trimmed down liquidation_price variable and edited comments
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Sam Germain
parent
5796d95a95
commit
42360592ba
@ -6,73 +6,74 @@ from freqtrade.exceptions import OperationalException
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def liquidation_price(
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exchange_name: str,
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open_rate: float, # (b) Entry price of position
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open_rate: float, # Entry price of position
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is_short: bool,
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leverage: float,
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trading_mode: TradingMode,
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collateral: Optional[Collateral],
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mm_ratio: float,
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collateral: Optional[Collateral] = Collateral.ISOLATED,
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# Binance
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collateral_amount: Optional[float] = None, # (bg)
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mm_ex_1: Optional[float] = None, # (b)
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upnl_ex_1: Optional[float] = None, # (b)
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maintenance_amt: Optional[float] = None, # (b) (cum_b)
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position: Optional[float] = None, # (b) Absolute value of position size
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mm_rate: Optional[float] = None, # (b)
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maintenance_amt: Optional[float] = None,
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# Binance and Gateio
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wallet_balance: Optional[float] = None,
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position: Optional[float] = None, # Absolute value of position size
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# Gateio & Okex
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mm_ratio: Optional[float] = None, # (go)
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taker_fee_rate: Optional[float] = None, # (go)
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# Gateio
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base_size: Optional[float] = None, # (g)
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taker_fee_rate: Optional[float] = None,
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# Okex
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liability: Optional[float] = None, # (o)
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interest: Optional[float] = None, # (o)
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position_assets: Optional[float] = None, # (o)
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liability: Optional[float] = None,
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interest: Optional[float] = None,
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position_assets: Optional[float] = None, # * Might be same as position
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# * Cross only
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mm_ex_1: Optional[float] = 0.0, # Cross only
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upnl_ex_1: Optional[float] = 0.0, # Cross only
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) -> Optional[float]:
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'''
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exchange_name
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is_short
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leverage
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trading_mode
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collateral
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#
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open_rate - b
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collateral_amount - bg
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wallet_balance
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In Cross margin mode, WB is crossWalletBalance
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In Isolated margin mode, WB is isolatedWalletBalance of the isolated position,
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TMM=0, UPNL=0, substitute the position quantity, MMR, cum into the formula to calculate.
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Under the cross margin mode, the same ticker/symbol,
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Under the cross margin mode, the same ticker/symbol,
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both long and short position share the same liquidation price except in the isolated mode.
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Under the isolated mode, each isolated position will have different liquidation prices depending
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on the margin allocated to the positions.
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mm_ex_1 - b
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Maintenance Margin of all other contracts, excluding Contract 1
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If it is an isolated margin mode, then TMM=0，UPNL=0
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upnl_ex_1 - b
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Unrealized PNL of all other contracts, excluding Contract 1
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If it is an isolated margin mode, then UPNL=0
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maintenance_amt (cumb) - b
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position
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Absolute value of position size (in base currency)
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# Binance
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maintenance_amt (cumb)
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Maintenance Amount of position
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position - b
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Absolute value of position size
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mm_rate - b
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Maintenance margin rate of position
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# Gateio & okex & binance
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mm_ratio
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[assets in the position - (liability +interest) * mark price] /
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(maintenance margin + liquidation fee) (okex)
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# * Note: Binance's formula specifies maintenance margin rate which is mm_ratio * 100%
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# Gateio & okex
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mm_ratio - go
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- [assets in the position - (liability +interest) * mark price] / (maintenance margin + liquidation fee) (okex)
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taker_fee_rate - go
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# Gateio
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base_size - g
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The size of the position in base currency
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taker_fee_rate
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# Okex
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liability - o
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liability
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Initial liabilities + deducted interest
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• Long positions: Liability is calculated in quote currency.
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• Short positions: Liability is calculated in trading currency.
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interest - o
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interest
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Interest that has not been deducted yet.
