diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py index f4923e01d..a0b246096 100644 --- a/freqtrade/exchange/binance.py +++ b/freqtrade/exchange/binance.py @@ -139,8 +139,11 @@ class Binance(Exchange): [amt, old_ratio] = [None, None] brackets = [] for [notional_floor, mm_ratio] in brkts: - amt = ((float(notional_floor) * (float(mm_ratio) - float(old_ratio))) + - amt) if old_ratio else 0 + amt = ( + ( + (float(notional_floor) * (float(mm_ratio)) - float(old_ratio)) + ) + amt + ) if old_ratio else 0 old_ratio = mm_ratio brackets.append([ float(notional_floor), @@ -234,14 +237,14 @@ class Binance(Exchange): pair: str, nominal_value: Optional[float] = 0.0, ): - ''' + """ Maintenance amt = Floor of Position Bracket on Level n * difference between Maintenance Margin Rate on Level n and Maintenance Margin Rate on Level n-1) + Maintenance Amount on Level n-1 https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93 - ''' + """ if pair not in self._leverage_brackets: raise InvalidOrderException(f"Cannot calculate liquidation price for {pair}") pair_brackets = self._leverage_brackets[pair] diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 870107f0e..c7600a591 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -1985,10 +1985,10 @@ class Exchange: @retrier def get_liquidation_price(self, pair: str): - ''' - 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") - ''' + """ + 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._config['dry_run'] or not self.exchange_has("fetchPositions"): # Some exchanges only support one collateral type return @@ -2008,9 +2008,9 @@ class Exchange: pair: str, nominal_value: Optional[float] = 0.0, ): - ''' - :return: The maintenance amount, and maintenance margin rate - ''' + """ + :return: The maintenance amount, and maintenance margin rate + """ # TODO-lev: return the real amounts return 0, 0.4 diff --git a/freqtrade/leverage/liquidation_price.py b/freqtrade/leverage/liquidation_price.py index e4f3874f2..c71e876db 100644 --- a/freqtrade/leverage/liquidation_price.py +++ b/freqtrade/leverage/liquidation_price.py @@ -266,7 +266,7 @@ def okex( interest: float, position_assets: float ): - ''' + """ PERPETUAL: https://www.okex.com/support/hc/en-us/articles/ 360053909592-VI-Introduction-to-the-isolated-mode-of-Single-Multi-currency-Portfolio-margin @@ -293,7 +293,7 @@ def okex( short: (liability + interest）* (1 + maintenance margin ratio) * (1 + taker fee rate) - ''' + """ if trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED: if is_short: return (liability + interest) * (1 + mm_ratio) * (1 + taker_fee_rate) diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index b529af47f..de92e1614 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -3638,41 +3638,41 @@ def test__fetch_and_calculate_funding_fees( amount, expected_fees ): - ''' - nominal_value = mark_price * size - funding_fee = nominal_value * funding_rate - size: 30 - time: 0, mark: 2.77, nominal_value: 83.1, fundRate: -0.000008, fundFee: -0.0006648 - time: 1, mark: 2.73, nominal_value: 81.9, fundRate: -0.000004, fundFee: -0.0003276 - time: 2, mark: 2.74, nominal_value: 