Simplify liquidation price calling structure
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Matthias
parent
f664ebd262
commit
226fa5d93c
@ -2432,36 +2432,6 @@ class Exchange:
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"""
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return 0.0
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def get_liquidation_price(
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self,
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pair: str,
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open_rate: float,
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amount: float, # quote currency, includes leverage
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stake_amount: float,
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leverage: float,
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is_short: bool
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) -> Optional[float]:
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if self.trading_mode in TradingMode.SPOT:
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return None
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elif (
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self.trading_mode == TradingMode.FUTURES
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):
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isolated_liq = self.get_or_calculate_liquidation_price(
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pair=pair,
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open_rate=open_rate,
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is_short=is_short,
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amount=amount,
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stake_amount=stake_amount,
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wallet_balance=stake_amount, # In isolated mode, stake-amount = wallet size
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mm_ex_1=0.0,
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upnl_ex_1=0.0,
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)
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return isolated_liq
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else:
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raise OperationalException(
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"Freqtrade currently only supports futures for leverage trading.")
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def funding_fee_cutoff(self, open_date: datetime):
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"""
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:param open_date: The open date for a trade
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@ -2622,7 +2592,7 @@ class Exchange:
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else:
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return 0.0
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def get_or_calculate_liquidation_price(
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def get_liquidation_price(
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self,
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pair: str,
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# Dry-run
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@ -2630,7 +2600,7 @@ class Exchange:
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is_short: bool,
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amount: float, # Absolute value of position size
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stake_amount: float,
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wallet_balance: float, # Or margin balance
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wallet_balance: float = 0.0,
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mm_ex_1: float = 0.0, # (Binance) Cross only
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upnl_ex_1: float = 0.0, # (Binance) Cross only
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) -> Optional[float]:
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@ -1732,12 +1732,12 @@ class FreqtradeBot(LoggingMixin):
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# TODO: Margin will need to use interest_rate as well.
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# interest_rate = self.exchange.get_interest_rate()
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trade.set_liquidation_price(self.exchange.get_liquidation_price(
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leverage=trade.leverage,
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pair=trade.pair,
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open_rate=trade.open_rate,
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is_short=trade.is_short,
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amount=trade.amount,
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stake_amount=trade.stake_amount,
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open_rate=trade.open_rate,
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is_short=trade.is_short
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wallet_balance=trade.stake_amount,
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))
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# Updating wallets when order is closed
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@ -881,7 +881,7 @@ class Backtesting:
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open_rate=propose_rate,
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amount=amount,
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stake_amount=trade.stake_amount,
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leverage=leverage,
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wallet_balance=trade.stake_amount,
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is_short=is_short,
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))
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@ -4089,68 +4089,6 @@ def test_combine_funding_and_mark(
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assert len(df) == 0
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def test_get_or_calculate_liquidation_price(mocker, default_conf):
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api_mock = MagicMock()
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positions = [
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{
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'info': {},
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'symbol': 'NEAR/USDT:USDT',
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'timestamp': 1642164737148,
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'datetime': '2022-01-14T12:52:17.148Z',
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'initialMargin': 1.51072,
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'initialMarginPercentage': 0.1,
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'maintenanceMargin': 0.38916147,
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'maintenanceMarginPercentage': 0.025,
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'entryPrice': 18.884,
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'notional': 15.1072,
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'leverage': 9.97,
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'unrealizedPnl': 0.0048,
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'contracts': 8,
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'contractSize': 0.1,
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'marginRatio': None,
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'liquidationPrice': 17.47,
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'markPrice': 18.89,
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'margin_mode': 1.52549075,
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'marginType': 'isolated',
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'side': 'buy',
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'percentage': 0.003177292946409658
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}
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]
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api_mock.fetch_positions = MagicMock(return_value=positions)
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mocker.patch.multiple(
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'freqtrade.exchange.Exchange',
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exchange_has=MagicMock(return_value=True),
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)
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default_conf['dry_run'] = False
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default_conf['trading_mode'] = 'futures'
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default_conf['margin_mode'] = 'isolated'
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default_conf['liquidation_buffer'] = 0.0
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exchange = get_patched_exchange(mocker, default_conf, api_mock)
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liq_price = exchange.get_or_calculate_liquidation_price(
