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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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77
freqtrade/leverage/liquidation_price.py
View File

@ -12,12 +12,12 @@ def liquidation_price(
trading_mode: TradingMode, trading_mode: TradingMode,
collateral: Optional[Collateral], collateral: Optional[Collateral],
wallet_balance: Optional[float], wallet_balance: Optional[float],
maintenance_margin_ex_1: Optional[float], mm_ex_1: Optional[float],
unrealized_pnl_ex_1: Optional[float], upnl_ex_1: Optional[float],
maintenance_amount_both: Optional[float], maintenance_amt: Optional[float],
position_1_both: Optional[float], position: Optional[float],
entry_price_1_both: Optional[float], entry_price: Optional[float],
maintenance_margin_rate_both: Optional[float] mm_rate: Optional[float]
) -> Optional[float]: ) -> Optional[float]:
if trading_mode == TradingMode.SPOT: if trading_mode == TradingMode.SPOT:
@ -30,16 +30,17 @@ def liquidation_price(
) )
if exchange_name.lower() == "binance": 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 \ if not wallet_balance or not mm_ex_1 or not upnl_ex_1 \
or not position_1_both or not entry_price_1_both or not maintenance_margin_rate_both: or not maintenance_amt or not position or not entry_price \
or not mm_rate:
raise OperationalException( raise OperationalException(
f"Parameters wallet_balance, maintenance_margin_ex_1, unrealized_pnl_ex_1, maintenance_amount_both, " f"Parameters wallet_balance, mm_ex_1, upnl_ex_1, "
f"position_1_both, entry_price_1_both, maintenance_margin_rate_both is required by liquidation_price " f"maintenance_amt, position, entry_price, mm_rate "
f"when exchange is {exchange_name.lower()}") 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, return binance(open_rate, is_short, leverage, trading_mode, collateral, wallet_balance,
unrealized_pnl_ex_1, maintenance_amount_both, position_1_both, entry_price_1_both, mm_ex_1, upnl_ex_1, maintenance_amt,
maintenance_margin_rate_both) position, entry_price, mm_rate)
elif exchange_name.lower() == "kraken": elif exchange_name.lower() == "kraken":
return kraken(open_rate, is_short, leverage, trading_mode, collateral) return kraken(open_rate, is_short, leverage, trading_mode, collateral)
elif exchange_name.lower() == "ftx": elif exchange_name.lower() == "ftx":
@ -72,12 +73,12 @@ def binance(
trading_mode: TradingMode, trading_mode: TradingMode,
collateral: Collateral, collateral: Collateral,
wallet_balance: float, wallet_balance: float,
maintenance_margin_ex_1: float, mm_ex_1: float,
unrealized_pnl_ex_1: float, upnl_ex_1: float,
maintenance_amount_both: float, maintenance_amt: float,
position_1_both: float, position: float,
entry_price_1_both: float, entry_price: float,
maintenance_margin_rate_both: float, mm_rate: float,
): ):
""" """
Calculates the liquidation price on Binance Calculates the liquidation price on Binance
@ -90,30 +91,30 @@ def binance(
:param wallet_balance: Wallet Balance is crossWalletBalance in Cross-Margin Mode. :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. :param mm_ex_1: Maintenance Margin of all other contracts,
If it is an isolated margin mode, then TMM=0 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. :param upnl_ex_1: Unrealized PNL of all other contracts, excluding Contract 1.
If it is an isolated margin mode, then UPNL=0 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 # TODO-lev: Additional arguments, fill in formulas
wb = wallet_balance wb = wallet_balance
tmm_1 = 0.0 if collateral == Collateral.ISOLATED else maintenance_margin_ex_1 tmm_1 = 0.0 if collateral == Collateral.ISOLATED else mm_ex_1
upnl_1 = 0.0 if collateral == Collateral.ISOLATED else unrealized_pnl_ex_1 upnl_1 = 0.0 if collateral == Collateral.ISOLATED else upnl_ex_1
cum_b = maintenance_amount_both cum_b = maintenance_amt
side_1_both = -1 if is_short else 1 side_1 = -1 if is_short else 1
position_1_both = abs(position_1_both) position = abs(position)
ep1_both = entry_price_1_both ep1 = entry_price
mmr_b = maintenance_margin_rate_both mmr_b = mm_rate
if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS: if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS:
# TODO-lev: perform a calculation based on this formula # TODO-lev: perform a calculation based on this formula
@ -124,8 +125,8 @@ def binance(
# Liquidation Price of USDⓈ-M Futures Contracts Isolated # Liquidation Price of USDⓈ-M Futures Contracts Isolated
# Isolated margin mode, then TMM=0，UPNL=0 # Isolated margin mode, then TMM=0，UPNL=0
return (wb + cum_b - (side_1_both * position_1_both * ep1_both)) / ( return (wb + cum_b - side_1 * position * ep1) / (
position_1_both * mmr_b - side_1_both * position_1_both) position * mmr_b - side_1 * position)
elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS: elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS:
# TODO-lev: perform a calculation based on this formula # TODO-lev: perform a calculation based on this formula
@ -133,8 +134,8 @@ def binance(
# Liquidation Price of USDⓈ-M Futures Contracts Cross # Liquidation Price of USDⓈ-M Futures Contracts Cross
# Isolated margin mode, then TMM=0，UPNL=0 # Isolated margin mode, then TMM=0，UPNL=0
return (wb - tmm_1 + upnl_1 + cum_b - (side_1_both * position_1_both * ep1_both)) / ( return (wb - tmm_1 + upnl_1 + cum_b - side_1 * position * ep1) / (
position_1_both * mmr_b - side_1_both * position_1_both) position * mmr_b - side_1 * position)
# If nothing was returned # If nothing was returned
exception("binance", trading_mode, collateral) exception("binance", trading_mode, collateral)

