Fix/stop loss datetime

examples/backtest_example/run_backtest.py

@@ -1,4 +1,5 @@
 import time
+from datetime import datetime
 import logging.config
 from datetime import datetime, timedelta
 
@@ -124,6 +125,7 @@ def apply_strategy(self, context: Context, market_data):
                 trade = context.get_trade(order_id=order.id)
                 context.add_stop_loss(
                     trade=trade,
+                    trade_risk_type="trailing",
                     percentage=5,
                     sell_percentage=50
                 )

investing_algorithm_framework/domain/models/trade/trade.py

@@ -59,7 +59,9 @@ def __init__(
         status,
         net_gain=0,
         last_reported_price=None,
+        last_reported_price_datetime=None,
         high_water_mark=None,
+        high_water_mark_datetime=None,
         updated_at=None,
         stop_losses=None,
         take_profits=None,
@@ -76,12 +78,47 @@ def __init__(
         self.remaining = remaining
         self.net_gain = net_gain
         self.last_reported_price = last_reported_price
+        self.last_reported_price_datetime = last_reported_price_datetime
         self.high_water_mark = high_water_mark
+        self.high_water_mark_datetime = high_water_mark_datetime
         self.status = status
         self.updated_at = updated_at
         self.stop_losses = stop_losses
         self.take_profits = take_profits
 
+    def update(self, data):
+
+        if "status" in data:
+            self.status = TradeStatus.from_value(data["status"])
+
+            if TradeStatus.CLOSED.equals(self.status):
+
+                # Set all stop losses to inactive
+                if self.stop_losses is not None:
+                    for stop_loss in self.stop_losses:
+                        stop_loss.active = False
+
+                # set all take profits to inactive
+                if self.take_profits is not None:
+                    for take_profit in self.take_profits:
+                        take_profit.active = False
+
+        if "last_reported_price" in data:
+            self.last_reported_price = data["last_reported_price"]
+
+            if self.high_water_mark is None:
+                self.high_water_mark = data["last_reported_price"]
+                self.high_water_mark_datetime = \
+                    data["last_reported_price_datetime"]
+            else:
+
+                if data["last_reported_price"] > self.high_water_mark:
+                    self.high_water_mark = data["last_reported_price"]
+                    self.high_water_mark_datetime = \
+                        data["last_reported_price_datetime"]
+
+        return super().update(data)
+
     @property
     def closed_prices(self):
         return [

investing_algorithm_framework/domain/models/trade/trade_stop_loss.py

@@ -55,22 +55,26 @@ def __init__(
         total_amount_trade: float,
         sell_percentage: float = 100,
         active: bool = True,
-        sell_prices: str = None
+        sell_prices: str = None,
+        sell_price_dates: str = None,
+        high_water_mark_date: str = None,
     ):
         self.trade_id = trade_id
         self.trade_risk_type = trade_risk_type
         self.percentage = percentage
         self.sell_percentage = sell_percentage
         self.high_water_mark = open_price
+        self.high_water_mark_date = high_water_mark_date
         self.open_price = open_price
         self.stop_loss_price = self.high_water_mark * \
             (1 - (self.percentage / 100))
         self.sell_amount = total_amount_trade * (self.sell_percentage / 100)
         self.sold_amount = 0
         self.active = active
         self.sell_prices = sell_prices
+        self.sell_price_dates = sell_price_dates
 
-    def update_with_last_reported_price(self, current_price: float):
+    def update_with_last_reported_price(self, current_price: float, date):
         """
         Function to update the take profit price based on the last
         reported price.
@@ -88,13 +92,16 @@ def update_with_last_reported_price(self, current_price: float):
 
         if TradeRiskType.FIXED.equals(self.trade_risk_type):
             # Check if the current price is less than the high water mark
+            if current_price > self.high_water_mark:
+                self.high_water_mark = current_price
             return
         else:
             # Check if the current price is less than the stop loss price
             if current_price <= self.stop_loss_price:
                 return
             elif current_price > self.high_water_mark:
                 self.high_water_mark = current_price
+                self.high_water_mark_date = date
                 self.stop_loss_price = self.high_water_mark * \
                     (1 - (self.percentage / 100))
 

investing_algorithm_framework/domain/models/trade/trade_take_profit.py

@@ -55,22 +55,26 @@ def __init__(
         total_amount_trade: float,
         sell_percentage: float = 100,
         active: bool = True,
-        sell_prices: str = None
+        sell_prices: str = None,
+        sell_price_dates: str = None,
+        high_water_mark_date: str = None,
     ):
         self.trade_id = trade_id
         self.trade_risk_type = trade_risk_type
         self.percentage = percentage
         self.sell_percentage = sell_percentage
         self.high_water_mark = None
+        self.high_water_mark_date = high_water_mark_date
         self.open_price = open_price
         self.take_profit_price = open_price * \
             (1 + (self.percentage / 100))
         self.sell_amount = total_amount_trade * (self.sell_percentage / 100)
         self.sold_amount = 0
         self.active = active
         self.sell_prices = sell_prices
+        self.sell_price_dates = sell_price_dates
 
-    def update_with_last_reported_price(self, current_price: float):
+    def update_with_last_reported_price(self, current_price: float, date):
         """
         Function to update the take profit price based on
             the last reported price.
@@ -85,15 +89,28 @@ def update_with_last_reported_price(self, current_price: float):
 
         # Do nothing for fixed take profit
         if TradeRiskType.FIXED.equals(self.trade_risk_type):
+
+            if self.high_water_mark is not None:
+                if current_price > self.high_water_mark:
+                    self.high_water_mark = current_price
+                    self.high_water_mark_date = date
+            else:
+                if current_price >= self.take_profit_price:
+                    self.high_water_mark = current_price
+                    self.high_water_mark_date = date
+                return
+
             return
         else:
 
             if self.high_water_mark is None:
 
                 if current_price >= self.take_profit_price:
                     self.high_water_mark = current_price
+                    self.high_water_mark_date = date
                     new_take_profit_price = self.high_water_mark * \
                         (1 - (self.percentage / 100))
+
                     if self.take_profit_price <= new_take_profit_price:
                         self.take_profit_price = new_take_profit_price
 
@@ -106,6 +123,7 @@ def update_with_last_reported_price(self, current_price: float):
             # Increase the high water mark and take profit price
             elif current_price > self.high_water_mark:
                 self.high_water_mark = current_price
+                self.high_water_mark_date = date
                 new_take_profit_price = self.high_water_mark * \
                     (1 - (self.percentage / 100))