investing-algorithm-framework 3.7.0__py3-none-any.whl → 7.19.15__py3-none-any.whl

investing_algorithm_framework/domain/models/trade/trade_stop_loss.py

@@ -0,0 +1,332 @@
+from dateutil.parser import parse
+from datetime import timezone
+from datetime import datetime
+
+from investing_algorithm_framework.domain.models.base_model import BaseModel
+
+
+class TradeStopLoss(BaseModel):
+    """
+    TradeStopLoss represents a stop loss strategy for a trade.
+
+    if trailing is set to False, the stop loss price is calculated as follows:
+        You buy a stock at $100.
+        You set a 5% stop loss, meaning you will sell if
+            the price drops to $95.
+        If the price rises to $120, the stop loss is not triggered.
+        But if the price keeps falling to $95, the stop loss triggers,
+            and you exit with a $5 loss.
+
+    if trailing is set to True, the stop loss price is
+    calculated as follows:
+        You buy a stock at $100.
+        You set a 5% trailing stop loss, meaning you will sell if
+            the price drops 5% from its peak at $96
+        If the price rises to $120, the stop loss adjusts
+            to $114 (5% below $120).
+        If the price falls to $114, the position is
+            closed, securing a $14 profit.
+        But if the price keeps rising to $150, the stop
+            loss moves up to $142.50.
+        If the price drops from $150 to $142.50, the stop
+            loss triggers, and you exit with a $42.50 profit.
+
+    Attributes:
+        - trade (Trade): the trade that the take profit is for
+        - trailing (bool): whether the stop loss is trailing or fixed
+        - percentage (float): the stop loss percentage
+        - sell_percentage (float): the percentage of the trade to sell when the
+            take profit is hit. Default is 100% of the trade. If the
+            take profit percentage is lower than 100% a check must
+            be made that the combined sell percentage of all
+            take profits is less or equal than 100%.
+        - open_price (float): the price at which the trade was opened
+        - high_water_mark_date (str): the date at which the high water mark
+            was reached
+        - active (bool): whether the stop loss is active
+        - sell_amount (float): the amount to sell when the stop loss triggers
+        - sold_amount (float): the amount that has been sold
+        - high_water_mark (float) the highest price of the trade
+        - stop_loss_price (float) the price at which the stop loss triggers
+    """
+
+    def __init__(
+        self,
+        trade_id: int,
+        percentage: float,
+        open_price: float,
+        trailing: bool = False,
+        total_amount_trade: float = None,
+        sell_percentage: float = 100,
+        active: bool = True,
+        triggered: bool = False,
+        triggered_at: datetime = None,
+        sell_prices: str = None,
+        sell_dates: str = None,
+        sell_amount: float = None,
+        high_water_mark: float = None,
+        high_water_mark_date: str = None,
+        created_at: datetime = None,
+        updated_at: datetime = None
+    ):
+        self.trade_id = trade_id
+        self.trailing = trailing
+        self.percentage = percentage
+        self.triggered = triggered
+        self.triggered_at = triggered_at
+        self.sell_percentage = sell_percentage
+        self.high_water_mark = high_water_mark
+        self.high_water_mark_date = high_water_mark_date
+        self.open_price = open_price
+        self.created_at = created_at
+        self.updated_at = updated_at
+
+        if high_water_mark is None:
+            self.high_water_mark = open_price
+            self.stop_loss_price = self.open_price * \
+                (1 - (self.percentage / 100))
+            self.high_water_mark_date = created_at
+        else:
+            self.stop_loss_price = high_water_mark * \
+                (1 - (self.percentage / 100))
+
+        if sell_amount is not None:
+            self.sell_amount = sell_amount
+        else:
+            self.sell_amount = total_amount_trade * \
+                (self.sell_percentage / 100)
+
+        self.sold_amount = 0
+        self.active = active
+        self.sell_prices = sell_prices
+        self.sell_dates = sell_dates
+
+    def update_with_last_reported_price(self, current_price: float, date):
+        """
+        Function to update the take profit price based on the last
+        reported price.
+        The take profit price is only updated when the trade risk
+        type is trailing.
