Added gateio and okex isolated liquidation formulas

freqtrade/leverage/liquidation_price.py

@@ -6,18 +6,74 @@ from freqtrade.exceptions import OperationalException
 
 def liquidation_price(
     exchange_name: str,
-    open_rate: float,
+    open_rate: float,   # (b) Entry price of position
     is_short: bool,
     leverage: float,
     trading_mode: TradingMode,
     collateral: Optional[Collateral],
-    wallet_balance: Optional[float],
+    # Binance
-    mm_ex_1: Optional[float],
+    collateral_amount: Optional[float] = None,  # (bg)
-    upnl_ex_1: Optional[float],
+    mm_ex_1: Optional[float] = None,  # (b)
-    maintenance_amt: Optional[float],
+    upnl_ex_1: Optional[float] = None,  # (b)
-    position: Optional[float],
+    maintenance_amt: Optional[float] = None,    # (b) (cum_b)
-    mm_rate: Optional[float]
+    position: Optional[float] = None,   # (b) Absolute value of position size
+    mm_rate: Optional[float] = None,  # (b)
+    # Gateio & Okex
+    mm_ratio: Optional[float] = None,  # (go)
+    taker_fee_rate: Optional[float] = None,  # (go)
+    # Gateio
+    base_size: Optional[float] = None,  # (g)
+    # Okex
+    liability: Optional[float] = None,  # (o)
+    interest: Optional[float] = None,  # (o)
+    position_assets: Optional[float] = None,  # (o)
 ) -> Optional[float]:
+    '''
+    exchange_name
+    is_short
+    leverage
+    trading_mode
+    collateral
+    #
+    open_rate - b
+    collateral_amount - bg
+        In Cross margin mode, WB is crossWalletBalance
+        In Isolated margin mode, WB is isolatedWalletBalance of the isolated position, 
+        TMM=0, UPNL=0, substitute the position quantity, MMR, cum into the formula to calculate.
+        Under the cross margin mode, the same ticker/symbol, 
+        both long and short position share the same liquidation price except in the isolated mode. 
+        Under the isolated mode, each isolated position will have different liquidation prices depending
+        on the margin allocated to the positions.
+    mm_ex_1 - b
+        Maintenance Margin of all other contracts, excluding Contract 1 
+        If it is an isolated margin mode, then TMM=0，UPNL=0
+    upnl_ex_1 - b
+        Unrealized PNL of all other contracts, excluding Contract 1
+        If it is an isolated margin mode, then UPNL=0
+    maintenance_amt (cumb) - b
+        Maintenance Amount of position
+    position - b
+        Absolute value of position size
+    mm_rate - b
+        Maintenance margin rate of position
+    # Gateio & okex
+    mm_ratio - go
+        - [assets in the position - (liability +interest) * mark price] / (maintenance margin + liquidation fee) (okex)
+    taker_fee_rate - go
+    # Gateio
+    base_size - g
+        The size of the position in base currency
+    # Okex
+    liability - o
+        Initial liabilities + deducted interest
+            • Long positions: Liability is calculated in quote currency.
+            • Short positions: Liability is calculated in trading currency.
+    interest - o
+        Interest that has not been deducted yet.
+    position_assets - o
+        # * I think this is the same as collateral_amount
+        Total position assets – on-hold by pending order
+    '''
     if trading_mode == TradingMode.SPOT:
         return None
 
