trade_order.price
-            self.trade.entry_price = sum_price / sum_qty
-
-            # calculate average exit_price
-            sum_price = 0
-            sum_qty = 0
-            for trade_order in self.trade.orders:
-                if not trade_order.is_executed:
-                    continue
-
-                if jh.side_to_type(trade_order.side) == self.trade.type:
-                    continue
-
-                sum_qty += abs(trade_order.qty)
-                sum_price += abs(trade_order.qty) * trade_order.price
-
-            self.trade.exit_price = sum_price / sum_qty
-
-            self.trade.closed_at = jh.now_to_timestamp()
-            self.trade.qty = pydash.sum_by(
-                filter(lambda o: o.side == jh.type_to_side(self.trade.type), self.trade.orders),
-                lambda o: abs(o.qty)
-            )
-
-            store.completed_trades.add_trade(self.trade)
-            if jh.is_livetrading():
-                store_completed_trade_into_db(self.trade)
-            self.trade = None
-            self.trades_count += 1
-        if jh.is_livetrading():
-            store_order_into_db(order)
-
-
     @property
     def is_long(self) -> bool:
         return self.position.type == 'long'

jesse/strategies/Test05/__init__.py

@@ -1,4 +1,5 @@
 from jesse.strategies import Strategy
+import jesse.helpers as jh
 
 
 # test_is_smart_enough_to_open_positions_via_market_orders
@@ -26,6 +27,3 @@ class Test05(Strategy):
 
     def should_cancel(self):
         return False
-
-    def filters(self):
-        return []

jesse/strategies/TestStopLossPriceIsReplacedWithMarketOrderForBetterPriceLongPosition/__init__.py

@@ -7,7 +7,7 @@ class TestStopLossPriceIsReplacedWithMarketOrderForBetterPriceLongPosition(Strat
         if self.price == 15:
             last_trade = self.trades[-1]
             # it should have closed on the market price at the time being 10 instead of 12
-            last_trade.exit_price = 10
+            assert last_trade.exit_price == 10
 
             # the order type should be market
             assert self.orders[0].type == order_types.MARKET

jesse/strategies/TestStopLossPriceIsReplacedWithMarketOrderForBetterPriceShortPosition/__init__.py

@@ -7,7 +7,7 @@ class TestStopLossPriceIsReplacedWithMarketOrderForBetterPriceShortPosition(Stra
         if self.price == 15:
             last_trade = self.trades[-1]
             # it should have closed on the market price at the time being 10 instead of 8
-            last_trade.exit_price = 10
+            assert last_trade.exit_price == 10
 
             # the order type should be market
             assert self.orders[0].type == order_types.MARKET

jesse/strategies/TestTakeProfitPriceIsReplacedWithMarketOrderWhenMoreConvenientLongPosition/__init__.py

@@ -7,7 +7,7 @@ class TestTakeProfitPriceIsReplacedWithMarketOrderWhenMoreConvenientLongPosition
         if self.price == 15:
             last_trade = self.trades[-1]
             # it should have closed on the market price at the time being 10 instead of 8
-            last_trade.exit_price = 10
+            assert last_trade.exit_price == 10
 
             # the order type should be market
             assert self.orders[0].type == order_types.MARKET

jesse/strategies/TestTakeProfitPriceIsReplacedWithMarketOrderWhenMoreConvenientShortPosition/__init__.py

@@ -7,7 +7,7 @@ class TestTakeProfitPriceIsReplacedWithMarketOrderWhenMoreConvenientShortPositio
         if self.price == 15:
             last_trade = self.trades[-1]
             # it should have closed on the market price at the time being 10 instead of 12
-            last_trade.exit_price = 10
+            assert last_trade.exit_price == 10
 
             # the order type should be market
             assert self.orders[0].type == order_types.MARKET

tests/test_broker.py

@@ -2,7 +2,7 @@ import pytest
 
 import jesse.services.selectors as selectors
 from jesse.config import config, reset_config
-from jesse.enums import exchanges, timeframes, order_types, order_flags, order_roles
+from jesse.enums import exchanges, timeframes, order_types
 from jesse.exceptions import InvalidStrategy, NegativeBalance, OrderNotAllowed
 from jesse.models import Position, Exchange
 from jesse.routes import router
@@ -169,7 +169,7 @@ def test_opening_and_closing_position_with_stop():
     assert exchange.available_margin() == 1000
     assert exchange.wallet_balance() == 1000
     # open position
-    open_position_order = broker.start_profit_at('buy', 1, 60, order_roles.OPEN_POSITION)
+    open_position_order = broker.start_profit_at('buy', 1, 60)
     open_position_order.execute()
     position.current_price = 60
     assert position.is_open is True
@@ -180,14 +180,14 @@ def test_opening_and_closing_position_with_stop():
     assert exchange.available_margin() == 940
 