+        The take profit price is updated based on the current price
+        and the percentage of the take profit.
+
+        Args:
+            current_price (float): the last reported price of the trade
+            date (datetime): the date of the last reported price
+
+        Returns:
+            None
+        """
+
+        if not self.active or self.sold_amount == self.sell_amount:
+            return
+
+        if not self.trailing:
+            # 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))
+
+    def has_triggered(self, current_price: float) -> bool:
+        """
+        Function to check if the stop loss has triggered.
+        Function always returns False if the stop loss is not active or
+            the sold amount is equal to the sell amount.
+
+        Args:
+            current_price: float - the current price of the trade
+
+        Returns:
+            bool - True if the stop loss has triggered, False otherwise
+        """
+        if not self.active or self.sold_amount == self.sell_amount:
+            return False
+
+        if not self.trailing:
+            # Check if the current price is less than the high watermark
+            return current_price <= self.stop_loss_price
+        else:
+            # Check if the current price is less than the stop loss price
+            if current_price <= self.stop_loss_price:
+                return True
+            elif current_price > self.high_water_mark:
+                self.high_water_mark = current_price
+                self.stop_loss_price = self.high_water_mark * \
+                    (1 - (self.percentage / 100))
+
+        return False
+
+    def get_sell_amount(self) -> float:
+        """
+        Function to calculate the amount to sell based on the
+        sell percentage and the remaining amount of the trade.
+        Keep in mind the moment the take profit triggers, the remaining
+            amount of the trade is used to calculate the sell amount.
+        If the remaining amount is smaller than the trade amount, the
+            trade stop loss stays active. The client that uses the
+            trade stop loss is responsible for setting the trade stop
+            loss to inactive.
+        """
+
+        if not self.active:
+            return 0
+
+        return self.sell_amount - self.sold_amount
+
+    def add_sell_price(self, price: float, date: str):
+        """
+        Function to add a sell price to the list of sell prices.
+        The sell price is added to the list of sell prices and the
+        date is added to the list of sell dates.
+
+        Args:
+            price: float - the price at which the trade was sold
+            date: str - the date at which the trade was sold
+
+        Returns:
+            None
+        """
+        if self.sell_prices is None:
+            self.sell_prices = str(price)
+            self.sell_dates = str(date)
+        else:
+            self.sell_prices += f", {price}"
+            self.sell_dates += f", {date}"
+
+    def remove_sell_price(self, price: float, date: str):
+        """
+        Function to remove a sell price from the list of sell prices.
+        The sell price is removed from the list of sell prices and the
+        date is removed from the list of sell dates.
+
+        Args:
+            price: float - the price at which the trade was sold
+            date: str - the date at which the trade was sold
+
+        Returns:
+            None
+        """
+        if self.sell_prices is not None:
+
+            # Split the sell prices into a list and convert to float
+            sell_prices_list = self.sell_prices.split(", ")
+            sell_prices_list = [float(p) for p in sell_prices_list]
+
+            if price in sell_prices_list:
+                sell_prices_list.remove(price)
+                self.sell_prices = ", ".join(sell_prices_list)
+
+            if self.sell_prices == "":
+                self.sell_prices = None
+
+            # Split the sell dates into a list
+            sell_dates_list = self.sell_dates.split(", ")
+            if date in sell_dates_list:
+                sell_dates_list.remove(date)
+                self.sell_dates = ", ".join(sell_dates_list)
+        else:
+            self.sell_prices = None
+            self.sell_dates = None
+
+    def to_dict(self, datetime_format=None):
+        def ensure_iso(value):
+
+            if value is None:
+                return value
+
+            if hasattr(value, "isoformat"):
+                if value.tzinfo is None:
+                    value = value.replace(tzinfo=timezone.utc)
