[Futures] add more flexibility in contracts and positions update

Author: GuillaumeDSM

octobot_trading/api/__init__.py

@@ -201,13 +201,16 @@
 from octobot_trading.api.positions import (
     get_positions,
     close_position,
+    set_is_exclusively_using_exchange_position_details,
 )
 from octobot_trading.api.contracts import (
     is_inverse_future_contract,
     is_perpetual_future_contract,
     get_pair_contracts,
     is_handled_contract,
+    has_pair_future_contract,
     load_pair_contract,
+    create_default_future_contract,
 )
 from octobot_trading.api.storage import (
     clear_trades_storage_history,
@@ -381,7 +384,10 @@
     "is_perpetual_future_contract",
     "get_pair_contracts",
     "is_handled_contract",
+    "has_pair_future_contract",
     "load_pair_contract",
+    "create_default_future_contract",
+    "set_is_exclusively_using_exchange_position_details",
     "clear_trades_storage_history",
     "clear_candles_storage_history",
     "clear_database_storage_history",

octobot_trading/api/contracts.py

@@ -13,8 +13,10 @@
 #
 #  You should have received a copy of the GNU Lesser General Public
 #  License along with this library.
-import octobot_trading.exchange_data as exchange_data
+import decimal
 
+import octobot_trading.enums as enums
+import octobot_trading.exchange_data as exchange_data
 
 def is_inverse_future_contract(contract_type):
     return exchange_data.FutureContract(None, None, contract_type).is_inverse_contract()
@@ -32,5 +34,15 @@ def is_handled_contract(contract) -> bool:
     return contract.is_handled_contract()
 
 
+def has_pair_future_contract(exchange_manager, pair: str) -> bool:
+    return exchange_manager.exchange.has_pair_future_contract(pair)
+
+
 def load_pair_contract(exchange_manager, contract_dict: dict):
     exchange_data.update_future_contract_from_dict(exchange_manager, contract_dict)
+
+
+def create_default_future_contract(
+    pair: str, leverage: decimal.Decimal, contract_type: enums.FutureContractType
+) -> exchange_data.FutureContract:
+    return exchange_data.create_default_future_contract(pair, leverage, contract_type)

octobot_trading/api/positions.py

@@ -36,5 +36,9 @@ async def close_position(exchange_manager, symbol: str, side: enums.PositionSide
     return 0
 
 
-def load_pair_contract(exchange_manager, position_dict: dict):
-    exchange_data.update_future_contract_from_dict(exchange_manager, position_dict)
+def set_is_exclusively_using_exchange_position_details(
+    exchange_manager, is_exclusively_using_exchange_position_details: bool
+):
+    exchange_manager.exchange_personal_data.positions_manager.is_exclusively_using_exchange_position_details = (
+        is_exclusively_using_exchange_position_details
+    )

octobot_trading/enums.py

@@ -342,6 +342,7 @@ class TradeExtraConstants(enum.Enum):
 
 class ExchangeConstantsPositionColumns(enum.Enum):
     ID = "id"
+    LOCAL_ID = "local_id"
     TIMESTAMP = "timestamp"
     SYMBOL = "symbol"
     ENTRY_PRICE = "entry_price"
@@ -355,6 +356,7 @@ class ExchangeConstantsPositionColumns(enum.Enum):
     SIZE = "size"
     NOTIONAL = "notional"
     INITIAL_MARGIN = "initial_margin"
+    AUTO_DEPOSIT_MARGIN = "auto_deposit_margin"
     COLLATERAL = "collateral"
     LEVERAGE = "leverage"
     MARGIN_TYPE = "margin_type"
@@ -364,7 +366,6 @@ class ExchangeConstantsPositionColumns(enum.Enum):
     MAINTENANCE_MARGIN_RATE = "maintenance_margin_rate"
     STATUS = "status"
     SIDE = "side"
-    EXCHANGE_POSITION_ID = "exchange_position_id"
 
 
 class ExchangeConstantsMarginContractColumns(enum.Enum):

octobot_trading/exchange_data/__init__.py

@@ -92,6 +92,7 @@
     FutureContract,
     update_contracts_from_positions,
     update_future_contract_from_dict,
+    create_default_future_contract,
 )
 from octobot_trading.exchange_data import exchange_symbol_data
 from octobot_trading.exchange_data.exchange_symbol_data import (
@@ -195,6 +196,7 @@
     "FutureContract",
     "update_contracts_from_positions",
     "update_future_contract_from_dict",
+    "create_default_future_contract",
     "ExchangeSymbolsData",
     "ExchangeSymbolData",
     "UNAUTHENTICATED_UPDATER_PRODUCERS",

octobot_trading/exchange_data/contracts/__init__.py

@@ -28,11 +28,13 @@
 from octobot_trading.exchange_data.contracts.contract_factory import (
     update_contracts_from_positions,
     update_future_contract_from_dict,
+    create_default_future_contract,
 )
 