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position_assets - o
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# * I think this is the same as collateral_amount
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position_assets
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Total position assets – on-hold by pending order
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# * Cross only
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mm_ex_1
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Maintenance Margin of all other contracts, excluding Contract 1
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If it is an isolated margin mode, then TMM=0，UPNL=0
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upnl_ex_1
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Unrealized PNL of all other contracts, excluding Contract 1
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If it is an isolated margin mode, then UPNL=0
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'''
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if trading_mode == TradingMode.SPOT:
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return None
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@ -85,16 +86,16 @@ def liquidation_price(
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if exchange_name.lower() == "binance":
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if (
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collateral_amount is None or
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mm_ex_1 is None or
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upnl_ex_1 is None or
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wallet_balance is None or
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# mm_ex_1 is None or # * Cross only
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# upnl_ex_1 is None or # * Cross only
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maintenance_amt is None or
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position is None or
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mm_rate is None
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mm_ratio is None
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):
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raise OperationalException(
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f"Parameters wallet_balance, mm_ex_1, upnl_ex_1, "
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f"maintenance_amt, position, mm_rate "
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f"maintenance_amt, position, mm_ratio "
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f"is required by liquidation_price when exchange is {exchange_name.lower()}")
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# Suppress incompatible type "Optional[float]"; expected "float" as the check exists above.
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@ -104,12 +105,12 @@ def liquidation_price(
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leverage=leverage,
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trading_mode=trading_mode,
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collateral=collateral, # type: ignore
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wallet_balance=collateral_amount,
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mm_ex_1=mm_ex_1,
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upnl_ex_1=upnl_ex_1,
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wallet_balance=wallet_balance,
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# mm_ex_1=mm_ex_1,
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# upnl_ex_1=upnl_ex_1,
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maintenance_amt=maintenance_amt, # type: ignore
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position=position,
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mm_rate=mm_rate,
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mm_ratio=mm_ratio,
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) # type: ignore
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elif exchange_name.lower() == "kraken":
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return kraken(open_rate, is_short, leverage, trading_mode, collateral)
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@ -117,14 +118,14 @@ def liquidation_price(
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return ftx(open_rate, is_short, leverage, trading_mode, collateral)
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elif exchange_name.lower() == "gateio":
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if (
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not collateral_amount or
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not base_size or
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not wallet_balance or
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not position or
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not mm_ratio or
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not taker_fee_rate
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):
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raise OperationalException(
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f"{exchange_name} {collateral} {trading_mode} requires parameters "
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f"collateral_amount, contract_size, num_contracts, mm_ratio and taker_fee"
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f"wallet_balance, contract_size, num_contracts, mm_ratio and taker_fee"
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)
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else:
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return gateio(
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@ -132,8 +133,8 @@ def liquidation_price(
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is_short=is_short,
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trading_mode=trading_mode,
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collateral=collateral,
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collateral_amount=collateral_amount,
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base_size=base_size,
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wallet_balance=wallet_balance,
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position=position,
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mm_ratio=mm_ratio,
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taker_fee_rate=taker_fee_rate
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)
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@ -192,7 +193,7 @@ def binance(
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upnl_ex_1: float,
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maintenance_amt: float,
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position: float,
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mm_rate: float,
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mm_ratio: float,
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):
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"""
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Calculates the liquidation price on Binance
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@ -209,7 +210,7 @@ def binance(
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:param maintenance_amt: Maintenance Amount of position (one-way mode)
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:param position: Absolute value of position size (one-way mode)
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:param open_rate: Entry Price of position (one-way mode)
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:param mm_rate: Maintenance margin rate of position (one-way mode)
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:param mm_ratio: Maintenance margin rate of position (one-way mode)
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"""
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# TODO-lev: Additional arguments, fill in formulas
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wb = wallet_balance
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@ -219,7 +220,7 @@ def binance(
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side_1 = -1 if is_short else 1
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position = abs(position)
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ep1 = open_rate
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mmr_b = mm_rate
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mmr_b = mm_ratio
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if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS:
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# TODO-lev: perform a calculation based on this formula
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@ -297,8 +298,8 @@ def gateio(
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is_short: bool,
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trading_mode: TradingMode,
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collateral: Collateral,
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collateral_amount: float,
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base_size: float,
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wallet_balance: float,
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position: float,
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mm_ratio: float,
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taker_fee_rate: float,
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is_inverse: bool = False
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@ -309,8 +310,8 @@ def gateio(
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:param is_short: True for short trades
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:param trading_mode: spot, margin, futures
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:param collateral: cross, isolated
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:param collateral_amount: Also called margin
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:param base_size: size of position in base currency
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:param wallet_balance: Also called margin
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:param position: size of position in base currency
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contract_size / num_contracts
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contract_size: How much one contract is worth
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num_contracts: Also called position
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@ -332,7 +333,7 @@ def gateio(
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if is_inverse:
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raise OperationalException(
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"Freqtrade does not support inverse contracts at the moment")
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value = collateral_amount / base_size
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value = wallet_balance / position
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mm_ratio_taker = (mm_ratio + taker_fee_rate)
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if is_short:
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