test_execute_entry liquidation_price test test_get_maintenance_ratio_and_amt_gateio

freqtrade/constants.py

@@ -155,7 +155,7 @@ CONF_SCHEMA = {
         'ignore_roi_if_buy_signal': {'type': 'boolean'},
         'ignore_buying_expired_candle_after': {'type': 'number'},
         'trading_mode': {'type': 'string', 'enum': TRADING_MODES},
-        'collateral_type': {'type': 'string', 'enum': COLLATERAL_TYPES},
+        'collateral': {'type': 'string', 'enum': COLLATERAL_TYPES},
         'backtest_breakdown': {
             'type': 'array',
             'items': {'type': 'string', 'enum': BACKTEST_BREAKDOWNS}

freqtrade/freqtradebot.py

@@ -107,8 +107,8 @@ class FreqtradeBot(LoggingMixin):
         self.trading_mode = TradingMode(self.config.get('trading_mode', 'spot'))
 
         self.collateral_type: Optional[Collateral] = None
-        if 'collateral_type' in self.config:
+        if 'collateral' in self.config:
-            self.collateral_type = Collateral(self.config['collateral_type'])
+            self.collateral_type = Collateral(self.config['collateral'])
 
         self._schedule = Scheduler()
 

freqtrade/leverage/liquidation_price.py

@@ -106,8 +106,8 @@ def liquidation_price(
             trading_mode=trading_mode,
             collateral=collateral,  # type: ignore
             wallet_balance=wallet_balance,
-            # mm_ex_1=mm_ex_1,
+            mm_ex_1=mm_ex_1,  # type: ignore
-            # upnl_ex_1=upnl_ex_1,
+            upnl_ex_1=upnl_ex_1,  # type: ignore
             maintenance_amt=maintenance_amt,  # type: ignore
             position=position,
             mm_ratio=mm_ratio,
@@ -212,7 +212,6 @@ def binance(
     :param open_rate: Entry Price of position (one-way mode)
     :param mm_ratio: Maintenance margin rate of position (one-way mode)
     """
-    # TODO-lev: Additional arguments, fill in formulas
     wb = wallet_balance
     tmm_1 = 0.0 if collateral == Collateral.ISOLATED else mm_ex_1
     upnl_1 = 0.0 if collateral == Collateral.ISOLATED else upnl_ex_1
@@ -223,7 +222,6 @@ def binance(
     mmr_b = mm_ratio
 
     if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS:
-        # TODO-lev: perform a calculation based on this formula
         # https://www.binance.com/en/support/faq/f6b010588e55413aa58b7d63ee0125ed
         exception("binance", trading_mode, collateral)
     elif trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
@@ -235,11 +233,11 @@ def binance(
             position * mmr_b - side_1 * position)
 
     elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS:
-        # TODO-lev: perform a calculation based on this formula
         # https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
         # Liquidation Price of USDⓈ-M Futures Contracts Cross
 
         # Isolated margin mode, then TMM=0，UPNL=0
+        # * Untested
         return (wb - tmm_1 + upnl_1 + cum_b - side_1 * position * ep1) / (
             position * mmr_b - side_1 * position)
 
@@ -253,18 +251,17 @@ def kraken(
     leverage: float,
     trading_mode: TradingMode,
     collateral: Collateral
+    # ...
 ):
     """
     Calculates the liquidation price on Kraken
     :param trading_mode: spot, margin, futures
     :param collateral: cross, isolated
     """
-    # TODO-lev: Additional arguments, fill in formulas
 
     if collateral == Collateral.CROSS:
         if trading_mode == TradingMode.MARGIN:
             exception("kraken", trading_mode, collateral)
-            # TODO-lev: perform a calculation based on this formula
             # https://support.kraken.com/hc/en-us/articles/203325763-Margin-Call-Level-and-Margin-Liquidation-Level
         elif trading_mode == TradingMode.FUTURES:
             exception("kraken", trading_mode, collateral)
@@ -279,6 +276,7 @@ def ftx(
     leverage: float,
     trading_mode: TradingMode,
     collateral: Collateral
+    # ...
 ):
     """
     Calculates the liquidation price on FTX
@@ -286,7 +284,6 @@ def ftx(
     :param collateral: cross, isolated
     """
     if collateral == Collateral.CROSS:
-        # TODO-lev: Additional arguments, fill in formulas
         exception("ftx", trading_mode, collateral)
 
     # If nothing was returned

tests/conftest.py

@@ -823,6 +823,8 @@ def get_markets():
             'margin': True,
             'type': 'spot',
             'contractSize': None,
+            'taker': 0.0006,
+            'maker': 0.0002,
             'precision': {
                 'amount': 8,
                 'price': 8
@@ -860,6 +862,8 @@ def get_markets():
             'margin': True,
             'type': 'spot',
             'contractSize': None,
+            'taker': 0.0006,
+            'maker': 0.0002,
             'precision': {
                 'amount': 8,
                 'price': 8
@@ -892,6 +896,8 @@ def get_markets():
             'active': True,
             'spot': True,
             'type': 'spot',
+            'taker': 0.0006,
+            'maker': 0.0002,
             'precision': {
                 'price': 8,
                 'amount': 8,
@@ -923,6 +929,8 @@ def get_markets():
             'active': True,
             'spot': True,
             'type': 'spot',
+            'taker': 0.0006,
+            'maker': 0.0002,
             'precision': {
                 'price': 8,
                 'amount': 8,
@@ -955,6 +963,8 @@ def get_markets():
             'spot': True,
             'type': 'spot',
             'contractSize': None,
+            'taker': 0.0006,
+            'maker': 0.0002,
             'precision': {
                 'price': 8,
                 'amount': 8,
@@ -1023,6 +1033,8 @@ def get_markets():
             'spot': False,
             'type': 'swap',
             'contractSize': 0.01,
+            'taker': 0.0006,
+            'maker': 0.0002,
             'precision': {
                 'amount': 8,
                 'price': 8

