Merge pull request #5387 from samgermain/lev-exchange

Lev exchange

docs/leverage.md

@@ -15,3 +15,7 @@ For longs, the currency which pays the interest fee for the `borrowed` will alre
     Rollover fee = P (borrowed money) * R (quat_hourly_interest) * ceiling(T/4) (in hours)
     I (interest) = Opening fee + Rollover fee
     [source](https://support.kraken.com/hc/en-us/articles/206161568-What-are-the-fees-for-margin-trading-)
+
+# TODO-lev: Mention that says you can't run 2 bots on the same account with leverage,
+
+#TODO-lev: Create a huge risk disclaimer

freqtrade/exchange/bibox.py

@@ -20,4 +20,7 @@ class Bibox(Exchange):
 
     # fetchCurrencies API point requires authentication for Bibox,
     # so switch it off for Freqtrade load_markets()
-    _ccxt_config: Dict = {"has": {"fetchCurrencies": False}}
+    @property
+    def _ccxt_config(self) -> Dict:
+        # Parameters to add directly to ccxt sync/async initialization.
+        return {"has": {"fetchCurrencies": False}}

freqtrade/exchange/binance.py

@@ -1,10 +1,13 @@
 """ Binance exchange subclass """
+import json
 import logging
-from typing import Dict, List
+from pathlib import Path
+from typing import Dict, List, Optional, Tuple
 
 import arrow
 import ccxt
 
+from freqtrade.enums import Collateral, TradingMode
 from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException,
                                   OperationalException, TemporaryError)
 from freqtrade.exchange import Exchange
@@ -26,36 +29,74 @@ class Binance(Exchange):
         "l2_limit_range": [5, 10, 20, 50, 100, 500, 1000],
     }
 
-    def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
+    _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
+        # TradingMode.SPOT always supported and not required in this list
+        # (TradingMode.MARGIN, Collateral.CROSS),  # TODO-lev: Uncomment once supported
+        # (TradingMode.FUTURES, Collateral.CROSS),  # TODO-lev: Uncomment once supported
+        # (TradingMode.FUTURES, Collateral.ISOLATED) # TODO-lev: Uncomment once supported
+    ]
+
+    @property
+    def _ccxt_config(self) -> Dict:
+        # Parameters to add directly to ccxt sync/async initialization.
+        if self.trading_mode == TradingMode.MARGIN:
+            return {
+                "options": {
+                    "defaultType": "margin"
+                }
+            }
+        elif self.trading_mode == TradingMode.FUTURES:
+            return {
+                "options": {
+                    "defaultType": "future"
+                }
+            }
+        else:
+            return {}
+
+    def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool:
         """
         Verify stop_loss against stoploss-order value (limit or price)
         Returns True if adjustment is necessary.
+        :param side: "buy" or "sell"
         """
-        return order['type'] == 'stop_loss_limit' and stop_loss > float(order['info']['stopPrice'])
+
+        return order['type'] == 'stop_loss_limit' and (
+            (side == "sell" and stop_loss > float(order['info']['stopPrice'])) or
+            (side == "buy" and stop_loss < float(order['info']['stopPrice']))
+        )
 
     @retrier(retries=0)
-    def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
+    def stoploss(self, pair: str, amount: float, stop_price: float,
+                 order_types: Dict, side: str, leverage: float) -> Dict:
         """
         creates a stoploss limit order.
         this stoploss-limit is binance-specific.
         It may work with a limited number of other exchanges, but this has not been tested yet.
+        :param side: "buy" or "sell"
         """
         # Limit price threshold: As limit price should always be below stop-price
         limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
-        rate = stop_price * limit_price_pct
+        if side == "sell":
+            # TODO: Name limit_rate in other exchange subclasses
+            rate = stop_price * limit_price_pct
+        else:
+            rate = stop_price * (2 - limit_price_pct)
 
         ordertype = "stop_loss_limit"
 
         stop_price = self.price_to_precision(pair, stop_price)
 
+        bad_stop_price = (stop_price <= rate) if side == "sell" else (stop_price >= rate)
+
         # Ensure rate is less than stop price
-        if stop_price <= rate:
+        if bad_stop_price:
             raise OperationalException(
-                'In stoploss limit order, stop price should be more than limit price')
+                'In stoploss limit order, stop price should be better than limit price')
 
         if self._config['dry_run']:
             dry_order = self.create_dry_run_order(
-                pair, ordertype, "sell", amount, stop_price)
+                pair, ordertype, side, amount, stop_price, leverage)
             return dry_order
 
         try:
@@ -66,7 +107,8 @@ class Binance(Exchange):
 
             rate = self.price_to_precision(pair, rate)
 
-            order = self._api.create_order(symbol=pair, type=ordertype, side='sell',
+            self._lev_prep(pair, leverage)
+            order = self._api.create_order(symbol=pair, type=ordertype, side=side,
                                            amount=amount, price=rate, params=params)
             logger.info('stoploss limit order added for %s. '
                         'stop price: %s. limit: %s', pair, stop_price, rate)
@@ -74,21 +116,96 @@ class Binance(Exchange):
             return order
         except ccxt.InsufficientFunds as e:
             raise InsufficientFundsError(
-                f'Insufficient funds to create {ordertype} sell order on market {pair}. '
+                f'Insufficient funds to create {ordertype} {side} order on market {pair}. '
-                f'Tried to sell amount {amount} at rate {rate}. '
+                f'Tried to {side} amount {amount} at rate {rate}. '
                 f'Message: {e}') from e
         except ccxt.InvalidOrder as e:
             # Errors:
             # `binance Order would trigger immediately.`
             raise InvalidOrderException(
-                f'Could not create {ordertype} sell order on market {pair}. '
+                f'Could not create {ordertype} {side} order on market {pair}. '
-                f'Tried to sell amount {amount} at rate {rate}. '
+                f'Tried to {side} amount {amount} at rate {rate}. '
                 f'Message: {e}') from e
         except ccxt.DDoSProtection as e:
             raise DDosProtection(e) from e
         except (ccxt.NetworkError, ccxt.ExchangeError) as e:
             raise TemporaryError(
-                f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e
+                f'Could not place {side} order due to {e.__class__.__name__}. Message: {e}') from e
+        except ccxt.BaseError as e:
+            raise OperationalException(e) from e
+
+    @retrier
+    def fill_leverage_brackets(self):
+        """
+            Assigns property _leverage_brackets to a dictionary of information about the leverage
+            allowed on each pair
+        """
+        if self.trading_mode == TradingMode.FUTURES:
+            try:
+                if self._config['dry_run']:
+                    leverage_brackets_path = (
+                        Path(__file__).parent / 'binance_leverage_brackets.json'
+                    )
+                    with open(leverage_brackets_path) as json_file:
+                        leverage_brackets = json.load(json_file)
+                else:
+                    leverage_brackets = self._api.load_leverage_brackets()
+
+                for pair, brackets in leverage_brackets.items():
+                    self._leverage_brackets[pair] = [
+                        [
+                            min_amount,
+                            float(margin_req)
+                        ] for [
+                            min_amount,
+                            margin_req
+                        ] in brackets
+                    ]
+
+            except ccxt.DDoSProtection as e:
+                raise DDosProtection(e) from e
+            except (ccxt.NetworkError, ccxt.ExchangeError) as e:
+                raise TemporaryError(f'Could not fetch leverage amounts due to'
+                                     f'{e.__class__.__name__}. Message: {e}') from e
+            except ccxt.BaseError as e:
+                raise OperationalException(e) from e
+
+    def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float:
+        """
+            Returns the maximum leverage that a pair can be traded at
+            :param pair: The base/quote currency pair being traded
+            :nominal_value: The total value of the trade in quote currency (collateral + debt)
+        """
+        pair_brackets = self._leverage_brackets[pair]
+        max_lev = 1.0
+        for [min_amount, margin_req] in pair_brackets:
+            if nominal_value >= min_amount:
+                max_lev = 1/margin_req
+        return max_lev
+
+    @ retrier
+    def _set_leverage(
+        self,
+        leverage: float,
+        pair: Optional[str] = None,
+        trading_mode: Optional[TradingMode] = None
+    ):
+        """
+            Set's the leverage before making a trade, in order to not
+            have the same leverage on every trade
+        """
+        trading_mode = trading_mode or self.trading_mode
+
+        if self._config['dry_run'] or trading_mode != TradingMode.FUTURES:
+            return
+
+        try:
+            self._api.set_leverage(symbol=pair, leverage=leverage)
+        except ccxt.DDoSProtection as e:
+            raise DDosProtection(e) from e
+        except (ccxt.NetworkError, ccxt.ExchangeError) as e:
+            raise TemporaryError(
+                f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
 

