mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-11-10 10:21:59 +00:00
moved liquidation_price method to exchange classes
This commit is contained in:
Sam Germain
parent
5a97760bd1
commit
0c13e387fe
|
|
@ -2015,6 +2015,114 @@ class Exchange:
|
|||
# TODO-lev: return the real amounts
|
||||
return (0, 0.4)
|
||||
|
||||
def liquidation_price(
|
||||
self,
|
||||
open_rate: float, # Entry price of position
|
||||
is_short: bool,
|
||||
leverage: float,
|
||||
trading_mode: TradingMode,
|
||||
mm_ratio: float,
|
||||
collateral: Optional[Collateral] = Collateral.ISOLATED,
|
||||
maintenance_amt: Optional[float] = None, # (Binance)
|
||||
position: Optional[float] = None, # (Binance and Gateio) Absolute value of position size
|
||||
wallet_balance: Optional[float] = None, # (Binance and Gateio)
|
||||
taker_fee_rate: Optional[float] = None, # (Gateio & Okex)
|
||||
liability: Optional[float] = None, # (Okex)
|
||||
interest: Optional[float] = None, # (Okex)
|
||||
position_assets: Optional[float] = None, # * (Okex) Might be same as position
|
||||
mm_ex_1: Optional[float] = 0.0, # (Binance) Cross only
|
||||
upnl_ex_1: Optional[float] = 0.0, # (Binance) Cross only
|
||||
) -> Optional[float]:
|
||||
"""
|
||||
:param exchange_name:
|
||||
:param open_rate: (EP1) Entry price of position
|
||||
:param is_short: True if the trade is a short, false otherwise
|
||||
:param leverage: The amount of leverage on the trade
|
||||
:param trading_mode: SPOT, MARGIN, FUTURES, etc.
|
||||
:param position: Absolute value of position size (in base currency)
|
||||
:param mm_ratio: (MMR)
|
||||
Okex: [assets in the position - (liability +interest) * mark price] /
|
||||
(maintenance margin + liquidation fee)
|
||||
# * Note: Binance's formula specifies maintenance margin rate which is mm_ratio * 100%
|
||||
:param collateral: Either ISOLATED or CROSS
|
||||
|
||||
# * Binance
|
||||
:param maintenance_amt: (CUM) Maintenance Amount of position
|
||||
|
||||
# * Binance and Gateio
|
||||
:param wallet_balance: (WB)
|
||||
Cross-Margin Mode: crossWalletBalance
|
||||
Isolated-Margin Mode: isolatedWalletBalance
|
||||
:param position: Absolute value of position size (in base currency)
|
||||
|
||||
# * Gateio & Okex
|
||||
:param taker_fee_rate:
|
||||
|
||||
# * Okex
|
||||
:param liability:
|
||||
Initial liabilities + deducted interest
|
||||
• Long positions: Liability is calculated in quote currency.
|
||||
• Short positions: Liability is calculated in trading currency.
|
||||
:param interest:
|
||||
Interest that has not been deducted yet.
|
||||
:param position_assets:
|
||||
Total position assets – on-hold by pending order
|
||||
|
||||
# * Cross only (Binance)
|
||||
:param mm_ex_1: (TMM)
|
||||
Cross-Margin Mode: Maintenance Margin of all other contracts, excluding Contract 1
|
||||
Isolated-Margin Mode: 0
|
||||
:param upnl_ex_1: (UPNL)
|
||||
Cross-Margin Mode: Unrealized PNL of all other contracts, excluding Contract 1.
|
||||
Isolated-Margin Mode: 0
|
||||
"""
|
||||
if trading_mode == TradingMode.SPOT:
|
||||
return None
|
||||
|
||||
if not collateral:
|
||||
raise OperationalException(
|
||||
"Parameter collateral is required by liquidation_price when trading_mode is "
|
||||
f"{trading_mode}"
|
||||
)
|
||||
|
||||
return self.liquidation_price_helper(
|
||||
open_rate,
|
||||
is_short,
|
||||
leverage,
|
||||
trading_mode,
|
||||
mm_ratio,
|
||||
collateral,
|
||||
maintenance_amt,
|
||||
position,
|
||||
wallet_balance,
|
||||
taker_fee_rate,
|
||||
liability,
|
||||
interest,
|
||||
position_assets,
|
||||
mm_ex_1,
|
||||
upnl_ex_1,
|
||||
)
|
||||
|
||||
def liquidation_price_helper(
|
||||
self,
|
||||
open_rate: float,
|
||||
is_short: bool,
|
||||
leverage: float,
|
||||
trading_mode: TradingMode,
|
||||
mm_ratio: float,
|
||||
collateral: Collateral,
|
||||
maintenance_amt: Optional[float] = None,
|
||||
position: Optional[float] = None,
|
||||
wallet_balance: Optional[float] = None,
|
||||
taker_fee_rate: Optional[float] = None,
|
||||
liability: Optional[float] = None,
|
||||
interest: Optional[float] = None,
|
||||
position_assets: Optional[float] = None,
|
||||
mm_ex_1: Optional[float] = 0.0,
|
||||
upnl_ex_1: Optional[float] = 0.0,
|
||||
) -> Optional[float]:
|
||||
raise OperationalException(f"liquidation_price is not implemented for {self.name}")
|
||||
|
||||
|
||||
def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:
|
||||
return exchange_name in ccxt_exchanges(ccxt_module)
|
||||
|
|
|
|||
|
|
@ -51,3 +51,78 @@ class Gateio(Exchange):
|
|||
"""
|
||||
info = self.markets[pair]['info']
|
||||
return (float(info['maintenance_rate']), None)
|
||||
|
||||
def liquidation_price_helper(
|
||||
self,
|
||||
open_rate: float, # Entry price of position
|
||||
is_short: bool,
|
||||
leverage: float,
|
||||
trading_mode: TradingMode,
|
||||
mm_ratio: float,
|
||||
collateral: Collateral,
|
||||
maintenance_amt: Optional[float] = None, # (Binance)
|
||||
position: Optional[float] = None, # (Binance and Gateio) Absolute value of position size
|
||||
wallet_balance: Optional[float] = None, # (Binance and Gateio)
|
||||
taker_fee_rate: Optional[float] = None, # (Gateio & Okex)
|
||||
liability: Optional[float] = None, # (Okex)
|
||||
interest: Optional[float] = None, # (Okex)
|
||||
position_assets: Optional[float] = None, # * (Okex) Might be same as position
|
||||
mm_ex_1: Optional[float] = 0.0, # (Binance) Cross only
|
||||
upnl_ex_1: Optional[float] = 0.0, # (Binance) Cross only
|
||||
) -> Optional[float]:
|
||||
"""
|
||||
PERPETUAL: https://www.gate.io/help/futures/perpetual/22160/calculation-of-liquidation-price
|
||||
|
||||
:param exchange_name:
|
||||
:param open_rate: Entry price of position
|
||||
:param is_short: True if the trade is a short, false otherwise
|
||||
:param leverage: The amount of leverage on the trade
|
||||
:param trading_mode: SPOT, MARGIN, FUTURES, etc.
