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Added liquidation_price function

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This commit is contained in:
Sam Germain 2021-08-06 01:15:18 -06:00
parent ecdecb02fa
commit 04f254b885
5 changed files with 220 additions and 15 deletions
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1
freqtrade/leverage/__init__.py
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@ -1 +1,2 @@
# flake8: noqa: F401
from freqtrade.leverage.liquidation_price import liquidation_price

106
freqtrade/leverage/liquidation_price.py Normal file
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@ -0,0 +1,106 @@
from freqtrade.enums import Collateral, TradingMode
from freqtrade.exceptions import OperationalException
def liquidation_price(
exchange_name: str,
trading_mode: TradingMode,
** k
):
leverage_exchanges = [
'binance',
'kraken',
'ftx'
]
if trading_mode == TradingMode.SPOT or exchange_name.lower() not in leverage_exchanges:
return None
collateral: Collateral = k['collateral']
if exchange_name.lower() == "binance":
# TODO-lev: Get more variables from **k and pass them to binance
return binance(trading_mode, collateral)
elif exchange_name.lower() == "kraken":
# TODO-lev: Get more variables from **k and pass them to kraken
return kraken(trading_mode, collateral)
elif exchange_name.lower() == "ftx":
return ftx(trading_mode, collateral)
return
def exception(
exchange_name: 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_name} does not support {collateral.value} {trading_mode.value} trading")
def binance(trading_mode: TradingMode, collateral: Collateral):
"""
Calculates the liquidation price on Binance
:param name: Name of the exchange
:param trading_mode: spot, margin, futures
:param collateral: cross, isolated
"""
# TODO-lev: Additional arguments, fill in formulas
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(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(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)

15
freqtrade/persistence/models.py
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@ -16,6 +16,7 @@ from sqlalchemy.sql.schema import UniqueConstraint
from freqtrade.constants import DATETIME_PRINT_FORMAT
from freqtrade.enums import InterestMode, SellType
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.leverage import liquidation_price
from freqtrade.misc import safe_value_fallback
from freqtrade.persistence.migrations import check_migrate
@ -236,7 +237,7 @@ class LocalTrade():
close_rate_requested: Optional[float] = None
close_profit: Optional[float] = None
close_profit_abs: Optional[float] = None
stake_amount: float = 0.0 # TODO: This should probably be computed
stake_amount: float = 0.0
amount: float = 0.0
amount_requested: Optional[float] = None
open_date: datetime
@ -316,7 +317,7 @@ class LocalTrade():
for key in kwargs:
setattr(self, key, kwargs[key])
if self.isolated_liq:
self.set_isolated_liq(self.isolated_liq)
self.set_isolated_liq(isolated_liq=self.isolated_liq)
self.recalc_open_trade_value()
def _set_stop_loss(self, stop_loss: float, percent: float):
@ -342,11 +343,19 @@ class LocalTrade():
self.stop_loss_pct = -1 * abs(percent)
self.stoploss_last_update = datetime.utcnow()
def set_isolated_liq(self, isolated_liq: float):
def set_isolated_liq(self, **k):
"""
Method you should use to set self.liquidation price.
Assures stop_loss is not passed the liquidation price
"""
if k['isolated_liq']:
isolated_liq: float = k['isolated_liq']
else:
isolated_liq: float = liquidation_price(
exchange=self.exchange_name,
**k
)
if self.stop_loss is not None:
if self.is_short:
self.stop_loss = min(self.stop_loss, isolated_liq)

89
tests/leverage/test_leverage.py Normal file
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@ -0,0 +1,89 @@
# from decimal import Decimal
from freqtrade.enums import Collateral, TradingMode
from freqtrade.leverage import liquidation_price
# from freqtrade.exceptions import OperationalException
binance = "binance"
kraken = "kraken"
ftx = "ftx"
other = "bittrex"
def test_liquidation_price():
spot = TradingMode.SPOT
margin = TradingMode.MARGIN
futures = TradingMode.FUTURES
cross = Collateral.CROSS
isolated = Collateral.ISOLATED
# NONE
assert liquidation_price(exchange_name=other, trading_mode=spot) is None
assert liquidation_price(exchange_name=other, trading_mode=margin,
collateral=cross) is None
assert liquidation_price(exchange_name=other, trading_mode=margin,
collateral=isolated) is None
assert liquidation_price(
exchange_name=other, trading_mode=futures, collateral=cross) is None
assert liquidation_price(exchange_name=other, trading_mode=futures,
collateral=isolated) is None
# Binance
assert liquidation_price(exchange_name=binance, trading_mode=spot) is None
assert liquidation_price(exchange_name=binance, trading_mode=spot,
collateral=cross) is None
assert liquidation_price(exchange_name=binance, trading_mode=spot,
collateral=isolated) is None
# TODO-lev: Uncomment these assertions and make them real calculation tests
# TODO-lev: Replace 1.0 with real value
# assert liquidation_price(
# exchange_name=binance,
# trading_mode=margin,
# collateral=cross
# ) == 1.0
# assert liquidation_price(
# exchange_name=binance,
# trading_mode=margin,
# collateral=isolated
# ) == 1.0
# assert liquidation_price(
# exchange_name=binance,
# trading_mode=futures,
# collateral=cross
# ) == 1.0
# Binance supports isolated margin, but freqtrade likely won't for a while on Binance
# liquidation_price(exchange_name=binance, trading_mode=margin, collateral=isolated)
# assert exception thrown #TODO-lev: Check that exception is thrown
# Kraken
assert liquidation_price(exchange_name=kraken, trading_mode=spot) is None
assert liquidation_price(exchange_name=kraken, trading_mode=spot, collateral=cross) is None
assert liquidation_price(exchange_name=kraken, trading_mode=spot,
collateral=isolated) is None
# TODO-lev: Uncomment these assertions and make them real calculation tests
# assert liquidation_price(kraken, trading_mode=margin, collateral=cross) == 1.0
# assert liquidation_price(kraken, trading_mode=margin, collateral=isolated) == 1.0
# liquidation_price(kraken, trading_mode=futures, collateral=cross)
# assert exception thrown #TODO-lev: Check that exception is thrown
# liquidation_price(kraken, trading_mode=futures, collateral=isolated)
# assert exception thrown #TODO-lev: Check that exception is thrown
# FTX
assert liquidation_price(ftx, trading_mode=spot) is None
assert liquidation_price(ftx, trading_mode=spot, collateral=cross) is None
assert liquidation_price(ftx, trading_mode=spot, collateral=isolated) is None
# TODO-lev: Uncomment these assertions and make them real calculation tests
# assert liquidation_price(ftx, trading_mode=margin, collateral=cross) == 1.0
# assert liquidation_price(ftx, trading_mode=margin, collateral=isolated) == 1.0
# liquidation_price(ftx, trading_mode=futures, collateral=cross)
# assert exception thrown #TODO-lev: Check that exception is thrown
# liquidation_price(ftx, trading_mode=futures, collateral=isolated)
# assert exception thrown #TODO-lev: Check that exception is thrown