freqtrade/exchange/exchange.py

@@ -22,6 +22,7 @@ from pandas import DataFrame
 from freqtrade.constants import (DEFAULT_AMOUNT_RESERVE_PERCENT, NON_OPEN_EXCHANGE_STATES,
                                  ListPairsWithTimeframes)
 from freqtrade.data.converter import ohlcv_to_dataframe, trades_dict_to_list
+from freqtrade.enums import Collateral, TradingMode
 from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFundsError,
                                   InvalidOrderException, OperationalException, PricingError,
                                   RetryableOrderError, TemporaryError)
@@ -48,9 +49,6 @@ class Exchange:
 
     _config: Dict = {}
 
-    # Parameters to add directly to ccxt sync/async initialization.
-    _ccxt_config: Dict = {}
-
     # Parameters to add directly to buy/sell calls (like agreeing to trading agreement)
     _params: Dict = {}
 
@@ -74,6 +72,10 @@ class Exchange:
     }
     _ft_has: Dict = {}
 
+    _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
+        # TradingMode.SPOT always supported and not required in this list
+    ]
+
     def __init__(self, config: Dict[str, Any], validate: bool = True) -> None:
         """
         Initializes this module with the given config,
@@ -83,6 +85,7 @@ class Exchange:
         self._api: ccxt.Exchange = None
         self._api_async: ccxt_async.Exchange = None
         self._markets: Dict = {}
+        self._leverage_brackets: Dict = {}
 
         self._config.update(config)
 
@@ -125,14 +128,25 @@ class Exchange:
         self._trades_pagination = self._ft_has['trades_pagination']
         self._trades_pagination_arg = self._ft_has['trades_pagination_arg']
 
+        self.trading_mode: TradingMode = (
+            TradingMode(config.get('trading_mode'))
+            if config.get('trading_mode')
+            else TradingMode.SPOT
+        )
+        self.collateral: Optional[Collateral] = (
+            Collateral(config.get('collateral'))
+            if config.get('collateral')
+            else None
+        )
+
         # Initialize ccxt objects
-        ccxt_config = self._ccxt_config.copy()
+        ccxt_config = self._ccxt_config
         ccxt_config = deep_merge_dicts(exchange_config.get('ccxt_config', {}), ccxt_config)
         ccxt_config = deep_merge_dicts(exchange_config.get('ccxt_sync_config', {}), ccxt_config)
 
         self._api = self._init_ccxt(exchange_config, ccxt_kwargs=ccxt_config)
 
-        ccxt_async_config = self._ccxt_config.copy()
+        ccxt_async_config = self._ccxt_config
         ccxt_async_config = deep_merge_dicts(exchange_config.get('ccxt_config', {}),
                                              ccxt_async_config)
         ccxt_async_config = deep_merge_dicts(exchange_config.get('ccxt_async_config', {}),
@@ -140,6 +154,9 @@ class Exchange:
         self._api_async = self._init_ccxt(
             exchange_config, ccxt_async, ccxt_kwargs=ccxt_async_config)
 
+        if self.trading_mode != TradingMode.SPOT:
+            self.fill_leverage_brackets()
+
         logger.info('Using Exchange "%s"', self.name)
 
         if validate:
@@ -157,7 +174,7 @@ class Exchange:
             self.validate_order_time_in_force(config.get('order_time_in_force', {}))
             self.validate_required_startup_candles(config.get('startup_candle_count', 0),
                                                    config.get('timeframe', ''))
-
+            self.validate_trading_mode_and_collateral(self.trading_mode, self.collateral)
         # Converts the interval provided in minutes in config to seconds
         self.markets_refresh_interval: int = exchange_config.get(
             "markets_refresh_interval", 60) * 60
@@ -190,6 +207,7 @@ class Exchange:
             'secret': exchange_config.get('secret'),
             'password': exchange_config.get('password'),
             'uid': exchange_config.get('uid', ''),
+            # 'options': exchange_config.get('options', {})
         }
         if ccxt_kwargs:
             logger.info('Applying additional ccxt config: %s', ccxt_kwargs)
@@ -210,6 +228,11 @@ class Exchange:
 
         return api
 
+    @property
+    def _ccxt_config(self) -> Dict:
+        # Parameters to add directly to ccxt sync/async initialization.
+        return {}
+
     @property
     def name(self) -> str:
         """exchange Name (from ccxt)"""
@@ -355,6 +378,7 @@ class Exchange:
             # Also reload async markets to avoid issues with newly listed pairs
             self._load_async_markets(reload=True)
             self._last_markets_refresh = arrow.utcnow().int_timestamp
+            self.fill_leverage_brackets()
         except ccxt.BaseError:
             logger.exception("Could not reload markets.")
 
@@ -370,7 +394,7 @@ class Exchange:
             raise OperationalException(
                 'Could not load markets, therefore cannot start. '
                 'Please investigate the above error for more details.'
-                )
+            )
         quote_currencies = self.get_quote_currencies()
         if stake_currency not in quote_currencies:
             raise OperationalException(
@@ -482,6 +506,25 @@ class Exchange:
                 f"This strategy requires {startup_candles} candles to start. "
                 f"{self.name} only provides {candle_limit} for {timeframe}.")
 