     # submit stop-loss order
-    stop_loss_order = broker.reduce_position_at(1, 40, order_roles.CLOSE_POSITION)
-    assert stop_loss_order.flag == order_flags.REDUCE_ONLY
+    stop_loss_order = broker.reduce_position_at(1, 40)
+    assert stop_loss_order.reduce_only is True
     # balance should NOT have changed
     assert exchange.assets['USDT'] == 1000
     assert exchange.wallet_balance() == 1000
     # submit take-profit order also
-    take_profit_order = broker.reduce_position_at(1, 80, order_roles.CLOSE_POSITION)
-    assert take_profit_order.flag == order_flags.REDUCE_ONLY
+    take_profit_order = broker.reduce_position_at(1, 80)
+    assert take_profit_order.reduce_only is True
     assert exchange.assets['USDT'] == 1000
 
     # execute stop order
@@ -259,7 +259,7 @@ def test_stop_loss():
     assert order.price == 40
     assert order.qty == -1
     assert order.side == 'sell'
-    assert order.flag == order_flags.REDUCE_ONLY
+    assert order.reduce_only is True
     # balance should NOT have changed
     assert exchange.available_margin() == 950
     assert exchange.wallet_balance() == 1000

tests/test_completed_trade.py

@@ -1,186 +1,71 @@
-import jesse.helpers as jh
-from jesse.config import config
 from jesse.models import CompletedTrade
 from jesse.store import store
-from .utils import set_up, single_route_backtest
+from .utils import single_route_backtest
+import numpy as np
 
 
-def test_can_add_trade_to_store():
-    set_up()
-
+def test_completed_trade_in_a_simple_strategy():
     assert store.completed_trades.trades == []
 
-    trade = CompletedTrade({
-        'type': 'long',
-        'exchange': 'Sandbox',
-        'entry_price': 10,
-        'exit_price': 20,
-        'take_profit_at': 20,
-        'stop_loss_at': 5,
-        'qty': 1,
-        'orders': [],
-        'symbol': 'BTC-USD',
-        'opened_at': 1552309186171,
-        'closed_at': 1552309186171 + 60000
-    })
+    single_route_backtest('CanAddCompletedTradeToStore')
 
-    store.completed_trades.add_trade(trade)
-    assert store.completed_trades.trades == [trade]
-    store.reset()
-    assert store.completed_trades.trades == []
+    assert len(store.completed_trades.trades) == 1
+    assert store.completed_trades.count == 1
+
+    t: CompletedTrade = store.completed_trades.trades[0]
+
+    assert t.entry_price == 10
+    assert t.exit_price == 15
+    assert t.exchange == 'Sandbox'
+    assert t.symbol == 'BTC-USDT'
+    assert t.type == 'long'
+    assert t.strategy_name == 'CanAddCompletedTradeToStore'
+    assert t.qty == 1
+    assert t.size == 1*10
+    assert t.fee == 0
+    assert t.pnl == 5
+    assert t.pnl_percentage == 50
+    assert t.holding_period == 60*5
 
