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Added Tests for Binance Liquidation price, shortened liquidation param names

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This commit is contained in:
Arunavo Ray
2021-09-19 11:16:41 +05:30
committed by Sam Germain
parent f9a2d1a71d
commit 3709130eb7
2 changed files with 83 additions and 72 deletions
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81
freqtrade/leverage/liquidation_price.py
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@@ -12,12 +12,12 @@ def liquidation_price(
trading_mode: TradingMode,
collateral: Optional[Collateral],
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]
mm_ex_1: Optional[float],
upnl_ex_1: Optional[float],
maintenance_amt: Optional[float],
position: Optional[float],
entry_price: Optional[float],
mm_rate: Optional[float]
) -> Optional[float]:
if trading_mode == TradingMode.SPOT:
@@ -30,16 +30,17 @@ 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 mm_ex_1 or not upnl_ex_1 \
or not maintenance_amt or not position or not entry_price \
or not mm_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"when exchange is {exchange_name.lower()}")
f"Parameters wallet_balance, mm_ex_1, upnl_ex_1, "
f"maintenance_amt, position, entry_price, mm_rate "
f"is required by liquidation_price 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,
mm_ex_1, upnl_ex_1, maintenance_amt,
position, entry_price, mm_rate)
elif exchange_name.lower() == "kraken":
return kraken(open_rate, is_short, leverage, trading_mode, collateral)
elif exchange_name.lower() == "ftx":
@@ -72,12 +73,12 @@ def binance(
trading_mode: TradingMode,
collateral: Collateral,
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,
mm_ex_1: float,
upnl_ex_1: float,
maintenance_amt: float,
position: float,
entry_price: float,
mm_rate: float,
):
"""
Calculates the liquidation price on Binance
@@ -88,32 +89,32 @@ def binance(
:param collateral: cross, isolated
:param wallet_balance: Wallet Balance is crossWalletBalance in Cross-Margin Mode.
Wallet Balance is isolatedWalletBalance in Isolated Margin Mode
Wallet Balance is isolatedWalletBalance in Isolated Margin Mode
:param maintenance_margin_ex_1: Maintenance Margin of all other contracts, excluding Contract 1.
If it is an isolated margin mode, then TMM=0
:param mm_ex_1: Maintenance Margin of all other contracts,
excluding Contract 1. If it is an isolated margin mode, then TMM=0
: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 upnl_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_amt: Maintenance Amount of position (one-way mode)
:param position_1_both: Absolute value of BOTH position size (one-way mode)
:param position: Absolute value of position size (one-way mode)
:param entry_price_1_both: Entry Price of BOTH position (one-way mode)
:param entry_price: Entry Price of position (one-way mode)
:param maintenance_margin_rate_both: Maintenance margin rate of BOTH position (one-way mode)
:param mm_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
tmm_1 = 0.0 if collateral == Collateral.ISOLATED else mm_ex_1
upnl_1 = 0.0 if collateral == Collateral.ISOLATED else upnl_ex_1
cum_b = maintenance_amt
side_1 = -1 if is_short else 1
position = abs(position)
ep1 = entry_price
mmr_b = mm_rate
if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS:
# TODO-lev: perform a calculation based on this formula
@@ -124,8 +125,8 @@ 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 * ep1) / (
position * mmr_b - side_1 * position)
elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS:
# TODO-lev: perform a calculation based on this formula
@@ -133,8 +134,8 @@ def binance(
# 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 * ep1) / (
position * mmr_b - side_1 * position)
# If nothing was returned
exception("binance", trading_mode, collateral)