|
||||
:param position: Absolute value of position size (in base currency)
|
||||
:param mm_ratio:
|
||||
:param collateral: Either ISOLATED or CROSS
|
||||
:param maintenance_amt: # * Not required by Gateio
|
||||
:param wallet_balance:
|
||||
Cross-Margin Mode: crossWalletBalance
|
||||
Isolated-Margin Mode: isolatedWalletBalance
|
||||
:param position: Absolute value of position size (in base currency)
|
||||
:param taker_fee_rate:
|
||||
|
||||
# * Not required by Gateio
|
||||
:param liability:
|
||||
:param interest:
|
||||
:param position_assets:
|
||||
:param mm_ex_1:
|
||||
:param upnl_ex_1:
|
||||
"""
|
||||
if trading_mode == TradingMode.SPOT:
|
||||
return None
|
||||
|
||||
if not collateral:
|
||||
raise OperationalException(
|
||||
"Parameter collateral is required by liquidation_price when trading_mode is "
|
||||
f"{trading_mode}"
|
||||
)
|
||||
|
||||
if (not wallet_balance or not position or not taker_fee_rate):
|
||||
raise OperationalException(
|
||||
"Parameters wallet_balance, position, taker_fee_rate"
|
||||
"are required by Gateio.liquidation_price"
|
||||
)
|
||||
|
||||
if trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
|
||||
# if is_inverse:
|
||||
# # ! Not implemented
|
||||
# raise OperationalException(
|
||||
# "Freqtrade does not support inverse contracts at the moment")
|
||||
|
||||
value = wallet_balance / position
|
||||
|
||||
mm_ratio_taker = (mm_ratio + taker_fee_rate)
|
||||
if is_short:
|
||||
return (open_rate + value) / (1 + mm_ratio_taker)
|
||||
else:
|
||||
return (open_rate - value) / (1 - mm_ratio_taker)
|
||||
else:
|
||||
raise OperationalException(
|
||||
f"Gateio does not support {collateral.value} Mode {trading_mode.value} trading ")
|
||||
|
|
|
|||
|
|
@ -1,7 +1,8 @@
|
|||
import logging
|
||||
from typing import Dict, List, Tuple
|
||||
from typing import Dict, List, Optional, Tuple
|
||||
|
||||
from freqtrade.enums import Collateral, TradingMode
|
||||
from freqtrade.exceptions import OperationalException
|
||||
from freqtrade.exchange import Exchange
|
||||
|
||||
|
||||
|
|
@ -26,3 +27,67 @@ class Okex(Exchange):
|
|||
# (TradingMode.FUTURES, Collateral.CROSS),
|
||||
# (TradingMode.FUTURES, Collateral.ISOLATED)
|
||||
]
|
||||
|
||||
def liquidation_price_helper(
|
||||
self,
|
||||
open_rate: float, # Entry price of position
|
||||
is_short: bool,
|
||||
leverage: float,
|
||||
trading_mode: TradingMode,
|
||||
mm_ratio: float,
|
||||
collateral: Collateral,
|
||||
maintenance_amt: Optional[float] = None, # Not required
|
||||
position: Optional[float] = None, # Not required
|
||||
wallet_balance: Optional[float] = None, # Not required
|
||||
taker_fee_rate: Optional[float] = None, # * required
|
||||
liability: Optional[float] = None, # * required
|
||||
interest: Optional[float] = None, # * required
|
||||
position_assets: Optional[float] = None, # * required (Might be same as position)
|
||||
mm_ex_1: Optional[float] = 0.0, # Not required
|
||||
upnl_ex_1: Optional[float] = 0.0, # Not required
|
||||
) -> Optional[float]:
|
||||
"""
|
||||
PERPETUAL: https://www.okex.com/support/hc/en-us/articles/
|
||||
360053909592-VI-Introduction-to-the-isolated-mode-of-Single-Multi-currency-Portfolio-margin
|
||||
|
||||
:param exchange_name:
|
||||
:param open_rate: (EP1) Entry price of position
|
||||
:param is_short: True if the trade is a short, false otherwise
|
||||
:param leverage: The amount of leverage on the trade
|
||||
:param trading_mode: SPOT, MARGIN, FUTURES, etc.