+                return value.isoformat()
+            return value
+
+        return {
+            "trade_id": self.trade_id,
+            "trailing": self.trailing,
+            "percentage": self.percentage,
+            "open_price": self.open_price,
+            "sell_percentage": self.sell_percentage,
+            "high_water_mark": self.high_water_mark,
+            "high_water_mark_date": self.high_water_mark_date,
+            "triggered": self.triggered,
+            "triggered_at": ensure_iso(getattr(self, "triggered_at", None)),
+            "stop_loss_price": self.stop_loss_price,
+            "sell_amount": self.sell_amount,
+            "sold_amount": self.sold_amount,
+            "active": self.active,
+            "sell_prices": self.sell_prices,
+            "created_at": ensure_iso(self.created_at),
+            "updated_at": ensure_iso(self.updated_at)
+        }
+
+    @staticmethod
+    def from_dict(data: dict):
+        created_at = parse(data["created_at"]) \
+            if data.get("created_at") is not None else None
+        updated_at = parse(data["updated_at"]) \
+            if data.get("updated_at") is not None else None
+        triggered_at = parse(data["triggered_at"]) \
+            if data.get("triggered_at") is not None else None
+        high_water_mark_date = parse(data.get("high_water_mark_date")) \
+            if data.get("high_water_mark_date") is not None else None
+
+        # Make sure all the dates are timezone utc aware
+        if created_at and created_at.tzinfo is None:
+            created_at = created_at.replace(tzinfo=timezone.utc)
+        if updated_at and updated_at.tzinfo is None:
+            updated_at = updated_at.replace(tzinfo=timezone.utc)
+        if triggered_at and triggered_at.tzinfo is None:
+            triggered_at = triggered_at.replace(tzinfo=timezone.utc)
+        if high_water_mark_date and high_water_mark_date.tzinfo is None:
+            high_water_mark_date = high_water_mark_date.replace(
+                tzinfo=timezone.utc
+            )
+
+        return TradeStopLoss(
+            trade_id=data.get("trade_id"),
+            trailing=data.get("trailing"),
+            percentage=data.get("percentage"),
+            open_price=data.get("open_price"),
+            total_amount_trade=data.get("sell_amount", 0) /
+                               (data.get("sell_percentage", 100) / 100),
+            sell_percentage=data.get("sell_percentage", 100),
+            active=data.get("active", True),
+            sell_prices=data.get("sell_prices"),
+            sell_dates=data.get("sell_dates"),
+            sell_amount=data.get("sell_amount"),
+            high_water_mark=data.get("high_water_mark"),
+            high_water_mark_date=high_water_mark_date,
+            triggered=data.get("triggered", False),
+            triggered_at=triggered_at,
+            created_at=created_at,
+            updated_at=updated_at
+        )
+
+    def __repr__(self):
+        return self.repr(
+            trade_id=self.trade_id,
+            trailing=self.trailing,
+            percentage=self.percentage,
+            sell_percentage=self.sell_percentage,
+            high_water_mark=self.high_water_mark,
+            high_water_mark_date=self.high_water_mark_date,
+            open_price=self.open_price,
+            stop_loss_price=self.stop_loss_price,
+            sell_amount=self.sell_amount,
+            sold_amount=self.sold_amount,
+            sell_prices=self.sell_prices,
+            active=self.active,
+            triggered=self.triggered,
+            triggered_at=self.triggered_at,
+            created_at=self.created_at,
+            updated_at=self.updated_at
+        )

investing_algorithm_framework/domain/models/trade/trade_take_profit.py

@@ -0,0 +1,365 @@
+from datetime import timezone, datetime
+from dateutil.parser import parse
+
+from investing_algorithm_framework.domain.models.base_model import BaseModel
+
+
+class TradeTakeProfit(BaseModel):
+    """
+    TradeTakeProfit represents a take profit strategy for a trade.
+
+    if trailing is set to False, the take profit price is
+    calculated as follows:
+        You buy a stock at $100.
+        You set a 5% take profit, meaning you will sell if the price
+            rises to $105.
+        If the price rises to $120, the take profit triggers,
+            and you exit with a $20 profit.
+        But if the price keeps falling below $105, the take profit is not
+            triggered.
+
+    if trailing is set to True, the take profit price is
+    calculated as follows:
+        You buy a stock at $100.