82.2, fundRate: 0.000012, fundFee: 0.0009864 - time: 3, mark: 2.76, nominal_value: 82.8, fundRate: -0.000003, fundFee: -0.0002484 - time: 4, mark: 2.76, nominal_value: 82.8, fundRate: -0.000007, fundFee: -0.0005796 - time: 5, mark: 2.77, nominal_value: 83.1, fundRate: 0.000003, fundFee: 0.0002493 - time: 6, mark: 2.78, nominal_value: 83.4, fundRate: 0.000019, fundFee: 0.0015846 - time: 7, mark: 2.78, nominal_value: 83.4, fundRate: 0.000003, fundFee: 0.0002502 - time: 8, mark: 2.77, nominal_value: 83.1, fundRate: -0.000003, fundFee: -0.0002493 - time: 9, mark: 2.77, nominal_value: 83.1, fundRate: 0, fundFee: 0.0 - time: 10, mark: 2.84, nominal_value: 85.2, fundRate: 0.000013, fundFee: 0.0011076 - time: 11, mark: 2.81, nominal_value: 84.3, fundRate: 0.000077, fundFee: 0.0064911 - time: 12, mark: 2.81, nominal_value: 84.3, fundRate: 0.000072, fundFee: 0.0060696 - time: 13, mark: 2.82, nominal_value: 84.6, fundRate: 0.000097, fundFee: 0.0082062 + """ + nominal_value = mark_price * size + funding_fee = nominal_value * funding_rate + size: 30 + time: 0, mark: 2.77, nominal_value: 83.1, fundRate: -0.000008, fundFee: -0.0006648 + time: 1, mark: 2.73, nominal_value: 81.9, fundRate: -0.000004, fundFee: -0.0003276 + time: 2, mark: 2.74, nominal_value: 82.2, fundRate: 0.000012, fundFee: 0.0009864 + time: 3, mark: 2.76, nominal_value: 82.8, fundRate: -0.000003, fundFee: -0.0002484 + time: 4, mark: 2.76, nominal_value: 82.8, fundRate: -0.000007, fundFee: -0.0005796 + time: 5, mark: 2.77, nominal_value: 83.1, fundRate: 0.000003, fundFee: 0.0002493 + time: 6, mark: 2.78, nominal_value: 83.4, fundRate: 0.000019, fundFee: 0.0015846 + time: 7, mark: 2.78, nominal_value: 83.4, fundRate: 0.000003, fundFee: 0.0002502 + time: 8, mark: 2.77, nominal_value: 83.1, fundRate: -0.000003, fundFee: -0.0002493 + time: 9, mark: 2.77, nominal_value: 83.1, fundRate: 0, fundFee: 0.0 + time: 10, mark: 2.84, nominal_value: 85.2, fundRate: 0.000013, fundFee: 0.0011076 + time: 11, mark: 2.81, nominal_value: 84.3, fundRate: 0.000077, fundFee: 0.0064911 + time: 12, mark: 2.81, nominal_value: 84.3, fundRate: 0.000072, fundFee: 0.0060696 + time: 13, mark: 2.82, nominal_value: 84.6, fundRate: 0.000097, fundFee: 0.0082062 - size: 50 - time: 0, mark: 2.77, nominal_value: 138.5, fundRate: -0.000008, fundFee: -0.001108 - time: 1, mark: 2.73, nominal_value: 136.5, fundRate: -0.000004, fundFee: -0.000546 - time: 2, mark: 2.74, nominal_value: 137.0, fundRate: 0.000012, fundFee: 0.001644 - time: 3, mark: 2.76, nominal_value: 138.0, fundRate: -0.000003, fundFee: -0.000414 - time: 4, mark: 2.76, nominal_value: 138.0, fundRate: -0.000007, fundFee: -0.000966 - time: 5, mark: 2.77, nominal_value: 138.5, fundRate: 0.000003, fundFee: 0.0004155 - time: 6, mark: 2.78, nominal_value: 139.0, fundRate: 0.000019, fundFee: 0.002641 - time: 7, mark: 2.78, nominal_value: 139.0, fundRate: 0.000003, fundFee: 0.000417 - time: 8, mark: 2.77, nominal_value: 138.5, fundRate: -0.000003, fundFee: -0.0004155 - time: 9, mark: 2.77, nominal_value: 138.5, fundRate: 0, fundFee: 0.0 - time: 10, mark: 2.84, nominal_value: 142.0, fundRate: 