+    def validate_trading_mode_and_collateral(
+        self,
+        trading_mode: TradingMode,
+        collateral: Optional[Collateral]  # Only None when trading_mode = TradingMode.SPOT
+    ):
+        """
+            Checks if freqtrade can perform trades using the configured
+            trading mode(Margin, Futures) and Collateral(Cross, Isolated)
+            Throws OperationalException:
+                If the trading_mode/collateral type are not supported by freqtrade on this exchange
+        """
+        if trading_mode != TradingMode.SPOT and (
+            (trading_mode, collateral) not in self._supported_trading_mode_collateral_pairs
+        ):
+            collateral_value = collateral and collateral.value
+            raise OperationalException(
+                f"Freqtrade does not support {collateral_value} {trading_mode.value} on {self.name}"
+            )
+
     def exchange_has(self, endpoint: str) -> bool:
         """
         Checks if exchange implements a specific API endpoint.
@@ -541,8 +584,8 @@ class Exchange:
         else:
             return 1 / pow(10, precision)
 
-    def get_min_pair_stake_amount(self, pair: str, price: float,
+    def get_min_pair_stake_amount(self, pair: str, price: float, stoploss: float,
-                                  stoploss: float) -> Optional[float]:
+                                  leverage: Optional[float] = 1.0) -> Optional[float]:
         try:
             market = self.markets[pair]
         except KeyError:
@@ -576,12 +619,24 @@ class Exchange:
         # The value returned should satisfy both limits: for amount (base currency) and
         # for cost (quote, stake currency), so max() is used here.
         # See also #2575 at github.
-        return max(min_stake_amounts) * amount_reserve_percent
+        return self._get_stake_amount_considering_leverage(
+            max(min_stake_amounts) * amount_reserve_percent,
+            leverage or 1.0
+        )
+
+    def _get_stake_amount_considering_leverage(self, stake_amount: float, leverage: float):
+        """
+        Takes the minimum stake amount for a pair with no leverage and returns the minimum
+        stake amount when leverage is considered
+        :param stake_amount: The stake amount for a pair before leverage is considered
+        :param leverage: The amount of leverage being used on the current trade
+        """
+        return stake_amount / leverage
 
     # Dry-run methods
 
     def create_dry_run_order(self, pair: str, ordertype: str, side: str, amount: float,
-                             rate: float, params: Dict = {}) -> Dict[str, Any]:
+                             rate: float, leverage: float, params: Dict = {}) -> Dict[str, Any]:
         order_id = f'dry_run_{side}_{datetime.now().timestamp()}'
         _amount = self.amount_to_precision(pair, amount)
         dry_order: Dict[str, Any] = {
@@ -598,7 +653,8 @@ class Exchange:
             'timestamp': arrow.utcnow().int_timestamp * 1000,
             'status': "closed" if ordertype == "market" else "open",
             'fee': None,
-            'info': {}
+            'info': {},
+            'leverage': leverage
         }
         if dry_order["type"] in ["stop_loss_limit", "stop-loss-limit"]:
             dry_order["info"] = {"stopPrice": dry_order["price"]}
@@ -608,7 +664,7 @@ class Exchange:
             average = self.get_dry_market_fill_price(pair, side, amount, rate)
             dry_order.update({
                 'average': average,
-                'cost': dry_order['amount'] * average,
+                'cost': (dry_order['amount'] * average) / leverage
             })
             dry_order = self.add_dry_order_fee(pair, dry_order)
 
@@ -716,17 +772,26 @@ class Exchange:
 
     # Order handling
 
-    def create_order(self, pair: str, ordertype: str, side: str, amount: float,
+    def _lev_prep(self, pair: str, leverage: float):
-                     rate: float, time_in_force: str = 'gtc') -> Dict:
+        if self.trading_mode != TradingMode.SPOT:
-
+            self.set_margin_mode(pair, self.collateral)
-        if self._config['dry_run']:
+            self._set_leverage(leverage, pair)
-            dry_order = self.create_dry_run_order(pair, ordertype, side, amount, rate)
-            return dry_order
 
+    def _get_params(self, ordertype: str, leverage: float, time_in_force: str = 'gtc') -> Dict:
         params = self._params.copy()
         if time_in_force != 'gtc' and ordertype != 'market':
             param = self._ft_has.get('time_in_force_parameter', '')
             params.update({param: time_in_force})
+        return params
+
+    def create_order(self, pair: str, ordertype: str, side: str, amount: float,
+                     rate: float, leverage: float = 1.0, time_in_force: str = 'gtc') -> Dict:
+        # TODO-lev: remove default for leverage
+        if self._config['dry_run']:
+            dry_order = self.create_dry_run_order(pair, ordertype, side, amount, rate, leverage)
+            return dry_order
+
+        params = self._get_params(ordertype, leverage, time_in_force)
 
         try:
             # Set the precision for amount and price(rate) as accepted by the exchange
@@ -735,6 +800,7 @@ class Exchange:
                            or self._api.options.get("createMarketBuyOrderRequiresPrice", False))
             rate_for_order = self.price_to_precision(pair, rate) if needs_price else None
 
+            self._lev_prep(pair, leverage)
             order = self._api.create_order(pair, ordertype, side,
                                            amount, rate_for_order, params)
             self._log_exchange_response('create_order', order)
@@ -758,14 +824,15 @@ class Exchange:
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
 
-    def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
+    def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool:
         """
         Verify stop_loss against stoploss-order value (limit or price)
         Returns True if adjustment is necessary.
         """
         raise OperationalException(f"stoploss is not implemented for {self.name}.")
 
-    def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
+    def stoploss(self, pair: str, amount: float, stop_price: float,
+                 order_types: Dict, side: str, leverage: float) -> Dict:
         """
         creates a stoploss order.
         The precise ordertype is determined by the order_types dict or exchange default.
@@ -1528,6 +1595,69 @@ class Exchange:
             self._async_get_trade_history(pair=pair, since=since,
                                           until=until, from_id=from_id))
 
+    def fill_leverage_brackets(self):
+        """
+            # TODO-lev: Should maybe be renamed, leverage_brackets might not be accurate for kraken
+            Assigns property _leverage_brackets to a dictionary of information about the leverage
+            allowed on each pair
+        """
+        return
+
+    def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float:
+        """
+            Returns the maximum leverage that a pair can be traded at
+            :param pair: The base/quote currency pair being traded
+            :nominal_value: The total value of the trade in quote currency (collateral + debt)
+        """
+        return 1.0
+
+    @retrier
+    def _set_leverage(
+        self,
+        leverage: float,
+        pair: Optional[str] = None,
+        trading_mode: Optional[TradingMode] = None
+    ):
+        """
+            Set's the leverage before making a trade, in order to not
+            have the same leverage on every trade
+        """
+        # TODO-lev: Make a documentation page that says you can't run 2 bots
+        # TODO-lev: on the same account with leverage
+        if self._config['dry_run'] or not self.exchange_has("setLeverage"):
+            # Some exchanges only support one collateral type
+            return
+
+        try:
+            self._api.set_leverage(symbol=pair, leverage=leverage)
+        except ccxt.DDoSProtection as e:
+            raise DDosProtection(e) from e
+        except (ccxt.NetworkError, ccxt.ExchangeError) as e:
+            raise TemporaryError(
+                f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e
+        except ccxt.BaseError as e:
+            raise OperationalException(e) from e
+
+    @retrier
+    def set_margin_mode(self, pair: str, collateral: Collateral, params: dict = {}):
+        '''
+            Set's the margin mode on the exchange to cross or isolated for a specific pair
+            :param symbol: base/quote currency pair (e.g. "ADA/USDT")
+        '''
+        if self._config['dry_run'] or not self.exchange_has("setMarginMode"):
+            # Some exchanges only support one collateral type
+            return
+
+        try:
+            self._api.set_margin_mode(pair, collateral.value, params)
+        except ccxt.DDoSProtection as e:
+            raise DDosProtection(e) from e
+        except (ccxt.NetworkError, ccxt.ExchangeError) as e:
+            raise TemporaryError(
+                f'Could not set margin mode due to {e.__class__.__name__}. Message: {e}') from e
+        except ccxt.BaseError as e:
+            raise OperationalException(e) from e
+
 
 def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:
     return exchange_name in ccxt_exchanges(ccxt_module)

freqtrade/exchange/ftx.py

@@ -1,9 +1,10 @@
 """ FTX exchange subclass """
 import logging
-from typing import Any, Dict
+from typing import Any, Dict, List, Optional, Tuple
 
 import ccxt
 
+from freqtrade.enums import Collateral, TradingMode
 from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException,
                                   OperationalException, TemporaryError)
 from freqtrade.exchange import Exchange
@@ -21,6 +22,12 @@ class Ftx(Exchange):
         "ohlcv_candle_limit": 1500,
     }
 
