diff --git a/docs/configuration.md b/docs/configuration.md
index 7ca910431..7a42966b0 100644
--- a/docs/configuration.md
+++ b/docs/configuration.md
@@ -101,6 +101,7 @@ Mandatory parameters are marked as **Required**, which means that they are requi
| `fee` | Fee used during backtesting / dry-runs. Should normally not be configured, which has freqtrade fall back to the exchange default fee. Set as ratio (e.g. 0.001 = 0.1%). Fee is applied twice for each trade, once when buying, once when selling.
**Datatype:** Float (as ratio)
| `trading_mode` | Specifies if you want to trade regularly, trade with leverage, or trade contracts whose prices are derived from matching cryptocurrency prices. [leverage documentation](leverage.md).
*Defaults to `"spot"`.*
**Datatype:** String
| `margin_mode` | When trading with leverage, this determines if the collateral owned by the trader will be shared or isolated to each trading pair [leverage documentation](leverage.md).
**Datatype:** String
+| `liquidation_buffer` | A ratio specifying how large of a safety net to place between the liquidation price and the stoploss to prevent a position from reaching the liquidation price [leverage documentation](leverage.md).
*Defaults to `0.05`.*
**Datatype:** Float
| `unfilledtimeout.buy` | **Required.** How long (in minutes or seconds) the bot will wait for an unfilled buy order to complete, after which the order will be cancelled and repeated at current (new) price, as long as there is a signal. [Strategy Override](#parameters-in-the-strategy).
**Datatype:** Integer
| `unfilledtimeout.sell` | **Required.** How long (in minutes or seconds) the bot will wait for an unfilled sell order to complete, after which the order will be cancelled and repeated at current (new) price, as long as there is a signal. [Strategy Override](#parameters-in-the-strategy).
**Datatype:** Integer
| `unfilledtimeout.unit` | Unit to use in unfilledtimeout setting. Note: If you set unfilledtimeout.unit to "seconds", "internals.process_throttle_secs" must be inferior or equal to timeout [Strategy Override](#parameters-in-the-strategy).
*Defaults to `minutes`.*
**Datatype:** String
diff --git a/docs/leverage.md b/docs/leverage.md
index e8810fbb2..de0b0a981 100644
--- a/docs/leverage.md
+++ b/docs/leverage.md
@@ -15,7 +15,7 @@
## Understand `trading_mode`
-The possible values are: `spot` (default), `margin`(*coming soon*) or `futures`.
+The possible values are: `spot` (default), `margin`(*Currently unavailable*) or `futures`.
### Spot
@@ -69,6 +69,18 @@ One account is used to share collateral between markets (trading pairs). Margin
"margin_mode": "cross"
```
+## Understand `liquidation_buffer`
+*Defaults to `0.05`.*
+
+A ratio specifying how large of a safety net to place between the liquidation price and the stoploss to prevent a position from reaching the liquidation price
+
+Possible values are any floats between 0.0 and 0.99
+
+**ex:** If a trade is entered at a price of 10 coin/USDT, and the liquidation price of this trade is 8 coin/USDT, then with `liquidation_buffer` set to `0.05` the minimum stoploss for this trade would be 8 + ((10 - 8) * 0.05) = 8 + 0.1 = 8.1
+
+!!! Danger "A `liquidation_buffer` of 0.0, or a low `liquidation_buffer` is likely to result in liquidations, and liquidation fees"
+Currently Freqtrade is able to calculate liquidation prices, but does not calculate liquidation fees. Setting your `liquidation_buffer` to 0.0, or using a low `liquidation_buffer` could result in your positions being liquidated. Freqtrade does not track liquidation fees, so liquidations will result in inaccurate profit/loss results for your bot. If you use a low `liquidation_buffer`, it is recommended to use `stoploss_on_exchange` if your exchange supports this.
+
### Developer
#### Margin mode
@@ -82,3 +94,4 @@ All Fees are included in `current_profit` calculations during the trade.
