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okex.liquidation_price formula update
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Sam Germain
parent
fe037aa971
commit
7f4894d68e
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@ -289,8 +289,6 @@ class Binance(Exchange):
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maintenance_amt: Optional[float] = None, # (Binance)
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wallet_balance: Optional[float] = None, # (Binance and Gateio)
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taker_fee_rate: Optional[float] = None, # (Gateio & Okex)
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liability: Optional[float] = None, # (Okex)
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interest: Optional[float] = None, # (Okex)
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mm_ex_1: Optional[float] = 0.0, # (Binance) Cross only
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upnl_ex_1: Optional[float] = 0.0, # (Binance) Cross only
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) -> Optional[float]:
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@ -314,8 +312,6 @@ class Binance(Exchange):
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# * Not required by Binance
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:param taker_fee_rate:
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:param liability:
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:param interest:
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# * Only required for Cross
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:param mm_ex_1: (TMM)
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@ -2026,8 +2026,6 @@ class Exchange:
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maintenance_amt: Optional[float] = None, # (Binance)
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wallet_balance: Optional[float] = None, # (Binance and Gateio)
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taker_fee_rate: Optional[float] = None, # (Gateio & Okex)
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liability: Optional[float] = None, # (Okex)
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interest: Optional[float] = None, # (Okex)
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mm_ex_1: Optional[float] = 0.0, # (Binance) Cross only
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upnl_ex_1: Optional[float] = 0.0, # (Binance) Cross only
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) -> Optional[float]:
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@ -2036,12 +2034,12 @@ class Exchange:
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:param open_rate: (EP1) Entry price of position
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:param is_short: True if the trade is a short, false otherwise
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:param leverage: The amount of leverage on the trade
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:param trading_mode: SPOT, MARGIN, FUTURES, etc.
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:param position: Absolute value of position size (in base currency)
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:param mm_ratio: (MMR)
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Okex: [assets in the position - (liability +interest) * mark price] /
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(maintenance margin + liquidation fee)
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# * Note: Binance's formula specifies maintenance margin rate which is mm_ratio * 100%
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:param position: Absolute value of position size (in base currency)
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:param trading_mode: SPOT, MARGIN, FUTURES, etc.
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:param collateral: Either ISOLATED or CROSS
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# * Binance
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@ -2051,21 +2049,10 @@ class Exchange:
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:param wallet_balance: (WB)
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Cross-Margin Mode: crossWalletBalance
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Isolated-Margin Mode: isolatedWalletBalance
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:param position: Absolute value of position size (in base currency)
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# * Gateio & Okex
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:param taker_fee_rate:
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# * Okex
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:param liability:
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Initial liabilities + deducted interest
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• Long positions: Liability is calculated in quote currency.
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• Short positions: Liability is calculated in trading currency.
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:param interest:
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Interest that has not been deducted yet.
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:param position_assets:
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Total position assets – on-hold by pending order
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# * Cross only (Binance)
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:param mm_ex_1: (TMM)
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Cross-Margin Mode: Maintenance Margin of all other contracts, excluding Contract 1
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@ -2084,20 +2071,18 @@ class Exchange:
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)
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return self.liquidation_price_helper(
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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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mm_ratio,
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collateral,
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maintenance_amt,
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position,
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wallet_balance,
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taker_fee_rate,
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liability,
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interest,
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mm_ex_1,
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upnl_ex_1,
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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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mm_ratio=mm_ratio,
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position=position,
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trading_mode=trading_mode,
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collateral=collateral,
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maintenance_amt=maintenance_amt,
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wallet_balance=wallet_balance,
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taker_fee_rate=taker_fee_rate,
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mm_ex_1=mm_ex_1,
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upnl_ex_1=upnl_ex_1,
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)
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def liquidation_price_helper(
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@ -2112,8 +2097,6 @@ class Exchange:
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maintenance_amt: Optional[float] = None, # (Binance)
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wallet_balance: Optional[float] = None, # (Binance and Gateio)
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taker_fee_rate: Optional[float] = None, # (Gateio & Okex)
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liability: Optional[float] = None, # (Okex)
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interest: Optional[float] = None, # (Okex)
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mm_ex_1: Optional[float] = 0.0, # (Binance) Cross only
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upnl_ex_1: Optional[float] = 0.0, # (Binance) Cross only
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) -> Optional[float]:
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@ -64,8 +64,6 @@ class Gateio(Exchange):
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maintenance_amt: Optional[float] = None, # (Binance)
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wallet_balance: Optional[float] = None, # (Binance and Gateio)
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taker_fee_rate: Optional[float] = None, # (Gateio & Okex)
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liability: Optional[float] = None, # (Okex)
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interest: Optional[float] = None, # (Okex)
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mm_ex_1: Optional[float] = 0.0, # (Binance) Cross only
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upnl_ex_1: Optional[float] = 0.0, # (Binance) Cross only
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) -> Optional[float]:
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@ -87,8 +85,6 @@ class Gateio(Exchange):
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:param taker_fee_rate:
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# * Not required by Gateio
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:param liability:
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:param interest:
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:param mm_ex_1:
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:param upnl_ex_1:
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"""
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@ -40,8 +40,6 @@ class Okex(Exchange):
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maintenance_amt: Optional[float] = None, # (Binance)
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wallet_balance: Optional[float] = None, # (Binance and Gateio)
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taker_fee_rate: Optional[float] = None, # (Gateio & Okex)
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liability: Optional[float] = None, # (Okex)
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interest: Optional[float] = None, # (Okex)
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mm_ex_1: Optional[float] = 0.0, # (Binance) Cross only
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upnl_ex_1: Optional[float] = 0.0, # (Binance) Cross only
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) -> Optional[float]:
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@ -57,36 +55,26 @@ class Okex(Exchange):
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:param mm_ratio:
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Okex: [assets in the position - (liability +interest) * mark price] /
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(maintenance margin + liquidation fee)
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:param position:
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Total position assets – on-hold by pending order
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:param trading_mode: SPOT, MARGIN, FUTURES, etc.
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:param collateral: Either ISOLATED or CROSS
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:param maintenance_amt: # * Not required by Okex
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:param wallet_balance: # * Not required by Okex
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:param wallet_balance: # * margin_balance?
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:param taker_fee_rate:
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:param liability:
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Initial liabilities + deducted interest
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• Long positions: Liability is calculated in quote currency.
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• Short positions: Liability is calculated in trading currency.
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:param interest: Interest that has not been deducted yet.
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:param mm_ex_1: # * Not required by Okex
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:param upnl_ex_1: # * Not required by Okex
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"""
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if (not liability or not interest or not taker_fee_rate or not position_assets):
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if (not taker_fee_rate):
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raise OperationalException(
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"Parameters liability, interest, taker_fee_rate, position_assets"
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"are required by Okex.liquidation_price"
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"Parameter taker_fee_rate is required by Okex.liquidation_price"
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)
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if trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
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if is_short:
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return (liability + interest) * (1 + mm_ratio) * (1 + taker_fee_rate)
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return (margin_balance + (face_value * number_of_contracts * open_price)) / [face_value * number_of_contracts * (mm_ratio + taker_fee_rate + 1)]
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else:
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return (
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(liability + interest) * (1 + mm_ratio) * (1 + taker_fee_rate) /
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position_assets
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)
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return (margin_balance - (face_value * number_of_contracts * open_price)) / [face_value * number_of_contracts * (mm_ratio + taker_fee_rate - 1)]
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else:
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raise OperationalException(
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f"Okex does not support {collateral.value} Mode {trading_mode.value} trading")
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