+    _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
+        # TradingMode.SPOT always supported and not required in this list
+        # (TradingMode.MARGIN, Collateral.CROSS),  # TODO-lev: Uncomment once supported
+        # (TradingMode.FUTURES, Collateral.CROSS)  # TODO-lev: Uncomment once supported
+    ]
+
     def market_is_tradable(self, market: Dict[str, Any]) -> bool:
         """
         Check if the market symbol is tradable by Freqtrade.
@@ -31,15 +38,19 @@ class Ftx(Exchange):
         return (parent_check and
                 market.get('spot', False) is True)
 
-    def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
+    def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool:
         """
         Verify stop_loss against stoploss-order value (limit or price)
         Returns True if adjustment is necessary.
         """
-        return order['type'] == 'stop' and stop_loss > float(order['price'])
+        return order['type'] == 'stop' and (
+            side == "sell" and stop_loss > float(order['price']) or
+            side == "buy" and stop_loss < float(order['price'])
+        )
 
     @retrier(retries=0)
-    def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
+    def stoploss(self, pair: str, amount: float, stop_price: float,
+                 order_types: Dict, side: str, leverage: float) -> Dict:
         """
         Creates a stoploss order.
         depending on order_types.stoploss configuration, uses 'market' or limit order.
@@ -47,7 +58,10 @@ class Ftx(Exchange):
         Limit orders are defined by having orderPrice set, otherwise a market order is used.
         """
         limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
-        limit_rate = stop_price * limit_price_pct
+        if side == "sell":
+            limit_rate = stop_price * limit_price_pct
+        else:
+            limit_rate = stop_price * (2 - limit_price_pct)
 
         ordertype = "stop"
 
@@ -55,7 +69,7 @@ class Ftx(Exchange):
 
         if self._config['dry_run']:
             dry_order = self.create_dry_run_order(
-                pair, ordertype, "sell", amount, stop_price)
+                pair, ordertype, side, amount, stop_price, leverage)
             return dry_order
 
         try:
@@ -67,7 +81,8 @@ class Ftx(Exchange):
             params['stopPrice'] = stop_price
             amount = self.amount_to_precision(pair, amount)
 
-            order = self._api.create_order(symbol=pair, type=ordertype, side='sell',
+            self._lev_prep(pair, leverage)
+            order = self._api.create_order(symbol=pair, type=ordertype, side=side,
                                            amount=amount, params=params)
             self._log_exchange_response('create_stoploss_order', order)
             logger.info('stoploss order added for %s. '
@@ -75,19 +90,19 @@ class Ftx(Exchange):
             return order
         except ccxt.InsufficientFunds as e:
             raise InsufficientFundsError(
-                f'Insufficient funds to create {ordertype} sell order on market {pair}. '
+                f'Insufficient funds to create {ordertype} {side} order on market {pair}. '
                 f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. '
                 f'Message: {e}') from e
         except ccxt.InvalidOrder as e:
             raise InvalidOrderException(
-                f'Could not create {ordertype} sell order on market {pair}. '
+                f'Could not create {ordertype} {side} order on market {pair}. '
                 f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. '
                 f'Message: {e}') from e
         except ccxt.DDoSProtection as e:
             raise DDosProtection(e) from e
         except (ccxt.NetworkError, ccxt.ExchangeError) as e:
             raise TemporaryError(
-                f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e
+                f'Could not place {side} order due to {e.__class__.__name__}. Message: {e}') from e
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
 
@@ -152,3 +167,18 @@ class Ftx(Exchange):
         if order['type'] == 'stop':
             return safe_value_fallback2(order, order, 'id_stop', 'id')
         return order['id']
+
+    def fill_leverage_brackets(self):
+        """
+            FTX leverage is static across the account, and doesn't change from pair to pair,
+            so _leverage_brackets doesn't need to be set
+        """
+        return
+
+    def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float:
+        """
+            Returns the maximum leverage that a pair can be traded at, which is always 20 on ftx
+            :param pair: Here for super method, not used on FTX
+            :nominal_value: Here for super method, not used on FTX
+        """
+        return 20.0

freqtrade/exchange/kraken.py

@@ -1,9 +1,10 @@
 """ Kraken exchange subclass """
 import logging
-from typing import Any, Dict
+from typing import Any, Dict, List, Optional, Tuple
 
 import ccxt
 
+from freqtrade.enums import Collateral, TradingMode
 from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException,
                                   OperationalException, TemporaryError)
 from freqtrade.exchange import Exchange
@@ -23,6 +24,12 @@ class Kraken(Exchange):
         "trades_pagination_arg": "since",
     }
 
+    _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
+        # TradingMode.SPOT always supported and not required in this list
+        # (TradingMode.MARGIN, Collateral.CROSS),  # TODO-lev: Uncomment once supported
+        # (TradingMode.FUTURES, Collateral.CROSS)  # TODO-lev: No CCXT support
+    ]
+
     def market_is_tradable(self, market: Dict[str, Any]) -> bool:
         """
         Check if the market symbol is tradable by Freqtrade.
@@ -67,16 +74,19 @@ class Kraken(Exchange):
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
 
-    def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
+    def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool:
         """
         Verify stop_loss against stoploss-order value (limit or price)
         Returns True if adjustment is necessary.
         """
-        return (order['type'] in ('stop-loss', 'stop-loss-limit')
+        return (order['type'] in ('stop-loss', 'stop-loss-limit') and (
-                and stop_loss > float(order['price']))
+                (side == "sell" and stop_loss > float(order['price'])) or
+                (side == "buy" and stop_loss < float(order['price']))
+                ))
 
     @retrier(retries=0)
-    def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
+    def stoploss(self, pair: str, amount: float, stop_price: float,
+                 order_types: Dict, side: str, leverage: float) -> Dict:
         """
         Creates a stoploss market order.
         Stoploss market orders is the only stoploss type supported by kraken.
@@ -86,7 +96,10 @@ class Kraken(Exchange):
         if order_types.get('stoploss', 'market') == 'limit':
             ordertype = "stop-loss-limit"
             limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
-            limit_rate = stop_price * limit_price_pct
+            if side == "sell":
+                limit_rate = stop_price * limit_price_pct
+            else:
+                limit_rate = stop_price * (2 - limit_price_pct)
             params['price2'] = self.price_to_precision(pair, limit_rate)
         else:
             ordertype = "stop-loss"
@@ -95,13 +108,13 @@ class Kraken(Exchange):
 
         if self._config['dry_run']:
             dry_order = self.create_dry_run_order(
-                pair, ordertype, "sell", amount, stop_price)
+                pair, ordertype, side, amount, stop_price, leverage)
             return dry_order
 
         try:
             amount = self.amount_to_precision(pair, amount)
 