#### FUTURES MODE
Funding fees are either added or subtracted from the total amount of a trade
+
diff --git a/freqtrade/constants.py b/freqtrade/constants.py
index f5dae9473..7e3f4374c 100644
--- a/freqtrade/constants.py
+++ b/freqtrade/constants.py
@@ -156,6 +156,7 @@ CONF_SCHEMA = {
'ignore_buying_expired_candle_after': {'type': 'number'},
'trading_mode': {'type': 'string', 'enum': TRADING_MODES},
'margin_mode': {'type': 'string', 'enum': MARGIN_MODES},
+ 'liquidation_buffer': {'type': 'number', 'minimum': 0.0, 'maximum': 0.99},
'backtest_breakdown': {
'type': 'array',
'items': {'type': 'string', 'enum': BACKTEST_BREAKDOWNS}
diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py
index 0434c3b9c..90b63b57b 100644
--- a/freqtrade/exchange/exchange.py
+++ b/freqtrade/exchange/exchange.py
@@ -135,13 +135,14 @@ class Exchange:
self._trades_pagination = self._ft_has['trades_pagination']
self._trades_pagination_arg = self._ft_has['trades_pagination_arg']
+ # Leverage properties
self.trading_mode = TradingMode(config.get('trading_mode', 'spot'))
-
self.margin_mode: Optional[MarginMode] = (
MarginMode(config.get('margin_mode'))
if config.get('margin_mode')
else None
)
+ self.liquidation_buffer = config.get('liquidation_buffer', 0.05)
# Initialize ccxt objects
ccxt_config = self._ccxt_config
@@ -2062,7 +2063,7 @@ class Exchange:
if self._config['dry_run'] or not self.exchange_has("fetchPositions"):
- return self.dry_run_liquidation_price(
+ isolated_liq = self.dry_run_liquidation_price(
pair=pair,
open_rate=open_rate,
is_short=is_short,
@@ -2071,21 +2072,32 @@ class Exchange:
mm_ex_1=mm_ex_1,
upnl_ex_1=upnl_ex_1
)
+ else:
+ try:
+ positions = self._api.fetch_positions([pair])
+ if len(positions) > 0:
+ pos = positions[0]
+ isolated_liq = pos['liquidationPrice']
+ else:
+ return None
+ except ccxt.DDoSProtection as e:
+ raise DDosProtection(e) from e
+ except (ccxt.NetworkError, ccxt.ExchangeError) as e:
+ raise TemporaryError(
+ f'Could not set margin mode due to {e.__class__.__name__}. Message: {e}') from e
+ except ccxt.BaseError as e:
+ raise OperationalException(e) from e
- try:
- positions = self._api.fetch_positions([pair])
- if len(positions) > 0:
- pos = positions[0]
- return pos['liquidationPrice']
- else:
- return None
- except ccxt.DDoSProtection as e:
- raise DDosProtection(e) from e
- except (ccxt.NetworkError, ccxt.ExchangeError) as e:
- raise TemporaryError(
- f'Could not set margin mode due to {e.__class__.__name__}. Message: {e}') from e
- except ccxt.BaseError as e:
- raise OperationalException(e) from e
+ if isolated_liq:
+ buffer_amount = abs(open_rate - isolated_liq) * self.liquidation_buffer
+ isolated_liq = (
+ isolated_liq - buffer_amount
+ if is_short else
+ isolated_liq + buffer_amount
+ )
+ return isolated_liq
+ else:
+ return None
def get_maintenance_ratio_and_amt(
self,
diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py
index 35df38e69..0906276f9 100644
--- a/freqtrade/freqtradebot.py
+++ b/freqtrade/freqtradebot.py
@@ -103,8 +103,8 @@ class FreqtradeBot(LoggingMixin):
self._exit_lock = Lock()
LoggingMixin.__init__(self, logger, timeframe_to_seconds(self.strategy.timeframe))
+ self.liquidation_buffer = float(self.config.get('liquidation_buffer', '0.05'))
self.trading_mode = TradingMode(self.config.get('trading_mode', 'spot'))
-
self.margin_mode_type: Optional[MarginMode] = None
if 'margin_mode' in self.config:
self.margin_mode = MarginMode(self.config['margin_mode'])
diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py
index f5d0d0fd2..5366bbf0c 100644
--- a/tests/exchange/test_exchange.py
+++ b/tests/exchange/test_exchange.py
@@ -3664,17 +3664,29 @@ def test_get_liquidation_price(mocker, default_conf):
default_conf['dry_run'] = False
default_conf['trading_mode'] = 'futures'
default_conf['margin_mode'] = 'isolated'
+ default_conf['liquidation_buffer'] = 0.0
exchange = get_patched_exchange(mocker, default_conf, api_mock)
liq_price = exchange.get_liquidation_price(
pair='NEAR/USDT:USDT',
- open_rate=0.0,
+ open_rate=18.884,
is_short=False,
- position=0.0,
- wallet_balance=0.0,
+ position=0.8,
+ wallet_balance=0.8,
)
assert liq_price == 17.47
+ default_conf['liquidation_buffer'] = 0.05
+ exchange = get_patched_exchange(mocker, default_conf, api_mock)
+ liq_price = exchange.get_liquidation_price(
+ pair='NEAR/USDT:USDT',
+ open_rate=18.884,
+ is_short=False,
