test_execute_entry liquidation_price test test_get_maintenance_ratio_and_amt_gateio

This commit is contained in:
Sam Germain
2022-01-13 02:12:02 -06:00
parent 2d545a2def
commit 387a9fbf36
6 changed files with 66 additions and 23 deletions

View File

@@ -155,7 +155,7 @@ CONF_SCHEMA = {
'ignore_roi_if_buy_signal': {'type': 'boolean'},
'ignore_buying_expired_candle_after': {'type': 'number'},
'trading_mode': {'type': 'string', 'enum': TRADING_MODES},
'collateral_type': {'type': 'string', 'enum': COLLATERAL_TYPES},
'collateral': {'type': 'string', 'enum': COLLATERAL_TYPES},
'backtest_breakdown': {
'type': 'array',
'items': {'type': 'string', 'enum': BACKTEST_BREAKDOWNS}

View File

@@ -107,8 +107,8 @@ class FreqtradeBot(LoggingMixin):
self.trading_mode = TradingMode(self.config.get('trading_mode', 'spot'))
self.collateral_type: Optional[Collateral] = None
if 'collateral_type' in self.config:
self.collateral_type = Collateral(self.config['collateral_type'])
if 'collateral' in self.config:
self.collateral_type = Collateral(self.config['collateral'])
self._schedule = Scheduler()

View File

@@ -106,8 +106,8 @@ def liquidation_price(
trading_mode=trading_mode,
collateral=collateral, # type: ignore
wallet_balance=wallet_balance,
# mm_ex_1=mm_ex_1,
# upnl_ex_1=upnl_ex_1,
mm_ex_1=mm_ex_1, # type: ignore
upnl_ex_1=upnl_ex_1, # type: ignore
maintenance_amt=maintenance_amt, # type: ignore
position=position,
mm_ratio=mm_ratio,
@@ -212,7 +212,6 @@ def binance(
:param open_rate: Entry Price of position (one-way mode)
:param mm_ratio: 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 mm_ex_1
upnl_1 = 0.0 if collateral == Collateral.ISOLATED else upnl_ex_1
@@ -223,7 +222,6 @@ def binance(
mmr_b = mm_ratio
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.ISOLATED:
@@ -235,11 +233,11 @@ def binance(
position * mmr_b - side_1 * position)
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
# Liquidation Price of USDⓈ-M Futures Contracts Cross
# Isolated margin mode, then TMM=0UPNL=0
# * Untested
return (wb - tmm_1 + upnl_1 + cum_b - side_1 * position * ep1) / (
position * mmr_b - side_1 * position)
@@ -253,18 +251,17 @@ def kraken(
leverage: float,
trading_mode: TradingMode,
collateral: Collateral
# ...
):
"""
Calculates the liquidation price on Kraken
:param trading_mode: spot, margin, futures
:param collateral: cross, isolated
"""
# TODO-lev: Additional arguments, fill in formulas
if collateral == Collateral.CROSS:
if trading_mode == TradingMode.MARGIN:
exception("kraken", trading_mode, collateral)
# 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)
@@ -279,6 +276,7 @@ def ftx(
leverage: float,
trading_mode: TradingMode,
collateral: Collateral
# ...
):
"""
Calculates the liquidation price on FTX
@@ -286,7 +284,6 @@ def ftx(
:param collateral: cross, isolated
"""
if collateral == Collateral.CROSS:
# TODO-lev: Additional arguments, fill in formulas
exception("ftx", trading_mode, collateral)
# If nothing was returned