@@ -29,7 +85,7 @@ def liquidation_price(
 
     if exchange_name.lower() == "binance":
         if (
-            wallet_balance is None or
+            collateral_amount is None or
             mm_ex_1 is None or
             upnl_ex_1 is None or
             maintenance_amt is None or
@@ -48,7 +104,7 @@ def liquidation_price(
             leverage=leverage,
             trading_mode=trading_mode,
             collateral=collateral,  # type: ignore
-            wallet_balance=wallet_balance,
+            wallet_balance=collateral_amount,
             mm_ex_1=mm_ex_1,
             upnl_ex_1=upnl_ex_1,
             maintenance_amt=maintenance_amt,  # type: ignore
@@ -59,6 +115,51 @@ def liquidation_price(
         return kraken(open_rate, is_short, leverage, trading_mode, collateral)
     elif exchange_name.lower() == "ftx":
         return ftx(open_rate, is_short, leverage, trading_mode, collateral)
+    elif exchange_name.lower() == "gateio":
+        if (
+            not collateral_amount or
+            not base_size or
+            not mm_ratio or
+            not taker_fee_rate
+        ):
+            raise OperationalException(
+                f"{exchange_name} {collateral} {trading_mode} requires parameters "
+                f"collateral_amount, contract_size, num_contracts, mm_ratio and taker_fee"
+            )
+        else:
+            return gateio(
+                open_rate=open_rate,
+                is_short=is_short,
+                trading_mode=trading_mode,
+                collateral=collateral,
+                collateral_amount=collateral_amount,
+                base_size=base_size,
+                mm_ratio=mm_ratio,
+                taker_fee_rate=taker_fee_rate
+            )
+    elif exchange_name.lower() == "okex":
+        if (
+            not mm_ratio or
+            not liability or
+            not interest or
+            not taker_fee_rate or
+            not position_assets
+        ):
+            raise OperationalException(
+                f"{exchange_name} {collateral} {trading_mode} requires parameters "
+                f"mm_ratio, liability, interest, taker_fee_rate, position_assets"
+            )
+        else:
+            return okex(
+                is_short=is_short,
+                trading_mode=trading_mode,
+                collateral=collateral,
+                mm_ratio=mm_ratio,
+                liability=liability,
+                interest=interest,
+                taker_fee_rate=taker_fee_rate,
+                position_assets=position_assets,
+            )
     raise OperationalException(
         f"liquidation_price is not implemented for {exchange_name}"
     )
@@ -94,29 +195,21 @@ def binance(
     mm_rate: float,
 ):
     """
-        Calculates the liquidation price on Binance
+    Calculates the liquidation price on Binance
-        :param is_short: true or false
+    :param is_short: true or false
-        :param leverage: leverage in float
+    :param leverage: leverage in float
-        :param trading_mode: spot, margin, futures
+    :param trading_mode: spot, margin, futures
-        :param collateral: cross, isolated
+    :param collateral: cross, isolated
-
+    :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 mm_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,
+    :param upnl_ex_1: Unrealized PNL of all other contracts, excluding Contract 1.
-            excluding Contract 1. If it is an isolated margin mode, then TMM=0
+        If it is an isolated margin mode, then UPNL=0
-
+    :param maintenance_amt: Maintenance Amount of position (one-way mode)
-        :param upnl_ex_1: Unrealized PNL of all other contracts, excluding Contract 1.
+    :param position: Absolute value of position size (one-way mode)
-            If it is an isolated margin mode, then UPNL=0
+    :param open_rate: Entry Price of position (one-way mode)
-
+    :param mm_rate: Maintenance margin rate of position (one-way mode)
-        :param maintenance_amt: Maintenance Amount of position (one-way mode)
-
-        :param position: Absolute value of position size (one-way mode)
-
-        :param open_rate: Entry Price of 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
@@ -161,10 +254,9 @@ def kraken(
     collateral: Collateral
 ):
     """
-        Calculates the liquidation price on Kraken
+    Calculates the liquidation price on Kraken
-        :param name: Name of the exchange
+    :param trading_mode: spot, margin, futures
-        :param trading_mode: spot, margin, futures
+    :param collateral: cross, isolated
-        :param collateral: cross, isolated
     """
     # TODO-lev: Additional arguments, fill in formulas
 
@@ -188,10 +280,9 @@ def ftx(
     collateral: Collateral
 ):
     """
-        Calculates the liquidation price on FTX
+    Calculates the liquidation price on FTX
-        :param name: Name of the exchange
+    :param trading_mode: spot, margin, futures
-        :param trading_mode: spot, margin, futures
+    :param collateral: cross, isolated
-        :param collateral: cross, isolated
     """
     if collateral == Collateral.CROSS:
         # TODO-lev: Additional arguments, fill in formulas
@@ -201,18 +292,99 @@ def ftx(
     exception("ftx", trading_mode, collateral)
 