+        You set a 5% trailing take profit, the moment the price rises
+            5% the initial take profit mark will be set. This means you
+            will set the take_profit_price initially at none and
+            only if the price hits $105, you will set the
+            take_profit_price to $105.
+        if the price drops below $105, the take profit is triggered.
+        If the price rises to $120, the take profit adjusts to
+        $114 (5% below $120).
+        If the price falls to $114, the position is closed,
+        securing a $14 profit.
+        But if the price keeps rising to $150, the take profit
+        moves up to $142.50.
+
+    Attributes:
+        - trade (Trade): the trade that the take profit is for
+        - trailing (bool): whether the take profit is trailing or fixed
+        - percentage (float): the stop loss percentage
+        - sell_percentage (float): the percentage of the trade to sell when the
+            take profit is hit. Default is 100% of the trade. If the
+            take profit percentage is lower than 100% a check must
+            be made that the combined sell percentage of all
+            take profits is less or equal than 100%.
+        - open_price (float): the price at which the trade was opened
+        - take_profit_price (float): the price at which the take profit
+            triggers
+        - high_water_mark_date (str): the date at which the high water mark
+            was reached
+        - active (bool): whether the take profit is active
+        - triggered (bool): whether the take profit has been triggered
+        - sell_amount (float): the amount to sell when the stop loss triggers
+        - sold_amount (float): the amount that has been sold
+        - high_water_mark (float) the highest price of the trade
+        - stop_loss_price (float) the price at which the stop loss triggers
+    """
+
+    def __init__(
+        self,
+        trade_id: int,
+        percentage: float,
+        open_price: float,
+        trailing: bool = False,
+        total_amount_trade: float = None,
+        sell_percentage: float = 100,
+        active: bool = True,
+        triggered: bool = False,
+        triggered_at: datetime = None,
+        sell_prices: str = None,
+        sell_dates: str = None,
+        sell_amount: float = None,
+        high_water_mark: float = None,
+        high_water_mark_date: str = None,
+        created_at: datetime = None,
+        updated_at: datetime = None
+    ):
+        self.trade_id = trade_id
+        self.trailing = trailing
+        self.percentage = percentage
+        self.sell_percentage = sell_percentage
+        self.triggered = triggered
+        self.triggered_at = triggered_at
+        self.high_water_mark = high_water_mark
+        self.high_water_mark_date = high_water_mark_date
+        self.open_price = open_price
+        self.created_at = created_at
+        self.updated_at = updated_at
+
+        if high_water_mark is None and not self.trailing:
+            self.take_profit_price = self.open_price * \
+                (1 + (self.percentage / 100))
+        else:
+            self.take_profit_price = None
+
+        if sell_amount is not None:
+            self.sell_amount = sell_amount
+        else:
+            self.sell_amount = total_amount_trade * \
+                (self.sell_percentage / 100)
+        self.sold_amount = 0
+        self.active = active
+        self.sell_prices = sell_prices
+        self.sell_dates = sell_dates
+
+    def update_with_last_reported_price(self, current_price: float, date):
+        """
+        Function to update the take profit price based on
+            the last reported price.
+        For fixed take profits: track the high water mark when price
+            exceeds the take profit price.
+        For trailing take profits: update the take profit price based on
+            the current price and the percentage of the take profit.