0.000013, fundFee: 0.001846 - time: 11, mark: 2.81, nominal_value: 140.5, fundRate: 0.000077, fundFee: 0.0108185 - time: 12, mark: 2.81, nominal_value: 140.5, fundRate: 0.000072, fundFee: 0.010116 - time: 13, mark: 2.82, nominal_value: 141.0, fundRate: 0.000097, fundFee: 0.013677 - ''' + size: 50 + time: 0, mark: 2.77, nominal_value: 138.5, fundRate: -0.000008, fundFee: -0.001108 + time: 1, mark: 2.73, nominal_value: 136.5, fundRate: -0.000004, fundFee: -0.000546 + time: 2, mark: 2.74, nominal_value: 137.0, fundRate: 0.000012, fundFee: 0.001644 + time: 3, mark: 2.76, nominal_value: 138.0, fundRate: -0.000003, fundFee: -0.000414 + time: 4, mark: 2.76, nominal_value: 138.0, fundRate: -0.000007, fundFee: -0.000966 + time: 5, mark: 2.77, nominal_value: 138.5, fundRate: 0.000003, fundFee: 0.0004155 + time: 6, mark: 2.78, nominal_value: 139.0, fundRate: 0.000019, fundFee: 0.002641 + time: 7, mark: 2.78, nominal_value: 139.0, fundRate: 0.000003, fundFee: 0.000417 + time: 8, mark: 2.77, nominal_value: 138.5, fundRate: -0.000003, fundFee: -0.0004155 + time: 9, mark: 2.77, nominal_value: 138.5, fundRate: 0, fundFee: 0.0 + time: 10, mark: 2.84, nominal_value: 142.0, fundRate: 0.000013, fundFee: 0.001846 + time: 11, mark: 2.81, nominal_value: 140.5, fundRate: 0.000077, fundFee: 0.0108185 + time: 12, mark: 2.81, nominal_value: 140.5, fundRate: 0.000072, fundFee: 0.010116 + time: 13, mark: 2.82, nominal_value: 141.0, fundRate: 0.000097, fundFee: 0.013677 + """ d1 = datetime.strptime(f"{d1} +0000", '%Y-%m-%d %H:%M:%S %z') d2 = datetime.strptime(f"{d2} +0000", '%Y-%m-%d %H:%M:%S %z') funding_rate_history = { diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 3651ba7b7..624a07f5e 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -723,7 +723,7 @@ def test_process_informative_pairs_added(default_conf_usdt, ticker_usdt, mocker) def test_execute_entry(mocker, default_conf_usdt, fee, limit_order, limit_order_open, is_short, trading_mode, exchange_name, margin_mode, liq_price) -> None: - ''' + """ exchange_name = binance, is_short = true (wb + cum_b - side_1 * position * ep1) / (position * mmr_b - side_1 * position) ((2 + 0.01) - ((-1) * 0.6 * 10)) / ((0.6 * 0.01) - ((-1) * 0.6)) = 13.217821782178218 @@ -740,7 +740,7 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order, exchange_name = gateio, is_short = false (open_rate - (wallet_balance / position)) / (1 - (mm_ratio + taker_fee_rate)) (10 - (2 / 0.6)) / (1 - (0.01 + 0.0002)) = 6.735367414292449 - ''' + """ open_order = limit_order_open[enter_side(is_short)] order = limit_order[enter_side(is_short)] default_conf_usdt['trading_mode'] = trading_mode @@ -4828,7 +4828,7 @@ def test_update_funding_fees( limit_order_open, schedule_off ): - ''' + """ nominal_value = mark_price * size funding_fee = nominal_value * funding_rate size = 123 @@ -4844,7 +4844,7 @@ def test_update_funding_fees( "XRP/BTC" time: 0, mark: 1.2, fundRate: 0.00049426, nominal_value: 147.6, fundFee: 0.072952776 time: 8, mark: 1.2, fundRate: 0.00032715, nominal_value: 147.6, fundFee: 0.04828734 - ''' + """ # SETUP time_machine.move_to("2021-09-01 00:00:00 +00:00")