integrated liqformula into persistence/models, Added skeleton functions, adding and removing trades, for maintenance margin, added maintenance_margin to freqtradebot

freqtrade/freqtradebot.py

@@ -17,12 +17,13 @@ from freqtrade.constants import BuySell, LongShort
 from freqtrade.data.converter import order_book_to_dataframe
 from freqtrade.data.dataprovider import DataProvider
 from freqtrade.edge import Edge
-from freqtrade.enums import (ExitCheckTuple, ExitType, RPCMessageType, RunMode, SignalDirection,
-                             State, TradingMode)
+from freqtrade.enums import (ExitCheckTuple, ExitType, MarginMode, RPCMessageType, RunMode,
+                             SignalDirection, State, TradingMode)
 from freqtrade.exceptions import (DependencyException, ExchangeError, InsufficientFundsError,
                                   InvalidOrderException, PricingError)
 from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
 from freqtrade.exchange.exchange import timeframe_to_next_date
+from freqtrade.maintenance_margin import MaintenanceMargin
 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
@@ -104,7 +105,11 @@ class FreqtradeBot(LoggingMixin):
         LoggingMixin.__init__(self, logger, timeframe_to_seconds(self.strategy.timeframe))
 
         self.trading_mode: TradingMode = self.config.get('trading_mode', TradingMode.SPOT)
-
+        self.margin_mode: MarginMode = (
+            MarginMode(config.get('margin_mode'))
+            if config.get('margin_mode')
+            else MarginMode.NONE
+        )
         self._schedule = Scheduler()
 
         if self.trading_mode == TradingMode.FUTURES:
@@ -125,6 +130,16 @@ class FreqtradeBot(LoggingMixin):
         # Initialize protections AFTER bot start - otherwise parameters are not loaded.
         self.protections = ProtectionManager(self.config, self.strategy.protections)
 
+        # Start calculating maintenance margin if on cross margin
+        # TODO-lev: finish the below...
+        if self.margin_mode == MarginMode.CROSS:
+
+            self.maintenance_margin = MaintenanceMargin(
+                exchange_name=self.exchange.name,
+                trading_mode=self.trading_mode)
+
+            self.maintenance_margin.run()
+
     def notify_status(self, msg: str) -> None:
         """
         Public method for users of this class (worker, etc.) to send notifications
@@ -721,6 +736,10 @@ class FreqtradeBot(LoggingMixin):
 
         trade.orders.append(order_obj)
         trade.recalc_trade_from_orders()
+
+        if self.margin_mode == MarginMode.CROSS:
+            self.maintenance_margin.add_new_trade(trade)
+
         Trade.query.session.add(trade)
         Trade.commit()
 
@@ -1501,10 +1520,21 @@ class FreqtradeBot(LoggingMixin):
         # In case of market sell orders the order can be closed immediately
         if order.get('status', 'unknown') in ('closed', 'expired'):
             self.update_trade_state(trade, trade.open_order_id, order)
+
         Trade.commit()
 
+        self._remove_maintenance_trade(trade)
+
         return True
 
+    def _remove_maintenance_trade(self, trade: Trade):
+        """
+            Removes a trade from the maintenance margin object
+            :param trade: The trade to remove from the maintenance margin
+        """
+        if self.margin_mode == MarginMode.CROSS:
+            self.maintenance_margin.remove_trade(trade)
+
     def _notify_exit(self, trade: Trade, order_type: str, fill: bool = False) -> None:
         """
         Sends rpc notification when a sell occurred.

freqtrade/maintenance_margin.py

@@ -0,0 +1,52 @@
+from typing import List
+
+from freqtrade.enums import TradingMode
+from freqtrade.leverage import liquidation_price
+from freqtrade.persistence import Trade
+
+
+class MaintenanceMargin:
+
+    trades: List[Trade]
+    exchange_name: str
+    trading_mode: TradingMode
+
+    @property
+    def margin_level(self):
+        # This is the current value of all assets,
+        # and if you pass below liq_level, you are liquidated
+        # TODO-lev: Add args to formula
+        return liquidation_price(
+            trading_mode=self.trading_mode,
+            exchange_name=self.exchange_name
+        )
+
+    @property
+    def liq_level(self):    # This may be a constant value and may not need a function
+        # TODO-lev: The is the value that you are liquidated at
+        return              # If constant, would need to be recalculated after each new trade
+
+    def __init__(self, exchange_name: str, trading_mode: TradingMode):
+        self.exchange_name = exchange_name
+        self.trading_mode = trading_mode
+        return
+
+    def add_new_trade(self, trade):
+        self.trades.append(trade)
+
+    def remove_trade(self, trade):
+        self.trades.remove(trade)
+
+    # ? def update_trade_pric(self):
+
+    def sell_all(self):
+        # TODO-lev
+        return
+
+    def run(self):
+        # TODO-lev: implement a thread that constantly updates with every price change,
+        # TODO-lev: must update at least every few seconds or so
+        # while true:
+        #   if self.margin_level <= self.liq_level:
+        #       self.sell_all()
+        return