|
||||
:param position: Absolute value of position size (in base currency)
|
||||
:param mm_ratio:
|
||||
Okex: [assets in the position - (liability +interest) * mark price] /
|
||||
(maintenance margin + liquidation fee)
|
||||
:param collateral: Either ISOLATED or CROSS
|
||||
:param maintenance_amt: # * Not required by Okex
|
||||
:param wallet_balance: # * Not required by Okex
|
||||
:param position: # * Not required by Okex
|
||||
:param taker_fee_rate:
|
||||
:param liability:
|
||||
Initial liabilities + deducted interest
|
||||
• Long positions: Liability is calculated in quote currency.
|
||||
• Short positions: Liability is calculated in trading currency.
|
||||
:param interest: Interest that has not been deducted yet.
|
||||
:param position_assets: Total position assets – on-hold by pending order
|
||||
:param mm_ex_1: # * Not required by Okex
|
||||
:param upnl_ex_1: # * Not required by Okex
|
||||
"""
|
||||
|
||||
if (not liability or not interest or not taker_fee_rate or not position_assets):
|
||||
raise OperationalException(
|
||||
"Parameters liability, interest, taker_fee_rate, position_assets"
|
||||
"are required by Okex.liquidation_price"
|
||||
)
|
||||
|
||||
if trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
|
||||
if is_short:
|
||||
return (liability + interest) * (1 + mm_ratio) * (1 + taker_fee_rate)
|
||||
else:
|
||||
return (
|
||||
(liability + interest) * (1 + mm_ratio) * (1 + taker_fee_rate) /
|
||||
position_assets
|
||||
)
|
||||
else:
|
||||
raise OperationalException(
|
||||
f"Okex does not support {collateral.value} Mode {trading_mode.value} trading")
|
||||
|
|
|
|||
|
|
@ -21,7 +21,6 @@ from freqtrade.enums import (Collateral, RPCMessageType, RunMode, SellType, Sign
|
|||
from freqtrade.exceptions import (DependencyException, ExchangeError, InsufficientFundsError,
|
||||
InvalidOrderException, PricingError)
|
||||
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
|
||||
from freqtrade.leverage import liquidation_price
|
||||
from freqtrade.misc import safe_value_fallback, safe_value_fallback2
|
||||
from freqtrade.mixins import LoggingMixin
|
||||
from freqtrade.persistence import Order, PairLocks, Trade, cleanup_db, init_db
|
||||
|
|
@ -624,8 +623,7 @@ class FreqtradeBot(LoggingMixin):
|
|||
amount
|
||||
)
|
||||
taker_fee_rate = self.exchange.markets[pair]['taker']
|
||||
isolated_liq = liquidation_price(
|
||||
exchange_name=self.exchange.name,
|
||||
isolated_liq = self.exchange.liquidation_price(
|
||||
open_rate=open_rate,
|
||||
is_short=is_short,
|
||||
leverage=leverage,
|
||||
|
|
|
|||
|
|
@ -1,3 +1,2 @@
|
|||
# flake8: noqa: F401
|
||||
from freqtrade.leverage.interest import interest
|
||||
from freqtrade.leverage.liquidation_price import liquidation_price
|
||||
|
|
|
|||
|
|
@ -1,357 +0,0 @@
|
|||
from typing import Optional
|
||||
|
||||
from freqtrade.enums import Collateral, TradingMode
|
||||
from freqtrade.exceptions import OperationalException
|
||||
|
||||
|
||||
def liquidation_price(
|
||||
exchange_name: str,
|
||||
open_rate: float, # Entry price of position
|
||||
is_short: bool,
|
||||
leverage: float,
|
||||
trading_mode: TradingMode,
|
||||
mm_ratio: float,
|
||||
collateral: Optional[Collateral] = Collateral.ISOLATED,
|
||||
maintenance_amt: Optional[float] = None, # (Binance)
|
||||
position: Optional[float] = None, # (Binance and Gateio) Absolute value of position size
|
||||
wallet_balance: Optional[float] = None, # (Binance and Gateio)
|
||||
taker_fee_rate: Optional[float] = None, # (Gateio & Okex)
|
||||
liability: Optional[float] = None, # (Okex)
|
||||
interest: Optional[float] = None, # (Okex)
|
||||
position_assets: Optional[float] = None, # * (Okex) Might be same as position
|
||||
mm_ex_1: Optional[float] = 0.0, # (Binance) Cross only
|
||||
upnl_ex_1: Optional[float] = 0.0, # (Binance) Cross only
|
||||
) -> Optional[float]:
|
||||
"""
|
||||
:param exchange_name:
|
||||
:param open_rate: (EP1) Entry price of position
|
||||
:param is_short: True if the trade is a short, false otherwise
|
||||
:param leverage: The amount of leverage on the trade
|
||||
:param trading_mode: SPOT, MARGIN, FUTURES, etc.
|
||||
:param position: Absolute value of position size (in base currency)
|
||||
:param mm_ratio: (MMR)
|
||||
Okex: [assets in the position - (liability +interest) * mark price] /
|
||||
(maintenance margin + liquidation fee)
|
||||
# * Note: Binance's formula specifies maintenance margin rate which is mm_ratio * 100%
|
||||
:param collateral: Either ISOLATED or CROSS
|
||||
|
||||
# * Binance
|
||||
:param maintenance_amt: (CUM) Maintenance Amount of position
|
||||
|
||||
# * Binance and Gateio
|
||||
:param wallet_balance: (WB)
|
||||
Cross-Margin Mode: crossWalletBalance
|
||||
Isolated-Margin Mode: isolatedWalletBalance
|
||||
:param position: Absolute value of position size (in base currency)
|
||||
|
||||
# * Gateio & Okex
|
||||
:param taker_fee_rate:
|
||||
|
||||
# * Okex
|
||||
:param liability:
|
||||
Initial liabilities + deducted interest
|
||||
• Long positions: Liability is calculated in quote currency.
|
||||
• Short positions: Liability is calculated in trading currency.
|
||||
:param interest:
|
||||
Interest that has not been deducted yet.
