fix: do not buy thx that you can't

auto_trading/strat/prop.py

@@ -45,17 +45,25 @@ class Prop(Strategy):
         """
         orders: List[Union[Long, Short]] = []
         conversion_rate = data.loc[data.index[-1][0]].close.to_dict()
-
-        # Desired state
         results = indicators_results.T[self.indicator]
-        desired_state_precent = results[results > 0] / results[results > 0].sum()
-        desired_state_dolards = (
-            state.total_balance(conversion_rate) * desired_state_precent
-        )
+        stock_to_sell = []
 
         # Remove all action that the indicator place as negative.
         for stock in results[results < 0].index:
-            orders.append(Short(stock, state.stocks[stock], conversion_rate[stock]))
+            order = Short(stock, state.stocks[stock], conversion_rate[stock])
+            if self.filter_order(order):
+                orders.append(order)
+                stock_to_sell.append(stock)
+
+        total_money = state.balance + sum(
+            conversion_rate[stock_name] * amount
+            for stock_name, amount in state.stocks.items()
+            if results[stock] > 0 or stock_name in stock_to_sell
+        )
+
+        # Desired state
+        desired_state_precent = results[results > 0] / results[results > 0].sum()
+        desired_state_dolards = total_money * desired_state_precent
 
         # Create the new buy orders from with the delta between the actual and the desired state.
         for stock, amount in desired_state_dolards.items():

tests/strat/test_prop.py

@@ -28,6 +28,29 @@ date = datetime.strptime("2015-03-31", "%Y-%m-%d")
             PTFState(5, {"GOOG": 0, "GOOGL": 0}),
             [],
         ),
+        (
+            1,
+            DataFrame({"close": {(date, "GOOG"): 10, (date, "GOOGL"): 10}}),
+            Series({"GOOG": 1, "GOOGL": -1}),
+            PTFState(0, {"GOOG": 0, "GOOGL": 1}),
+            [Short("GOOGL", price=10, amount=1), Long("GOOG", price=10, amount=1)],
+        ),
+        (
+            20,
+            DataFrame(
+                {
+                    "close": {
+                        (date, "A"): 10,
+                        (date, "B"): 10,
+                        (date, "C"): 10,
+                        (date, "D"): 10,
+                    }
+                }
+            ),
+            Series({"A": 1, "B": -1, "C": -1, "D": -1}),
+            PTFState(0, {"A": 0, "B": 1, "C": 1, "D": 1}),
+            [],
+        ),
     ],
 )
 def test_prop(max_delta, data, indicators_results, state, results):