 
-if __name__ == '__main__':
+def gateio(
-    print(liquidation_price(
+    open_rate: float,
-        "binance",
+    is_short: bool,
-        32481.980,
+    trading_mode: TradingMode,
-        False,
+    collateral: Collateral,
-        1,
+    collateral_amount: float,
-        TradingMode.FUTURES,
+    base_size: float,
-        Collateral.ISOLATED,
+    mm_ratio: float,
-        1535443.01,
+    taker_fee_rate: float,
-        356512.508,
+    is_inverse: bool = False
-        0.0,
+):
-        16300.000,
+    """
-        109.488,
+    Calculates the liquidation price on Gate.io
-        0.025
+    :param open_rate: Entry Price of position
-    ))
+    :param is_short: True for short trades
+    :param trading_mode: spot, margin, futures
+    :param collateral: cross, isolated
+    :param collateral_amount: Also called margin
+    :param base_size: size of position in base currency
+        contract_size / num_contracts
+        contract_size: How much one contract is worth
+        num_contracts: Also called position
+    :param mm_ratio: Viewed in contract details
+    :param taker_fee_rate:
+    :param is_inverse: True if settle currency matches base currency
+
+    ( Opening Price ± Margin/Contract Multiplier/Position ) / [ 1 ± ( MMR + Taker Fee)]
+    '±' in the formula refers to the direction of the contract,
+        go long refers to '-'
+        go short refers to '+'
+    Position refers to the number of contracts.
+    Maintenance Margin Ratio and Contract Multiplier can be viewed in the Contract Details.
+
+    https://www.gate.io/help/futures/perpetual/22160/calculation-of-liquidation-price
+    """
+
+    if trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
+        if is_inverse:
+            raise OperationalException(
+                "Freqtrade does not support inverse contracts at the moment")
+        value = collateral_amount / base_size
+
+        mm_ratio_taker = (mm_ratio + taker_fee_rate)
+        if is_short:
+            return (open_rate + value) / (1 + mm_ratio_taker)
+        else:
+            return (open_rate - value) / (1 - mm_ratio_taker)
+    else:
+        exception("gatio", trading_mode, collateral)
+
+
+def okex(
+    is_short: bool,
+    trading_mode: TradingMode,
+    collateral: Collateral,
+    liability: float,
+    interest: float,
+    mm_ratio: float,
+    taker_fee_rate: float,
+    position_assets: float
+):
+    '''
+    https://www.okex.com/support/hc/en-us/articles/
+    360053909592-VI-Introduction-to-the-isolated-mode-of-Single-Multi-currency-Portfolio-margin
+
+    Initial liabilities + deducted interest
+        Long positions: Liability is calculated in quote currency.
+        Short positions: Liability is calculated in trading currency.
+    interest: Interest that has not been deducted yet.
+    Margin ratio
+        Long: [position_assets - (liability + interest) / mark_price] / (maintenance_margin + fees)
+        Short: [position_assets - (liability + interest) * mark_price] / (maintenance_margin + fees)
+    '''
+    if trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
+        if is_short:
+            return (liability + interest) * (1 + mm_ratio) * (1 + taker_fee_rate)
+        else:
+            return (liability + interest) * (1 + mm_ratio) * (1 + taker_fee_rate) / position_assets
+    else:
+        exception("okex", trading_mode, collateral)
+
+# if __name__ == '__main__':
+#     print(liquidation_price(
+#         "binance",
+#         32481.980,
+#         False,
+#         1,
+#         TradingMode.FUTURES,
+#         Collateral.ISOLATED,
+#         1535443.01,
+#         356512.508,
+#         0.0,
+#         16300.000,
+#         109.488,
+#         0.025
+#     ))

freqtrade/persistence/models.py

@@ -16,8 +16,7 @@ from sqlalchemy.sql.schema import UniqueConstraint
 from freqtrade.constants import DATETIME_PRINT_FORMAT, NON_OPEN_EXCHANGE_STATES
 from freqtrade.enums import Collateral, SellType, TradingMode
 from freqtrade.exceptions import DependencyException, OperationalException
-from freqtrade.leverage import interest
+from freqtrade.leverage import interest, liquidation_price
-from freqtrade.leverage import liquidation_price
 from freqtrade.misc import safe_value_fallback
 from freqtrade.persistence.migrations import check_migrate