|
||||
:param position_assets:
|
||||
Total position assets – on-hold by pending order
|
||||
|
||||
# * Cross only (Binance)
|
||||
:param mm_ex_1: (TMM)
|
||||
Cross-Margin Mode: Maintenance Margin of all other contracts, excluding Contract 1
|
||||
Isolated-Margin Mode: 0
|
||||
:param upnl_ex_1: (UPNL)
|
||||
Cross-Margin Mode: Unrealized PNL of all other contracts, excluding Contract 1.
|
||||
Isolated-Margin Mode: 0
|
||||
"""
|
||||
if trading_mode == TradingMode.SPOT:
|
||||
return None
|
||||
|
||||
if not collateral:
|
||||
raise OperationalException(
|
||||
"Parameter collateral is required by liquidation_price when trading_mode is "
|
||||
f"{trading_mode}"
|
||||
)
|
||||
|
||||
if exchange_name.lower() == "binance":
|
||||
if (wallet_balance is None or maintenance_amt is None or position is None):
|
||||
# mm_ex_1 is None or # * Cross only
|
||||
# upnl_ex_1 is None or # * Cross only
|
||||
raise OperationalException(
|
||||
f"Parameters wallet_balance, maintenance_amt, position"
|
||||
f"are required by liquidation_price when exchange is {exchange_name.lower()}"
|
||||
)
|
||||
# Suppress incompatible type "Optional[...]"; expected "..." as the check exists above.
|
||||
return binance(
|
||||
open_rate=open_rate,
|
||||
is_short=is_short,
|
||||
leverage=leverage,
|
||||
trading_mode=trading_mode,
|
||||
collateral=collateral, # type: ignore
|
||||
wallet_balance=wallet_balance,
|
||||
mm_ex_1=mm_ex_1, # type: ignore
|
||||
upnl_ex_1=upnl_ex_1, # type: ignore
|
||||
maintenance_amt=maintenance_amt, # type: ignore
|
||||
position=position,
|
||||
mm_ratio=mm_ratio,
|
||||
)
|
||||
elif exchange_name.lower() == "gateio":
|
||||
if (not wallet_balance or not position or not taker_fee_rate):
|
||||
raise OperationalException(
|
||||
f"Parameters wallet_balance, position, taker_fee_rate"
|
||||
f"are required by liquidation_price when exchange is {exchange_name.lower()}"
|
||||
)
|
||||
else:
|
||||
return gateio(
|
||||
open_rate=open_rate,
|
||||
is_short=is_short,
|
||||
trading_mode=trading_mode,
|
||||
collateral=collateral,
|
||||
wallet_balance=wallet_balance,
|
||||
position=position,
|
||||
mm_ratio=mm_ratio,
|
||||
taker_fee_rate=taker_fee_rate
|
||||
)
|
||||
elif exchange_name.lower() == "okex":
|
||||
if (not liability or not interest or not taker_fee_rate or not position_assets):
|
||||
raise OperationalException(
|
||||
f"Parameters liability, interest, taker_fee_rate, position_assets"
|
||||
f"are required by liquidation_price when exchange is {exchange_name.lower()}"
|
||||
)
|
||||
else:
|
||||
return okex(
|
||||
is_short=is_short,
|
||||
trading_mode=trading_mode,
|
||||
collateral=collateral,
|
||||
mm_ratio=mm_ratio,
|
||||
liability=liability,
|
||||
interest=interest,
|
||||
taker_fee_rate=taker_fee_rate,
|
||||
position_assets=position_assets,
|
||||
)
|
||||
elif exchange_name.lower() == "ftx":
|
||||
return ftx(open_rate, is_short, leverage, trading_mode, collateral)
|
||||
elif exchange_name.lower() == "kraken":
|
||||
return kraken(open_rate, is_short, leverage, trading_mode, collateral)
|
||||
raise OperationalException(f"liquidation_price is not implemented for {exchange_name}")
|
||||
|
||||
|
||||
def exception(
|
||||
exchange: str,
|
||||
trading_mode: TradingMode,
|
||||
collateral: Collateral,
|
||||
):
|
||||
"""
|
||||
Raises an exception if exchange used doesn't support desired leverage mode
|
||||
:param exchange: Name of the exchange
|
||||
:param trading_mode: spot, margin, futures
|
||||
:param collateral: cross, isolated
|
||||
"""
|
||||
|
||||
raise OperationalException(
|
||||
f"{exchange} does not support {collateral.value} Mode {trading_mode.value} trading ")
|
||||
|
||||
|
||||
def binance(
|
||||
open_rate: float,
|
||||
is_short: bool,
|
||||
leverage: float,
|
||||
trading_mode: TradingMode,
|
||||
mm_ratio: float,
|
||||
collateral: Collateral,
|
||||
maintenance_amt: float,
|
||||
wallet_balance: float,
|
||||
position: float,
|
||||
mm_ex_1: float,
|
||||
upnl_ex_1: float,
|
||||
):
|
||||
"""
|
||||
MARGIN: https://www.binance.com/en/support/faq/f6b010588e55413aa58b7d63ee0125ed
|
||||
PERPETUAL: https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
|
||||
|
||||
:param open_rate: (EP1) Entry Price of position (one-way mode)
|
||||
:param is_short: true or false
|
||||
:param leverage: leverage in float
|
||||
:param trading_mode: SPOT, MARGIN, FUTURES
|
||||
:param mm_ratio: (MMR) Maintenance margin rate of position (one-way mode)
|
||||
:param collateral: CROSS, ISOLATED
|
||||
:param maintenance_amt: (CUM) Maintenance Amount of position (one-way mode)
|
||||
:param position: Absolute value of position size (one-way mode)
|
||||
:param wallet_balance: (WB)
|
||||
Cross-Margin Mode: crossWalletBalance
|
||||
Isolated-Margin Mode: isolatedWalletBalance
|
||||
TMM=0, UPNL=0, substitute the position quantity, MMR, cum into the formula to calculate.
