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test_execute_entry liquidation_price test test_get_maintenance_ratio_and_amt_gateio

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This commit is contained in:
Sam Germain 2022-01-13 02:12:02 -06:00
parent 2d545a2def
commit 387a9fbf36
6 changed files with 66 additions and 23 deletions
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2
freqtrade/constants.py
View File

@ -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}

4
freqtrade/freqtradebot.py
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@ -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:
self.collateral_type = Collateral(self.config['collateral_type'])
if 'collateral' in self.config:
self.collateral_type = Collateral(self.config['collateral'])
self._schedule = Scheduler()

13
freqtrade/leverage/liquidation_price.py
View File

@ -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,
# upnl_ex_1=upnl_ex_1,
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,
@ -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

12
tests/conftest.py
View File

@ -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

4
tests/exchange/test_gateio.py
View File

@ -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]

54
tests/test_freqtradebot.py
View File

@ -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", [
'spot',
# TODO-lev: Enable other modes
# 'margin', 'futures'
]
)
@pytest.mark.parametrize("is_short", [False, True])
@pytest.mark.parametrize("is_short,trading_mode,exchange_name,margin_mode,liq_price", [
(False, 'spot', 'binance', '', None),
(True, 'spot', 'binance', '', None),
(False, 'spot', 'gateio', '', None),
(True, 'spot', 'gateio', '', None),
(True, 'futures', 'binance', 'isolated', 13.217821782178218),
(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
default_conf_usdt['collateral'] = 'cross'
leverage = 1.0 if trading_mode == 'spot' else 5.0
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])