Merge pull request #6456 from samgermain/lev-tier-update
Lev tier update
This commit is contained in:
Matthias
GitHub
commit
12a1e27708
@ -74,7 +74,6 @@ class Exchange:
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"mark_ohlcv_price": "mark",
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"mark_ohlcv_timeframe": "8h",
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"ccxt_futures_name": "swap",
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"can_fetch_multiple_tiers": True,
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}
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_ft_has: Dict = {}
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@ -1874,19 +1873,63 @@ class Exchange:
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raise OperationalException(e) from e
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@retrier
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def get_leverage_tiers(self) -> Dict[str, List[Dict]]:
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try:
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return self._api.fetch_leverage_tiers()
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except ccxt.DDoSProtection as e:
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raise DDosProtection(e) from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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f'Could not load leverage tiers due to {e.__class__.__name__}. Message: {e}'
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) from e
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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@retrier
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def get_market_leverage_tiers(self, symbol) -> List[Dict]:
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try:
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return self._api.fetch_market_leverage_tiers(symbol)
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except ccxt.DDoSProtection as e:
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raise DDosProtection(e) from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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f'Could not load leverage tiers for {symbol}'
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f' due to {e.__class__.__name__}. Message: {e}'
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) from e
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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def load_leverage_tiers(self) -> Dict[str, List[Dict]]:
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if self.trading_mode == TradingMode.FUTURES and self.exchange_has('fetchLeverageTiers'):
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try:
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return self._api.fetch_leverage_tiers()
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except ccxt.DDoSProtection as e:
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raise DDosProtection(e) from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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f'Could not load leverage tiers due to {e.__class__.__name__}.'
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f'Message: {e}'
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) from e
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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if self.trading_mode == TradingMode.FUTURES:
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if self.exchange_has('fetchLeverageTiers'):
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# Fetch all leverage tiers at once
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return self.get_leverage_tiers()
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elif self.exchange_has('fetchMarketLeverageTiers'):
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# Must fetch the leverage tiers for each market separately
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# * This is slow(~45s) on Okx, makes ~90 api calls to load all linear swap markets
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markets = self.markets
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symbols = []
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for symbol, market in markets.items():
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if (self.market_is_future(market)
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and market['quote'] == self._config['stake_currency']):
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symbols.append(symbol)
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tiers: Dict[str, List[Dict]] = {}
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# Be verbose here, as this delays startup by ~1 minute.
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logger.info(
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f"Initializing leverage_tiers for {len(symbols)} markets. "
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"This will take about a minute.")
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for symbol in sorted(symbols):
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tiers[symbol] = self.get_market_leverage_tiers(symbol)
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logger.info(f"Done initializing {len(symbols)} markets.")
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return tiers
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else:
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return {}
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else:
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return {}
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@ -1,6 +1,6 @@
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""" Gate.io exchange subclass """
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import logging
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from typing import Dict, List, Optional, Tuple
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from typing import Dict, List, Tuple
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from freqtrade.enums import MarginMode, TradingMode
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from freqtrade.exceptions import OperationalException
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@ -40,26 +40,3 @@ class Gateio(Exchange):
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if any(v == 'market' for k, v in order_types.items()):
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raise OperationalException(
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f'Exchange {self.name} does not support market orders.')
