Added Formulas to Calculate Liquidation Price of Binance USDⓈ-M Futures Contracts

freqtrade/enums/__init__.py

@@ -9,3 +9,4 @@ from freqtrade.enums.selltype import SellType
 from freqtrade.enums.signaltype import SignalDirection, SignalTagType, SignalType
 from freqtrade.enums.state import State
 from freqtrade.enums.tradingmode import TradingMode
+from freqtrade.enums.marginmode import MarginMode

freqtrade/enums/marginmode.py

@@ -0,0 +1,10 @@
+from enum import Enum
+
+
+class MarginMode(Enum):
+    """
+        Enum to distinguish between
+        one-way mode or hedge mode in Futures (Cross and Isolated) or Margin Trading
+    """
+    ONE_WAY = "one-way"
+    HEDGE = "hedge"

freqtrade/leverage/liquidation_price.py

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