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all: calculate MarginTolerance

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This commit is contained in:
c9s 2022-04-22 14:45:03 +08:00
parent 76733898db
commit 98a696a7d0
2 changed files with 28 additions and 4 deletions
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24
pkg/exchange/binance/exchange.go
View File

@ -235,7 +235,7 @@ func (e *Exchange) QueryMarginAssetMaxBorrowable(ctx context.Context, asset stri
}
resp, err := req.Do(ctx)
if err != nil {
return 0, err
return fixedpoint.Zero, err
}
return fixedpoint.NewFromString(resp.Amount)
@ -290,10 +290,12 @@ func (e *Exchange) queryCrossMarginAccount(ctx context.Context) (*types.Account,
return nil, err
}
marginLevel := fixedpoint.MustNewFromString(marginAccount.MarginLevel)
a := &types.Account{
AccountType: types.AccountTypeMargin,
MarginInfo: toGlobalMarginAccountInfo(marginAccount), // In binance GO api, Account define marginAccount info which mantain []*AccountAsset and []*AccountPosition.
MarginLevel: fixedpoint.MustNewFromString(marginAccount.MarginLevel),
MarginLevel: marginLevel,
MarginTolerance: calculateMarginTolerance(marginLevel),
BorrowEnabled: marginAccount.BorrowEnabled,
TransferEnabled: marginAccount.TransferEnabled,
}
@ -334,7 +336,9 @@ func (e *Exchange) queryIsolatedMarginAccount(ctx context.Context) (*types.Accou
}
userAsset := marginAccount.Assets[0]
a.MarginLevel = fixedpoint.MustNewFromString(userAsset.MarginLevel)
marginLevel := fixedpoint.MustNewFromString(userAsset.MarginLevel)
a.MarginLevel = marginLevel
a.MarginTolerance = calculateMarginTolerance(marginLevel)
a.MarginRatio = fixedpoint.MustNewFromString(userAsset.MarginRatio)
a.BorrowEnabled = userAsset.BaseAsset.BorrowEnabled || userAsset.QuoteAsset.BorrowEnabled
a.LiquidationPrice = fixedpoint.MustNewFromString(userAsset.LiquidatePrice)
@ -1497,3 +1501,17 @@ func getLaunchDate() (time.Time, error) {
return time.Date(2017, time.July, 14, 0, 0, 0, 0, loc), nil
}
// Margin tolerance ranges from 0.0 (liquidation) to 1.0 (safest level of margin).
func calculateMarginTolerance(marginLevel fixedpoint.Value) fixedpoint.Value {
if marginLevel.IsZero() {
// Although margin level shouldn't be zero, that would indicate a significant problem.
// In that case, margin tolerance should return 0.0 to also reflect that problem.
return fixedpoint.Zero
}
// Formula created by operations team for our binance code. Liquidation occurs at 1.1,
// so when marginLevel equals 1.1, the formula becomes 1.0 - 1.0, or zero.
// = 1.0 - (1.1 / marginLevel)
return fixedpoint.One.Sub(fixedpoint.NewFromFloat(1.1).Div(marginLevel))
}

8
pkg/types/account.go
View File

@ -243,8 +243,14 @@ type Account struct {
MarginInfo *MarginAccountInfo
IsolatedMarginInfo *IsolatedMarginAccountInfo
// margin related common field
// Margin related common field
// From binance:
// Margin Level = Total Asset Value / (Total Borrowed + Total Accrued Interest)
// If your margin level drops to 1.3, you will receive a Margin Call, which is a reminder that you should either increase your collateral (by depositing more funds) or reduce your loan (by repaying what you’ve borrowed).
// If your margin level drops to 1.1, your assets will be automatically liquidated, meaning that Binance will sell your funds at market price to repay the loan.
MarginLevel fixedpoint.Value `json:"marginLevel,omitempty"`
MarginTolerance fixedpoint.Value `json:"marginTolerance,omitempty"`
BorrowEnabled bool `json:"borrowEnabled,omitempty"`
TransferEnabled bool `json:"transferEnabled,omitempty"`