From d343e84507c71a42bb0303c5b030c151c19f86e8 Mon Sep 17 00:00:00 2001 From: Arunavo Ray Date: Fri, 27 Aug 2021 11:28:12 +0530 Subject: [PATCH 1/2] =?UTF-8?q?Added=20Formulas=20to=20Calculate=20Liquida?= =?UTF-8?q?tion=20Price=20of=20Binance=20USD=E2=93=88-M=20Futures=20Contra?= =?UTF-8?q?cts?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- freqtrade/enums/__init__.py | 1 + freqtrade/enums/marginmode.py | 10 ++ freqtrade/leverage/liquidation_price.py | 151 ++++++++++++++++++++---- 3 files changed, 140 insertions(+), 22 deletions(-) create mode 100644 freqtrade/enums/marginmode.py diff --git a/freqtrade/enums/__init__.py b/freqtrade/enums/__init__.py index 692a7fcb6..610b5cf43 100644 --- a/freqtrade/enums/__init__.py +++ b/freqtrade/enums/__init__.py @@ -7,3 +7,4 @@ from freqtrade.enums.selltype import SellType from freqtrade.enums.signaltype import SignalTagType, SignalType from freqtrade.enums.state import State from freqtrade.enums.tradingmode import TradingMode +from freqtrade.enums.marginmode import MarginMode diff --git a/freqtrade/enums/marginmode.py b/freqtrade/enums/marginmode.py new file mode 100644 index 000000000..80df6e6fa --- /dev/null +++ b/freqtrade/enums/marginmode.py @@ -0,0 +1,10 @@ +from enum import Enum + + +class MarginMode(Enum): + """ + Enum to distinguish between + one-way mode or hedge mode in Futures (Cross and Isolated) or Margin Trading + """ + ONE_WAY = "one-way" + HEDGE = "hedge" diff --git a/freqtrade/leverage/liquidation_price.py b/freqtrade/leverage/liquidation_price.py index 62199a657..383d598b4 100644 --- a/freqtrade/leverage/liquidation_price.py +++ b/freqtrade/leverage/liquidation_price.py @@ -1,6 +1,6 @@ from typing import Optional -from freqtrade.enums import Collateral, TradingMode +from freqtrade.enums import Collateral, TradingMode, MarginMode from freqtrade.exceptions import OperationalException @@ -12,7 +12,6 @@ def liquidation_price( trading_mode: TradingMode, collateral: Optional[Collateral] ) -> Optional[float]: - if trading_mode == TradingMode.SPOT: return None @@ -36,60 +35,164 @@ def liquidation_price( def exception( exchange: str, trading_mode: TradingMode, - collateral: Collateral + collateral: Collateral, + margin_mode: Optional[MarginMode] ): """ Raises an exception if exchange used doesn't support desired leverage mode - :param name: Name of the exchange + :param exchange: Name of the exchange + :param margin_mode: one-way or hedge :param trading_mode: spot, margin, futures :param collateral: cross, isolated """ + if not margin_mode: + raise OperationalException( + f"{exchange} does not support {collateral.value} {trading_mode.value} trading ") + raise OperationalException( - f"{exchange} does not support {collateral.value} {trading_mode.value} trading") + f"{exchange} does not support {collateral.value} {margin_mode.value} Mode {trading_mode.value} trading ") def binance( open_rate: float, is_short: bool, leverage: float, + margin_mode: MarginMode, trading_mode: TradingMode, - collateral: Collateral + collateral: Collateral, + **kwargs ): - """ + r""" Calculates the liquidation price on Binance - :param name: Name of the exchange + :param open_rate: open_rate + :param is_short: true or false + :param leverage: leverage in float + :param margin_mode: one-way or hedge :param trading_mode: spot, margin, futures :param collateral: cross, isolated + + :param \**kwargs: + See below + + :Keyword Arguments: + * *wallet_balance* (``float``) -- + Wallet Balance is crossWalletBalance in Cross-Margin Mode + Wallet Balance is isolatedWalletBalance in Isolated Margin Mode + + * *maintenance_margin_ex_1* (``float``) -- + Maintenance Margin of all other contracts, excluding Contract 1. + If it is an isolated margin mode, then TMM=0 + + * *unrealized_pnl_ex_1* (``float``) -- + Unrealized PNL of all other contracts, excluding Contract 1. + If it is an isolated margin mode, then UPNL=0 + + * *maintenance_amount_both* (``float``) -- + Maintenance Amount of BOTH position (one-way mode) + + * *maintenance_amount_long* (``float``) -- + Maintenance Amount of LONG position (hedge mode) + + * *maintenance_amount_short* (``float``) -- + Maintenance Amount of SHORT position (hedge