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def get_maintenance_ratio_and_amt(
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self,
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pair: str,
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nominal_value: Optional[float] = 0.0,
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) -> Tuple[float, Optional[float]]:
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"""
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:return: The maintenance margin ratio and maintenance amount
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"""
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info = self.markets[pair]['info']
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return (float(info['maintenance_rate']), None)
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def get_max_leverage(self, pair: str, stake_amount: Optional[float]) -> float:
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"""
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Returns the maximum leverage that a pair can be traded at
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:param pair: The base/quote currency pair being traded
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:param nominal_value: The total value of the trade in quote currency (margin_mode + debt)
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"""
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market = self.markets[pair]
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if market['limits']['leverage']['max'] is not None:
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return market['limits']['leverage']['max']
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else:
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return 1.0
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@ -22,7 +22,6 @@ class Okx(Exchange):
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"ohlcv_candle_limit": 300,
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"mark_ohlcv_timeframe": "4h",
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"funding_fee_timeframe": "8h",
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"can_fetch_multiple_tiers": False,
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}
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_supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
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@ -93,31 +92,3 @@ class Okx(Exchange):
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pair_tiers = self._leverage_tiers[pair]
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return pair_tiers[-1]['max'] / leverage
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@retrier
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def load_leverage_tiers(self) -> Dict[str, List[Dict]]:
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# * This is slow(~45s) on Okex, must make 90-some api calls to load all linear swap markets
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if self.trading_mode == TradingMode.FUTURES:
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markets = self.markets
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symbols = []
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for symbol, market in markets.items():
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if (self.market_is_future(market)
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and market['quote'] == self._config['stake_currency']):
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symbols.append(symbol)
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tiers: Dict[str, List[Dict]] = {}
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# Be verbose here, as this delays startup by ~1 minute.
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logger.info(
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f"Initializing leverage_tiers for {len(symbols)} markets. "
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"This will take about a minute.")
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for symbol in sorted(symbols):
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res = self._api.fetch_leverage_tiers(symbol)
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tiers[symbol] = res[symbol]
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logger.info(f"Done initializing {len(symbols)} markets.")
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return tiers
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else:
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return {}
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@ -2,7 +2,7 @@ numpy==1.22.2
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pandas==1.4.1
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pandas-ta==0.3.14b
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ccxt==1.73.70
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ccxt==1.74.22
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# Pin cryptography for now due to rust build errors with piwheels
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cryptography==36.0.1
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aiohttp==3.8.1
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@ -50,7 +50,7 @@ EXCHANGES = {
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'hasQuoteVolume': True,
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'timeframe': '5m',
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'futures_pair': 'BTC/USD:USD',
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'futures': True,
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'futures': False,
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'leverage_tiers_public': False, # TODO: Set to True once implemented on CCXT
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'leverage_in_spot_market': True,
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},
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@ -69,7 +69,7 @@ EXCHANGES = {
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'timeframe': '5m',
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'futures': True,
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'futures_pair': 'BTC/USDT:USDT',
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'leverage_tiers_public': False, # TODO-lev: Set to True once implemented on CCXT
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'leverage_tiers_public': True,
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'leverage_in_spot_market': True,
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},
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'okx': {
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@ -123,9 +123,6 @@ def exchange_futures(request, exchange_conf, class_mocker):
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exchange_conf['margin_mode'] = 'isolated'
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exchange_conf['stake_currency'] = EXCHANGES[request.param]['stake_currency']
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# TODO-lev: This mock should no longer be necessary once futures are enabled.
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class_mocker.patch(
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'freqtrade.exchange.exchange.Exchange.validate_trading_mode_and_margin_mode')
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class_mocker.patch(
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'freqtrade.exchange.binance.Binance.fill_leverage_tiers')
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@ -1,11 +1,8 @@
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from unittest.mock import MagicMock, PropertyMock
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import pytest
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from freqtrade.exceptions import OperationalException
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from freqtrade.exchange import Gateio
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from freqtrade.resolvers.exchange_resolver import ExchangeResolver
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from tests.conftest import get_patched_exchange
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def test_validate_order_types_gateio(default_conf, mocker):
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@ -29,51 +26,3 @@ def test_validate_order_types_gateio(default_conf, mocker):
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with pytest.raises(OperationalException,