-            order = self._api.create_order(symbol=pair, type=ordertype, side='sell',
+            order = self._api.create_order(symbol=pair, type=ordertype, side=side,
                                            amount=amount, price=stop_price, params=params)
             self._log_exchange_response('create_stoploss_order', order)
             logger.info('stoploss order added for %s. '
@@ -109,18 +122,70 @@ class Kraken(Exchange):
             return order
         except ccxt.InsufficientFunds as e:
             raise InsufficientFundsError(
-                f'Insufficient funds to create {ordertype} sell order on market {pair}. '
+                f'Insufficient funds to create {ordertype} {side} order on market {pair}. '
                 f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. '
                 f'Message: {e}') from e
         except ccxt.InvalidOrder as e:
             raise InvalidOrderException(
-                f'Could not create {ordertype} sell order on market {pair}. '
+                f'Could not create {ordertype} {side} order on market {pair}. '
                 f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. '
                 f'Message: {e}') from e
         except ccxt.DDoSProtection as e:
             raise DDosProtection(e) from e
         except (ccxt.NetworkError, ccxt.ExchangeError) as e:
             raise TemporaryError(
-                f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e
+                f'Could not place {side} order due to {e.__class__.__name__}. Message: {e}') from e
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
+
+    def fill_leverage_brackets(self):
+        """
+            Assigns property _leverage_brackets to a dictionary of information about the leverage
+            allowed on each pair
+        """
+        leverages = {}
+
+        for pair, market in self.markets.items():
+            leverages[pair] = [1]
+            info = market['info']
+            leverage_buy = info.get('leverage_buy', [])
+            leverage_sell = info.get('leverage_sell', [])
+            if len(leverage_buy) > 0 or len(leverage_sell) > 0:
+                if leverage_buy != leverage_sell:
+                    logger.warning(
+                        f"The buy({leverage_buy}) and sell({leverage_sell}) leverage are not equal"
+                        "for {pair}. Please notify freqtrade because this has never happened before"
+                    )
+                    if max(leverage_buy) <= max(leverage_sell):
+                        leverages[pair] += [int(lev) for lev in leverage_buy]
+                    else:
+                        leverages[pair] += [int(lev) for lev in leverage_sell]
+                else:
+                    leverages[pair] += [int(lev) for lev in leverage_buy]
+        self._leverage_brackets = leverages
+
+    def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float:
+        """
+            Returns the maximum leverage that a pair can be traded at
+            :param pair: The base/quote currency pair being traded
+            :nominal_value: Here for super class, not needed on Kraken
+        """
+        return float(max(self._leverage_brackets[pair]))
+
+    def _set_leverage(
+        self,
+        leverage: float,
+        pair: Optional[str] = None,
+        trading_mode: Optional[TradingMode] = None
+    ):
+        """
+            Kraken set's the leverage as an option in the order object, so we need to
+            add it to params
+        """
+        return
+
+    def _get_params(self, ordertype: str, leverage: float, time_in_force: str = 'gtc') -> Dict:
+        params = super()._get_params(ordertype, leverage, time_in_force)
+        if leverage > 1.0:
+            params['leverage'] = leverage
+        return params

freqtrade/freqtradebot.py

@@ -732,9 +732,14 @@ class FreqtradeBot(LoggingMixin):
         :return: True if the order succeeded, and False in case of problems.
         """
         try:
-            stoploss_order = self.exchange.stoploss(pair=trade.pair, amount=trade.amount,
+            stoploss_order = self.exchange.stoploss(
-                                                    stop_price=stop_price,
+                pair=trade.pair,
-                                                    order_types=self.strategy.order_types)
+                amount=trade.amount,
+                stop_price=stop_price,
+                order_types=self.strategy.order_types,
+                side=trade.exit_side,
+                leverage=trade.leverage
+            )
 
             order_obj = Order.parse_from_ccxt_object(stoploss_order, trade.pair, 'stoploss')
             trade.orders.append(order_obj)
@@ -826,11 +831,11 @@ class FreqtradeBot(LoggingMixin):
             # if trailing stoploss is enabled we check if stoploss value has changed
             # in which case we cancel stoploss order and put another one with new
             # value immediately
-            self.handle_trailing_stoploss_on_exchange(trade, stoploss_order)
+            self.handle_trailing_stoploss_on_exchange(trade, stoploss_order, side=trade.exit_side)
 
         return False
 
-    def handle_trailing_stoploss_on_exchange(self, trade: Trade, order: dict) -> None:
+    def handle_trailing_stoploss_on_exchange(self, trade: Trade, order: dict, side: str) -> None:
         """
         Check to see if stoploss on exchange should be updated
         in case of trailing stoploss on exchange
@@ -838,7 +843,7 @@ class FreqtradeBot(LoggingMixin):
         :param order: Current on exchange stoploss order
         :return: None
         """
-        if self.exchange.stoploss_adjust(trade.stop_loss, order):
+        if self.exchange.stoploss_adjust(trade.stop_loss, order, side):
             # we check if the update is necessary
             update_beat = self.strategy.order_types.get('stoploss_on_exchange_interval', 60)
             if (datetime.utcnow() - trade.stoploss_last_update).total_seconds() >= update_beat:

tests/conftest.py

@@ -18,7 +18,7 @@ from freqtrade import constants
 from freqtrade.commands import Arguments
 from freqtrade.data.converter import ohlcv_to_dataframe
 from freqtrade.edge import Edge, PairInfo
-from freqtrade.enums import RunMode
+from freqtrade.enums import Collateral, RunMode, TradingMode
 from freqtrade.exchange import Exchange
 from freqtrade.freqtradebot import FreqtradeBot
 from freqtrade.persistence import LocalTrade, Trade, init_db
@@ -81,7 +81,13 @@ def patched_configuration_load_config_file(mocker, config) -> None:
     )
 
 
-def patch_exchange(mocker, api_mock=None, id='binance', mock_markets=True) -> None:
+def patch_exchange(
+    mocker,
+    api_mock=None,
+    id='binance',
+    mock_markets=True,
+    mock_supported_modes=True
+) -> None:
     mocker.patch('freqtrade.exchange.Exchange._load_async_markets', MagicMock(return_value={}))
     mocker.patch('freqtrade.exchange.Exchange.validate_pairs', MagicMock())
     mocker.patch('freqtrade.exchange.Exchange.validate_timeframes', MagicMock())
@@ -90,10 +96,22 @@ def patch_exchange(mocker, api_mock=None, id='binance', mock_markets=True) -> No
     mocker.patch('freqtrade.exchange.Exchange.id', PropertyMock(return_value=id))
     mocker.patch('freqtrade.exchange.Exchange.name', PropertyMock(return_value=id.title()))
     mocker.patch('freqtrade.exchange.Exchange.precisionMode', PropertyMock(return_value=2))
+
     if mock_markets:
         mocker.patch('freqtrade.exchange.Exchange.markets',
                      PropertyMock(return_value=get_markets()))
 
