Fix liquidation price tier calculation

closes #7294

freqtrade/exchange/binance.py

@@ -137,23 +137,27 @@ class Binance(Exchange):
         pair: str,
         open_rate: float,   # Entry price of position
         is_short: bool,
-        position: float,  # Absolute value of position size
+        amount: float,
+        stake_amount: float,
         wallet_balance: float,  # Or margin balance
         mm_ex_1: float = 0.0,  # (Binance) Cross only
         upnl_ex_1: float = 0.0,  # (Binance) Cross only
     ) -> Optional[float]:
         """
+        Important: Must be fetching data from cached values as this is used by backtesting!
         MARGIN: https://www.binance.com/en/support/faq/f6b010588e55413aa58b7d63ee0125ed
         PERPETUAL: https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
 
         :param exchange_name:
-        :param open_rate: (EP1) Entry price of position
+        :param open_rate: Entry price of position
         :param is_short: True if the trade is a short, false otherwise
-        :param position: Absolute value of position size (in base currency)
+        :param amount: Absolute value of position size incl. leverage (in base currency)
-        :param wallet_balance: (WB)
+        :param stake_amount: Stake amount - Collateral in settle currency.
+        :param trading_mode: SPOT, MARGIN, FUTURES, etc.
+        :param margin_mode: Either ISOLATED or CROSS
+        :param wallet_balance: Amount of margin_mode in the wallet being used to trade
             Cross-Margin Mode: crossWalletBalance
             Isolated-Margin Mode: isolatedWalletBalance
-        :param maintenance_amt:
 
         # * Only required for Cross
         :param mm_ex_1: (TMM)
@@ -165,12 +169,11 @@ class Binance(Exchange):
         """
 
         side_1 = -1 if is_short else 1
-        position = abs(position)
         cross_vars = upnl_ex_1 - mm_ex_1 if self.margin_mode == MarginMode.CROSS else 0.0
 
         # mm_ratio: Binance's formula specifies maintenance margin rate which is mm_ratio * 100%
         # maintenance_amt: (CUM) Maintenance Amount of position
-        mm_ratio, maintenance_amt = self.get_maintenance_ratio_and_amt(pair, position)
+        mm_ratio, maintenance_amt = self.get_maintenance_ratio_and_amt(pair, stake_amount)
 
         if (maintenance_amt is None):
             raise OperationalException(
@@ -182,9 +185,9 @@ class Binance(Exchange):
             return (
                 (
                     (wallet_balance + cross_vars + maintenance_amt) -
-                    (side_1 * position * open_rate)
+                    (side_1 * amount * open_rate)
                 ) / (
-                    (position * mm_ratio) - (side_1 * position)
+                    (amount * mm_ratio) - (side_1 * amount)
                 )
             )
         else:

freqtrade/exchange/exchange.py

@@ -2437,6 +2437,7 @@ class Exchange:
             pair: str,
             open_rate: float,
             amount: float,  # quote currency, includes leverage
+            stake_amount: float,
             leverage: float,
             is_short: bool
     ) -> Optional[float]:
@@ -2446,13 +2447,13 @@ class Exchange:
         elif (
             self.trading_mode == TradingMode.FUTURES
         ):
-            wallet_balance = (amount * open_rate) / leverage
             isolated_liq = self.get_or_calculate_liquidation_price(
                 pair=pair,
                 open_rate=open_rate,
                 is_short=is_short,
-                position=amount,
+                amount=amount,
-                wallet_balance=wallet_balance,
+                stake_amount=stake_amount,
+                wallet_balance=stake_amount,  # In isolated mode, stake-amount = wallet size
                 mm_ex_1=0.0,
                 upnl_ex_1=0.0,
             )
@@ -2627,14 +2628,14 @@ class Exchange:
         # Dry-run
         open_rate: float,   # Entry price of position
         is_short: bool,
-        position: float,  # Absolute value of position size
+        amount: float,  # Absolute value of position size
+        stake_amount: float,
         wallet_balance: float,  # Or margin balance
         mm_ex_1: float = 0.0,  # (Binance) Cross only
         upnl_ex_1: float = 0.0,  # (Binance) Cross only
     ) -> Optional[float]:
         """
         Set's the margin mode on the exchange to cross or isolated for a specific pair
-        :param pair: base/quote currency pair (e.g. "ADA/USDT")
         """
         if self.trading_mode == TradingMode.SPOT:
             return None
@@ -2648,7 +2649,8 @@ class Exchange:
                 pair=pair,
                 open_rate=open_rate,
                 is_short=is_short,
-                position=position,
+                amount=amount,
+                stake_amount=stake_amount,
                 wallet_balance=wallet_balance,
                 mm_ex_1=mm_ex_1,
                 upnl_ex_1=upnl_ex_1
@@ -2677,22 +2679,24 @@ class Exchange:
         pair: str,
         open_rate: float,   # Entry price of position
         is_short: bool,
-        position: float,  # Absolute value of position size
+        amount: float,
+        stake_amount: float,
         wallet_balance: float,  # Or margin balance
         mm_ex_1: float = 0.0,  # (Binance) Cross only
         upnl_ex_1: float = 0.0,  # (Binance) Cross only
     ) -> Optional[float]:
         """
+        Important: Must be fetching data from cached values as this is used by backtesting!
         PERPETUAL:
          gateio: https://www.gate.io/help/futures/perpetual/22160/calculation-of-liquidation-price
          okex: https://www.okex.com/support/hc/en-us/articles/
             360053909592-VI-Introduction-to-the-isolated-mode-of-Single-Multi-currency-Portfolio-margin
-        Important: Must be fetching data from cached values as this is used by backtesting!
 
