stable/freqtrade/leverage/liquidation_price.py

from typing import Optional

from freqtrade.enums import Collateral, TradingMode
from freqtrade.exceptions import OperationalException


def liquidation_price(
    exchange_name: str,
    open_rate: float,
    is_short: bool,
    leverage: float,
    trading_mode: TradingMode,
    collateral: Optional[Collateral]
) -> Optional[float]:

    if trading_mode == TradingMode.SPOT:
        return None

    if not collateral:
        raise OperationalException(
            "Parameter collateral is required by liquidation_price when trading_mode is "
            f"{trading_mode}"
        )

    if exchange_name.lower() == "binance":
        return binance(open_rate, is_short, leverage, trading_mode, collateral)
    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)
    raise OperationalException(
        f"liquidation_price is not implemented for {exchange_name}"
    )


def exception(
    exchange: str,
    trading_mode: TradingMode,
    collateral: Collateral
):
    """
        Raises an exception if exchange used doesn't support desired leverage mode
        :param name: Name of the exchange
        :param trading_mode: spot, margin, futures
        :param collateral: cross, isolated
    """
    raise OperationalException(
        f"{exchange} does not support {collateral.value} {trading_mode.value} trading")


def binance(
    open_rate: float,
    is_short: bool,
    leverage: float,
    trading_mode: TradingMode,
    collateral: Collateral,
    wallet_balance: float,
    maintenance_margin_ex_1: float,
    unrealized_pnl_ex_1: float,
    maintenance_amount_both: float,
    maintenance_amount_long: float,
    maintenance_amount_short: float,
    position_1_both: float,
    entry_price_1_both: float,
    position_1_long: float,
    entry_price_1_long: float,
    position_1_short: float,
    entry_price_1_short: float,
    maintenance_margin_rate_both: float,
    maintenance_margin_rate_long: float,
    maintenance_margin_rate_short: float,
):
    """
        Calculates the liquidation price on Binance
        :param name: Name of the exchange
        :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 maintenance_margin_ex_1: Maintenance Margin of all other contracts, excluding Contract 1.
          If it is an isolated margin mode, then TMM=0

        :param unrealized_pnl_ex_1: Unrealized PNL of all other contracts, excluding Contract 1.
          If it is an isolated margin mode, then UPNL=0

        :param maintenance_amount_both: Maintenance Amount of BOTH position (one-way mode)

        :param maintenance_amount_long: Maintenance Amount of LONG position (hedge mode)

        :param maintenance_amount_short: Maintenance Amount of SHORT position (hedge mode)

        :param side_1_both: Direction of BOTH position, 1 as long position, -1 as short position derived from is_short

        :param position_1_both: Absolute value of BOTH position size (one-way mode)

        :param entry_price_1_both: Entry Price of BOTH position (one-way mode)

        :param position_1_long: Absolute value of LONG position size (hedge mode)

        :param entry_price_1_long: Entry Price of LONG position (hedge mode)

        :param position_1_short: Absolute value of SHORT position size (hedge mode)

        :param entry_price_1_short: Entry Price of SHORT position (hedge mode)

        :param maintenance_margin_rate_both: Maintenance margin rate of BOTH position (one-way mode)

        :param maintenance_margin_rate_long: Maintenance margin rate of LONG position (hedge mode)

        :param maintenance_margin_rate_short: Maintenance margin rate of SHORT position (hedge mode)
    """
    # TODO-lev: Additional arguments, fill in formulas
    wb = wallet_balance
    tmm_1 = 0.0 if collateral == Collateral.ISOLATED else maintenance_margin_ex_1
    upnl_1 = 0.0 if collateral == Collateral.ISOLATED else unrealized_pnl_ex_1
    cum_b = maintenance_amount_both
    cum_l = maintenance_amount_long
    cum_s = maintenance_amount_short
    side_1_both = -1 if is_short else 1
    position_1_both = abs(position_1_both)
    ep1_both = entry_price_1_both
    position_1_long = abs(position_1_long)
    ep1_long = entry_price_1_long
    position_1_short = abs(position_1_short)
    ep1_short = entry_price_1_short
    mmr_b = maintenance_margin_rate_both
    mmr_l = maintenance_margin_rate_long
    mmr_s = maintenance_margin_rate_short

    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.CROSS:
        # TODO-lev: perform a calculation based on this formula
        # https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
        exception("binance", trading_mode, collateral)
    elif trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
        # TODO-lev: perform a calculation based on this formula
        # https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
        exception("binance", trading_mode, collateral)

    # 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 name: Name of the exchange
        :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)

    # 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 name: Name of the exchange
        :param trading_mode: spot, margin, futures
        :param collateral: cross, isolated
    """
    if collateral == Collateral.CROSS:
        # TODO-lev: Additional arguments, fill in formulas
        exception("ftx", trading_mode, collateral)

    # If nothing was returned
    exception("ftx", trading_mode, collateral)