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merged with aranova4/feat/binance_liq

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This commit is contained in:
Sam Germain 2021-09-19 00:08:35 -06:00
commit 1c0c7d802f
2 changed files with 60 additions and 87 deletions
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74
freqtrade/leverage/liquidation_price.py
View File

@ -14,10 +14,10 @@ def liquidation_price(
wallet_balance: Optional[float],
maintenance_margin_ex_1: Optional[float],
unrealized_pnl_ex_1: Optional[float],
maintenance_amount_both: Optional[float],
position_1_both: Optional[float],
entry_price_1_both: Optional[float],
maintenance_margin_rate_both: Optional[float]
maintenance_amount: Optional[float],
position_1: Optional[float],
entry_price_1: Optional[float],
maintenance_margin_rate: Optional[float]
) -> Optional[float]:
if trading_mode == TradingMode.SPOT:
@ -30,34 +30,16 @@ def liquidation_price(
)
if exchange_name.lower() == "binance":
if (
not wallet_balance or
not maintenance_margin_ex_1 or
not unrealized_pnl_ex_1 or
not maintenance_amount_both or
not position_1_both or
not entry_price_1_both or
not maintenance_margin_rate_both
):
if not wallet_balance or not maintenance_margin_ex_1 or not unrealized_pnl_ex_1 or not maintenance_amount \
or not position_1 or not entry_price_1 or not maintenance_margin_rate:
raise OperationalException(
f"Parameters wallet_balance, maintenance_margin_ex_1, unrealized_pnl_ex_1, maintenance_amount_both, "
f"position_1_both, entry_price_1_both, maintenance_margin_rate_both is required by liquidation_price "
f"Parameters wallet_balance, maintenance_margin_ex_1, unrealized_pnl_ex_1, maintenance_amount, "
f"position_1, entry_price_1, maintenance_margin_rate is required by liquidation_price "
f"when exchange is {exchange_name.lower()}")
return binance(
open_rate,
is_short,
leverage,
trading_mode,
collateral,
wallet_balance,
maintenance_margin_ex_1,
unrealized_pnl_ex_1,
maintenance_amount_both,
position_1_both,
entry_price_1_both,
maintenance_margin_rate_both
)
return binance(open_rate, is_short, leverage, trading_mode, collateral, wallet_balance, maintenance_margin_ex_1,
unrealized_pnl_ex_1, maintenance_amount, position_1, entry_price_1,
maintenance_margin_rate)
elif exchange_name.lower() == "kraken":
return kraken(open_rate, is_short, leverage, trading_mode, collateral)
elif exchange_name.lower() == "ftx":
@ -92,10 +74,10 @@ def binance(
wallet_balance: float,
maintenance_margin_ex_1: float,
unrealized_pnl_ex_1: float,
maintenance_amount_both: float,
position_1_both: float,
entry_price_1_both: float,
maintenance_margin_rate_both: float,
maintenance_amount: float,
position_1: float,
entry_price_1: float,
maintenance_margin_rate: float,
):
r"""
Calculates the liquidation price on Binance
@ -114,24 +96,24 @@ def binance(
:param unrealized_pnl_ex_1: Unrealized PNL of all other contracts, excluding Contract 1.
If it is an isolated margin mode, then UPNL=0
:param maintenance_amount_both: Maintenance Amount of BOTH position (one-way mode)
:param maintenance_amount: Maintenance Amount of position (one-way mode)
:param position_1_both: Absolute value of BOTH position size (one-way mode)
:param position_1: Absolute value of position size (one-way mode)
:param entry_price_1_both: Entry Price of BOTH position (one-way mode)
:param entry_price_1: Entry Price of position (one-way mode)
:param maintenance_margin_rate_both: Maintenance margin rate of BOTH position (one-way mode)
:param maintenance_margin_rate: Maintenance margin rate of position (one-way mode)
"""
# TODO-lev: Additional arguments, fill in formulas
wb = wallet_balance
tmm_1 = 0.0 if collateral == Collateral.ISOLATED else maintenance_margin_ex_1
upnl_1 = 0.0 if collateral == Collateral.ISOLATED else unrealized_pnl_ex_1
cum_b = maintenance_amount_both
side_1_both = -1 if is_short else 1
position_1_both = abs(position_1_both)
ep1_both = entry_price_1_both
mmr_b = maintenance_margin_rate_both
cum_b = maintenance_amount
side_1 = -1 if is_short else 1
position_1 = abs(position_1)
ep1 = entry_price_1
mmr_b = maintenance_margin_rate
if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS:
# TODO-lev: perform a calculation based on this formula
@ -142,16 +124,16 @@ def binance(
# Liquidation Price of USDⓈ-M Futures Contracts Isolated
# Isolated margin mode, then TMM=0，UPNL=0
return (wb + cum_b - (side_1_both * position_1_both * ep1_both)) / (
position_1_both * mmr_b - side_1_both * position_1_both)
return (wb + cum_b - side_1 * position_1 * ep1) / (
position_1 * mmr_b - side_1 * position_1)
elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS:
# https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
# Liquidation Price of USDⓈ-M Futures Contracts Cross
# Isolated margin mode, then TMM=0，UPNL=0
return (wb - tmm_1 + upnl_1 + cum_b - (side_1_both * position_1_both * ep1_both)) / (
position_1_both * mmr_b - side_1_both * position_1_both)
return (wb - tmm_1 + upnl_1 + cum_b - side_1 * position_1 * ep1) / (
position_1 * mmr_b - side_1 * position_1)
# If nothing was returned
exception("binance", trading_mode, collateral)