+    if mock_supported_modes:
+        mocker.patch(
+            f'freqtrade.exchange.{id.capitalize()}._supported_trading_mode_collateral_pairs',
+            PropertyMock(return_value=[
+                (TradingMode.MARGIN, Collateral.CROSS),
+                (TradingMode.MARGIN, Collateral.ISOLATED),
+                (TradingMode.FUTURES, Collateral.CROSS),
+                (TradingMode.FUTURES, Collateral.ISOLATED)
+            ])
+        )
+
     if api_mock:
         mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock))
     else:
@@ -101,8 +119,8 @@ def patch_exchange(mocker, api_mock=None, id='binance', mock_markets=True) -> No
 
 
 def get_patched_exchange(mocker, config, api_mock=None, id='binance',
-                         mock_markets=True) -> Exchange:
+                         mock_markets=True, mock_supported_modes=True) -> Exchange:
-    patch_exchange(mocker, api_mock, id, mock_markets)
+    patch_exchange(mocker, api_mock, id, mock_markets, mock_supported_modes)
     config['exchange']['name'] = id
     try:
         exchange = ExchangeResolver.load_exchange(id, config)
@@ -442,7 +460,10 @@ def get_markets():
                     'max': 500000,
                 },
             },
-            'info': {},
+            'info': {
+                'leverage_buy': ['2'],
+                'leverage_sell': ['2'],
+            },
         },
         'TKN/BTC': {
             'id': 'tknbtc',
@@ -468,7 +489,10 @@ def get_markets():
                     'max': 500000,
                 },
             },
-            'info': {},
+            'info': {
+                'leverage_buy': ['2', '3', '4', '5'],
+                'leverage_sell': ['2', '3', '4', '5'],
+            },
         },
         'BLK/BTC': {
             'id': 'blkbtc',
@@ -493,7 +517,10 @@ def get_markets():
                     'max': 500000,
                 },
             },
-            'info': {},
+            'info': {
+                'leverage_buy': ['2', '3'],
+                'leverage_sell': ['2', '3'],
+            },
         },
         'LTC/BTC': {
             'id': 'ltcbtc',
@@ -518,7 +545,10 @@ def get_markets():
                     'max': 500000,
                 },
             },
-            'info': {},
+            'info': {
+                'leverage_buy': [],
+                'leverage_sell': [],
+            },
         },
         'XRP/BTC': {
             'id': 'xrpbtc',
@@ -596,7 +626,10 @@ def get_markets():
                     'max': None
                 }
             },
-            'info': {},
+            'info': {
+                'leverage_buy': [],
+                'leverage_sell': [],
+            },
         },
         'ETH/USDT': {
             'id': 'USDT-ETH',
@@ -712,6 +745,8 @@ def get_markets():
                     'max': None
                 }
             },
+            'info': {
+            }
         },
     }
 

tests/exchange/test_binance.py

@@ -1,21 +1,31 @@
 from datetime import datetime, timezone
 from random import randint
-from unittest.mock import MagicMock
+from unittest.mock import MagicMock, PropertyMock
 
 import ccxt
 import pytest
 
+from freqtrade.enums import Collateral, TradingMode
 from freqtrade.exceptions import DependencyException, InvalidOrderException, OperationalException
 from tests.conftest import get_mock_coro, get_patched_exchange, log_has_re
 from tests.exchange.test_exchange import ccxt_exceptionhandlers
 
 
-@pytest.mark.parametrize('limitratio,expected', [
+@pytest.mark.parametrize('limitratio,expected,side', [
-    (None, 220 * 0.99),
+    (None, 220 * 0.99, "sell"),
-    (0.99, 220 * 0.99),
+    (0.99, 220 * 0.99, "sell"),
-    (0.98, 220 * 0.98),
+    (0.98, 220 * 0.98, "sell"),
+    (None, 220 * 1.01, "buy"),
+    (0.99, 220 * 1.01, "buy"),
+    (0.98, 220 * 1.02, "buy"),
 ])
-def test_stoploss_order_binance(default_conf, mocker, limitratio, expected):
+def test_stoploss_order_binance(
+    default_conf,
+    mocker,
+    limitratio,
+    expected,
+    side
+):
     api_mock = MagicMock()
     order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6))
     order_type = 'stop_loss_limit'
@@ -33,19 +43,32 @@ def test_stoploss_order_binance(default_conf, mocker, limitratio, expected):
     exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
 
     with pytest.raises(OperationalException):
-        order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190,
+        order = exchange.stoploss(
-                                  order_types={'stoploss_on_exchange_limit_ratio': 1.05})
+            pair='ETH/BTC',
+            amount=1,
+            stop_price=190,
+            side=side,
+            order_types={'stoploss_on_exchange_limit_ratio': 1.05},
+            leverage=1.0
+        )
 
     api_mock.create_order.reset_mock()
     order_types = {} if limitratio is None else {'stoploss_on_exchange_limit_ratio': limitratio}
-    order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types=order_types)
+    order = exchange.stoploss(
+        pair='ETH/BTC',
+        amount=1,
+        stop_price=220,
+        order_types=order_types,
+        side=side,
+        leverage=1.0
+    )
 
     assert 'id' in order
     assert 'info' in order
     assert order['id'] == order_id
     assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC'
     assert api_mock.create_order.call_args_list[0][1]['type'] == order_type
-    assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell'
+    assert api_mock.create_order.call_args_list[0][1]['side'] == side
     assert api_mock.create_order.call_args_list[0][1]['amount'] == 1
     # Price should be 1% below stopprice
     assert api_mock.create_order.call_args_list[0][1]['price'] == expected
@@ -55,17 +78,31 @@ def test_stoploss_order_binance(default_conf, mocker, limitratio, expected):
     with pytest.raises(DependencyException):
         api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance"))
         exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
-        exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
+        exchange.stoploss(
+            pair='ETH/BTC',
+            amount=1,
+            stop_price=220,
+            order_types={},
+            side=side,
+            leverage=1.0)
 
     with pytest.raises(InvalidOrderException):
         api_mock.create_order = MagicMock(
             side_effect=ccxt.InvalidOrder("binance Order would trigger immediately."))
         exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
-        exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
+        exchange.stoploss(
+            pair='ETH/BTC',
+            amount=1,
+            stop_price=220,
+            order_types={},
+            side=side,
+            leverage=1.0
+        )
 
     ccxt_exceptionhandlers(mocker, default_conf, api_mock, "binance",
                            "stoploss", "create_order", retries=1,
-                           pair='ETH/BTC', amount=1, stop_price=220, order_types={})
+                           pair='ETH/BTC', amount=1, stop_price=220, order_types={},
+                           side=side, leverage=1.0)
 
 
 def test_stoploss_order_dry_run_binance(default_conf, mocker):
@@ -78,12 +115,25 @@ def test_stoploss_order_dry_run_binance(default_conf, mocker):
     exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
 
     with pytest.raises(OperationalException):
-        order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190,
+        order = exchange.stoploss(
-                                  order_types={'stoploss_on_exchange_limit_ratio': 1.05})
+            pair='ETH/BTC',
+            amount=1,
+            stop_price=190,
+            side="sell",
+            order_types={'stoploss_on_exchange_limit_ratio': 1.05},
+            leverage=1.0
+        )
 
     api_mock.create_order.reset_mock()
 
-    order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
+    order = exchange.stoploss(
+        pair='ETH/BTC',
+        amount=1,
+        stop_price=220,
+        order_types={},
+        side="sell",
+        leverage=1.0
+    )
 
     assert 'id' in order
     assert 'info' in order
@@ -94,18 +144,202 @@ def test_stoploss_order_dry_run_binance(default_conf, mocker):
     assert order['amount'] == 1
 