 
-def test_holding_period():
-    trade = CompletedTrade({
-        'type': 'long',
-        'exchange': 'Sandbox',
-        'entry_price': 10,
-        'exit_price': 20,
-        'take_profit_at': 20,
-        'stop_loss_at': 5,
-        'qty': 1,
-        'orders': [],
-        'symbol': 'BTC-USD',
-        'opened_at': 1552309186171,
-        'closed_at': 1552309186171 + 60000
-    })
-
-    # 1 minute == 60 seconds
-    assert trade.holding_period == 60
-
-
-def test_pnl_percentage():
-    set_up(zero_fee=True)
-
-    # 1x leverage
-    trade = CompletedTrade({
-        'type': 'long',
-        'exchange': 'Sandbox',
-        'entry_price': 10,
-        'exit_price': 12,
-        'take_profit_at': 20,
-        'stop_loss_at': 5,
-        'qty': 1,
-        'orders': [],
-        'symbol': 'BTC-USD',
-        'opened_at': jh.now_to_timestamp(),
-        'closed_at': jh.now_to_timestamp(),
-        'leverage': 1,
-    })
-    assert trade.pnl_percentage == 20
-
-    # 2x leverage
-    trade = CompletedTrade({
-        'type': 'long',
-        'exchange': 'Sandbox',
-        'entry_price': 10,
-        'exit_price': 12,
-        'take_profit_at': 20,
-        'stop_loss_at': 5,
-        'qty': 1,
-        'orders': [],
-        'symbol': 'BTC-USD',
-        'opened_at': jh.now_to_timestamp(),
-        'closed_at': jh.now_to_timestamp(),
-        'leverage': 2,
-    })
-    assert trade.pnl_percentage == 40
-
-
-def test_pnl_with_fee():
-    # set fee (0.20%)
-    config['env']['exchanges']['Sandbox']['fee'] = 0.002
-
-    trade = CompletedTrade({
-        'type': 'long',
-        'exchange': 'Sandbox',
-        'entry_price': 10,
-        'exit_price': 20,
-        'take_profit_at': 20,
-        'stop_loss_at': 5,
-        'qty': 1,
-        'orders': [],
-        'symbol': 'BTC-USD',
-        'opened_at': jh.now_to_timestamp(),
-        'closed_at': jh.now_to_timestamp()
-    })
-
-    assert trade.fee == 0.06
-    assert trade.pnl == 9.94
-
-
-def test_pnl_without_fee():
-    set_up(zero_fee=True)
-
-    trade = CompletedTrade({
-        'type': 'long',
-        'exchange': 'Sandbox',
-        'entry_price': 10,
-        'exit_price': 20,
-        'take_profit_at': 20,
-        'stop_loss_at': 5,
-        'qty': 1,
-        'orders': [],
-        'symbol': 'BTC-USD',
-        'opened_at': jh.now_to_timestamp(),
-        'closed_at': jh.now_to_timestamp()
-    })
-    assert trade.pnl == 10
-
-
-def test_r():
-    set_up(zero_fee=True)
-
-    trade = CompletedTrade({
-        'type': 'long',
-        'exchange': 'Sandbox',
-        'entry_price': 10,
-        'exit_price': 12,
-        'take_profit_at': 20,
-        'stop_loss_at': 5,
-        'qty': 1,
-        'orders': [],
-        'symbol': 'BTC-USD',
-        'opened_at': jh.now_to_timestamp(),
-        'closed_at': jh.now_to_timestamp()
-    })
-
-
-def test_risk_percentage():
-    set_up(zero_fee=True)
-
-    trade = CompletedTrade({
-        'type': 'long',
-        'exchange': 'Sandbox',
-        'entry_price': 10,
-        'exit_price': 12,
-        'take_profit_at': 20,
-        'stop_loss_at': 5,
-        'qty': 1,
-        'orders': [],
-        'symbol': 'BTC-USD',
-        'opened_at': jh.now_to_timestamp(),
-        'closed_at': jh.now_to_timestamp()
-    })
-
-
-def test_trade_size():
-    trade = CompletedTrade({
-        'type': 'long',
-        'exchange': 'Sandbox',
-        'entry_price': 10,
-        'exit_price': 20,
-        'take_profit_at': 20,
-        'stop_loss_at': 5,
-        'qty': 1,
-        'orders': [],
-        'symbol': 'BTC-USD',
-        'opened_at': jh.now_to_timestamp(),
-        'closed_at': jh.now_to_timestamp()
-    })
-
-    assert trade.size == 10
+def test_completed_trade_in_a_strategy_with_two_trades():
+    pass
 
