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
@ -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
|
||||
|
||||
10
freqtrade/enums/marginmode.py
Normal file
10
freqtrade/enums/marginmode.py
Normal file
@ -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"
|
||||
@ -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")
|
||||
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)
|
||||
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)
|
||||
exception("binance", trading_mode, collateral, margin_mode)
|
||||
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)
|
||||
|
||||
Loading…
Reference in New Issue
Block a user