 
-def test_stoploss_adjust_binance(mocker, default_conf):
+@pytest.mark.parametrize('sl1,sl2,sl3,side', [
+    (1501, 1499, 1501, "sell"),
+    (1499, 1501, 1499, "buy")
+])
+def test_stoploss_adjust_binance(mocker, default_conf, sl1, sl2, sl3, side):
     exchange = get_patched_exchange(mocker, default_conf, id='binance')
     order = {
         'type': 'stop_loss_limit',
         'price': 1500,
         'info': {'stopPrice': 1500},
     }
-    assert exchange.stoploss_adjust(1501, order)
+    assert exchange.stoploss_adjust(sl1, order, side=side)
-    assert not exchange.stoploss_adjust(1499, order)
+    assert not exchange.stoploss_adjust(sl2, order, side=side)
     # Test with invalid order case
     order['type'] = 'stop_loss'
-    assert not exchange.stoploss_adjust(1501, order)
+    assert not exchange.stoploss_adjust(sl3, order, side=side)
+
+
+@pytest.mark.parametrize('pair,nominal_value,max_lev', [
+    ("BNB/BUSD", 0.0, 40.0),
+    ("BNB/USDT", 100.0, 153.84615384615384),
+    ("BTC/USDT", 170.30, 250.0),
+    ("BNB/BUSD", 999999.9, 10.0),
+    ("BNB/USDT", 5000000.0, 6.666666666666667),
+    ("BTC/USDT", 300000000.1, 2.0),
+])
+def test_get_max_leverage_binance(default_conf, mocker, pair, nominal_value, max_lev):
+    exchange = get_patched_exchange(mocker, default_conf, id="binance")
+    exchange._leverage_brackets = {
+        'BNB/BUSD': [[0.0, 0.025],
+                     [100000.0, 0.05],
+                     [500000.0, 0.1],
+                     [1000000.0, 0.15],
+                     [2000000.0, 0.25],
+                     [5000000.0, 0.5]],
+        'BNB/USDT': [[0.0, 0.0065],
+                     [10000.0, 0.01],
+                     [50000.0, 0.02],
+                     [250000.0, 0.05],
+                     [1000000.0, 0.1],
+                     [2000000.0, 0.125],
+                     [5000000.0, 0.15],
+                     [10000000.0, 0.25]],
+        'BTC/USDT': [[0.0, 0.004],
+                     [50000.0, 0.005],
+                     [250000.0, 0.01],
+                     [1000000.0, 0.025],
+                     [5000000.0, 0.05],
+                     [20000000.0, 0.1],
+                     [50000000.0, 0.125],
+                     [100000000.0, 0.15],
+                     [200000000.0, 0.25],
+                     [300000000.0, 0.5]],
+    }
+    assert exchange.get_max_leverage(pair, nominal_value) == max_lev
+
+
+def test_fill_leverage_brackets_binance(default_conf, mocker):
+    api_mock = MagicMock()
+    api_mock.load_leverage_brackets = MagicMock(return_value={
+        'ADA/BUSD': [[0.0, 0.025],
+                     [100000.0, 0.05],
+                     [500000.0, 0.1],
+                     [1000000.0, 0.15],
+                     [2000000.0, 0.25],
+                     [5000000.0, 0.5]],
+        'BTC/USDT': [[0.0, 0.004],
+                     [50000.0, 0.005],
+                     [250000.0, 0.01],
+                     [1000000.0, 0.025],
+                     [5000000.0, 0.05],
+                     [20000000.0, 0.1],
+                     [50000000.0, 0.125],
+                     [100000000.0, 0.15],
+                     [200000000.0, 0.25],
+                     [300000000.0, 0.5]],
+        "ZEC/USDT": [[0.0, 0.01],
+                     [5000.0, 0.025],
+                     [25000.0, 0.05],
+                     [100000.0, 0.1],
+                     [250000.0, 0.125],
+                     [1000000.0, 0.5]],
+
+    })
+    default_conf['dry_run'] = False
+    default_conf['trading_mode'] = TradingMode.FUTURES
+    default_conf['collateral'] = Collateral.ISOLATED
+    exchange = get_patched_exchange(mocker, default_conf, api_mock, id="binance")
+    exchange.fill_leverage_brackets()
+
+    assert exchange._leverage_brackets == {
+        'ADA/BUSD': [[0.0, 0.025],
+                     [100000.0, 0.05],
+                     [500000.0, 0.1],
+                     [1000000.0, 0.15],
+                     [2000000.0, 0.25],
+                     [5000000.0, 0.5]],
+        'BTC/USDT': [[0.0, 0.004],
+                     [50000.0, 0.005],
+                     [250000.0, 0.01],
+                     [1000000.0, 0.025],
+                     [5000000.0, 0.05],
+                     [20000000.0, 0.1],
+                     [50000000.0, 0.125],
+                     [100000000.0, 0.15],
+                     [200000000.0, 0.25],
+                     [300000000.0, 0.5]],
+        "ZEC/USDT": [[0.0, 0.01],
+                     [5000.0, 0.025],
+                     [25000.0, 0.05],
+                     [100000.0, 0.1],
+                     [250000.0, 0.125],
+                     [1000000.0, 0.5]],
+    }
+
+    api_mock = MagicMock()
+    api_mock.load_leverage_brackets = MagicMock()
+    type(api_mock).has = PropertyMock(return_value={'loadLeverageBrackets': True})
+
+    ccxt_exceptionhandlers(
+        mocker,
+        default_conf,
+        api_mock,
+        "binance",
+        "fill_leverage_brackets",
+        "load_leverage_brackets"
+    )
+
+
+def test_fill_leverage_brackets_binance_dryrun(default_conf, mocker):
+    api_mock = MagicMock()
+    default_conf['trading_mode'] = TradingMode.FUTURES
+    default_conf['collateral'] = Collateral.ISOLATED
+    exchange = get_patched_exchange(mocker, default_conf, api_mock, id="binance")
+    exchange.fill_leverage_brackets()
+
+    leverage_brackets = {
+        "1000SHIB/USDT": [
+            [0.0, 0.01],
+            [5000.0, 0.025],
+            [25000.0, 0.05],
+            [100000.0, 0.1],
+            [250000.0, 0.125],
+            [1000000.0, 0.5]
+        ],
+        "1INCH/USDT": [
+            [0.0, 0.012],
+            [5000.0, 0.025],
+            [25000.0, 0.05],
+            [100000.0, 0.1],
+            [250000.0, 0.125],
+            [1000000.0, 0.5]
+        ],
+        "AAVE/USDT": [
+            [0.0, 0.01],
+            [50000.0, 0.02],
+            [250000.0, 0.05],
+            [1000000.0, 0.1],
+            [2000000.0, 0.125],
+            [5000000.0, 0.1665],
+            [10000000.0, 0.25]
+        ],
+        "ADA/BUSD": [
+            [0.0, 0.025],
+            [100000.0, 0.05],
+            [500000.0, 0.1],
+            [1000000.0, 0.15],
+            [2000000.0, 0.25],
+            [5000000.0, 0.5]
+        ]
+    }
+
+    for key, value in leverage_brackets.items():
+        assert exchange._leverage_brackets[key] == value
+
+
+def test__set_leverage_binance(mocker, default_conf):
+
+    api_mock = MagicMock()
+    api_mock.set_leverage = MagicMock()
+    type(api_mock).has = PropertyMock(return_value={'setLeverage': True})
+    default_conf['dry_run'] = False
+    exchange = get_patched_exchange(mocker, default_conf, id="binance")
+    exchange._set_leverage(3.0, trading_mode=TradingMode.MARGIN)
+
+    ccxt_exceptionhandlers(
+        mocker,
+        default_conf,
+        api_mock,
+        "binance",
+        "_set_leverage",
+        "set_leverage",
+        pair="XRP/USDT",
+        leverage=5.0,
+        trading_mode=TradingMode.FUTURES
+    )
 