+ position=0.8,
+ wallet_balance=0.8,
+ )
+ assert liq_price == 17.540699999999998
+
ccxt_exceptionhandlers(
mocker,
default_conf,
@@ -4073,6 +4085,7 @@ def test_liquidation_price(
):
default_conf['trading_mode'] = trading_mode
default_conf['margin_mode'] = margin_mode
+ default_conf['liquidation_buffer'] = 0.0
exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
exchange.get_maintenance_ratio_and_amt = MagicMock(return_value=(mm_ratio, maintenance_amt))
assert isclose(round(exchange.get_liquidation_price(
diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py
index d8ebba8f9..1442186ea 100644
--- a/tests/test_freqtradebot.py
+++ b/tests/test_freqtradebot.py
@@ -707,23 +707,27 @@ def test_process_informative_pairs_added(default_conf_usdt, ticker_usdt, mocker)
CandleType.SPOT) in refresh_mock.call_args[0][0]
-@pytest.mark.parametrize("is_short,trading_mode,exchange_name,margin_mode,liq_price", [
- (False, 'spot', 'binance', None, None),
- (True, 'spot', 'binance', None, None),
- (False, 'spot', 'gateio', None, None),
- (True, 'spot', 'gateio', None, None),
- (False, 'spot', 'okx', None, None),
- (True, 'spot', 'okx', None, None),
- (True, 'futures', 'binance', 'isolated', 11.89108910891089),
- (False, 'futures', 'binance', 'isolated', 8.070707070707071),
- (True, 'futures', 'gateio', 'isolated', 11.87413417771621),
- (False, 'futures', 'gateio', 'isolated', 8.085708510208207),
- # (True, 'futures', 'okx', 'isolated', 11.87413417771621),
- # (False, 'futures', 'okx', 'isolated', 8.085708510208207),
+@pytest.mark.parametrize("is_short,trading_mode,exchange_name,margin_mode,liq_buffer,liq_price", [
+ (False, 'spot', 'binance', None, 0.0, None),
+ (True, 'spot', 'binance', None, 0.0, None),
+ (False, 'spot', 'gateio', None, 0.0, None),
+ (True, 'spot', 'gateio', None, 0.0, None),
+ (False, 'spot', 'okx', None, 0.0, None),
+ (True, 'spot', 'okx', None, 0.0, None),
+ (True, 'futures', 'binance', 'isolated', 0.0, 11.89108910891089),
+ (False, 'futures', 'binance', 'isolated', 0.0, 8.070707070707071),
+ (True, 'futures', 'gateio', 'isolated', 0.0, 11.87413417771621),
+ (False, 'futures', 'gateio', 'isolated', 0.0, 8.085708510208207),
+ (True, 'futures', 'binance', 'isolated', 0.05, 11.796534653465345),
+ (False, 'futures', 'binance', 'isolated', 0.05, 8.167171717171717),
+ (True, 'futures', 'gateio', 'isolated', 0.05, 11.7804274688304),
+ (False, 'futures', 'gateio', 'isolated', 0.05, 8.181423084697796),
+ # (True, 'futures', 'okex', 'isolated', 11.87413417771621),
+ # (False, 'futures', 'okex', 'isolated', 8.085708510208207),
])
def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
limit_order_open, is_short, trading_mode,
- exchange_name, margin_mode, liq_price) -> None:
+ exchange_name, margin_mode, liq_buffer, liq_price) -> None:
"""
exchange_name = binance, is_short = true
leverage = 5
@@ -747,6 +751,7 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
open_order = limit_order_open[enter_side(is_short)]
order = limit_order[enter_side(is_short)]
default_conf_usdt['trading_mode'] = trading_mode
+ default_conf_usdt['liquidation_buffer'] = liq_buffer
leverage = 1.0 if trading_mode == 'spot' else 5.0
default_conf_usdt['exchange']['name'] = exchange_name
if margin_mode:
@@ -4808,6 +4813,7 @@ def test_get_valid_price(mocker, default_conf_usdt) -> None:
assert valid_price_at_min_alwd < proposed_price
+@pytest.mark.parametrize('liquidation_buffer', [0.0, 0.05])
@pytest.mark.parametrize(
"is_short,trading_mode,exchange_name,margin_mode,leverage,open_rate,amount,expected_liq", [
(False, 'spot', 'binance', '', 5.0, 10.0, 1.0, None),
@@ -4849,6 +4855,7 @@ def test_leverage_prep(
open_rate,
amount,
expected_liq,
+ liquidation_buffer,
):
"""
position = 0.2 * 5
@@ -4902,6 +4909,7 @@ def test_leverage_prep(
leverage = 5, open_rate = 8, amount = 1.0
(8 - (1.6 / 1.0)) / (1 + (0.01 + 0.0006)) = 6.332871561448645
"""
+ default_conf_usdt['liquidation_buffer'] = liquidation_buffer
default_conf_usdt['trading_mode'] = trading_mode
default_conf_usdt['exchange']['name'] = exchange_name
default_conf_usdt['margin_mode'] = margin_mode
@@ -4926,6 +4934,8 @@ def test_leverage_prep(
if expected_liq is None:
assert liq is None
else:
+ buffer_amount = liquidation_buffer * abs(open_rate - expected_liq)
+ expected_liq = expected_liq - buffer_amount if is_short else expected_liq + buffer_amount
isclose(expected_liq, liq)