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Merge branch 'feat/short' into isolated-liq

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This commit is contained in:
Sam Germain 2022-01-31 14:15:34 -06:00
commit fc15e14707
4 changed files with 63 additions and 44 deletions
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31
freqtrade/exchange/binance.py
View File

@ -173,22 +173,35 @@ class Binance(Exchange):
except ccxt.BaseError as e:
raise OperationalException(e) from e
def get_max_leverage(self, pair: str, nominal_value: float) -> float:
def get_max_leverage(self, pair: str, stake_amount: Optional[float]) -> float:
"""
Returns the maximum leverage that a pair can be traded at
:param pair: The base/quote currency pair being traded
:nominal_value: The total value of the trade in quote currency (collateral + debt)
:stake_amount: The total value of the traders collateral in quote currency
"""
if stake_amount is None:
raise OperationalException('binance.get_max_leverage requires argument stake_amount')
if pair not in self._leverage_brackets:
return 1.0
pair_brackets = self._leverage_brackets[pair]
for [notional_floor, mm_ratio, _] in reversed(pair_brackets):
if nominal_value >= notional_floor:
if mm_ratio != 0:
return 1/mm_ratio
else:
logger.warning(f"mm_ratio for {pair} with nominal_value {nominal_value} is 0")
return 1.0
num_brackets = len(pair_brackets)
min_amount = 0.0
for bracket_num in range(num_brackets):
[notional_floor, mm_ratio, _] = pair_brackets[bracket_num]
lev = 1.0
if mm_ratio != 0:
lev = 1.0/mm_ratio
else:
logger.warning(f"mm_ratio for {pair} with notional floor {notional_floor} is 0")
if bracket_num+1 != num_brackets: # If not on last bracket
[min_amount, _, __] = pair_brackets[bracket_num+1] # Get min_amount of next bracket
else:
return lev
nominal_value = stake_amount * lev
# Bracket is good if the leveraged trade value doesnt exceed min_amount of next bracket
if nominal_value < min_amount:
return lev
return 1.0 # default leverage
@retrier
def _set_leverage(

2
freqtrade/exchange/exchange.py
View File

@ -1806,7 +1806,7 @@ class Exchange:
"""
return
def get_max_leverage(self, pair: str, nominal_value: float) -> float:
def get_max_leverage(self, pair: str, stake_amount: Optional[float]) -> float:
"""
Returns the maximum leverage that a pair can be traded at
:param pair: The base/quote currency pair being traded

4
tests/commands/test_commands.py
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@ -810,7 +810,9 @@ def test_download_data_trades(mocker, caplog):
"--days", "20",
"--dl-trades"
]
start_download_data(get_args(args))
pargs = get_args(args)
pargs['config'] = None
start_download_data(pargs)
assert dl_mock.call_args[1]['timerange'].starttype == "date"
assert dl_mock.call_count == 1
assert convert_mock.call_count == 1

70
tests/exchange/test_binance.py
View File

@ -162,45 +162,49 @@ def test_stoploss_adjust_binance(mocker, default_conf, sl1, sl2, sl3, side):
assert not exchange.stoploss_adjust(sl3, order, side=side)
@pytest.mark.parametrize('pair,nominal_value,max_lev', [
@pytest.mark.parametrize('pair,stake_amount,max_lev', [
("BNB/BUSD", 0.0, 40.0),
("BNB/USDT", 100.0, 153.84615384615384),
("BNB/USDT", 100.0, 100.0),
("BTC/USDT", 170.30, 250.0),
("BNB/BUSD", 999999.9, 10.0),
("BNB/USDT", 5000000.0, 6.666666666666667),
("BTC/USDT", 300000000.1, 2.0),
("BNB/BUSD", 99999.9, 10.0),
("BNB/USDT", 750000, 6.666666666666667),
("BTC/USDT", 150000000.1, 2.0),
])
def test_get_max_leverage_binance(default_conf, mocker, pair, nominal_value, max_lev):
def test_get_max_leverage_binance(default_conf, mocker, pair, stake_amount, max_lev):
exchange = get_patched_exchange(mocker, default_conf, id="binance")
exchange._leverage_brackets = {
'BNB/BUSD': [[0.0, 0.025, 0.0],
[100000.0, 0.05, 2500.0],
[500000.0, 0.1, 27500.0],
[1000000.0, 0.15, 77500.0],
[2000000.0, 0.25, 277500.0],
[5000000.0, 0.5, 1527500.0]],
'BNB/USDT': [[0.0, 0.0065, 0.0],
[10000.0, 0.01, 35.0],
[50000.0, 0.02, 535.0],
[250000.0, 0.05, 8035.0],
[1000000.0, 0.1, 58035.0],
[2000000.0, 0.125, 108035.0],
[5000000.0, 0.15, 233035.0],
[10000000.0, 0.25, 1233035.0]],
'BTC/USDT': [[0.0, 0.004, 0.0],
[50000.0, 0.005, 50.0],
[250000.0, 0.01, 1300.0],
[1000000.0, 0.025, 16300.0],
[5000000.0, 0.05, 141300.0],
[20000000.0, 0.1, 1141300.0],
[50000000.0, 0.125, 2391300.0],
[100000000.0, 0.15, 4891300.0],
[200000000.0, 0.25, 24891300.0],
[300000000.0, 0.5, 99891300.0]
]
'BNB/BUSD': [
[0.0, 0.025, 0.0], # lev = 40.0
[100000.0, 0.05, 2500.0], # lev = 20.0
[500000.0, 0.1, 27500.0], # lev = 10.0
[1000000.0, 0.15, 77500.0], # lev = 6.666666666666667
[2000000.0, 0.25, 277500.0], # lev = 4.0
[5000000.0, 0.5, 1527500.0], # lev = 2.0
],
'BNB/USDT': [
[0.0, 0.0065, 0.0], # lev = 153.84615384615384
[10000.0, 0.01, 35.0], # lev = 100.0
[50000.0, 0.02, 535.0], # lev = 50.0
[250000.0, 0.05, 8035.0], # lev = 20.0
[1000000.0, 0.1, 58035.0], # lev = 10.0
[2000000.0, 0.125, 108035.0], # lev = 8.0
[5000000.0, 0.15, 233035.0], # lev = 6.666666666666667
[10000000.0, 0.25, 1233035.0], # lev = 4.0
],
'BTC/USDT': [
[0.0, 0.004, 0.0], # lev = 250.0
[50000.0, 0.005, 50.0], # lev = 200.0
[250000.0, 0.01, 1300.0], # lev = 100.0
[1000000.0, 0.025, 16300.0], # lev = 40.0
[5000000.0, 0.05, 141300.0], # lev = 20.0
[20000000.0, 0.1, 1141300.0], # lev = 10.0
[50000000.0, 0.125, 2391300.0], # lev = 8.0
[100000000.0, 0.15, 4891300.0], # lev = 6.666666666666667
[200000000.0, 0.25, 24891300.0], # lev = 4.0
[300000000.0, 0.5, 99891300.0], # lev = 2.0
]
}
assert exchange.get_max_leverage(pair, nominal_value) == max_lev
assert exchange.get_max_leverage(pair, stake_amount) == max_lev
def test_fill_leverage_brackets_binance(default_conf, mocker):