+
+        Args:
+            current_price: float - the last reported price of the trade
+            date: the date of the price update
+        """
+
+        if not self.trailing:
+            # Fixed take profit: track high watermark
+            if current_price >= self.take_profit_price:
+                if (self.high_water_mark is None
+                        or current_price > self.high_water_mark):
+                    self.high_water_mark = current_price
+                    self.high_water_mark_date = date
+            return
+
+        # Trailing take profit logic
+        if self.high_water_mark is None:
+            # High water mark not set yet
+            # Calculate the initial take profit threshold
+            initial_threshold = self.open_price * (1 + (self.percentage / 100))
+
+            # Wait for price to reach the initial take profit threshold
+            if current_price >= initial_threshold:
+                # Initial threshold reached, set high watermark
+                self.high_water_mark = current_price
+                self.high_water_mark_date = date
+                # Calculate new take profit price based on high watermark
+                self.take_profit_price = self.high_water_mark * \
+                    (1 - (self.percentage / 100))
+        else:
+            # High watermark is set, check for updates
+            # Check if price has risen above high watermark (adjust upward)
+            if current_price > self.high_water_mark:
+                self.high_water_mark = current_price
+                self.high_water_mark_date = date
+                # Recalculate take profit price based on new high water mark
+                new_take_profit_price = self.high_water_mark * \
+                    (1 - (self.percentage / 100))
+                # Update take profit price if it's higher than current
+                if new_take_profit_price > self.take_profit_price:
+                    self.take_profit_price = new_take_profit_price
+
+    def has_triggered(self, current_price: float = None) -> bool:
+
+        if not self.trailing:
+            # Fixed take profit: trigger when price reaches take_profit_price
+            return current_price >= self.take_profit_price
+        else:
+            # Trailing take profit logic
+            if self.high_water_mark is None:
+                # High water mark not set yet
+                # Calculate the initial take profit threshold
+                # (open_price * (1 + percentage))
+                initial_threshold = (self.open_price
+                                     * (1 + (self.percentage / 100)))
+
+                # Wait for price to reach the initial take profit threshold
+                if current_price >= initial_threshold:
+                    # Initial threshold reached, set high water mark
+                    self.high_water_mark = current_price
+                    # Calculate new take profit price based on high water mark
+                    # This is the pullback level
+                    # (high_water_mark * (1 - percentage))
+                    self.take_profit_price = self.high_water_mark * \
+                        (1 - (self.percentage / 100))
+                # Don't trigger yet, wait for pullback
+                return False
+            else:
+                # High watermark is set, check for triggers and updates
+
+                # Check if price has pulled back below take profit
+                # price (trigger condition)
+                if current_price < self.take_profit_price:
+                    return True
+
+                # Check if price has risen above high
+                # water mark (adjust upward)
+                if current_price > self.high_water_mark:
+                    self.high_water_mark = current_price
+                    # Recalculate take profit price based on
+                    # new high water mark
+                    new_take_profit_price = self.high_water_mark * \
+                        (1 - (self.percentage / 100))
+                    # Update take profit price if it's higher than current
+                    if new_take_profit_price > self.take_profit_price:
+                        self.take_profit_price = new_take_profit_price
+
+                return False
+
+    def get_sell_amount(self) -> float:
+        """
+        Function to calculate the amount to sell based on the
+        sell percentage and the remaining amount of the trade.
+        Keep in mind the moment the take profit triggers, the remaining
+            amount of the trade is used to calculate the sell amount.
+        If the remaining amount is smaller than the trade amount, the
+            trade stop loss stays active. The client that uses the
+            trade stop loss is responsible for setting the trade stop
+            loss to inactive.
+
+        Returns:
+            float - the amount to sell
+        """
+
+        if not self.active:
+            return 0
+
+        return self.sell_amount - self.sold_amount
+
+    def add_sell_price(self, price: float, date: str):
+        """
+        Function to add a sell price to the list of sell prices.
+        The sell price is added to the list of sell prices and the
+        date is added to the list of sell dates.
+
+        Args:
+            price (float): the price at which the trade was sold
+            date (datetime): the date at which the trade was sold
+
+        Returns:
+            None
+        """
+        if self.sell_prices is None:
+            self.sell_prices = str(price)
+            self.sell_dates = str(date)
+        else:
+            self.sell_prices += f", {price}"
+            self.sell_dates += f", {date}"
+
+    def remove_sell_price(self, price: float, date: str):
+        """
+        Function to remove a sell price from the list of sell prices.
+        The sell price is removed from the list of sell prices and the
+        date is removed from the list of sell dates.