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pair='NEAR/USDT:USDT',
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open_rate=18.884,
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is_short=False,
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amount=0.8,
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stake_amount=18.884 * 0.8,
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wallet_balance=0.8,
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)
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assert liq_price == 17.47
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default_conf['liquidation_buffer'] = 0.05
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exchange = get_patched_exchange(mocker, default_conf, api_mock)
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liq_price = exchange.get_or_calculate_liquidation_price(
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pair='NEAR/USDT:USDT',
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open_rate=18.884,
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is_short=False,
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amount=0.8,
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stake_amount=18.884 * 0.8,
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wallet_balance=0.8,
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)
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assert liq_price == 17.540699999999998
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@pytest.mark.parametrize('exchange,rate_start,rate_end,d1,d2,amount,expected_fees', [
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('binance', 0, 2, "2021-09-01 01:00:00", "2021-09-01 04:00:00", 30.0, 0.0),
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('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.00091409999),
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@ -4541,7 +4479,7 @@ def test_liquidation_price_is_none(
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default_conf['trading_mode'] = trading_mode
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default_conf['margin_mode'] = margin_mode
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exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
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assert exchange.get_or_calculate_liquidation_price(
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assert exchange.get_liquidation_price(
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pair='DOGE/USDT',
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open_rate=open_rate,
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is_short=is_short,
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@ -4576,7 +4514,7 @@ def test_liquidation_price(
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default_conf['liquidation_buffer'] = 0.0
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exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
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exchange.get_maintenance_ratio_and_amt = MagicMock(return_value=(mm_ratio, maintenance_amt))
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assert isclose(round(exchange.get_or_calculate_liquidation_price(
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assert isclose(round(exchange.get_liquidation_price(
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pair='DOGE/USDT',
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open_rate=open_rate,
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is_short=is_short,
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@ -5003,6 +4941,66 @@ def test__get_params(mocker, default_conf, exchange_name):
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) == params2
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def test_get_liquidation_price1(mocker, default_conf):
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api_mock = MagicMock()
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positions = [
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{
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'info': {},
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'symbol': 'NEAR/USDT:USDT',
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'timestamp': 1642164737148,
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'datetime': '2022-01-14T12:52:17.148Z',
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'initialMargin': 1.51072,
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'initialMarginPercentage': 0.1,
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'maintenanceMargin': 0.38916147,
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'maintenanceMarginPercentage': 0.025,
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'entryPrice': 18.884,
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'notional': 15.1072,
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'leverage': 9.97,
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'unrealizedPnl': 0.0048,
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'contracts': 8,
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'contractSize': 0.1,
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'marginRatio': None,
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'liquidationPrice': 17.47,
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'markPrice': 18.89,
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'margin_mode': 1.52549075,
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'marginType': 'isolated',
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'side': 'buy',
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'percentage': 0.003177292946409658
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}
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]
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api_mock.fetch_positions = MagicMock(return_value=positions)
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mocker.patch.multiple(
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'freqtrade.exchange.Exchange',
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exchange_has=MagicMock(return_value=True),
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)
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default_conf['dry_run'] = False
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default_conf['trading_mode'] = 'futures'
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default_conf['margin_mode'] = 'isolated'
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default_conf['liquidation_buffer'] = 0.0
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exchange = get_patched_exchange(mocker, default_conf, api_mock)
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liq_price = exchange.get_liquidation_price(
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pair='NEAR/USDT:USDT',
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open_rate=18.884,
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is_short=False,
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amount=0.8,
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stake_amount=18.884 * 0.8,
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)
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assert liq_price == 17.47
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default_conf['liquidation_buffer'] = 0.05
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exchange = get_patched_exchange(mocker, default_conf, api_mock)
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liq_price = exchange.get_liquidation_price(
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pair='NEAR/USDT:USDT',
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open_rate=18.884,
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is_short=False,
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amount=0.8,
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stake_amount=18.884 * 0.8,
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)
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assert liq_price == 17.540699999999998
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@pytest.mark.parametrize('liquidation_buffer', [0.0, 0.05])
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@pytest.mark.parametrize(
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"is_short,trading_mode,exchange_name,margin_mode,leverage,open_rate,amount,expected_liq", [
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@ -5116,7 +5114,7 @@ def test_get_liquidation_price(
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open_rate=open_rate,
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amount=amount,
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stake_amount=amount * open_rate / leverage,
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leverage=leverage,
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# leverage=leverage,
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is_short=is_short,
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)
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if expected_liq is None:
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