         :param exchange_name:
         :param open_rate: Entry price of position
         :param is_short: True if the trade is a short, false otherwise
-        :param position: Absolute value of position size incl. leverage (in base currency)
+        :param amount: Absolute value of position size incl. leverage (in base currency)
+        :param stake_amount: Stake amount - Collateral in settle currency.
         :param trading_mode: SPOT, MARGIN, FUTURES, etc.
         :param margin_mode: Either ISOLATED or CROSS
         :param wallet_balance: Amount of margin_mode in the wallet being used to trade
@@ -2706,7 +2710,7 @@ class Exchange:
 
         market = self.markets[pair]
         taker_fee_rate = market['taker']
-        mm_ratio, _ = self.get_maintenance_ratio_and_amt(pair, position)
+        mm_ratio, _ = self.get_maintenance_ratio_and_amt(pair, stake_amount)
 
         if self.trading_mode == TradingMode.FUTURES and self.margin_mode == MarginMode.ISOLATED:
 
@@ -2714,7 +2718,7 @@ class Exchange:
                 raise OperationalException(
                     "Freqtrade does not yet support inverse contracts")
 
-            value = wallet_balance / position
+            value = wallet_balance / amount
 
             mm_ratio_taker = (mm_ratio + taker_fee_rate)
             if is_short:

freqtrade/freqtradebot.py

@@ -1734,6 +1734,7 @@ class FreqtradeBot(LoggingMixin):
                     leverage=trade.leverage,
                     pair=trade.pair,
                     amount=trade.amount,
+                    stake_amount=trade.stake_amount,
                     open_rate=trade.open_rate,
                     is_short=trade.is_short
                 ))

freqtrade/optimize/backtesting.py

@@ -876,6 +876,7 @@ class Backtesting:
                 pair=pair,
                 open_rate=propose_rate,
                 amount=amount,
+                stake_amount=trade.stake_amount,
                 leverage=leverage,
                 is_short=is_short,
             ))

tests/exchange/test_exchange.py

@@ -4132,7 +4132,8 @@ def test_get_or_calculate_liquidation_price(mocker, default_conf):
         pair='NEAR/USDT:USDT',
         open_rate=18.884,
         is_short=False,
-        position=0.8,
+        amount=0.8,
+        stake_amount=18.884 * 0.8,
         wallet_balance=0.8,
     )
     assert liq_price == 17.47
@@ -4143,7 +4144,8 @@ def test_get_or_calculate_liquidation_price(mocker, default_conf):
         pair='NEAR/USDT:USDT',
         open_rate=18.884,
         is_short=False,
-        position=0.8,
+        amount=0.8,
+        stake_amount=18.884 * 0.8,
         wallet_balance=0.8,
     )
     assert liq_price == 17.540699999999998
@@ -4543,7 +4545,8 @@ def test_liquidation_price_is_none(
         pair='DOGE/USDT',
         open_rate=open_rate,
         is_short=is_short,
-        position=71200.81144,
+        amount=71200.81144,
+        stake_amount=open_rate * 71200.81144,
         wallet_balance=-56354.57,
         mm_ex_1=0.10,
         upnl_ex_1=0.0
@@ -4552,7 +4555,7 @@ def test_liquidation_price_is_none(
 
 @pytest.mark.parametrize(
     'exchange_name, is_short, trading_mode, margin_mode, wallet_balance, '
-    'mm_ex_1, upnl_ex_1, maintenance_amt, position, open_rate, '
+    'mm_ex_1, upnl_ex_1, maintenance_amt, amount, open_rate, '
     'mm_ratio, expected',
     [
         ("binance", False, 'futures', 'isolated', 1535443.01, 0.0,
@@ -4566,7 +4569,7 @@ def test_liquidation_price_is_none(
     ])
 def test_liquidation_price(
     mocker, default_conf, exchange_name, open_rate, is_short, trading_mode,
-    margin_mode, wallet_balance, mm_ex_1, upnl_ex_1, maintenance_amt, position, mm_ratio, expected
+    margin_mode, wallet_balance, mm_ex_1, upnl_ex_1, maintenance_amt, amount, mm_ratio, expected
 ):
     default_conf['trading_mode'] = trading_mode
     default_conf['margin_mode'] = margin_mode
@@ -4580,7 +4583,8 @@ def test_liquidation_price(
         wallet_balance=wallet_balance,
         mm_ex_1=mm_ex_1,
         upnl_ex_1=upnl_ex_1,
-        position=position,
+        amount=amount,
+        stake_amount=open_rate * amount,
     ), 2), expected)
 
 
@@ -5111,6 +5115,7 @@ def test_get_liquidation_price(
         pair='ETH/USDT:USDT',
         open_rate=open_rate,
         amount=amount,
+        stake_amount=amount * open_rate / leverage,
         leverage=leverage,
         is_short=is_short,
     )