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Added Tests for Binance Liquidation price, shortened liquidation param names
This commit is contained in:
Arunavo Ray
Sam Germain
parent
f9a2d1a71d
commit
3709130eb7
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@ -12,12 +12,12 @@ def liquidation_price(
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trading_mode: TradingMode,
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collateral: Optional[Collateral],
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wallet_balance: Optional[float],
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maintenance_margin_ex_1: Optional[float],
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unrealized_pnl_ex_1: Optional[float],
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maintenance_amount_both: Optional[float],
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position_1_both: Optional[float],
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entry_price_1_both: Optional[float],
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maintenance_margin_rate_both: Optional[float]
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mm_ex_1: Optional[float],
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upnl_ex_1: Optional[float],
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maintenance_amt: Optional[float],
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position: Optional[float],
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entry_price: Optional[float],
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mm_rate: Optional[float]
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) -> Optional[float]:
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if trading_mode == TradingMode.SPOT:
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@ -30,16 +30,17 @@ def liquidation_price(
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)
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if exchange_name.lower() == "binance":
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if not wallet_balance or not maintenance_margin_ex_1 or not unrealized_pnl_ex_1 or not maintenance_amount_both \
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or not position_1_both or not entry_price_1_both or not maintenance_margin_rate_both:
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if not wallet_balance or not mm_ex_1 or not upnl_ex_1 \
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or not maintenance_amt or not position or not entry_price \
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or not mm_rate:
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raise OperationalException(
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f"Parameters wallet_balance, maintenance_margin_ex_1, unrealized_pnl_ex_1, maintenance_amount_both, "
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f"position_1_both, entry_price_1_both, maintenance_margin_rate_both is required by liquidation_price "
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f"when exchange is {exchange_name.lower()}")
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f"Parameters wallet_balance, mm_ex_1, upnl_ex_1, "
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f"maintenance_amt, position, entry_price, mm_rate "
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f"is required by liquidation_price when exchange is {exchange_name.lower()}")
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return binance(open_rate, is_short, leverage, trading_mode, collateral, wallet_balance, maintenance_margin_ex_1,
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unrealized_pnl_ex_1, maintenance_amount_both, position_1_both, entry_price_1_both,
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maintenance_margin_rate_both)
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return binance(open_rate, is_short, leverage, trading_mode, collateral, wallet_balance,
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mm_ex_1, upnl_ex_1, maintenance_amt,
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position, entry_price, mm_rate)
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elif exchange_name.lower() == "kraken":
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return kraken(open_rate, is_short, leverage, trading_mode, collateral)
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elif exchange_name.lower() == "ftx":
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@ -72,12 +73,12 @@ def binance(
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trading_mode: TradingMode,
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collateral: Collateral,
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wallet_balance: float,
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maintenance_margin_ex_1: float,
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unrealized_pnl_ex_1: float,
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maintenance_amount_both: float,
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position_1_both: float,
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entry_price_1_both: float,
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maintenance_margin_rate_both: float,
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mm_ex_1: float,
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upnl_ex_1: float,
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maintenance_amt: float,
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position: float,
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entry_price: float,
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mm_rate: float,
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):
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"""
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Calculates the liquidation price on Binance
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@ -88,32 +89,32 @@ def binance(
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:param collateral: cross, isolated
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:param wallet_balance: Wallet Balance is crossWalletBalance in Cross-Margin Mode.
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Wallet Balance is isolatedWalletBalance in Isolated Margin Mode
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Wallet Balance is isolatedWalletBalance in Isolated Margin Mode
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:param maintenance_margin_ex_1: Maintenance Margin of all other contracts, excluding Contract 1.
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If it is an isolated margin mode, then TMM=0
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:param mm_ex_1: Maintenance Margin of all other contracts,
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excluding Contract 1. If it is an isolated margin mode, then TMM=0
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:param unrealized_pnl_ex_1: Unrealized PNL of all other contracts, excluding Contract 1.
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If it is an isolated margin mode, then UPNL=0
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:param upnl_ex_1: Unrealized PNL of all other contracts, excluding Contract 1.