24
tests/test_persistence.py
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@ -91,7 +91,7 @@ def test_enter_exit_side(fee):
@pytest.mark.usefixtures("init_persistence")
def test__set_stop_loss_isolated_liq(fee):
def test_set_stop_loss_isolated_liq(fee):
trade = Trade(
id=2,
pair='ADA/USDT',
@ -106,7 +106,7 @@ def test__set_stop_loss_isolated_liq(fee):
is_short=False,
leverage=2.0
)
trade.set_isolated_liq(0.09)
trade.set_isolated_liq(isolated_liq=0.09)
assert trade.isolated_liq == 0.09
assert trade.stop_loss == 0.09
assert trade.initial_stop_loss == 0.09
@ -116,12 +116,12 @@ def test__set_stop_loss_isolated_liq(fee):
assert trade.stop_loss == 0.1
assert trade.initial_stop_loss == 0.09
trade.set_isolated_liq(0.08)
trade.set_isolated_liq(isolated_liq=0.08)
assert trade.isolated_liq == 0.08
assert trade.stop_loss == 0.1
assert trade.initial_stop_loss == 0.09
trade.set_isolated_liq(0.11)
trade.set_isolated_liq(isolated_liq=0.11)
assert trade.isolated_liq == 0.11
assert trade.stop_loss == 0.11
assert trade.initial_stop_loss == 0.09
@ -145,7 +145,7 @@ def test__set_stop_loss_isolated_liq(fee):
trade.stop_loss = None
trade.initial_stop_loss = None
trade.set_isolated_liq(0.09)
trade.set_isolated_liq(isolated_liq=0.09)
assert trade.isolated_liq == 0.09
assert trade.stop_loss == 0.09
assert trade.initial_stop_loss == 0.09
@ -155,12 +155,12 @@ def test__set_stop_loss_isolated_liq(fee):
assert trade.stop_loss == 0.08
assert trade.initial_stop_loss == 0.09
trade.set_isolated_liq(0.1)
trade.set_isolated_liq(isolated_liq=0.1)
assert trade.isolated_liq == 0.1
assert trade.stop_loss == 0.08
assert trade.initial_stop_loss == 0.09
trade.set_isolated_liq(0.07)
trade.set_isolated_liq(isolated_liq=0.07)
assert trade.isolated_liq == 0.07
assert trade.stop_loss == 0.07
assert trade.initial_stop_loss == 0.09
@ -234,7 +234,7 @@ def test_interest(market_buy_order_usdt, fee):
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='kraken',
exchange='binance',
leverage=3.0,
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY
@ -506,7 +506,7 @@ def test_update_limit_order(limit_buy_order_usdt, limit_sell_order_usdt, fee, ca
open_date=arrow.utcnow().datetime,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance',
exchange='binance'
)
assert trade.open_order_id is None
assert trade.close_profit is None
@ -1575,11 +1575,11 @@ def test_adjust_stop_loss_short(fee):
assert trade.initial_stop_loss_pct == 0.05
# Initial is true but stop_loss set - so doesn't do anything
trade.adjust_stop_loss(0.3, -0.1, True)
assert round(trade.stop_loss, 8) == 0.66 # TODO-mg: What is this test?
assert round(trade.stop_loss, 8) == 0.66
assert trade.initial_stop_loss == 1.05
assert trade.initial_stop_loss_pct == 0.05
assert trade.stop_loss_pct == 0.1
trade.set_isolated_liq(0.63)
trade.set_isolated_liq(isolated_liq=0.63)
trade.adjust_stop_loss(0.59, -0.1)
assert trade.stop_loss == 0.63
assert trade.isolated_liq == 0.63
@ -1899,7 +1899,7 @@ def test_stoploss_reinitialization_short(default_conf, fee):
assert trade_adj.initial_stop_loss == 1.04
assert trade_adj.initial_stop_loss_pct == 0.04
# Stoploss can't go above liquidation price
trade_adj.set_isolated_liq(1.0)
trade_adj.set_isolated_liq(isolated_liq=1.0)
trade.adjust_stop_loss(0.97, -0.04)
assert trade_adj.stop_loss == 1.0
assert trade_adj.stop_loss == 1.0