 __all__ = [
     "MarginContract",
     "FutureContract",
     "update_contracts_from_positions",
     "update_future_contract_from_dict",
+    "create_default_future_contract",
 ]

octobot_trading/exchange_data/contracts/contract_factory.py

@@ -19,6 +19,7 @@
 
 import octobot_trading.enums as enums
 import octobot_trading.constants as constants
+import octobot_trading.exchange_data.contracts.future_contract as future_contract
 
 
 def update_contracts_from_positions(exchange_manager, positions) -> bool:
@@ -64,7 +65,9 @@ def update_future_contract_from_dict(exchange_manager, contract: dict) -> bool:
         )),
         margin_type=enums.MarginType(contract[enums.ExchangeConstantsMarginContractColumns.MARGIN_TYPE.value]),
         contract_type=enums.FutureContractType(contract[enums.ExchangeConstantsFutureContractColumns.CONTRACT_TYPE.value]),
-        position_mode=enums.PositionMode(contract[enums.ExchangeConstantsFutureContractColumns.POSITION_MODE.value]),
+        position_mode=enums.PositionMode(contract[enums.ExchangeConstantsFutureContractColumns.POSITION_MODE.value])
+            if contract[enums.ExchangeConstantsFutureContractColumns.POSITION_MODE.value]
+            else contract[enums.ExchangeConstantsFutureContractColumns.POSITION_MODE.value],
         maintenance_margin_rate=decimal.Decimal(str(
             contract[enums.ExchangeConstantsFutureContractColumns.MAINTENANCE_MARGIN_RATE.value]
         )),
@@ -75,5 +78,20 @@ def update_future_contract_from_dict(exchange_manager, contract: dict) -> bool:
     )
 
 
+def create_default_future_contract(
+    pair: str, leverage: decimal.Decimal, contract_type: enums.FutureContractType
+) -> future_contract.FutureContract:
+    return future_contract.FutureContract(
+        pair=pair,
+        contract_size=constants.DEFAULT_SYMBOL_CONTRACT_SIZE,
+        margin_type=constants.DEFAULT_SYMBOL_MARGIN_TYPE,
+        contract_type=contract_type,
+        maximum_leverage=constants.DEFAULT_SYMBOL_MAX_LEVERAGE,
+        current_leverage=leverage,
+        position_mode=constants.DEFAULT_SYMBOL_POSITION_MODE,
+        maintenance_margin_rate=constants.DEFAULT_SYMBOL_MAINTENANCE_MARGIN_RATE
+    )
+
+
 def _get_logger():
     return logging.get_logger("contract_factory")

octobot_trading/exchange_data/contracts/future_contract.py

@@ -119,7 +119,8 @@ def to_dict(self):
                 enums.ExchangeConstantsFutureContractColumns.CONTRACT_TYPE.value:
                     self.contract_type.value if self.contract_type else self.contract_type,
                 enums.ExchangeConstantsFutureContractColumns.MINIMUM_TICK_SIZE.value: self.minimum_tick_size,
-                enums.ExchangeConstantsFutureContractColumns.POSITION_MODE.value: self.position_mode.value,
+                enums.ExchangeConstantsFutureContractColumns.POSITION_MODE.value:
+                    self.position_mode.value if self.position_mode else self.position_mode,
                 enums.ExchangeConstantsFutureContractColumns.MAINTENANCE_MARGIN_RATE.value:
                     self.maintenance_margin_rate,
                 enums.ExchangeConstantsFutureContractColumns.TAKE_PROFIT_STOP_LOSS_MODE.value:

octobot_trading/exchanges/connectors/ccxt/ccxt_adapter.py

@@ -273,18 +273,33 @@ def parse_position(self, fixed, force_empty=False, **kwargs):
         # CCXT standard position parsing logic
         # if mode is enums.PositionMode.ONE_WAY:
         original_side = fixed.get(ccxt_enums.ExchangePositionCCXTColumns.SIDE.value)
-        position_side = enums.PositionSide.BOTH
-        # todo when handling cross positions
-        # side = fixed.get(ccxt_enums.ExchangePositionCCXTColumns.SIDE.value, enums.PositionSide.UNKNOWN.value)
-        # position_side = enums.PositionSide.LONG \
-        #     if side == enums.PositionSide.LONG.value else enums.PositionSide.
         symbol = fixed.get(ccxt_enums.ExchangePositionCCXTColumns.SYMBOL.value)
         contract_size = decimal.Decimal(str(fixed.get(ccxt_enums.ExchangePositionCCXTColumns.CONTRACT_SIZE.value, 0)))
         contracts = constants.ZERO if force_empty \
             else decimal.Decimal(str(fixed.get(ccxt_enums.ExchangePositionCCXTColumns.CONTRACTS.value, 0)))
         is_empty = contracts == constants.ZERO
+        position_mode = (
+            enums.PositionMode.HEDGE if fixed.get(ccxt_enums.ExchangePositionCCXTColumns.HEDGED.value, False)
+            else enums.PositionMode.ONE_WAY
+        )
+        if position_mode is enums.PositionMode.HEDGE:
+            # todo when handling helge positions
+            side = fixed.get(ccxt_enums.ExchangePositionCCXTColumns.SIDE.value, enums.PositionSide.UNKNOWN.value)
+            position_side = enums.PositionSide.LONG \
+                if side == enums.PositionSide.LONG.value else enums.PositionSide.SHORT
+            log_func = self.logger.debug
+            if is_empty:
+                log_func = self.logger.error
+            log_func(f"Unhandled {symbol} position mode ({position_mode.value}). This position can't be traded.")
+        else:
+            # One way position use BOTH side as there is always only one position per symbol.
+            # This position can turn long and short
+            position_side = enums.PositionSide.BOTH
         liquidation_price = fixed.get(ccxt_enums.ExchangePositionCCXTColumns.LIQUIDATION_PRICE.value, 0)
-        if margin_type := fixed.get(ccxt_enums.ExchangePositionCCXTColumns.MARGIN_TYPE.value, None):
+        if margin_type := fixed.get(
+            ccxt_enums.ExchangePositionCCXTColumns.MARGIN_TYPE.value,
+            fixed.get(ccxt_enums.ExchangePositionCCXTColumns.MARGIN_MODE.value, None)   # can also be contained in margin mode
+        ):
             margin_type = enums.MarginType(margin_type)
         if force_empty or liquidation_price is None:
             liquidation_price = constants.NaN
@@ -306,9 +321,7 @@ def parse_position(self, fixed, force_empty=False, **kwargs):
                 enums.ExchangeConstantsPositionColumns.LEVERAGE.value:
                     self.safe_decimal(fixed, ccxt_enums.ExchangePositionCCXTColumns.LEVERAGE.value,
                                       constants.DEFAULT_SYMBOL_LEVERAGE),
-                enums.ExchangeConstantsPositionColumns.POSITION_MODE.value: None if is_empty else
-                enums.PositionMode.HEDGE if fixed.get(ccxt_enums.ExchangePositionCCXTColumns.HEDGED.value, True)
-                else enums.PositionMode.ONE_WAY,
+                enums.ExchangeConstantsPositionColumns.POSITION_MODE.value: position_mode,
                 # next values are always 0 when the position empty (0 contracts)
                 enums.ExchangeConstantsPositionColumns.COLLATERAL.value: constants.ZERO if is_empty else
                 decimal.Decimal(
@@ -319,6 +332,7 @@ def parse_position(self, fixed, force_empty=False, **kwargs):
                 enums.ExchangeConstantsPositionColumns.INITIAL_MARGIN.value: constants.ZERO if is_empty else
                 decimal.Decimal(
                     f"{fixed.get(ccxt_enums.ExchangePositionCCXTColumns.INITIAL_MARGIN.value, 0) or 0}"),
+                enums.ExchangeConstantsPositionColumns.AUTO_DEPOSIT_MARGIN.value: False,    # default value
                 enums.ExchangeConstantsPositionColumns.UNREALIZED_PNL.value: constants.ZERO if is_empty else
                 decimal.Decimal(
                     f"{fixed.get(ccxt_enums.ExchangePositionCCXTColumns.UNREALISED_PNL.value, 0) or 0}"),

octobot_trading/exchanges/implementations/exchange_simulator.py

@@ -19,6 +19,7 @@
 import octobot_trading.exchanges.util as exchange_util
 import octobot_trading.exchanges.connectors.simulator.exchange_simulator_connector as exchange_simulator_connector
 import octobot_trading.exchanges.types.rest_exchange as rest_exchange
+import octobot_trading.exchange_data.contracts.contract_factory as contract_factory
 
 
 class ExchangeSimulator(rest_exchange.RestExchange):
@@ -119,15 +120,20 @@ async def load_pair_future_contract(self, pair: str):
         Create a new FutureContract for the pair
         :param pair: the pair
         """
+        contract = contract_factory.create_default_future_contract(
+            pair,
+            constants.DEFAULT_SYMBOL_LEVERAGE,
+            self.exchange_manager.exchange_config.backtesting_exchange_config.future_contract_type
+        )
         return self.create_pair_contract(
-            pair=pair,
-            current_leverage=constants.DEFAULT_SYMBOL_LEVERAGE,
-            contract_size=constants.DEFAULT_SYMBOL_CONTRACT_SIZE,
-            margin_type=constants.DEFAULT_SYMBOL_MARGIN_TYPE,
-            contract_type=self.exchange_manager.exchange_config.backtesting_exchange_config.future_contract_type,
-            position_mode=constants.DEFAULT_SYMBOL_POSITION_MODE,
-            maintenance_margin_rate=constants.DEFAULT_SYMBOL_MAINTENANCE_MARGIN_RATE,
-            maximum_leverage=constants.DEFAULT_SYMBOL_MAX_LEVERAGE
+            contract.pair,
+            contract.current_leverage,
+            contract.contract_size,
+            contract.margin_type,
+            contract.contract_type,
+            contract.position_mode,
+            contract.maintenance_margin_rate,
+            maximum_leverage = contract.maximum_leverage,
         )
 
     async def get_symbol_leverage(self, symbol: str, **kwargs: dict):