 
 def test_completed_trade_after_exiting_the_trade():
     single_route_backtest('TestCompletedTradeAfterExitingTrade', leverage=2)
+
+
+def test_trade_qty_entry_price_exit_price_size_properties():
+    # long trade
+    t1 = CompletedTrade({
+        'type': 'long',
+    })
+    # add buy orders
+    t1.buy_orders.append(np.array([10, 100]))
+    t1.buy_orders.append(np.array([10, 200]))
+    # add sell orders
+    t1.sell_orders.append(np.array([10, 300]))
+    t1.sell_orders.append(np.array([10, 400]))
+    # assert qty, entry price and exit price
+    assert t1.qty == 20
+    assert t1.entry_price == 150
+    assert t1.exit_price == 350
+    assert t1.size == 20*150
+
+    # short trade
+    t2 = CompletedTrade({
+        'type': 'short',
+    })
+    # add sell orders
+    t2.sell_orders.append(np.array([10, 300]))
+    t2.sell_orders.append(np.array([10, 400]))
+    # add buy orders
+    t2.buy_orders.append(np.array([10, 100]))
+    t2.buy_orders.append(np.array([10, 200]))
+    # assert qty, entry price and exit price
+    assert t2.qty == 20
+    assert t2.exit_price == 150
+    assert t2.entry_price == 350
+    assert t2.size == 20 * 350
+

tests/test_conflicting_orders.py

@@ -1,6 +1,6 @@
 import jesse.helpers as jh
 from jesse.config import reset_config
-from jesse.enums import exchanges, order_roles
+from jesse.enums import exchanges
 from jesse.factories import candles_from_close_prices
 from jesse.models import CompletedTrade
 from jesse.routes import router
@@ -42,13 +42,6 @@ def test_can_handle_multiple_entry_orders_too_close_to_each_other():
     assert t.exit_price == 3
     # 4 entry + 1 exit
     assert len(t.orders) == 5
-    # last order is closing order
-    assert t.orders[-1].role == order_roles.CLOSE_POSITION
-    # first order must be opening order
-    assert t.orders[0].role == order_roles.OPEN_POSITION
-    # second order must be increasing order
-    assert t.orders[1].role == order_roles.INCREASE_POSITION
-    assert t.orders[2].role == order_roles.INCREASE_POSITION
 
 
 def test_conflicting_orders():

tests/test_parent_strategy.py

@@ -7,7 +7,7 @@ import jesse.helpers as jh
 import jesse.services.selectors as selectors
 from jesse import exceptions
 from jesse.config import reset_config
-from jesse.enums import exchanges, timeframes, order_roles, order_types
+from jesse.enums import exchanges, timeframes, order_types
 from jesse.factories import range_candles, candles_from_close_prices
 from jesse.models import CompletedTrade
 from jesse.models import Order
@@ -91,11 +91,8 @@ def test_can_perform_backtest_with_multiple_routes():
         assert o.price == s.candles[0][2]
         assert o.created_at == short_candles[4][0] + 60_000
         assert o.is_executed is True
-        assert s.orders[0].role == order_roles.OPEN_POSITION
         assert s.orders[0].type == order_types.MARKET
-        assert s.orders[2].role == order_roles.CLOSE_POSITION
         assert s.orders[2].type == order_types.STOP
-        assert s.orders[1].role == order_roles.CLOSE_POSITION
         assert s.orders[1].type == order_types.LIMIT
         assert s.trade is None
         assert len(store.completed_trades.trades) == 2
@@ -190,8 +187,6 @@ def test_is_smart_enough_to_open_positions_via_market_orders():
     assert t1.fee == 0
     assert t1.opened_at == 1547201100000 + 60000
     assert t1.closed_at == 1547202840000 + 60000
-    assert t1.entry_candle_timestamp == 1547201100000
-    assert t1.exit_candle_timestamp == 1547202840000
     assert t1.orders[0].type == order_types.MARKET
 
     t2: CompletedTrade = store.completed_trades.trades[1]
@@ -202,8 +197,6 @@ def test_is_smart_enough_to_open_positions_via_market_orders():
     assert t2.fee == 0
     assert t2.opened_at == 1547203560000 + 60000
     assert t2.closed_at == 1547203740000 + 60000
-    assert t2.entry_candle_timestamp == 1547203560000
-    assert t2.exit_candle_timestamp == 1547203740000
     assert t2.orders[0].type == order_types.MARKET
 