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match=r'Exchange .* does not support market orders.'):
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ExchangeResolver.load_exchange('gateio', default_conf, True)
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@pytest.mark.parametrize('pair,mm_ratio', [
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("ETH/USDT:USDT", 0.005),
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("ADA/USDT:USDT", 0.003),
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])
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def test_get_maintenance_ratio_and_amt_gateio(default_conf, mocker, pair, mm_ratio):
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api_mock = MagicMock()
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id="gateio")
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mocker.patch(
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'freqtrade.exchange.Exchange.markets',
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PropertyMock(
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return_value={
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'ETH/USDT:USDT': {
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'taker': 0.0000075,
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'maker': -0.0000025,
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'info': {
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'maintenance_rate': '0.005',
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},
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'id': 'ETH_USDT',
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'symbol': 'ETH/USDT:USDT',
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},
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'ADA/USDT:USDT': {
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'taker': 0.0000075,
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'maker': -0.0000025,
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'info': {
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'maintenance_rate': '0.003',
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},
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'id': 'ADA_USDT',
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'symbol': 'ADA/USDT:USDT',
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},
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}
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)
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)
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assert exchange.get_maintenance_ratio_and_amt(pair) == (mm_ratio, None)
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@pytest.mark.parametrize('pair,nominal_value,max_lev', [
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("ETH/BTC", 0.0, 2.0),
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("TKN/BTC", 100.0, 5.0),
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("BLK/BTC", 173.31, 3.0),
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("LTC/BTC", 0.0, 1.0),
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("TKN/USDT", 210.30, 1.0),
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])
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def test_get_max_leverage_gateio(default_conf, mocker, pair, nominal_value, max_lev):
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# Binance has a different method of getting the max leverage
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exchange = get_patched_exchange(mocker, default_conf, id="gateio")
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assert exchange.get_max_leverage(pair, nominal_value) == max_lev
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@ -1,4 +1,4 @@
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from unittest.mock import MagicMock # , PropertyMock
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from unittest.mock import MagicMock, PropertyMock
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from freqtrade.enums import MarginMode, TradingMode
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from tests.conftest import get_patched_exchange
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@ -172,135 +172,135 @@ def test_get_max_pair_stake_amount_okx(default_conf, mocker, leverage_tiers):
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def test_load_leverage_tiers_okx(default_conf, mocker, markets):
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api_mock = MagicMock()
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api_mock.fetch_leverage_tiers = MagicMock(side_effect=[
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{
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'ADA/USDT:USDT': [
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{
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'tier': 1,
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'notionalFloor': 0,
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'notionalCap': 500,
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'maintenanceMarginRate': 0.02,
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'maxLeverage': 75,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.013',
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'instId': '',
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'maxLever': '75',
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'maxSz': '500',
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'minSz': '0',
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'mmr': '0.01',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '1',
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'uly': 'ADA-USDT'
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}
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},
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{
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'tier': 2,
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'notionalFloor': 501,
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'notionalCap': 1000,
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'maintenanceMarginRate': 0.025,
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'maxLeverage': 50,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.02',
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'instId': '',
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'maxLever': '50',
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'maxSz': '1000',
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'minSz': '501',
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'mmr': '0.015',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '2',
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'uly': 'ADA-USDT'
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}
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},
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{
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'tier': 3,
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'notionalFloor': 1001,
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'notionalCap': 2000,
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'maintenanceMarginRate': 0.03,
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'maxLeverage': 20,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.05',
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'instId': '',
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'maxLever': '20',
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'maxSz': '2000',
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'minSz': '1001',
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'mmr': '0.02',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '3',
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'uly': 'ADA-USDT'
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}
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},
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]
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},
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{
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'ETH/USDT:USDT': [
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{
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'tier': 1,
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'notionalFloor': 0,
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'notionalCap': 2000,
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'maintenanceMarginRate': 0.01,
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'maxLeverage': 75,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.013',