|
||||
Under the cross margin mode, the same ticker/symbol,
|
||||
both long and short position share the same liquidation price except in isolated mode.
|
||||
Under the isolated mode, each isolated position will have different liquidation prices
|
||||
depending on the margin allocated to the positions.
|
||||
:param mm_ex_1: (TMM)
|
||||
Cross-Margin Mode: Maintenance Margin of all other contracts, excluding Contract 1
|
||||
Isolated-Margin Mode: 0
|
||||
:param upnl_ex_1: (UPNL)
|
||||
Cross-Margin Mode: Unrealized PNL of all other contracts, excluding Contract 1.
|
||||
Isolated-Margin Mode: 0
|
||||
"""
|
||||
side_1 = -1 if is_short else 1
|
||||
position = abs(position)
|
||||
cross_vars = upnl_ex_1 - mm_ex_1 if collateral == Collateral.CROSS else 0.0
|
||||
|
||||
if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS:
|
||||
# ! Not Implemented
|
||||
exception("binance", trading_mode, collateral)
|
||||
if trading_mode == TradingMode.FUTURES:
|
||||
return (wallet_balance + cross_vars + maintenance_amt - (side_1 * position * open_rate)) / (
|
||||
(position * mm_ratio) - (side_1 * position))
|
||||
|
||||
exception("binance", trading_mode, collateral)
|
||||
|
||||
|
||||
def gateio(
|
||||
open_rate: float,
|
||||
is_short: bool,
|
||||
trading_mode: TradingMode,
|
||||
mm_ratio: float,
|
||||
collateral: Collateral,
|
||||
position: float,
|
||||
wallet_balance: float,
|
||||
taker_fee_rate: float,
|
||||
is_inverse: bool = False
|
||||
):
|
||||
"""
|
||||
PERPETUAL: https://www.gate.io/help/futures/perpetual/22160/calculation-of-liquidation-price
|
||||
|
||||
:param open_rate: Entry Price of position
|
||||
:param is_short: True for short trades
|
||||
:param trading_mode: SPOT, MARGIN, FUTURES
|
||||
:param mm_ratio: Viewed in contract details
|
||||
:param collateral: CROSS, ISOLATED
|
||||
:param position: size of position in base currency
|
||||
contract_size / num_contracts
|
||||
contract_size: How much one contract is worth
|
||||
num_contracts: Also called position
|
||||
:param wallet_balance: Also called margin
|
||||
:param taker_fee_rate:
|
||||
:param is_inverse: True if settle currency matches base currency
|
||||
|
||||
( Opening Price ± Margin/Contract Multiplier/Position ) / [ 1 ± ( MMR + Taker Fee)]
|
||||
'±' in the formula refers to the direction of the contract,
|
||||
go long refers to '-'
|
||||
go short refers to '+'
|
||||
|
||||
"""
|
||||
|
||||
if trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
|
||||
if is_inverse:
|
||||
# ! Not implemented
|
||||
raise OperationalException("Freqtrade does not support inverse contracts at the moment")
|
||||
value = wallet_balance / position
|
||||
|
||||
mm_ratio_taker = (mm_ratio + taker_fee_rate)
|
||||
if is_short:
|
||||
return (open_rate + value) / (1 + mm_ratio_taker)
|
||||
else:
|
||||
return (open_rate - value) / (1 - mm_ratio_taker)
|
||||
else:
|
||||
exception("gatio", trading_mode, collateral)
|
||||
|
||||
|
||||
def okex(
|
||||
is_short: bool,
|
||||
trading_mode: TradingMode,
|
||||
mm_ratio: float,
|
||||
collateral: Collateral,
|
||||
taker_fee_rate: float,
|
||||
liability: float,
|
||||
interest: float,
|
||||
position_assets: float
|
||||
):
|
||||
"""
|
||||
PERPETUAL: https://www.okex.com/support/hc/en-us/articles/
|
||||
360053909592-VI-Introduction-to-the-isolated-mode-of-Single-Multi-currency-Portfolio-margin
|
||||
|
||||
:param is_short: True if the position is short, false otherwise
|
||||
:param trading_mode: SPOT, MARGIN, FUTURES
|
||||
:param mm_ratio:
|
||||
long: [position_assets - (liability + interest) / mark_price] / (maintenance_margin + fees)
|
||||
short: [position_assets - (liability + interest) * mark_price] / (maintenance_margin + fees)
|
||||
:param collateral: CROSS, ISOLATED
|
||||
:param taker_fee_rate:
|
||||
:param liability: Initial liabilities + deducted interest
|
||||
long: Liability is calculated in quote currency
|
||||
short: Liability is calculated in trading currency
|
||||
:param interest: Interest that has not been deducted yet
|
||||
:param position_assets: Total position assets - on-hold by pending order
|
||||
|
||||
Total: The number of positive assets on the position (including margin).
|
||||
long: with trading currency as position asset.
|
||||
short: with quote currency as position asset.
|
||||
|
||||
Est. liquidation price
|
||||
long: (liability + interest）* (1 + maintenance margin ratio) *
|
||||
(1 + taker fee rate) / position assets
|
||||
short: (liability + interest）* (1 + maintenance margin ratio) *
|
||||
(1 + taker fee rate)
|
||||
|
||||
"""
|
||||
if trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
|
||||
if is_short:
|
||||
return (liability + interest) * (1 + mm_ratio) * (1 + taker_fee_rate)
|
||||
else:
|
||||
return (liability + interest) * (1 + mm_ratio) * (1 + taker_fee_rate) / position_assets
|
||||
else:
|
||||
exception("okex", trading_mode, collateral)
|
||||
|
||||
|
||||
def ftx(
|
||||
open_rate: float,
|
||||
is_short: bool,
|
||||
leverage: float,
|
||||
trading_mode: TradingMode,
|
||||
collateral: Collateral
|
||||
# ...
|
||||
):
|
||||
"""
|
||||
# ! Not Implemented
|
||||
Calculates the liquidation price on FTX
|
||||
:param open_rate: Entry price of position
|
||||
:param is_short: True if the trade is a short, false otherwise
|
||||
:param leverage: The amount of leverage on the trade
|
||||
:param trading_mode: SPOT, MARGIN, FUTURES, etc.
