integrated liqformula into persistence/models, Added skeleton functions, adding and removing trades, for maintenance margin, added maintenance_margin to freqtradebot
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@ -17,12 +17,13 @@ from freqtrade.constants import BuySell, LongShort
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from freqtrade.data.converter import order_book_to_dataframe
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from freqtrade.data.dataprovider import DataProvider
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from freqtrade.edge import Edge
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from freqtrade.enums import (ExitCheckTuple, ExitType, RPCMessageType, RunMode, SignalDirection,
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State, TradingMode)
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from freqtrade.enums import (ExitCheckTuple, ExitType, MarginMode, RPCMessageType, RunMode,
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SignalDirection, State, TradingMode)
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from freqtrade.exceptions import (DependencyException, ExchangeError, InsufficientFundsError,
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InvalidOrderException, PricingError)
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from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
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from freqtrade.exchange.exchange import timeframe_to_next_date
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from freqtrade.maintenance_margin import MaintenanceMargin
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from freqtrade.misc import safe_value_fallback, safe_value_fallback2
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from freqtrade.mixins import LoggingMixin
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from freqtrade.persistence import Order, PairLocks, Trade, cleanup_db, init_db
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@ -104,7 +105,11 @@ class FreqtradeBot(LoggingMixin):
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LoggingMixin.__init__(self, logger, timeframe_to_seconds(self.strategy.timeframe))
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self.trading_mode: TradingMode = self.config.get('trading_mode', TradingMode.SPOT)
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self.margin_mode: MarginMode = (
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MarginMode(config.get('margin_mode'))
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if config.get('margin_mode')
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else MarginMode.NONE
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)
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self._schedule = Scheduler()
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if self.trading_mode == TradingMode.FUTURES:
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@ -125,6 +130,16 @@ class FreqtradeBot(LoggingMixin):
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# Initialize protections AFTER bot start - otherwise parameters are not loaded.
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self.protections = ProtectionManager(self.config, self.strategy.protections)
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# Start calculating maintenance margin if on cross margin
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# TODO-lev: finish the below...
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if self.margin_mode == MarginMode.CROSS:
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self.maintenance_margin = MaintenanceMargin(
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exchange_name=self.exchange.name,
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trading_mode=self.trading_mode)
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self.maintenance_margin.run()
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def notify_status(self, msg: str) -> None:
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"""
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Public method for users of this class (worker, etc.) to send notifications
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@ -721,6 +736,10 @@ class FreqtradeBot(LoggingMixin):
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trade.orders.append(order_obj)
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trade.recalc_trade_from_orders()
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if self.margin_mode == MarginMode.CROSS:
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self.maintenance_margin.add_new_trade(trade)
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Trade.query.session.add(trade)
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Trade.commit()
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@ -1501,10 +1520,21 @@ class FreqtradeBot(LoggingMixin):
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# In case of market sell orders the order can be closed immediately
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if order.get('status', 'unknown') in ('closed', 'expired'):
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self.update_trade_state(trade, trade.open_order_id, order)
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Trade.commit()
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self._remove_maintenance_trade(trade)
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return True
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def _remove_maintenance_trade(self, trade: Trade):
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"""
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Removes a trade from the maintenance margin object
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:param trade: The trade to remove from the maintenance margin
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"""
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if self.margin_mode == MarginMode.CROSS:
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self.maintenance_margin.remove_trade(trade)
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def _notify_exit(self, trade: Trade, order_type: str, fill: bool = False) -> None:
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"""
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Sends rpc notification when a sell occurred.
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52
freqtrade/maintenance_margin.py
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52
freqtrade/maintenance_margin.py
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@ -0,0 +1,52 @@
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from typing import List
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from freqtrade.enums import TradingMode
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from freqtrade.leverage import liquidation_price
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from freqtrade.persistence import Trade
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class MaintenanceMargin:
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trades: List[Trade]
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exchange_name: str
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trading_mode: TradingMode
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@property
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def margin_level(self):
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# This is the current value of all assets,
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# and if you pass below liq_level, you are liquidated
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# TODO-lev: Add args to formula
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return liquidation_price(
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trading_mode=self.trading_mode,
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exchange_name=self.exchange_name
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)
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@property
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def liq_level(self): # This may be a constant value and may not need a function
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# TODO-lev: The is the value that you are liquidated at
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return # If constant, would need to be recalculated after each new trade
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def __init__(self, exchange_name: str, trading_mode: TradingMode):
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self.exchange_name = exchange_name
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self.trading_mode = trading_mode
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return
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def add_new_trade(self, trade):
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self.trades.append(trade)
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def remove_trade(self, trade):
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self.trades.remove(trade)
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# ? def update_trade_pric(self):
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def sell_all(self):
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# TODO-lev
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return
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def run(self):
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# TODO-lev: implement a thread that constantly updates with every price change,
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# TODO-lev: must update at least every few seconds or so
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# while true:
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# if self.margin_level <= self.liq_level:
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# self.sell_all()
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return
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