Merge pull request #5732 from samgermain/new-max-lev

New max lev

freqtrade/exchange/exchange.py

@@ -89,7 +89,6 @@ class Exchange:
         self._api: ccxt.Exchange = None
         self._api_async: ccxt_async.Exchange = None
         self._markets: Dict = {}
-        self._leverage_brackets: Dict = {}
 
         self._config.update(config)
 
@@ -158,9 +157,6 @@ class Exchange:
         self._api_async = self._init_ccxt(
             exchange_config, ccxt_async, ccxt_kwargs=ccxt_async_config)
 
-        if self.trading_mode != TradingMode.SPOT:
-            self.fill_leverage_brackets()
-
         logger.info('Using Exchange "%s"', self.name)
 
         if validate:
@@ -183,6 +179,10 @@ class Exchange:
         self.markets_refresh_interval: int = exchange_config.get(
             "markets_refresh_interval", 60) * 60
 
+        self._leverage_brackets: Dict = {}
+        if self.trading_mode != TradingMode.SPOT:
+            self.fill_leverage_brackets()
+
     def __del__(self):
         """
         Destructor - clean up async stuff
@@ -1637,9 +1637,9 @@ class Exchange:
 
     def fill_leverage_brackets(self):
         """
-            # TODO-lev: Should maybe be renamed, leverage_brackets might not be accurate for kraken
             Assigns property _leverage_brackets to a dictionary of information about the leverage
             allowed on each pair
+            Not used if the exchange has a static max leverage value for the account or each pair
         """
         return
 
@@ -1649,7 +1649,15 @@ class Exchange:
             :param pair: The base/quote currency pair being traded
             :nominal_value: The total value of the trade in quote currency (collateral + debt)
         """
-        return 1.0
+        market = self.markets[pair]
+        if (
+            'limits' in market and
+            'leverage' in market['limits'] and
+            'max' in market['limits']['leverage']
+        ):
+            return market['limits']['leverage']['max']
+        else:
+            return 1.0
 
     @retrier
     def _set_leverage(

freqtrade/exchange/ftx.py

@@ -1,6 +1,6 @@
 """ FTX exchange subclass """
 import logging
-from typing import Any, Dict, List, Optional, Tuple
+from typing import Any, Dict, List, Tuple
 
 import ccxt
 
@@ -168,18 +168,3 @@ class Ftx(Exchange):
         if order['type'] == 'stop':
             return safe_value_fallback2(order, order, 'id_stop', 'id')
         return order['id']
-
-    def fill_leverage_brackets(self):
-        """
-            FTX leverage is static across the account, and doesn't change from pair to pair,
-            so _leverage_brackets doesn't need to be set
-        """
-        return
-
-    def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float:
-        """
-            Returns the maximum leverage that a pair can be traded at, which is always 20 on ftx
-            :param pair: Here for super method, not used on FTX
-            :nominal_value: Here for super method, not used on FTX
-        """
-        return 20.0

freqtrade/exchange/kraken.py

@@ -139,40 +139,6 @@ class Kraken(Exchange):
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
 
-    def fill_leverage_brackets(self):
-        """
-            Assigns property _leverage_brackets to a dictionary of information about the leverage
-            allowed on each pair
-        """
-        leverages = {}
-
-        for pair, market in self.markets.items():
-            leverages[pair] = [1]
-            info = market['info']
-            leverage_buy = info.get('leverage_buy', [])
-            leverage_sell = info.get('leverage_sell', [])
-            if len(leverage_buy) > 0 or len(leverage_sell) > 0:
-                if leverage_buy != leverage_sell:
-                    logger.warning(
-                        f"The buy({leverage_buy}) and sell({leverage_sell}) leverage are not equal"
-                        "for {pair}. Please notify freqtrade because this has never happened before"
-                    )
-                    if max(leverage_buy) <= max(leverage_sell):
-                        leverages[pair] += [int(lev) for lev in leverage_buy]
-                    else:
-                        leverages[pair] += [int(lev) for lev in leverage_sell]
-                else:
-                    leverages[pair] += [int(lev) for lev in leverage_buy]
-        self._leverage_brackets = leverages
-
-    def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float:
-        """
-            Returns the maximum leverage that a pair can be traded at
-            :param pair: The base/quote currency pair being traded
-            :nominal_value: Here for super class, not needed on Kraken
-        """
-        return float(max(self._leverage_brackets[pair]))
-
     def _set_leverage(
         self,
         leverage: float,