tests/exchange/test_gateio.py

@@ -37,6 +37,8 @@ def test_validate_order_types_gateio(default_conf, mocker):
     ("DOGE/USDT:USDT", None),
 ])
 def test_get_maintenance_ratio_and_amt_gateio(default_conf, mocker, pair, mm_ratio):
+    api_mock = MagicMock()
+    exchange = get_patched_exchange(mocker, default_conf, api_mock, id="gateio")
     mocker.patch(
         'freqtrade.exchange.Exchange.markets',
         PropertyMock(
@@ -71,6 +73,4 @@ def test_get_maintenance_ratio_and_amt_gateio(default_conf, mocker, pair, mm_rat
             }
         )
     )
-    api_mock = MagicMock()
-    exchange = get_patched_exchange(mocker, default_conf, api_mock, id="gateio")
     assert exchange.get_maintenance_ratio_and_amt(pair) == [mm_ratio, None]

tests/test_freqtradebot.py

@@ -707,21 +707,45 @@ def test_process_informative_pairs_added(default_conf_usdt, ticker_usdt, mocker)
             CandleType.SPOT) in refresh_mock.call_args[0][0]
 
 
-@pytest.mark.parametrize("trading_mode", [
+@pytest.mark.parametrize("is_short,trading_mode,exchange_name,margin_mode,liq_price", [
-    'spot',
+    (False, 'spot', 'binance', '', None),
-    # TODO-lev: Enable other modes
+    (True, 'spot', 'binance', '', None),
-    # 'margin', 'futures'
+    (False, 'spot', 'gateio', '', None),
-]
+    (True, 'spot', 'gateio', '', None),
-)
+    (True, 'futures', 'binance', 'isolated', 13.217821782178218),
-@pytest.mark.parametrize("is_short", [False, True])
+    (False, 'futures', 'binance', 'isolated', 6.717171717171718),
+    (True, 'futures', 'gateio', 'isolated', 13.198706526760379),
+    (False, 'futures', 'gateio', 'isolated', 6.735367414292449),
+    # TODO-lev: Okex
+    # (False, 'spot', 'okex', 'isolated', ...),
+    # (True, 'futures', 'okex', 'isolated', ...),
+])
 def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
-                       limit_order_open, is_short, trading_mode) -> None:
+                       limit_order_open, is_short, trading_mode,
+                       exchange_name, margin_mode, liq_price) -> None:
+    '''
+    exchange_name = binance, is_short = true
+        (wb + cum_b - side_1 * position * ep1) / (position * mmr_b - side_1 * position)
+        ((2 + 0.01) - ((-1) * 0.6 * 10)) / ((0.6 * 0.01) - ((-1) * 0.6)) = 13.217821782178218
 
+    exchange_name = binance, is_short = false
+        (wb + cum_b - side_1 * position * ep1) / (position * mmr_b - side_1 * position)
+        (2 + 0.01 - 1 * 0.6 * 10) / (0.6 * 0.01 - 1 * 0.6) = 6.717171717171718
+
+    exchange_name = gateio, is_short = true
+        (open_rate + (wallet_balance / position)) / (1 + (mm_ratio + taker_fee_rate))
+        (10 + (6 / 0.6)) / (1 + (0.01 + 0.0002))
+        13.198706526760379
+
+    exchange_name = gateio, is_short = false
+        (open_rate - (wallet_balance / position)) / (1 - (mm_ratio + taker_fee_rate))
+        (10 - (2 / 0.6)) / (1 - (0.01 + 0.0002)) = 6.735367414292449
+    '''
     open_order = limit_order_open[enter_side(is_short)]
     order = limit_order[enter_side(is_short)]
     default_conf_usdt['trading_mode'] = trading_mode
-    leverage = 1.0 if trading_mode == 'spot' else 3.0
+    leverage = 1.0 if trading_mode == 'spot' else 5.0
-    default_conf_usdt['collateral'] = 'cross'
+    default_conf_usdt['collateral'] = margin_mode
     patch_RPCManager(mocker)
     patch_exchange(mocker)
     freqtrade = FreqtradeBot(default_conf_usdt)
@@ -886,14 +910,24 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
     assert trade.open_rate_requested == 10
 
     # In case of custom entry price not float type
+    mocker.patch.multiple(
+        'freqtrade.exchange.Exchange',
+        name=exchange_name,
+        get_maintenance_ratio_and_amt=MagicMock(return_value=[0.01, 0.01])
+    )
     order['status'] = 'open'
     order['id'] = '5568'
     freqtrade.strategy.custom_entry_price = lambda **kwargs: "string price"
     assert freqtrade.execute_entry(pair, stake_amount, is_short=is_short)
     trade = Trade.query.all()[8]
+    # Trade(id=9, pair=ETH/USDT, amount=0.20000000, is_short=False,
+    #   leverage=1.0, open_rate=10.00000000, open_since=...)
+    # Trade(id=9, pair=ETH/USDT, amount=0.60000000, is_short=True,
+    #   leverage=3.0, open_rate=10.00000000, open_since=...)
     trade.is_short = is_short
     assert trade
     assert trade.open_rate_requested == 10
+    assert trade.isolated_liq == liq_price
 
 
 @pytest.mark.parametrize("is_short", [False, True])