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'instId': '',
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'maxLever': '75',
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'maxSz': '2000',
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'minSz': '0',
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'mmr': '0.01',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '1',
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'uly': 'ETH-USDT'
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}
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},
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{
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'tier': 2,
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'notionalFloor': 2001,
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'notionalCap': 4000,
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'maintenanceMarginRate': 0.015,
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'maxLeverage': 50,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.02',
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'instId': '',
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'maxLever': '50',
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'maxSz': '4000',
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'minSz': '2001',
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'mmr': '0.015',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '2',
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'uly': 'ETH-USDT'
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}
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},
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{
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'tier': 3,
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'notionalFloor': 4001,
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'notionalCap': 8000,
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'maintenanceMarginRate': 0.02,
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'maxLeverage': 20,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.05',
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'instId': '',
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'maxLever': '20',
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'maxSz': '8000',
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'minSz': '4001',
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'mmr': '0.02',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '3',
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'uly': 'ETH-USDT'
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}
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},
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]
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},
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type(api_mock).has = PropertyMock(return_value={
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'fetchLeverageTiers': False,
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'fetchMarketLeverageTiers': True,
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})
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api_mock.fetch_market_leverage_tiers = MagicMock(side_effect=[
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[
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{
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'tier': 1,
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'notionalFloor': 0,
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'notionalCap': 500,
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'maintenanceMarginRate': 0.02,
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'maxLeverage': 75,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.013',
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'instId': '',
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'maxLever': '75',
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'maxSz': '500',
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'minSz': '0',
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'mmr': '0.01',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '1',
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'uly': 'ADA-USDT'
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}
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},
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{
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'tier': 2,
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'notionalFloor': 501,
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'notionalCap': 1000,
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'maintenanceMarginRate': 0.025,
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'maxLeverage': 50,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.02',
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'instId': '',
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'maxLever': '50',
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'maxSz': '1000',
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'minSz': '501',
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'mmr': '0.015',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '2',
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'uly': 'ADA-USDT'
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}
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},
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{
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'tier': 3,
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'notionalFloor': 1001,
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'notionalCap': 2000,
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'maintenanceMarginRate': 0.03,
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'maxLeverage': 20,
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'info': {
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'baseMaxLoan': '',
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'imr': '0.05',
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'instId': '',
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'maxLever': '20',
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'maxSz': '2000',
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'minSz': '1001',
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'mmr': '0.02',
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'optMgnFactor': '0',
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'quoteMaxLoan': '',
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'tier': '3',
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'uly': 'ADA-USDT'
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}
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},
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],
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[
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{
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'tier': 1,
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'notionalFloor': 0,
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'notionalCap': 2000,
|
||||
'maintenanceMarginRate': 0.01,
|
||||
'maxLeverage': 75,
|
||||
'info': {
|
||||
'baseMaxLoan': '',
|
||||
'imr': '0.013',
|
||||
'instId': '',
|
||||
'maxLever': '75',
|
||||
'maxSz': '2000',
|
||||
'minSz': '0',
|
||||
'mmr': '0.01',
|
||||
'optMgnFactor': '0',
|
||||
'quoteMaxLoan': '',
|
||||
'tier': '1',
|
||||
'uly': 'ETH-USDT'
|
||||
}
|
||||
},
|
||||
{
|
||||
'tier': 2,
|
||||
'notionalFloor': 2001,
|
||||
'notionalCap': 4000,
|
||||
'maintenanceMarginRate': 0.015,
|
||||
'maxLeverage': 50,
|
||||
'info': {
|
||||
'baseMaxLoan': '',
|
||||
'imr': '0.02',
|
||||
'instId': '',
|
||||
'maxLever': '50',
|
||||
'maxSz': '4000',
|
||||
'minSz': '2001',
|
||||
'mmr': '0.015',
|
||||
'optMgnFactor': '0',
|
||||
'quoteMaxLoan': '',
|
||||
'tier': '2',
|
||||
'uly': 'ETH-USDT'
|
||||
}
|
||||
},
|
||||
{
|
||||
'tier': 3,
|
||||
'notionalFloor': 4001,
|
||||
'notionalCap': 8000,
|
||||
'maintenanceMarginRate': 0.02,
|
||||
'maxLeverage': 20,
|
||||
'info': {
|
||||
'baseMaxLoan': '',
|
||||
'imr': '0.05',
|
||||
'instId': '',
|
||||
'maxLever': '20',
|
||||
'maxSz': '8000',
|
||||
'minSz': '4001',
|
||||
'mmr': '0.02',
|
||||
'optMgnFactor': '0',
|
||||
'quoteMaxLoan': '',
|
||||
'tier': '3',
|
||||
'uly': 'ETH-USDT'
|
||||
}
|
||||
},
|
||||
]
|
||||
])
|
||||
default_conf['trading_mode'] = 'futures'
|
||||
default_conf['margin_mode'] = 'isolated'
|
||||
|
||||
Loading…
Reference in New Issue
Block a user