73
tests/leverage/test_liquidation_price.py
View File

@ -1,4 +1,5 @@
import pytest
from math import isclose
from freqtrade.enums import Collateral, TradingMode
from freqtrade.leverage import liquidation_price
@ -87,44 +88,34 @@ def test_liquidation_price_exception_thrown(
@pytest.mark.parametrize(
('exchange_name,open_rate,is_short,leverage,trading_mode,collateral,wallet_balance,'
'maintenance_margin_ex_1,unrealized_pnl_ex_1,maintenance_amount_both,'
'position_1_both,entry_price_1_both,maintenance_margin_rate_both,liq_price'), [
# Binance
("binance", 0.0, False, 1, futures, cross, 1535443.01,
71200.81144, -56354.57, 135365.00, 3683.979, 1456.84, 0.10, 1153.26)
# Kraken
# FTX
]
)
def test_liquidation_price(
exchange_name,
open_rate,
is_short,
leverage,
trading_mode,
collateral,
wallet_balance,
maintenance_margin_ex_1,
unrealized_pnl_ex_1,
maintenance_amount_both,
position_1_both,
entry_price_1_both,
maintenance_margin_rate_both,
liq_price
):
assert liquidation_price(
exchange_name,
open_rate,
is_short,
leverage,
trading_mode,
collateral,
wallet_balance,
maintenance_margin_ex_1,
unrealized_pnl_ex_1,
maintenance_amount_both,
position_1_both,
entry_price_1_both,
maintenance_margin_rate_both
) == liq_price
'exchange_name, open_rate, is_short, leverage, trading_mode, collateral, wallet_balance, maintenance_margin_ex_1, '
'unrealized_pnl_ex_1, maintenance_amount, position_1, entry_price_1, maintenance_margin_rate, '
'expected',
[
("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.ISOLATED, 1535443.01, 71200.81144, -56354.57,
135365.00, 3683.979, 1456.84, 0.10, 1114.78),
("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.ISOLATED, 1535443.01, 356512.508, -448192.89,
16300.000, 109.488, 32481.980, 0.025, 18778.73),
("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.CROSS, 1535443.01, 71200.81144, -56354.57, 135365.00,
3683.979, 1456.84, 0.10, 1153.26),
("binance", 0.0, 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,
maintenance_margin_ex_1, unrealized_pnl_ex_1, maintenance_amount, position_1,
entry_price_1, maintenance_margin_rate, 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,
maintenance_margin_ex_1=maintenance_margin_ex_1,
unrealized_pnl_ex_1=unrealized_pnl_ex_1,
maintenance_amount=maintenance_amount,
position_1=position_1,
entry_price_1=entry_price_1,
maintenance_margin_rate=maintenance_margin_rate
), 2), expected)