liquidation_price formula organize and comment clean up

This commit is contained in:
Sam Germain 2022-01-13 04:33:34 -06:00
parent 387a9fbf36
commit 7abffee755

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@ -12,69 +12,59 @@ def liquidation_price(
trading_mode: TradingMode,
mm_ratio: float,
collateral: Optional[Collateral] = Collateral.ISOLATED,
# Binance
maintenance_amt: Optional[float] = None,
# Binance and Gateio
wallet_balance: Optional[float] = None,
position: Optional[float] = None, # Absolute value of position size
# Gateio & Okex
taker_fee_rate: Optional[float] = None,
# Okex
liability: Optional[float] = None,
interest: Optional[float] = None,
position_assets: Optional[float] = None, # * Might be same as position
# * Cross only
mm_ex_1: Optional[float] = 0.0, # Cross only
upnl_ex_1: Optional[float] = 0.0, # Cross only
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]:
'''
wallet_balance
In Cross margin mode, WB is crossWalletBalance
In Isolated margin mode, WB is isolatedWalletBalance of the isolated position,
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 the isolated mode.
Under the isolated mode, each isolated position will have different liquidation prices
depending on the margin allocated to the positions.
position
Absolute value of position size (in base currency)
# Binance
maintenance_amt (cumb)
Maintenance Amount of position
# Gateio & okex & binance
mm_ratio
[assets in the position - (liability +interest) * mark price] /
(maintenance margin + liquidation fee) (okex)
"""
: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
# Gateio & okex
taker_fee_rate
# * Binance
:param maintenance_amt: (CUM) Maintenance Amount of position
# Okex
liability
# * 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.
interest
:param interest:
Interest that has not been deducted yet.
position_assets
:param position_assets:
Total position assets on-hold by pending order
# * Cross only
mm_ex_1
Maintenance Margin of all other contracts, excluding Contract 1
If it is an isolated margin mode, then TMM=0UPNL=0
upnl_ex_1
Unrealized PNL of all other contracts, excluding Contract 1
If it is an isolated margin mode, then UPNL=0
'''
# * 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
@ -85,20 +75,14 @@ def liquidation_price(
)
if exchange_name.lower() == "binance":
if (
wallet_balance is None or
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
maintenance_amt is None or
position is None or
mm_ratio is None
):
raise OperationalException(
f"Parameters wallet_balance, mm_ex_1, upnl_ex_1, "
f"maintenance_amt, position, mm_ratio "
f"is required by liquidation_price when exchange is {exchange_name.lower()}")
# Suppress incompatible type "Optional[float]"; expected "float" as the check exists above.
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,
@ -111,21 +95,12 @@ def liquidation_price(
maintenance_amt=maintenance_amt, # type: ignore
position=position,
mm_ratio=mm_ratio,
) # type: ignore
elif exchange_name.lower() == "kraken":
return kraken(open_rate, is_short, leverage, trading_mode, collateral)
elif exchange_name.lower() == "ftx":
return ftx(open_rate, is_short, leverage, trading_mode, collateral)
)
elif exchange_name.lower() == "gateio":
if (
not wallet_balance or
not position or
not mm_ratio or
not taker_fee_rate
):
if (not wallet_balance or not position or not taker_fee_rate):
raise OperationalException(
f"{exchange_name} {collateral} {trading_mode} requires parameters "
f"wallet_balance, contract_size, num_contracts, mm_ratio and taker_fee"
f"Parameters wallet_balance, position, taker_fee_rate"
f"are required by liquidation_price when exchange is {exchange_name.lower()}"
)
else:
return gateio(
@ -139,16 +114,10 @@ def liquidation_price(
taker_fee_rate=taker_fee_rate
)
elif exchange_name.lower() == "okex":
if (
not mm_ratio or
not liability or
not interest or
not taker_fee_rate or
not position_assets
):
if (not liability or not interest or not taker_fee_rate or not position_assets):
raise OperationalException(
f"{exchange_name} {collateral} {trading_mode} requires parameters "
f"mm_ratio, liability, interest, taker_fee_rate, position_assets"
f"Parameters liability, interest, taker_fee_rate, position_assets"
f"are required by liquidation_price when exchange is {exchange_name.lower()}"
)
else:
return okex(
@ -161,9 +130,11 @@ def liquidation_price(
taker_fee_rate=taker_fee_rate,
position_assets=position_assets,
)
raise OperationalException(
f"liquidation_price is not implemented for {exchange_name}"
)
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(
@ -172,10 +143,10 @@ def exception(
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
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(
@ -187,132 +158,79 @@ def binance(
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,
maintenance_amt: float,
position: float,
mm_ratio: float,
):
"""
Calculates the liquidation price on Binance
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 collateral: cross, isolated
:param wallet_balance: Wallet Balance is crossWalletBalance in Cross-Margin Mode.
Wallet Balance is isolatedWalletBalance in Isolated Margin Mode
:param mm_ex_1: Maintenance Margin of all other contracts,
excluding Contract 1. If it is an isolated margin mode, then TMM=0
:param upnl_ex_1: Unrealized PNL of all other contracts, excluding Contract 1.