|
||||
:param collateral: Either ISOLATED or CROSS
|
||||
"""
|
||||
if collateral == Collateral.CROSS:
|
||||
exception("ftx", trading_mode, collateral)
|
||||
|
||||
# If nothing was returned
|
||||
exception("ftx", trading_mode, collateral)
|
||||
|
||||
|
||||
def kraken(
|
||||
open_rate: float,
|
||||
is_short: bool,
|
||||
leverage: float,
|
||||
trading_mode: TradingMode,
|
||||
collateral: Collateral
|
||||
# ...
|
||||
):
|
||||
"""
|
||||
# ! Not Implemented
|
||||
MARGIN:
|
||||
https://support.kraken.com/hc/en-us/articles/203325763-Margin-Call-Level-and-Margin-Liquidation-Level
|
||||
|
||||
:param open_rate: Entry price of position
|
||||
:param is_short: True if the trade is a short, false otherwise
|
||||
:param leverage: The amount of leverage on the trade
|
||||
:param trading_mode: SPOT, MARGIN, FUTURES, etc.
|
||||
:param collateral: Either ISOLATED or CROSS
|
||||
"""
|
||||
|
||||
if collateral == Collateral.CROSS:
|
||||
if trading_mode == TradingMode.MARGIN:
|
||||
exception("kraken", trading_mode, collateral)
|
||||
elif trading_mode == TradingMode.FUTURES:
|
||||
exception("kraken", trading_mode, collateral)
|
||||
|
||||
# If nothing was returned
|
||||
exception("kraken", trading_mode, collateral)
|
||||
|
|
@ -14,9 +14,9 @@ from sqlalchemy.pool import StaticPool
|
|||
from sqlalchemy.sql.schema import UniqueConstraint
|
||||
|
||||
from freqtrade.constants import DATETIME_PRINT_FORMAT, NON_OPEN_EXCHANGE_STATES
|
||||
from freqtrade.enums import Collateral, SellType, TradingMode
|
||||
from freqtrade.enums import SellType, TradingMode
|
||||
from freqtrade.exceptions import DependencyException, OperationalException
|
||||
from freqtrade.leverage import interest, liquidation_price
|
||||
from freqtrade.leverage import interest
|
||||
from freqtrade.misc import safe_value_fallback
|
||||
from freqtrade.persistence.migrations import check_migrate
|
||||
|
||||
|
|
@ -364,52 +364,12 @@ class LocalTrade():
|
|||
|
||||
def set_isolated_liq(
|
||||
self,
|
||||
isolated_liq: Optional[float] = None,
|
||||
wallet_balance: Optional[float] = None,
|
||||
current_price: Optional[float] = None,
|
||||
maintenance_amt: Optional[float] = None,
|
||||
mm_ratio: Optional[float] = None,
|
||||
isolated_liq: float,
|
||||
):
|
||||
"""
|
||||
Method you should use to set self.liquidation price.
|
||||
Assures stop_loss is not passed the liquidation price
|
||||
"""
|
||||
if not isolated_liq:
|
||||
if not wallet_balance or not current_price:
|
||||
raise OperationalException(
|
||||
"wallet balance must be passed to LocalTrade.set_isolated_liq when param"
|
||||
"isolated_liq is None"
|
||||
)
|
||||
if (
|
||||
mm_ratio is None or
|
||||
wallet_balance is None or
|
||||
current_price is None or
|
||||
maintenance_amt is None
|
||||
):
|
||||
raise OperationalException(
|
||||
'mm_ratio, wallet_balance, current_price and maintenance_amt '
|
||||
'required in set_isolated_liq when isolated_liq is None'
|
||||
)
|
||||
isolated_liq = liquidation_price(
|
||||
exchange_name=self.exchange,
|
||||
open_rate=self.open_rate,
|
||||
is_short=self.is_short,
|
||||
leverage=self.leverage,
|
||||
trading_mode=self.trading_mode,
|
||||
collateral=Collateral.ISOLATED,
|
||||
mm_ex_1=0.0,
|
||||
upnl_ex_1=0.0,
|
||||
position=self.amount * current_price,
|
||||
wallet_balance=self.amount / self.leverage, # TODO: Update for cross
|
||||
maintenance_amt=maintenance_amt,
|
||||
mm_ratio=mm_ratio,
|
||||
|
||||
)
|
||||
if isolated_liq is None:
|
||||
raise OperationalException(
|
||||
"leverage/isolated_liq returned None. This exception should never happen"
|
||||
)
|
||||
|
||||
if self.stop_loss is not None:
|
||||
if self.is_short:
|
||||
self.stop_loss = min(self.stop_loss, isolated_liq)
|
||||
|
|
|
|||
|
|
@ -26,6 +26,12 @@ from tests.conftest import get_mock_coro, get_patched_exchange, log_has, log_has
