Added Formulas to Calculate Liquidation Price of Binance USDⓈ-M Futures Contracts
This commit is contained in:
Arunavo Ray
Sam Germain
parent
fe5e00361e
commit
60454334d9
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@ -9,3 +9,4 @@ from freqtrade.enums.selltype import SellType
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from freqtrade.enums.signaltype import SignalDirection, SignalTagType, SignalType
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from freqtrade.enums.state import State
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from freqtrade.enums.tradingmode import TradingMode
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from freqtrade.enums.marginmode import MarginMode
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@ -0,0 +1,10 @@
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from enum import Enum
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class MarginMode(Enum):
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"""
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Enum to distinguish between
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one-way mode or hedge mode in Futures (Cross and Isolated) or Margin Trading
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"""
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ONE_WAY = "one-way"
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HEDGE = "hedge"
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@ -1,6 +1,6 @@
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from typing import Optional
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from freqtrade.enums import Collateral, TradingMode
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from freqtrade.enums import Collateral, TradingMode, MarginMode
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from freqtrade.exceptions import OperationalException
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@ -12,7 +12,6 @@ def liquidation_price(
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trading_mode: TradingMode,
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collateral: Optional[Collateral]
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) -> Optional[float]:
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if trading_mode == TradingMode.SPOT:
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return None
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@ -36,60 +35,164 @@ def liquidation_price(
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def exception(
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exchange: str,
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trading_mode: TradingMode,
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collateral: Collateral
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collateral: Collateral,
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margin_mode: Optional[MarginMode]
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):
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"""
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Raises an exception if exchange used doesn't support desired leverage mode
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:param name: Name of the exchange
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:param exchange: Name of the exchange
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:param margin_mode: one-way or hedge
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:param trading_mode: spot, margin, futures
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:param collateral: cross, isolated
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"""
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if not margin_mode:
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raise OperationalException(
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f"{exchange} does not support {collateral.value} {trading_mode.value} trading ")
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raise OperationalException(
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f"{exchange} does not support {collateral.value} {trading_mode.value} trading")
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f"{exchange} does not support {collateral.value} {margin_mode.value} Mode {trading_mode.value} trading ")
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def binance(
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open_rate: float,
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is_short: bool,
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leverage: float,
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margin_mode: MarginMode,
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trading_mode: TradingMode,
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collateral: Collateral
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collateral: Collateral,
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**kwargs
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):
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"""
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r"""
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Calculates the liquidation price on Binance
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:param name: Name of the exchange
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:param open_rate: open_rate
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:param is_short: true or false
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:param leverage: leverage in float
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:param margin_mode: one-way or hedge
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:param trading_mode: spot, margin, futures
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:param collateral: cross, isolated
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:param \**kwargs:
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See below
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:Keyword Arguments:
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* *wallet_balance* (``float``) --
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Wallet Balance is crossWalletBalance in Cross-Margin Mode
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Wallet Balance is isolatedWalletBalance in Isolated Margin Mode
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* *maintenance_margin_ex_1* (``float``) --
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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
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* *unrealized_pnl_ex_1* (``float``) --
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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_amount_both* (``float``) --
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Maintenance Amount of BOTH position (one-way mode)
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* *maintenance_amount_long* (``float``) --
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Maintenance Amount of LONG position (hedge mode)
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* *maintenance_amount_short* (``float``) --
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Maintenance Amount of SHORT position (hedge mode)
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* *side_1_both* (``int``) --
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Direction of BOTH position, 1 as long position, -1 as short position
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Derived from is_short
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* *position_1_both* (``float``) --
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Absolute value of BOTH position size (one-way mode)
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* *entry_price_1_both* (``float``) --
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Entry Price of BOTH position (one-way mode)
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* *position_1_long* (``float``) --
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Absolute value of LONG position size (hedge mode)
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* *entry_price_1_long* (``float``) --
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Entry Price of LONG position (hedge mode)
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* *position_1_short* (``float``) --
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Absolute value of SHORT position size (hedge mode)
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* *entry_price_1_short* (``float``) --
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Entry Price of SHORT position (hedge mode)
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* *maintenance_margin_rate_both* (``float``) --
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Maintenance margin rate of BOTH position (one-way mode)
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* *maintenance_margin_rate_long* (``float``) --
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Maintenance margin rate of LONG position (hedge mode)
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* *maintenance_margin_rate_short* (``float``) --
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Maintenance margin rate of SHORT position (hedge mode)
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"""
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# TODO-lev: Additional arguments, fill in formulas
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wb = kwargs.get("wallet_balance")
