Merge pull request #1050 from tradingstrategy-ai/partialtp-close-trade-2

Fix partial tp and visualization

tests/backtest/test_grid_search.py

@@ -261,7 +261,7 @@ def test_perform_grid_search_single_thread(
     # Getting on Github:
     # Obtained: 0.011546587485546267
     # Expected: 0.011682534679563261 ± 1.2e-08
-    assert row["CAGR"] == pytest.approx(0.011536997940393867, rel=0.01)
+    assert row["CAGR"] == pytest.approx(0.06771955893113946)
     assert row["Positions"] == 2
 
     render_grid_search_result_table(table)

tests/units_tests/test_market_limit.py

@@ -266,6 +266,13 @@ def test_partial_take_profit(
     )
     assert len(opening_trades) == 1
 
+    # TODO: currently we don't support setting partial take profit for 
+    # pending / planned positions
+    # Execute the position open
+    trader = UnitTestTrader(state)
+    trader.set_perfectly_executed(opening_trades[0])
+    assert opening_trades[0].is_success()
+
     # Set the two stage take profit for the position in preparation
     position = position_manager.get_current_position_for_pair(pair)
     total_quantity = position.get_quantity(planned=True)
@@ -297,12 +304,6 @@ def test_partial_take_profit(
     trigger = t.triggers[0]
     assert trigger.price == pytest.approx(2500.0)
 
-    # Execute the position open
-    trader = UnitTestTrader(state)
-    trader.set_perfectly_executed(opening_trades[0])
-    assert opening_trades[0].is_success()
-    assert position.get_quantity() == pytest.approx(total_quantity)
-
     # We are not within take profit level yet
     assert position.last_token_price == pytest.approx(1823.4539999999997)
 

tradeexecutor/cli/loop.py

@@ -637,10 +637,10 @@ def extract_long_short_stats_from_state(self, state) -> StatisticsTable:
         return long_short_metrics_latest
 
     def check_position_triggers(
-          self,
-          ts: datetime.datetime,
-          state: State,
-          universe: TradingStrategyUniverse
+        self,
+        ts: datetime.datetime,
+        state: State,
+        universe: TradingStrategyUniverse
     ) -> List[TradeExecution]:
         """Run stop loss/take profit/market limit price checks.
 
@@ -810,7 +810,7 @@ def run_backtest_trigger_checks(self,
                 # This gives value_at_open statitics for each position that are needed
                 # to calculate weights later.
                 update_statistics(
-                    datetime.datetime.utcnow(),
+                    ts,
                     state.stats,
                     state.portfolio,
                     self.execution_context.mode,

tradeexecutor/state/position.py

@@ -613,7 +613,7 @@ def get_redeemed(self) -> Decimal:
 
     def get_available_trading_quantity(
         self,
-        include_pending: bool = False,
+        include_pending_trades: bool = False,
     ) -> Decimal:
         """Get token quantity still availble for the trades in this strategy cycle.
 
@@ -627,15 +627,12 @@ def get_available_trading_quantity(
         This gives you remaining token balance, even if there are some earlier
         sell orders that have not been executed yet.
         """
-
-        if include_pending:
-            planned = sum([
-                t.get_position_quantity() 
-                for t in self.trades.values() 
-                if t.is_planned()
-            ])
+
+        if self.is_pending() or include_pending_trades:
+            planned = self.get_pending_quantity()
         else:
-            # exclude partial tp trades
+            # this will be checked when stoploss is triggered
+            # so we need to exclude pending trades (e.g. partial tp trades)
             planned = sum([
                 t.get_position_quantity() 
                 for t in self.trades.values() 

tradeexecutor/statistics/core.py

@@ -212,7 +212,7 @@ def update_statistics(
         logger.info("Serialising long_short_metrics_latest")
 
     stats.long_short_metrics_latest = long_short_metrics_latest
-        
+
     new_stats = calculate_statistics(clock, portfolio, execution_mode)
     stats.portfolio.append(new_stats.portfolio)
     for position_id, position_stats in new_stats.positions.items():

tradeexecutor/strategy/pandas_trader/position_manager.py

@@ -934,7 +934,7 @@ def adjust_position(
                 pair=pair,
                 quantity=Decimal(quantity_delta),
                 reserve=None,
-                assumed_price=price_structure.price,
+                assumed_price=price,
                 trade_type=TradeType.rebalance,
                 reserve_currency=self.reserve_currency,
                 reserve_currency_price=reserve_price,
@@ -1000,7 +1000,7 @@ def close_spot_position(
 
         pair = position.pair
 
-        quantity = quantity or position.get_available_trading_quantity(include_pending=pending)
+        quantity = quantity or position.get_available_trading_quantity(include_pending_trades=pending)
         if quantity:
             assert quantity > 0, "Closing spot, quantity must be positive"
 
@@ -1161,7 +1161,7 @@ def close_position(
         assert position.is_open(), f"Tried to close already closed position {position}"
 
 
-        quantity_left = position.get_available_trading_quantity(include_pending=pending)
+        quantity_left = position.get_available_trading_quantity(include_pending_trades=pending)
 
         if quantity_left == 0:
             # We have already generated closing trades for this position earlier?
@@ -2218,8 +2218,7 @@ def prepare_take_profit_trades(
 
             flags = {TradeFlag.partial_take_profit, TradeFlag.reduce, TradeFlag.triggered}
 
-            # FIXME: temp hack to get market limit order working, fix this
-            if close_flag and not position.is_pending():
+            if close_flag:
                 per_level_trades = self.close_position(
                     position,
                     flags=flags,