If it is an isolated margin mode, then UPNL=0
:param maintenance_amt: Maintenance Amount of position (one-way mode)
: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 open_rate: Entry Price of position (one-way mode)
:param mm_ratio: Maintenance margin rate of position (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
"""
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
cum_b = maintenance_amt
side_1 = -1 if is_short else 1
position = abs(position)
ep1 = open_rate
mmr_b = mm_ratio
cross_vars = upnl_ex_1 - mm_ex_1 if collateral == Collateral.CROSS else 0.0
if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS:
# https://www.binance.com/en/support/faq/f6b010588e55413aa58b7d63ee0125ed
# ! Not Implemented
exception("binance", trading_mode, collateral)
elif trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
# https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
# Liquidation Price of USDⓈ-M Futures Contracts Isolated
if trading_mode == TradingMode.FUTURES:
return (wallet_balance + cross_vars + maintenance_amt - (side_1 * position * open_rate)) / (
(position * mm_ratio) - (side_1 * position))
# Isolated margin mode, then TMM=0UPNL=0
return (wb + cum_b - side_1 * position * ep1) / (
position * mmr_b - side_1 * position)
elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS:
# https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
# Liquidation Price of USDⓈ-M Futures Contracts Cross
# Isolated margin mode, then TMM=0UPNL=0
# * Untested
return (wb - tmm_1 + upnl_1 + cum_b - side_1 * position * ep1) / (
position * mmr_b - side_1 * position)
# If nothing was returned
exception("binance", trading_mode, collateral)
def kraken(
open_rate: float,
is_short: bool,
leverage: float,
trading_mode: TradingMode,
collateral: Collateral
# ...
):
"""
Calculates the liquidation price on Kraken
:param trading_mode: spot, margin, futures
:param collateral: cross, isolated
"""
if collateral == Collateral.CROSS:
if trading_mode == TradingMode.MARGIN:
exception("kraken", trading_mode, collateral)
# 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)
# If nothing was returned
exception("kraken", trading_mode, collateral)
def ftx(
open_rate: float,
is_short: bool,
leverage: float,
trading_mode: TradingMode,
collateral: Collateral
# ...
):
"""
Calculates the liquidation price on FTX
:param trading_mode: spot, margin, futures
:param collateral: cross, isolated
"""
if collateral == Collateral.CROSS:
exception("ftx", trading_mode, collateral)
# If nothing was returned
exception("ftx", trading_mode, collateral)
def gateio(
open_rate: float,
is_short: bool,
trading_mode: TradingMode,
collateral: Collateral,
wallet_balance: float,
position: float,
mm_ratio: float,
collateral: Collateral,
position: float,
wallet_balance: float,
taker_fee_rate: float,
is_inverse: bool = False
):
"""
Calculates the liquidation price on Gate.io
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 collateral: cross, isolated
:param wallet_balance: Also called margin
: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 mm_ratio: Viewed in contract details
:param wallet_balance: Also called margin
:param taker_fee_rate:
:param is_inverse: True if settle currency matches base currency
@ -320,16 +238,13 @@ def gateio(
'±' in the formula refers to the direction of the contract,
go long refers to '-'
go short refers to '+'
Position refers to the number of contracts.
Maintenance Margin Ratio and Contract Multiplier can be viewed in the Contract Details.
https://www.gate.io/help/futures/perpetual/22160/calculation-of-liquidation-price
"""
if trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
if is_inverse:
raise OperationalException(
"Freqtrade does not support inverse contracts at the moment")
# ! 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)
@ -344,24 +259,40 @@ def gateio(
def okex(
is_short: bool,
trading_mode: TradingMode,
mm_ratio: float,
collateral: Collateral,
taker_fee_rate: float,
liability: float,
interest: float,
mm_ratio: float,
taker_fee_rate: float,
position_assets: float
):
'''
https://www.okex.com/support/hc/en-us/articles/
PERPETUAL: https://www.okex.com/support/hc/en-us/articles/
360053909592-VI-Introduction-to-the-isolated-mode-of-Single-Multi-currency-Portfolio-margin
Initial liabilities + deducted interest
Long positions: Liability is calculated in quote currency.
Short positions: Liability is calculated in trading currency.
interest: Interest that has not been deducted yet.
Margin ratio
Long: [position_assets - (liability + interest) / mark_price] / (maintenance_margin + fees)
Short: [position_assets - (liability + interest) * mark_price] / (maintenance_margin + fees)
: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:
@ -371,18 +302,55 @@ def okex(
else:
exception("okex", trading_mode, collateral)
# if __name__ == '__main__':
# print(liquidation_price(
# "binance",
# 32481.980,
# False,
# 1,
# TradingMode.FUTURES,
# Collateral.ISOLATED,
# 1535443.01,
# 356512.508,
# 0.0,
# 16300.000,
# 109.488,
# 0.025
# ))
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)