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tmm_1 = 0.0 if collateral == Collateral.ISOLATED else kwargs.get("maintenance_margin_ex_1")
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upnl_1 = 0.0 if collateral == Collateral.ISOLATED else kwargs.get("unrealized_pnl_ex_1")
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cum_b = kwargs.get("maintenance_amount_both")
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cum_l = kwargs.get("maintenance_amount_long")
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cum_s = kwargs.get("maintenance_amount_short")
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side_1_both = -1 if is_short else 1
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position_1_both = abs(kwargs.get("position_1_both"))
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ep1_both = kwargs.get("entry_price_1_both")
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position_1_long = abs(kwargs.get("position_1_long"))
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ep1_long = kwargs.get("entry_price_1_long")
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position_1_short = abs(kwargs.get("position_1_short"))
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ep1_short = kwargs.get("entry_price_1_short")
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mmr_b = kwargs.get("maintenance_margin_rate_both")
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mmr_l = kwargs.get("maintenance_margin_rate_long")
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mmr_s = kwargs.get("maintenance_margin_rate_short")
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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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# https://www.binance.com/en/support/faq/f6b010588e55413aa58b7d63ee0125ed
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exception("binance", trading_mode, collateral)
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elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS:
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# TODO-lev: perform a calculation based on this formula
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# https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
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exception("binance", trading_mode, collateral)
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exception("binance", trading_mode, collateral, margin_mode)
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elif trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
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# TODO-lev: perform a calculation based on this formula
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# https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
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exception("binance", trading_mode, collateral)
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# Liquidation Price of USDⓈ-M Futures Contracts Isolated
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if margin_mode == MarginMode.HEDGE:
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exception("binance", trading_mode, collateral, margin_mode)
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elif margin_mode == MarginMode.ONE_WAY:
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# Isolated margin mode, then TMM=0，UPNL=0
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return (wb + cum_b - (side_1_both * position_1_both * ep1_both)) / (
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position_1_both * mmr_b - side_1_both * position_1_both)
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elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS:
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# https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
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# Liquidation Price of USDⓈ-M Futures Contracts Cross
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if margin_mode == MarginMode.HEDGE:
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return (wb - tmm_1 + upnl_1 + cum_l + cum_s - (position_1_long * ep1_long) + (
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position_1_short * ep1_short)) / (
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position_1_long * mmr_l + position_1_short * mmr_s - position_1_long + position_1_short)
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elif margin_mode == MarginMode.ONE_WAY:
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# Isolated margin mode, then TMM=0，UPNL=0
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return (wb - tmm_1 + upnl_1 + cum_b - (side_1_both * position_1_both * ep1_both)) / (
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position_1_both * mmr_b - side_1_both * position_1_both)
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# If nothing was returned
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exception("binance", trading_mode, collateral)
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exception("binance", trading_mode, collateral, margin_mode)
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def kraken(
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open_rate: float,
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is_short: bool,
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leverage: float,
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margin_mode: MarginMode,
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trading_mode: TradingMode,
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collateral: Collateral
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):
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"""
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Calculates the liquidation price on Kraken
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:param name: Name of the exchange
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:param open_rate: open_rate
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:param is_short: true or false
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:param leverage: leverage in float
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:param margin_mode: one-way or hedge
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:param trading_mode: spot, margin, futures
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:param collateral: cross, isolated
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"""
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@ -101,28 +204,32 @@ def kraken(
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# TODO-lev: perform a calculation based on this formula
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# https://support.kraken.com/hc/en-us/articles/203325763-Margin-Call-Level-and-Margin-Liquidation-Level
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elif trading_mode == TradingMode.FUTURES:
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exception("kraken", trading_mode, collateral)
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exception("kraken", trading_mode, collateral, margin_mode)
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# If nothing was returned
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exception("kraken", trading_mode, collateral)
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exception("kraken", trading_mode, collateral, margin_mode)
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def ftx(
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open_rate: float,
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is_short: bool,
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leverage: float,
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margin_mode: MarginMode,
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trading_mode: TradingMode,
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collateral: Collateral
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):
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"""
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Calculates the liquidation price on FTX
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:param name: Name of the exchange
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:param open_rate: open_rate
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:param is_short: true or false
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:param leverage: leverage in float
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:param margin_mode: one-way or hedge
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:param trading_mode: spot, margin, futures
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:param collateral: cross, isolated
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"""
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if collateral == Collateral.CROSS:
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# TODO-lev: Additional arguments, fill in formulas
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exception("ftx", trading_mode, collateral)
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exception("ftx", trading_mode, collateral, margin_mode)
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# If nothing was returned
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exception("ftx", trading_mode, collateral)
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exception("ftx", trading_mode, collateral, margin_mode)
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