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moved liquidation_price method to exchange classes

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This commit is contained in:
Sam Germain
2022-01-22 20:03:38 -06:00
parent 5a97760bd1
commit 0c13e387fe
10 changed files with 358 additions and 527 deletions
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105
tests/exchange/test_exchange.py
View File

@@ -26,6 +26,12 @@ from tests.conftest import get_mock_coro, get_patched_exchange, log_has, log_has
# Make sure to always keep one exchange here which is NOT subclassed!!
EXCHANGES = ['bittrex', 'binance', 'kraken', 'ftx', 'gateio']
spot = TradingMode.SPOT
margin = TradingMode.MARGIN
futures = TradingMode.FUTURES
cross = Collateral.CROSS
isolated = Collateral.ISOLATED
def ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name,
@@ -3965,3 +3971,102 @@ def test__amount_to_contracts(
assert result_size == param_size
result_amount = exchange._contracts_to_amount(pair, param_size)
assert result_amount == param_amount
@pytest.mark.parametrize('exchange_name,open_rate,is_short,leverage,trading_mode,collateral', [
# Bittrex
('bittrex', "2.0", False, "3.0", spot, None),
('bittrex', "2.0", False, "1.0", spot, cross),
('bittrex', "2.0", True, "3.0", spot, isolated),
# Binance
('binance', "2.0", False, "3.0", spot, None),
('binance', "2.0", False, "1.0", spot, cross),
('binance', "2.0", True, "3.0", spot, isolated),
])
def test_liquidation_price_is_none(
mocker,
default_conf,
exchange_name,
open_rate,
is_short,
leverage,
trading_mode,
collateral
):
exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
assert exchange.liquidation_price(
open_rate,
is_short,
leverage,
trading_mode,
collateral,
1535443.01,
71200.81144,
-56354.57,
135365.00,
3683.979,
0.10,
) is None
@pytest.mark.parametrize('exchange_name,open_rate,is_short,leverage,trading_mode,collateral', [
# Bittrex
('bittrex', "2.0", False, "3.0", margin, cross),
('bittrex', "2.0", False, "3.0", margin, isolated),
('bittrex', "2.0", False, "3.0", futures, cross),
('bittrex', "2.0", False, "3.0", futures, isolated),
# Binance
# Binance supports isolated margin, but freqtrade likely won't for a while on Binance
('binance', "2.0", True, "3.0", margin, isolated),
# Kraken
('kraken', "2.0", True, "1.0", margin, isolated),
('kraken', "2.0", True, "1.0", futures, isolated),
# FTX
('ftx', "2.0", True, "3.0", margin, isolated),
('ftx', "2.0", True, "3.0", futures, isolated),
])
def test_liquidation_price_exception_thrown(
exchange_name,
open_rate,
is_short,
leverage,
trading_mode,
collateral,
result
):
# TODO-lev assert exception is thrown
return # Here to avoid indent error, remove when implemented
@pytest.mark.parametrize(
'exchange_name, is_short, leverage, trading_mode, collateral, wallet_balance, '
'mm_ex_1, upnl_ex_1, maintenance_amt, position, open_rate, '
'mm_ratio, expected',
[
("binance", False, 1, futures, isolated, 1535443.01, 0.0,
0.0, 135365.00, 3683.979, 1456.84, 0.10, 1114.78),
("binance", False, 1, futures, isolated, 1535443.01, 0.0,
0.0, 16300.000, 109.488, 32481.980, 0.025, 18778.73),
("binance", False, 1, futures, cross, 1535443.01, 71200.81144,
-56354.57, 135365.00, 3683.979, 1456.84, 0.10, 1153.26),
("binance", False, 1, futures, cross, 1535443.01, 356512.508,
-448192.89, 16300.000, 109.488, 32481.980, 0.025, 26316.89)
])
def test_liquidation_price(
mocker, default_conf, exchange_name, open_rate, is_short, leverage, trading_mode,
collateral, wallet_balance, mm_ex_1, upnl_ex_1, maintenance_amt, position, mm_ratio, expected
):
exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
assert isclose(round(exchange.liquidation_price(
open_rate=open_rate,
is_short=is_short,
leverage=leverage,
trading_mode=trading_mode,
collateral=collateral,
wallet_balance=wallet_balance,
mm_ex_1=mm_ex_1,
upnl_ex_1=upnl_ex_1,
maintenance_amt=maintenance_amt,
position=position,
mm_ratio=mm_ratio
), 2), expected)