+
+        Args:
+            price: float - the price at which the trade was sold
+            date: str - the date at which the trade was sold
+
+        Returns:
+            None
+        """
+        if self.sell_prices is not None:
+
+            # Split the sell prices into a list and convert to float
+            sell_prices_list = self.sell_prices.split(", ")
+            sell_prices_list = [float(p) for p in sell_prices_list]
+
+            if price in sell_prices_list:
+                sell_prices_list.remove(price)
+                self.sell_prices = ", ".join(sell_prices_list)
+
+            if self.sell_prices == "":
+                self.sell_prices = None
+
+            # Split the sell dates into a list
+            sell_dates_list = self.sell_dates.split(", ")
+            if date in sell_dates_list:
+                sell_dates_list.remove(date)
+                self.sell_dates = ", ".join(sell_dates_list)
+        else:
+            self.sell_prices = None
+            self.sell_dates = None
+
+    def to_dict(self, datetime_format=None):
+        def ensure_iso(value):
+            if hasattr(value, "isoformat"):
+                if value.tzinfo is None:
+                    value = value.replace(tzinfo=timezone.utc)
+                return value.isoformat()
+            return value
+
+        return {
+            "trade_id": self.trade_id,
+            "trailing": self.trailing,
+            "percentage": self.percentage,
+            "open_price": self.open_price,
+            "sell_percentage": self.sell_percentage,
+            "high_water_mark": self.high_water_mark,
+            "take_profit_price": self.take_profit_price,
+            "sell_amount": self.sell_amount,
+            "sold_amount": self.sold_amount,
+            "active": self.active,
+            "triggered": self.triggered,
+            "triggered_at": ensure_iso(self.triggered_at),
+            "high_water_mark_date": self.high_water_mark_date,
+            "sell_prices": self.sell_prices,
+            "created_at": ensure_iso(self.created_at),
+            "updated_at": ensure_iso(self.updated_at)
+        }
+
+    @staticmethod
+    def from_dict(data: dict):
+        created_at = parse(data["created_at"]) \
+            if data.get("created_at") is not None else None
+        updated_at = parse(data["updated_at"]) \
+            if data.get("updated_at") is not None else None
+        triggered_at = parse(data["triggered_at"]) \
+            if data.get("triggered_at") is not None else None
+        high_water_mark_date = parse(data.get("high_water_mark_date")) \
+            if data.get("high_water_mark_date") is not None else None
+
+        # Make sure all the dates are timezone utc aware
+        if created_at and created_at.tzinfo is None:
+            created_at = created_at.replace(tzinfo=timezone.utc)
+        if updated_at and updated_at.tzinfo is None:
+            updated_at = updated_at.replace(tzinfo=timezone.utc)
+        if triggered_at and triggered_at.tzinfo is None:
+            triggered_at = triggered_at.replace(tzinfo=timezone.utc)
+        if high_water_mark_date and high_water_mark_date.tzinfo is None:
+            high_water_mark_date = high_water_mark_date.replace(
+                tzinfo=timezone.utc
+            )
+
+        return TradeTakeProfit(
+            trade_id=data.get("trade_id"),
+            trailing=data.get("trailing"),
+            percentage=data.get("percentage"),
+            open_price=data.get("open_price"),
+            total_amount_trade=data.get("total_amount_trade"),
+            sell_percentage=data.get("sell_percentage", 100),
+            active=data.get("active", True),
+            triggered=data.get("triggered", False),
+            triggered_at=triggered_at,
+            sell_prices=data.get("sell_prices"),
+            sell_dates=data.get("sell_dates"),
+            sell_amount=data.get("sell_amount"),
+            high_water_mark=data.get("high_water_mark"),
+            high_water_mark_date=high_water_mark_date,
+            created_at=created_at,
+            updated_at=updated_at
+        )
+
+    def __repr__(self):
+        return self.repr(
+            trade_id=self.trade_id,
+            trailing=self.trailing,
+            percentage=self.percentage,
+            open_price=self.open_price,
+            sell_percentage=self.sell_percentage,
+            high_water_mark=self.high_water_mark,
+            high_water_mark_date=self.high_water_mark_date,
+            triggered=self.triggered,
+            triggered_at=self.triggered_at,
+            take_profit_price=self.take_profit_price,
+            sell_amount=self.sell_amount,
+            sold_amount=self.sold_amount,
+            active=self.active,
+            sell_prices=self.sell_prices,
+            created_at=self.created_at,
+            updated_at=self.updated_at
+        )