 
@@ -234,8 +227,6 @@ def test_is_smart_enough_to_open_positions_via_stop_orders():
     assert t1.fee == 0
     assert t1.opened_at == 1547201100000 + 60000
     assert t1.closed_at == 1547202840000 + 60000
-    assert t1.entry_candle_timestamp == 1547201100000
-    assert t1.exit_candle_timestamp == 1547202660000
     assert t1.orders[0].type == order_types.STOP
 
     t2: CompletedTrade = store.completed_trades.trades[1]
@@ -246,8 +237,6 @@ def test_is_smart_enough_to_open_positions_via_stop_orders():
     assert t2.fee == 0
     assert t2.opened_at == 1547203560000 + 60000
     assert t2.closed_at == 1547203740000 + 60000
-    assert t2.entry_candle_timestamp == 1547203560000
-    assert t2.exit_candle_timestamp == 1547203560000
     assert t2.orders[0].type == order_types.STOP
 
 
@@ -355,16 +344,12 @@ def test_multiple_routes_can_communicate_with_each_other():
             assert len(s.orders) == 1
             # assert that the order got canceled
             assert o.is_canceled is True
-            assert s.orders[0].role == order_roles.OPEN_POSITION
             assert s.orders[0].type == order_types.LIMIT
         elif r.strategy.trades_count == 1:
             assert len(s.orders) == 3
             assert o.is_executed is True
-            assert s.orders[0].role == order_roles.OPEN_POSITION
             assert s.orders[0].type == order_types.LIMIT
-            assert s.orders[2].role == order_roles.CLOSE_POSITION
             assert s.orders[2].type == order_types.STOP
-            assert s.orders[1].role == order_roles.CLOSE_POSITION
             assert s.orders[1].type == order_types.LIMIT
 
 
@@ -559,9 +544,6 @@ def test_should_buy_and_execute_buy():
         assert o.price == s.candles[0][2]
         assert o.created_at == short_candles[4][0] + 60_000
         assert o.is_executed is True
-        assert s.orders[1].role == order_roles.CLOSE_POSITION
-        assert s.orders[2].role == order_roles.CLOSE_POSITION
-        assert s.orders[0].role == order_roles.OPEN_POSITION
         assert s.trade is None
         trade: CompletedTrade = store.completed_trades.trades[0]
         assert trade.type == 'long'
@@ -605,9 +587,6 @@ def test_should_sell_and_execute_sell():
         assert o.price == s.candles[0][2]
         assert o.created_at == short_candles[4][0] + 60_000
         assert o.is_executed is True
-        assert s.orders[1].role == order_roles.CLOSE_POSITION
-        assert s.orders[2].role == order_roles.CLOSE_POSITION
-        assert s.orders[0].role == order_roles.OPEN_POSITION
         assert s.trade is None
         assert len(store.completed_trades.trades) == 1
         assert store.completed_trades.trades[0].type == 'short'
@@ -710,8 +689,6 @@ def test_updating_stop_loss_and_take_profit_after_opening_the_position():
     assert t1.fee == 0
     assert t1.opened_at == 1547201100000 + 60000
     assert t1.closed_at == 1547201700000 + 60000
-    assert t1.entry_candle_timestamp == 1547201100000
-    assert t1.exit_candle_timestamp == 1547201700000
     assert t1.orders[0].type == order_types.MARKET
 
     t2: CompletedTrade = store.completed_trades.trades[1]
@@ -722,8 +699,6 @@ def test_updating_stop_loss_and_take_profit_after_opening_the_position():
     assert t2.fee == 0
     assert t2.opened_at == 1547203560000 + 60000
     assert t2.closed_at == 1547203680000 + 60000
-    assert t2.entry_candle_timestamp == 1547203560000
-    assert t2.exit_candle_timestamp == 1547203680000
     assert t2.orders[0].type == order_types.MARKET
 
 

tests/test_position.py

@@ -13,7 +13,7 @@ def test_close_position():
     })
     assert p.exit_price is None
 
-    p._close(50)
+    p._mutating_close(50)
 
     assert p.qty == 0
     assert p.entry_price is None
@@ -90,7 +90,7 @@ def test_open_position():
     assert p.exit_price is None
     assert p.current_price is None
 
-    p._open(1, 50)
+    p._mutating_open(1, 50)
 
     assert p.qty == 1
     assert p.entry_price == 50
@@ -178,7 +178,7 @@ def test_position_pnl_percentage():
 def test_position_roi():
     set_up()
     p = Position(exchanges.SANDBOX, 'BTC-USDT')
-    p._open(3, 100)
+    p._mutating_open(3, 100)
     p.current_price = 110
 
     assert p.value == 330