121
tests/leverage/test_liquidation_price.py
View File

@@ -1,121 +0,0 @@
from math import isclose
import pytest
from freqtrade.enums import Collateral, TradingMode
from freqtrade.leverage import liquidation_price
# from freqtrade.exceptions import OperationalException
spot = TradingMode.SPOT
margin = TradingMode.MARGIN
futures = TradingMode.FUTURES
cross = Collateral.CROSS
isolated = Collateral.ISOLATED
@pytest.mark.parametrize('exchange_name,open_rate,is_short,leverage,trading_mode,collateral', [
# Bittrex
('bittrex', "2.0", False, "3.0", spot, None),
('bittrex', "2.0", False, "1.0", spot, cross),
('bittrex', "2.0", True, "3.0", spot, isolated),
# Binance
('binance', "2.0", False, "3.0", spot, None),
('binance', "2.0", False, "1.0", spot, cross),
('binance', "2.0", True, "3.0", spot, isolated),
# Kraken
('kraken', "2.0", False, "3.0", spot, None),
('kraken', "2.0", True, "3.0", spot, cross),
('kraken', "2.0", False, "1.0", spot, isolated),
# FTX
('ftx', "2.0", True, "3.0", spot, None),
('ftx', "2.0", False, "3.0", spot, cross),
('ftx', "2.0", False, "3.0", spot, isolated),
])
def test_liquidation_price_is_none(
exchange_name,
open_rate,
is_short,
leverage,
trading_mode,
collateral
):
assert liquidation_price(
exchange_name,
open_rate,
is_short,
leverage,
trading_mode,
collateral,
1535443.01,
71200.81144,
-56354.57,
135365.00,
3683.979,
0.10,
) is None
@pytest.mark.parametrize('exchange_name,open_rate,is_short,leverage,trading_mode,collateral', [
# Bittrex
('bittrex', "2.0", False, "3.0", margin, cross),
('bittrex', "2.0", False, "3.0", margin, isolated),
('bittrex', "2.0", False, "3.0", futures, cross),
('bittrex', "2.0", False, "3.0", futures, isolated),
# Binance
# Binance supports isolated margin, but freqtrade likely won't for a while on Binance
('binance', "2.0", True, "3.0", margin, isolated),
# Kraken
('kraken', "2.0", False, "1.0", margin, isolated),
('kraken', "2.0", False, "1.0", futures, isolated),
# FTX
('ftx', "2.0", False, "3.0", margin, isolated),
('ftx', "2.0", False, "3.0", futures, isolated),
])
def test_liquidation_price_exception_thrown(
exchange_name,
open_rate,
is_short,
leverage,
trading_mode,
collateral,
result
):
# TODO-lev assert exception is thrown
return # Here to avoid indent error, remove when implemented
@pytest.mark.parametrize(
'exchange_name, is_short, leverage, trading_mode, collateral, wallet_balance, '
'mm_ex_1, upnl_ex_1, maintenance_amt, position, open_rate, '
'mm_ratio, expected',
[
("binance", False, 1, TradingMode.FUTURES, Collateral.ISOLATED, 1535443.01, 0.0,
0.0, 135365.00, 3683.979, 1456.84, 0.10, 1114.78),
("binance", False, 1, TradingMode.FUTURES, Collateral.ISOLATED, 1535443.01, 0.0,
0.0, 16300.000, 109.488, 32481.980, 0.025, 18778.73),
("binance", False, 1, TradingMode.FUTURES, Collateral.CROSS, 1535443.01, 71200.81144,
-56354.57, 135365.00, 3683.979, 1456.84, 0.10, 1153.26),
("binance", False, 1, TradingMode.FUTURES, Collateral.CROSS, 1535443.01, 356512.508,
-448192.89, 16300.000, 109.488, 32481.980, 0.025, 26316.89)
])
def test_liquidation_price(
exchange_name, open_rate, is_short, leverage, trading_mode, collateral, wallet_balance,
mm_ex_1, upnl_ex_1, maintenance_amt, position, mm_ratio, expected
):
assert isclose(round(liquidation_price(
exchange_name=exchange_name,
open_rate=open_rate,
is_short=is_short,
leverage=leverage,
trading_mode=trading_mode,
collateral=collateral,
wallet_balance=wallet_balance,
mm_ex_1=mm_ex_1,
upnl_ex_1=upnl_ex_1,
maintenance_amt=maintenance_amt,
position=position,
mm_ratio=mm_ratio
), 2), expected)

1
tests/test_freqtradebot.py
View File

@@ -734,7 +734,6 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
((2 + 0.01) - (1 * 1 * 10)) / ((1 * 0.01) - (1 * 1)) = 8.070707070707071
exchange_name = gateio, is_short = true
(open_rate + (wallet_balance / position)) / (1 + (mm_ratio + taker_fee_rate))
(10 + (2 / 1)) / (1 + (0.01 + 0.0006)) = 11.87413417771621