|
|||
|
||||
# Make sure to always keep one exchange here which is NOT subclassed!!
|
||||
EXCHANGES = ['bittrex', 'binance', 'kraken', 'ftx', 'gateio']
|
||||
spot = TradingMode.SPOT
|
||||
margin = TradingMode.MARGIN
|
||||
futures = TradingMode.FUTURES
|
||||
|
||||
cross = Collateral.CROSS
|
||||
isolated = Collateral.ISOLATED
|
||||
|
||||
|
||||
def ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name,
|
||||
|
|
@ -3965,3 +3971,102 @@ def test__amount_to_contracts(
|
|||
assert result_size == param_size
|
||||
result_amount = exchange._contracts_to_amount(pair, param_size)
|
||||
assert result_amount == param_amount
|
||||
|
||||
|
||||
@pytest.mark.parametrize('exchange_name,open_rate,is_short,leverage,trading_mode,collateral', [
|
||||
# Bittrex
|
||||
('bittrex', "2.0", False, "3.0", spot, None),
|
||||
('bittrex', "2.0", False, "1.0", spot, cross),
|
||||
('bittrex', "2.0", True, "3.0", spot, isolated),
|
||||
# Binance
|
||||
('binance', "2.0", False, "3.0", spot, None),
|
||||
('binance', "2.0", False, "1.0", spot, cross),
|
||||
('binance', "2.0", True, "3.0", spot, isolated),
|
||||
])
|
||||
def test_liquidation_price_is_none(
|
||||
mocker,
|
||||
default_conf,
|
||||
exchange_name,
|
||||
open_rate,
|
||||
is_short,
|
||||
leverage,
|
||||
trading_mode,
|
||||
collateral
|
||||
):
|
||||
exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
|
||||
assert exchange.liquidation_price(
|
||||
open_rate,
|
||||
is_short,
|
||||
leverage,
|
||||
trading_mode,
|
||||
collateral,
|
||||
1535443.01,
|
||||
71200.81144,
|
||||
-56354.57,
|
||||
135365.00,
|
||||
3683.979,
|
||||
0.10,
|
||||
) is None
|
||||
|
||||
|
||||
@pytest.mark.parametrize('exchange_name,open_rate,is_short,leverage,trading_mode,collateral', [
|
||||
# Bittrex
|
||||
('bittrex', "2.0", False, "3.0", margin, cross),
|
||||
('bittrex', "2.0", False, "3.0", margin, isolated),
|
||||
('bittrex', "2.0", False, "3.0", futures, cross),
|
||||
('bittrex', "2.0", False, "3.0", futures, isolated),
|
||||
# Binance
|
||||
# Binance supports isolated margin, but freqtrade likely won't for a while on Binance
|
||||
('binance', "2.0", True, "3.0", margin, isolated),
|
||||
# Kraken
|
||||
('kraken', "2.0", True, "1.0", margin, isolated),
|
||||
('kraken', "2.0", True, "1.0", futures, isolated),
|
||||
# FTX
|
||||
('ftx', "2.0", True, "3.0", margin, isolated),
|
||||
('ftx', "2.0", True, "3.0", futures, isolated),
|
||||
])
|
||||
def test_liquidation_price_exception_thrown(
|
||||
exchange_name,
|
||||
open_rate,
|
||||
is_short,
|
||||
leverage,
|
||||
trading_mode,
|
||||
collateral,
|
||||
result
|
||||
):
|
||||
# TODO-lev assert exception is thrown
|
||||
return # Here to avoid indent error, remove when implemented
|
||||
|
||||
|
||||
@pytest.mark.parametrize(
|
||||
'exchange_name, is_short, leverage, trading_mode, collateral, wallet_balance, '
|
||||
'mm_ex_1, upnl_ex_1, maintenance_amt, position, open_rate, '
|
||||
'mm_ratio, expected',
|
||||
[
|
||||
("binance", False, 1, futures, isolated, 1535443.01, 0.0,
|
||||
0.0, 135365.00, 3683.979, 1456.84, 0.10, 1114.78),
|
||||
("binance", False, 1, futures, isolated, 1535443.01, 0.0,
|
||||
0.0, 16300.000, 109.488, 32481.980, 0.025, 18778.73),
|
||||
("binance", False, 1, futures, cross, 1535443.01, 71200.81144,
|
||||
-56354.57, 135365.00, 3683.979, 1456.84, 0.10, 1153.26),
|
||||
("binance", False, 1, futures, cross, 1535443.01, 356512.508,
|
||||
-448192.89, 16300.000, 109.488, 32481.980, 0.025, 26316.89)
|
||||
])
|
||||
def test_liquidation_price(
|
||||
mocker, default_conf, exchange_name, open_rate, is_short, leverage, trading_mode,
|
||||
collateral, wallet_balance, mm_ex_1, upnl_ex_1, maintenance_amt, position, mm_ratio, expected
|
||||
):
|
||||
exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
|
||||
assert isclose(round(exchange.liquidation_price(
|
||||
open_rate=open_rate,
|
||||
is_short=is_short,
|
||||
leverage=leverage,
|
||||
trading_mode=trading_mode,
|
||||
collateral=collateral,
|
||||
wallet_balance=wallet_balance,
|
||||
mm_ex_1=mm_ex_1,
|
||||
upnl_ex_1=upnl_ex_1,
|
||||
maintenance_amt=maintenance_amt,
|
||||
position=position,
|
||||
mm_ratio=mm_ratio
|
||||
), 2), expected)
|
||||
|
|
|
|||
|
|
@ -1,121 +0,0 @@
|
|||
from math import isclose
|
||||
|
||||
import pytest
|
||||
|
||||
from freqtrade.enums import Collateral, TradingMode
|
||||
from freqtrade.leverage import liquidation_price
|
||||
|
||||
|
||||
# from freqtrade.exceptions import OperationalException
|
||||
|
||||
