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

This commit is contained in:
Arunavo Ray 2021-08-27 11:28:12 +05:30 committed by Sam Germain
parent fe5e00361e
commit 60454334d9
3 changed files with 140 additions and 22 deletions

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@ -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

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@ -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"

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@ -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=0UPNL=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=0UPNL=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)