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If it is an isolated margin mode, then UPNL=0
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:param maintenance_amount_both: Maintenance Amount of BOTH position (one-way mode)
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:param maintenance_amt: Maintenance Amount of position (one-way mode)
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:param position_1_both: Absolute value of BOTH position size (one-way mode)
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:param position: Absolute value of position size (one-way mode)
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:param entry_price_1_both: Entry Price of BOTH position (one-way mode)
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:param entry_price: Entry Price of position (one-way mode)
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:param maintenance_margin_rate_both: Maintenance margin rate of BOTH position (one-way mode)
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:param mm_rate: Maintenance margin rate of position (one-way mode)
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"""
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# TODO-lev: Additional arguments, fill in formulas
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wb = wallet_balance
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tmm_1 = 0.0 if collateral == Collateral.ISOLATED else maintenance_margin_ex_1
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upnl_1 = 0.0 if collateral == Collateral.ISOLATED else unrealized_pnl_ex_1
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cum_b = maintenance_amount_both
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side_1_both = -1 if is_short else 1
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position_1_both = abs(position_1_both)
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ep1_both = entry_price_1_both
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mmr_b = maintenance_margin_rate_both
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tmm_1 = 0.0 if collateral == Collateral.ISOLATED else mm_ex_1
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upnl_1 = 0.0 if collateral == Collateral.ISOLATED else upnl_ex_1
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cum_b = maintenance_amt
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side_1 = -1 if is_short else 1
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position = abs(position)
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ep1 = entry_price
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mmr_b = mm_rate
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if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS:
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# TODO-lev: perform a calculation based on this formula
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@ -124,8 +125,8 @@ def binance(
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# Liquidation Price of USDⓈ-M Futures Contracts Isolated
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# Isolated margin mode, then TMM=0，UPNL=0
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return (wb + cum_b - (side_1_both * position_1_both * ep1_both)) / (
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position_1_both * mmr_b - side_1_both * position_1_both)
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return (wb + cum_b - side_1 * position * ep1) / (
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position * mmr_b - side_1 * position)
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elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS:
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# TODO-lev: perform a calculation based on this formula
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@ -133,8 +134,8 @@ def binance(
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# Liquidation Price of USDⓈ-M Futures Contracts Cross
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# Isolated margin mode, then TMM=0，UPNL=0
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return (wb - tmm_1 + upnl_1 + cum_b - (side_1_both * position_1_both * ep1_both)) / (
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position_1_both * mmr_b - side_1_both * position_1_both)
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return (wb - tmm_1 + upnl_1 + cum_b - side_1 * position * ep1) / (
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position * mmr_b - side_1 * position)
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# If nothing was returned
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exception("binance", trading_mode, collateral)
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@ -1,3 +1,5 @@
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from math import isclose
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import pytest
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from freqtrade.enums import Collateral, TradingMode
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@ -46,7 +48,14 @@ def test_liquidation_price_is_none(
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is_short,
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leverage,
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trading_mode,
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collateral
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collateral,
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1535443.01,
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71200.81144,
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-56354.57,
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135365.00,
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3683.979,
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1456.84,
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0.10,
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) is None
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@ -80,34 +89,35 @@ def test_liquidation_price_exception_thrown(
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@pytest.mark.parametrize(
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'exchange_name,open_rate,is_short,leverage,trading_mode,collateral,result', [
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# Binance
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('binance', "2.0", False, "1.0", margin, cross, 1.0),
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('binance', "2.0", False, "1.0", futures, cross, 1.0),
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('binance', "2.0", False, "1.0", futures, isolated, 1.0),
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# Kraken
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('kraken', "2.0", True, "3.0", margin, cross, 1.0),
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('kraken', "2.0", True, "3.0", futures, cross, 1.0),
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# FTX
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('ftx', "2.0", False, "3.0", margin, cross, 1.0),
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('ftx', "2.0", False, "3.0", futures, cross, 1.0),
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]
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)
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def test_liquidation_price(
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exchange_name,
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open_rate,
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is_short,
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leverage,
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trading_mode,
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collateral,
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result
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):
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# assert liquidation_price(
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# exchange_name,
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# open_rate,
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# is_short,
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# leverage,
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# trading_mode,
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# collateral
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# ) == result
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return # Here to avoid indent error
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'exchange_name, open_rate, is_short, leverage, trading_mode, collateral, wallet_balance, '
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'mm_ex_1, upnl_ex_1, maintenance_amt, position, entry_price, '
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'mm_rate, expected',
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[
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("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.ISOLATED, 1535443.01, 71200.8114,
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-56354.57, 135365.00, 3683.979, 1456.84, 0.10, 1114.78),
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("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.ISOLATED, 1535443.01, 356512.508,
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-448192.89, 16300.000, 109.488, 32481.980, 0.025, 18778.73),
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("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.CROSS, 1535443.01, 71200.81144,
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-56354.57, 135365.00, 3683.979, 1456.84, 0.10, 1153.26),
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("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.CROSS, 1535443.01, 356512.508,
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-448192.89, 16300.000, 109.488, 32481.980, 0.025, 26316.89)
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])
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def test_liquidation_price(exchange_name, open_rate, is_short, leverage, trading_mode, collateral,
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wallet_balance, mm_ex_1, upnl_ex_1,
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maintenance_amt, position, entry_price, mm_rate,
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expected):
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assert isclose(round(liquidation_price(
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exchange_name=exchange_name,
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open_rate=open_rate,
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is_short=is_short,
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leverage=leverage,
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trading_mode=trading_mode,
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collateral=collateral,
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wallet_balance=wallet_balance,
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mm_ex_1=mm_ex_1,
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upnl_ex_1=upnl_ex_1,
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maintenance_amt=maintenance_amt,
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position=position,
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entry_price=entry_price,
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mm_rate=mm_rate
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), 2), expected)
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