tests/conftest.py

@@ -590,10 +590,10 @@ def get_markets():
                     'min': 0.0001,
                     'max': 500000,
                 },
-            },
+                'leverage': {
-            'info': {
+                    'min': 1.0,
-                'leverage_buy': ['2'],
+                    'max': 2.0
-                'leverage_sell': ['2'],
+                }
             },
         },
         'TKN/BTC': {
@@ -619,10 +619,10 @@ def get_markets():
                     'min': 0.0001,
                     'max': 500000,
                 },
-            },
+                'leverage': {
-            'info': {
+                    'min': 1.0,
-                'leverage_buy': ['2', '3', '4', '5'],
+                    'max': 5.0
-                'leverage_sell': ['2', '3', '4', '5'],
+                }
             },
         },
         'BLK/BTC': {
@@ -647,10 +647,10 @@ def get_markets():
                     'min': 0.0001,
                     'max': 500000,
                 },
-            },
+                'leverage': {
-            'info': {
+                    'min': 1.0,
-                'leverage_buy': ['2', '3'],
+                    'max': 3.0
-                'leverage_sell': ['2', '3'],
+                },
             },
         },
         'LTC/BTC': {
@@ -676,10 +676,7 @@ def get_markets():
                     'max': 500000,
                 },
             },
-            'info': {
+            'info': {},
-                'leverage_buy': [],
-                'leverage_sell': [],
-            },
         },
         'XRP/BTC': {
             'id': 'xrpbtc',
@@ -757,10 +754,7 @@ def get_markets():
                     'max': None
                 }
             },
-            'info': {
+            'info': {},
-                'leverage_buy': [],
-                'leverage_sell': [],
-            },
         },
         'ETH/USDT': {
             'id': 'USDT-ETH',

tests/exchange/test_exchange.py

@@ -3267,3 +3267,16 @@ def test__ccxt_config(
     default_conf['collateral'] = 'isolated'
     exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
     assert exchange._ccxt_config == ccxt_config
+
+
+@pytest.mark.parametrize('pair,nominal_value,max_lev', [
+    ("ETH/BTC", 0.0, 2.0),
+    ("TKN/BTC", 100.0, 5.0),
+    ("BLK/BTC", 173.31, 3.0),
+    ("LTC/BTC", 0.0, 1.0),
+    ("TKN/USDT", 210.30, 1.0),
+])
+def test_get_max_leverage(default_conf, mocker, pair, nominal_value, max_lev):
+    # Binance has a different method of getting the max leverage
+    exchange = get_patched_exchange(mocker, default_conf, id="kraken")
+    assert exchange.get_max_leverage(pair, nominal_value) == max_lev

tests/exchange/test_ftx.py

@@ -250,20 +250,3 @@ def test_get_order_id(mocker, default_conf):
         }
     }
     assert exchange.get_order_id_conditional(order) == '1111'
-
-
-@pytest.mark.parametrize('pair,nominal_value,max_lev', [
-    ("ADA/BTC", 0.0, 20.0),
-    ("BTC/EUR", 100.0, 20.0),
-    ("ZEC/USD", 173.31, 20.0),
-])
-def test_get_max_leverage_ftx(default_conf, mocker, pair, nominal_value, max_lev):
-    exchange = get_patched_exchange(mocker, default_conf, id="ftx")
-    assert exchange.get_max_leverage(pair, nominal_value) == max_lev
-
-
-def test_fill_leverage_brackets_ftx(default_conf, mocker):
-    # FTX only has one account wide leverage, so there's no leverage brackets
-    exchange = get_patched_exchange(mocker, default_conf, id="ftx")
-    exchange.fill_leverage_brackets()
-    assert exchange._leverage_brackets == {}

tests/exchange/test_kraken.py

@@ -295,42 +295,3 @@ def test_stoploss_adjust_kraken(mocker, default_conf, sl1, sl2, sl3, side):
     # Test with invalid order case ...
     order['type'] = 'stop_loss_limit'
     assert not exchange.stoploss_adjust(sl3, order, side=side)
-
-
-@pytest.mark.parametrize('pair,nominal_value,max_lev', [
-    ("ADA/BTC", 0.0, 3.0),
-    ("BTC/EUR", 100.0, 5.0),
-    ("ZEC/USD", 173.31, 2.0),
-])
-def test_get_max_leverage_kraken(default_conf, mocker, pair, nominal_value, max_lev):
-    exchange = get_patched_exchange(mocker, default_conf, id="kraken")
-    exchange._leverage_brackets = {
-        'ADA/BTC': ['2', '3'],
-        'BTC/EUR': ['2', '3', '4', '5'],
-        'ZEC/USD': ['2']
-    }
-    assert exchange.get_max_leverage(pair, nominal_value) == max_lev
-
-
-def test_fill_leverage_brackets_kraken(default_conf, mocker):
-    api_mock = MagicMock()
-    exchange = get_patched_exchange(mocker, default_conf, api_mock, id="kraken")
-    exchange.fill_leverage_brackets()
-
-    assert exchange._leverage_brackets == {
-        'BLK/BTC': [1, 2, 3],
-        'TKN/BTC': [1, 2, 3, 4, 5],
-        'ETH/BTC': [1, 2],
-        'LTC/BTC': [1],
-        'XRP/BTC': [1],
-        'NEO/BTC': [1],
-        'BTT/BTC': [1],
-        'ETH/USDT': [1],
-        'LTC/USDT': [1],
-        'LTC/USD': [1],
-        'XLTCUSDT': [1],
-        'LTC/ETH': [1],
-        'NEO/USDT': [1],
-        'TKN/USDT': [1],
-        'XRP/USDT': [1]
-    }