mode) + + * *side_1_both* (``int``) -- + Direction of BOTH position, 1 as long position, -1 as short position + Derived from is_short + + * *position_1_both* (``float``) -- + Absolute value of BOTH position size (one-way mode) + + * *entry_price_1_both* (``float``) -- + Entry Price of BOTH position (one-way mode) + + * *position_1_long* (``float``) -- + Absolute value of LONG position size (hedge mode) + + * *entry_price_1_long* (``float``) -- + Entry Price of LONG position (hedge mode) + + * *position_1_short* (``float``) -- + Absolute value of SHORT position size (hedge mode) + + * *entry_price_1_short* (``float``) -- + Entry Price of SHORT position (hedge mode) + + * *maintenance_margin_rate_both* (``float``) -- + Maintenance margin rate of BOTH position (one-way mode) + + * *maintenance_margin_rate_long* (``float``) -- + Maintenance margin rate of LONG position (hedge mode) + + * *maintenance_margin_rate_short* (``float``) -- + Maintenance margin rate of SHORT position (hedge mode) """ # TODO-lev: Additional arguments, fill in formulas + wb = kwargs.get("wallet_balance") + tmm_1 = 0.0 if collateral == Collateral.ISOLATED else kwargs.get("maintenance_margin_ex_1") + upnl_1 = 0.0 if collateral == Collateral.ISOLATED else kwargs.get("unrealized_pnl_ex_1") + cum_b = kwargs.get("maintenance_amount_both") + cum_l = kwargs.get("maintenance_amount_long") + cum_s = kwargs.get("maintenance_amount_short") + side_1_both = -1 if is_short else 1 + position_1_both = abs(kwargs.get("position_1_both")) + ep1_both = kwargs.get("entry_price_1_both") + position_1_long = abs(kwargs.get("position_1_long")) + ep1_long = kwargs.get("entry_price_1_long") + position_1_short = abs(kwargs.get("position_1_short")) + ep1_short = kwargs.get("entry_price_1_short") + mmr_b = kwargs.get("maintenance_margin_rate_both") + mmr_l = kwargs.get("maintenance_margin_rate_long") + mmr_s = kwargs.get("maintenance_margin_rate_short") if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS: # TODO-lev: perform a calculation based on this formula # https://www.binance.com/en/support/faq/f6b010588e55413aa58b7d63ee0125ed - exception("binance", trading_mode, collateral) - elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS: - # TODO-lev: perform a calculation based on this formula - # https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93 - exception("binance", trading_mode, collateral) + exception("binance", trading_mode, collateral, margin_mode) elif trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED: - # TODO-lev: perform a calculation based on this formula # https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93 - exception("binance", trading_mode, collateral) + # Liquidation Price of USDⓈ-M Futures Contracts Isolated + + if margin_mode == MarginMode.HEDGE: + exception("binance", trading_mode, collateral, margin_mode) + + elif margin_mode == MarginMode.ONE_WAY: + # 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) + + 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 + + if margin_mode == MarginMode.HEDGE: + return (wb - tmm_1 + upnl_1 + cum_l + cum_s - (position_1_long * ep1_long) + ( + position_1_short * ep1_short)) / ( + position_1_long * mmr_l + position_1_short * mmr_s - position_1_long + position_1_short) + + elif margin_mode == MarginMode.ONE_WAY: + # 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) # If nothing was returned - exception("binance", trading_mode, collateral) + exception("binance", trading_mode, collateral, margin_mode) def kraken( open_rate: float, is_short: bool, leverage: float, + margin_mode: MarginMode, trading_mode: TradingMode, collateral: Collateral ): """ Calculates the liquidation price on Kraken - :param name: Name of the exchange + :param open_rate: open_rate + :param is_short: true or false + :param leverage: leverage in float + :param margin_mode: one-way or hedge :param trading_mode: spot, margin, futures :param collateral: cross, isolated """ @@ -101,28 +204,32 @@ def kraken( # TODO-lev: perform a calculation based on this formula # https://support.kraken.com/hc/en-us/articles/203325763-Margin-Call-Level-and-Margin-Liquidation-Level elif trading_mode == TradingMode.FUTURES: - exception("kraken", trading_mode, collateral) + exception("kraken", trading_mode, collateral, margin_mode) # If nothing was returned - exception("kraken", trading_mode, collateral) + exception("kraken", trading_mode, collateral, margin_mode) def ftx( open_rate: float, is_short: bool, leverage: float, + margin_mode: MarginMode, trading_mode: TradingMode, collateral: Collateral ): """ Calculates the liquidation price on FTX - :param name: Name of the exchange + :param open_rate: open_rate + :param is_short: true or false + :param leverage: leverage in float + :param margin_mode: one-way or hedge :param trading_mode: spot, margin, futures :param collateral: cross, isolated """ if collateral == Collateral.CROSS: # TODO-lev: Additional arguments, fill in formulas - exception("ftx", trading_mode, collateral) + exception("ftx", trading_mode, collateral, margin_mode) # If nothing was returned - exception("ftx", trading_mode, collateral) + exception("ftx", trading_mode, collateral, margin_mode) From abcb9729e5a1466d2e733d83503fca05d0bd27c6 Mon Sep 17 00:00:00 2001 From: Arunavo Ray Date: Fri, 27 Aug 2021 11:54:51 +0530 Subject: [PATCH 2/2] Added Margin Mode Check for Binance. --- freqtrade/leverage/liquidation_price.py | 23 ++++++++++++----------- 1 file changed, 12 insertions(+), 11 deletions(-) diff --git a/freqtrade/leverage/liquidation_price.py b/freqtrade/leverage/liquidation_price.py index 383d598b4..21a699d40 100644 --- a/freqtrade/leverage/liquidation_price.py +++ b/freqtrade/leverage/liquidation_price.py @@ -10,7 +10,8 @@ def liquidation_price( is_short: bool, leverage: float, trading_mode: TradingMode, - collateral: Optional[Collateral] + collateral: Optional[Collateral], + margin_mode: Optional[MarginMode] ) -> Optional[float]: if trading_mode == TradingMode.SPOT: return None @@ -22,7 +23,11 @@ def liquidation_price( ) if exchange_name.lower() == "binance": - return binance(open_rate, is_short, leverage, trading_mode, collateral) + if not margin_mode: + raise OperationalException( + f"Parameter margin_mode is required by liquidation_price when exchange is {trading_mode}") + + return binance(open_rate, is_short, leverage, margin_mode, trading_mode, collateral) elif exchange_name.lower() == "kraken": return kraken(open_rate, is_short, leverage, trading_mode, collateral) elif exchange_name.lower() == "ftx": @@ -36,7 +41,7 @@ def exception( exchange: str, trading_mode: TradingMode, collateral: Collateral, - margin_mode: Optional[MarginMode] + margin_mode: Optional[MarginMode] = None ): """ Raises an exception if exchange used doesn't support desired leverage mode @@ -183,7 +188,6 @@ def kraken( open_rate: float, is_short: bool, leverage: float, - margin_mode: MarginMode, trading_mode: TradingMode, collateral: Collateral ): @@ -192,7 +196,6 @@ def kraken( :param open_rate: open_rate :param is_short: true or false :param leverage: leverage in float - :param margin_mode: one-way or hedge :param trading_mode: spot, margin, futures :param collateral: cross, isolated """ @@ -204,17 +207,16 @@ def kraken( # TODO-lev: perform a calculation based on this formula # https://support.kraken.com/hc/en-us/articles/203325763-Margin-Call-Level-and-Margin-Liquidation-Level elif trading_mode == TradingMode.FUTURES: - exception("kraken", trading_mode, collateral, margin_mode) + exception("kraken", trading_mode, collateral) # If nothing was returned - exception("kraken", trading_mode, collateral, margin_mode) + exception("kraken", trading_mode, collateral) def ftx( open_rate: float, is_short: bool, leverage: float, - margin_mode: MarginMode, trading_mode: TradingMode, collateral: Collateral ): @@ -223,13 +225,12 @@ def ftx( :param open_rate: open_rate :param is_short: true or false :param leverage: leverage in float - :param margin_mode: one-way or hedge :param trading_mode: spot, margin, futures :param collateral: cross, isolated """ if collateral == Collateral.CROSS: # TODO-lev: Additional arguments, fill in formulas - exception("ftx", trading_mode, collateral, margin_mode) + exception("ftx", trading_mode, collateral) # If nothing was returned - exception("ftx", trading_mode, collateral, margin_mode) + exception("ftx", trading_mode, collateral)