74
tests/leverage/test_liquidation_price.py
View File

@ -1,3 +1,5 @@
from math import isclose
import pytest import pytest
from freqtrade.enums import Collateral, TradingMode from freqtrade.enums import Collateral, TradingMode
@ -46,7 +48,14 @@ def test_liquidation_price_is_none(
is_short, is_short,
leverage, leverage,
trading_mode, trading_mode,
collateral collateral,
1535443.01,
71200.81144,
-56354.57,
135365.00,
3683.979,
1456.84,
0.10,
) is None ) is None
@ -80,34 +89,35 @@ def test_liquidation_price_exception_thrown(
@pytest.mark.parametrize( @pytest.mark.parametrize(
'exchange_name,open_rate,is_short,leverage,trading_mode,collateral,result', [ 'exchange_name, open_rate, is_short, leverage, trading_mode, collateral, wallet_balance, '
# Binance 'mm_ex_1, upnl_ex_1, maintenance_amt, position, entry_price, '
('binance', "2.0", False, "1.0", margin, cross, 1.0), 'mm_rate, expected',
('binance', "2.0", False, "1.0", futures, cross, 1.0), [
('binance', "2.0", False, "1.0", futures, isolated, 1.0), ("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.ISOLATED, 1535443.01, 71200.8114,
# Kraken -56354.57, 135365.00, 3683.979, 1456.84, 0.10, 1114.78),
('kraken', "2.0", True, "3.0", margin, cross, 1.0), ("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.ISOLATED, 1535443.01, 356512.508,
('kraken', "2.0", True, "3.0", futures, cross, 1.0), -448192.89, 16300.000, 109.488, 32481.980, 0.025, 18778.73),
# FTX ("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.CROSS, 1535443.01, 71200.81144,
('ftx', "2.0", False, "3.0", margin, cross, 1.0), -56354.57, 135365.00, 3683.979, 1456.84, 0.10, 1153.26),
('ftx', "2.0", False, "3.0", futures, cross, 1.0), ("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.CROSS, 1535443.01, 356512.508,
] -448192.89, 16300.000, 109.488, 32481.980, 0.025, 26316.89)
) ])
def test_liquidation_price( def test_liquidation_price(exchange_name, open_rate, is_short, leverage, trading_mode, collateral,
exchange_name, wallet_balance, mm_ex_1, upnl_ex_1,
open_rate, maintenance_amt, position, entry_price, mm_rate,
is_short, expected):
leverage, assert isclose(round(liquidation_price(
trading_mode, exchange_name=exchange_name,
collateral, open_rate=open_rate,
result is_short=is_short,
): leverage=leverage,
# assert liquidation_price( trading_mode=trading_mode,
# exchange_name, collateral=collateral,
# open_rate, wallet_balance=wallet_balance,
# is_short, mm_ex_1=mm_ex_1,
# leverage, upnl_ex_1=upnl_ex_1,
# trading_mode, maintenance_amt=maintenance_amt,
# collateral position=position,
# ) == result entry_price=entry_price,
return # Here to avoid indent error mm_rate=mm_rate
), 2), expected)