spot = TradingMode.SPOT
|
||||
margin = TradingMode.MARGIN
|
||||
futures = TradingMode.FUTURES
|
||||
|
||||
cross = Collateral.CROSS
|
||||
isolated = Collateral.ISOLATED
|
||||
|
||||
|
||||
@pytest.mark.parametrize('exchange_name,open_rate,is_short,leverage,trading_mode,collateral', [
|
||||
# Bittrex
|
||||
('bittrex', "2.0", False, "3.0", spot, None),
|
||||
('bittrex', "2.0", False, "1.0", spot, cross),
|
||||
('bittrex', "2.0", True, "3.0", spot, isolated),
|
||||
# Binance
|
||||
('binance', "2.0", False, "3.0", spot, None),
|
||||
('binance', "2.0", False, "1.0", spot, cross),
|
||||
('binance', "2.0", True, "3.0", spot, isolated),
|
||||
# Kraken
|
||||
('kraken', "2.0", False, "3.0", spot, None),
|
||||
('kraken', "2.0", True, "3.0", spot, cross),
|
||||
('kraken', "2.0", False, "1.0", spot, isolated),
|
||||
# FTX
|
||||
('ftx', "2.0", True, "3.0", spot, None),
|
||||
('ftx', "2.0", False, "3.0", spot, cross),
|
||||
('ftx', "2.0", False, "3.0", spot, isolated),
|
||||
])
|
||||
def test_liquidation_price_is_none(
|
||||
exchange_name,
|
||||
open_rate,
|
||||
is_short,
|
||||
leverage,
|
||||
trading_mode,
|
||||
collateral
|
||||
):
|
||||
assert liquidation_price(
|
||||
exchange_name,
|
||||
open_rate,
|
||||
is_short,
|
||||
leverage,
|
||||
trading_mode,
|
||||
collateral,
|
||||
1535443.01,
|
||||
71200.81144,
|
||||
-56354.57,
|
||||
135365.00,
|
||||
3683.979,
|
||||
0.10,
|
||||
) is None
|
||||
|
||||
|
||||
@pytest.mark.parametrize('exchange_name,open_rate,is_short,leverage,trading_mode,collateral', [
|
||||
# Bittrex
|
||||
('bittrex', "2.0", False, "3.0", margin, cross),
|
||||
('bittrex', "2.0", False, "3.0", margin, isolated),
|
||||
('bittrex', "2.0", False, "3.0", futures, cross),
|
||||
('bittrex', "2.0", False, "3.0", futures, isolated),
|
||||
# Binance
|
||||
# Binance supports isolated margin, but freqtrade likely won't for a while on Binance
|
||||
('binance', "2.0", True, "3.0", margin, isolated),
|
||||
# Kraken
|
||||
('kraken', "2.0", False, "1.0", margin, isolated),
|
||||
('kraken', "2.0", False, "1.0", futures, isolated),
|
||||
# FTX
|
||||
('ftx', "2.0", False, "3.0", margin, isolated),
|
||||
('ftx', "2.0", False, "3.0", futures, isolated),
|
||||
])
|
||||
def test_liquidation_price_exception_thrown(
|
||||
exchange_name,
|
||||
open_rate,
|
||||
is_short,
|
||||
leverage,
|
||||
trading_mode,
|
||||
collateral,
|
||||
result
|
||||
):
|
||||
# TODO-lev assert exception is thrown
|
||||
return # Here to avoid indent error, remove when implemented
|
||||
|
||||
|
||||
@pytest.mark.parametrize(
|
||||
'exchange_name, is_short, leverage, trading_mode, collateral, wallet_balance, '
|
||||
'mm_ex_1, upnl_ex_1, maintenance_amt, position, open_rate, '
|
||||
'mm_ratio, expected',
|
||||
[
|
||||
("binance", False, 1, TradingMode.FUTURES, Collateral.ISOLATED, 1535443.01, 0.0,
|
||||
0.0, 135365.00, 3683.979, 1456.84, 0.10, 1114.78),
|
||||
("binance", False, 1, TradingMode.FUTURES, Collateral.ISOLATED, 1535443.01, 0.0,
|
||||
0.0, 16300.000, 109.488, 32481.980, 0.025, 18778.73),
|
||||
("binance", False, 1, TradingMode.FUTURES, Collateral.CROSS, 1535443.01, 71200.81144,
|
||||
-56354.57, 135365.00, 3683.979, 1456.84, 0.10, 1153.26),
|
||||
("binance", False, 1, TradingMode.FUTURES, Collateral.CROSS, 1535443.01, 356512.508,
|
||||
-448192.89, 16300.000, 109.488, 32481.980, 0.025, 26316.89)
|
||||
])
|
||||
def test_liquidation_price(
|
||||
exchange_name, open_rate, is_short, leverage, trading_mode, collateral, wallet_balance,
|
||||
mm_ex_1, upnl_ex_1, maintenance_amt, position, mm_ratio, expected
|
||||
):
|
||||
assert isclose(round(liquidation_price(
|
||||
exchange_name=exchange_name,
|
||||
open_rate=open_rate,
|
||||
is_short=is_short,
|
||||
leverage=leverage,
|
||||
trading_mode=trading_mode,
|
||||
collateral=collateral,
|
||||
wallet_balance=wallet_balance,
|
||||
mm_ex_1=mm_ex_1,
|
||||
upnl_ex_1=upnl_ex_1,
|
||||
maintenance_amt=maintenance_amt,
|
||||
position=position,
|
||||
mm_ratio=mm_ratio
|
||||
), 2), expected)
|
||||
|
|
@ -734,7 +734,6 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
|
|||
((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
|
||||
((2 + 0.01) - (1 * 1 * 10)) / ((1 * 0.01) - (1 * 1)) = 8.070707070707071
|
||||
|
||||
|
||||
exchange_name = gateio, is_short = true
|
||||
(open_rate + (wallet_balance / position)) / (1 + (mm_ratio + taker_fee_rate))
|
||||
(10 + (2 / 1)) / (1 + (0.01 + 0.0006)) = 11.87413417771621
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user