 
 @pytest.mark.asyncio
@@ -138,3 +372,15 @@ async def test__async_get_historic_ohlcv_binance(default_conf, mocker, caplog):
     assert exchange._api_async.fetch_ohlcv.call_count == 2
     assert res == ohlcv
     assert log_has_re(r"Candle-data for ETH/BTC available starting with .*", caplog)
+
+
+@pytest.mark.parametrize("trading_mode,collateral,config", [
+    ("", "", {}),
+    ("margin", "cross", {"options": {"defaultType": "margin"}}),
+    ("futures", "isolated", {"options": {"defaultType": "future"}}),
+])
+def test__ccxt_config(default_conf, mocker, trading_mode, collateral, config):
+    default_conf['trading_mode'] = trading_mode
+    default_conf['collateral'] = collateral
+    exchange = get_patched_exchange(mocker, default_conf, id="binance")
+    assert exchange._ccxt_config == config

tests/exchange/test_exchange.py

@@ -11,6 +11,7 @@ import ccxt
 import pytest
 from pandas import DataFrame
 
+from freqtrade.enums import Collateral, TradingMode
 from freqtrade.exceptions import (DDosProtection, DependencyException, InvalidOrderException,
                                   OperationalException, PricingError, TemporaryError)
 from freqtrade.exchange import Binance, Bittrex, Exchange, Kraken
@@ -131,6 +132,7 @@ def test_init_ccxt_kwargs(default_conf, mocker, caplog):
 
     assert log_has("Applying additional ccxt config: {'TestKWARG': 11, 'TestKWARG44': 11}", caplog)
     assert ex._api.headers == {'hello': 'world'}
+    assert ex._ccxt_config == {}
     Exchange._headers = {}
 
 
@@ -395,7 +397,11 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
         PropertyMock(return_value=markets)
     )
     result = exchange.get_min_pair_stake_amount('ETH/BTC', 1, stoploss)
-    assert isclose(result, 2 * (1+0.05) / (1-abs(stoploss)))
+    expected_result = 2 * (1+0.05) / (1-abs(stoploss))
+    assert isclose(result, expected_result)
+    # With Leverage
+    result = exchange.get_min_pair_stake_amount('ETH/BTC', 1, stoploss, 3.0)
+    assert isclose(result, expected_result/3)
 
     # min amount is set
     markets["ETH/BTC"]["limits"] = {
@@ -407,7 +413,11 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
         PropertyMock(return_value=markets)
     )
     result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss)
-    assert isclose(result, 2 * 2 * (1+0.05) / (1-abs(stoploss)))
+    expected_result = 2 * 2 * (1+0.05) / (1-abs(stoploss))
+    assert isclose(result, expected_result)
+    # With Leverage
+    result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 5.0)
+    assert isclose(result, expected_result/5)
 
     # min amount and cost are set (cost is minimal)
     markets["ETH/BTC"]["limits"] = {
@@ -419,7 +429,11 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
         PropertyMock(return_value=markets)
     )
     result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss)
-    assert isclose(result, max(2, 2 * 2) * (1+0.05) / (1-abs(stoploss)))
+    expected_result = max(2, 2 * 2) * (1+0.05) / (1-abs(stoploss))
+    assert isclose(result, expected_result)
+    # With Leverage
+    result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 10)
+    assert isclose(result, expected_result/10)
 
     # min amount and cost are set (amount is minial)
     markets["ETH/BTC"]["limits"] = {
@@ -431,14 +445,26 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
         PropertyMock(return_value=markets)
     )
     result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss)
-    assert isclose(result, max(8, 2 * 2) * (1+0.05) / (1-abs(stoploss)))
+    expected_result = max(8, 2 * 2) * (1+0.05) / (1-abs(stoploss))
+    assert isclose(result, expected_result)
+    # With Leverage
+    result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 7.0)
+    assert isclose(result, expected_result/7.0)
 
     result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -0.4)
-    assert isclose(result, max(8, 2 * 2) * 1.5)
+    expected_result = max(8, 2 * 2) * 1.5
+    assert isclose(result, expected_result)
+    # With Leverage
+    result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -0.4, 8.0)
+    assert isclose(result, expected_result/8.0)
 
     # Really big stoploss
     result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -1)
-    assert isclose(result, max(8, 2 * 2) * 1.5)
+    expected_result = max(8, 2 * 2) * 1.5
+    assert isclose(result, expected_result)
+    # With Leverage
+    result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -1, 12.0)
+    assert isclose(result, expected_result/12)
 
 
 def test_get_min_pair_stake_amount_real_data(mocker, default_conf) -> None:
@@ -456,10 +482,10 @@ def test_get_min_pair_stake_amount_real_data(mocker, default_conf) -> None:
         PropertyMock(return_value=markets)
     )
     result = exchange.get_min_pair_stake_amount('ETH/BTC', 0.020405, stoploss)
-    assert round(result, 8) == round(
+    expected_result = max(0.0001, 0.001 * 0.020405) * (1+0.05) / (1-abs(stoploss))
-        max(0.0001, 0.001 * 0.020405) * (1+0.05) / (1-abs(stoploss)),
+    assert round(result, 8) == round(expected_result, 8)
-        8
+    result = exchange.get_min_pair_stake_amount('ETH/BTC', 0.020405, stoploss, 3.0)
-    )
+    assert round(result, 8) == round(expected_result/3, 8)
 
 
 def test_set_sandbox(default_conf, mocker):
@@ -970,7 +996,13 @@ def test_create_dry_run_order(default_conf, mocker, side, exchange_name):
     exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
 
     order = exchange.create_dry_run_order(
-        pair='ETH/BTC', ordertype='limit', side=side, amount=1, rate=200)
+        pair='ETH/BTC',
+        ordertype='limit',
+        side=side,
+        amount=1,
+        rate=200,
+        leverage=1.0
+    )
     assert 'id' in order
     assert f'dry_run_{side}_' in order["id"]
     assert order["side"] == side
@@ -993,7 +1025,13 @@ def test_create_dry_run_order_limit_fill(default_conf, mocker, side, startprice,
                           )
 
     order = exchange.create_dry_run_order(
-        pair='LTC/USDT', ordertype='limit', side=side, amount=1, rate=startprice)
+        pair='LTC/USDT',
+        ordertype='limit',
+        side=side,
+        amount=1,
+        rate=startprice,
+        leverage=1.0
+    )
     assert order_book_l2_usd.call_count == 1
     assert 'id' in order
     assert f'dry_run_{side}_' in order["id"]
@@ -1039,7 +1077,13 @@ def test_create_dry_run_order_market_fill(default_conf, mocker, side, rate, amou
                           )
 
     order = exchange.create_dry_run_order(
-        pair='LTC/USDT', ordertype='market', side=side, amount=amount, rate=rate)
+        pair='LTC/USDT',
+        ordertype='market',
+        side=side,
+        amount=amount,
+        rate=rate,
+        leverage=1.0
+    )
     assert 'id' in order
     assert f'dry_run_{side}_' in order["id"]
     assert order["side"] == side
@@ -1049,10 +1093,7 @@ def test_create_dry_run_order_market_fill(default_conf, mocker, side, rate, amou
     assert round(order["average"], 4) == round(endprice, 4)
 
 
-@pytest.mark.parametrize("side", [
+@pytest.mark.parametrize("side", ["buy", "sell"])
-    ("buy"),
-    ("sell")
-])
 @pytest.mark.parametrize("ordertype,rate,marketprice", [
     ("market", None, None),
     ("market", 200, True),
@@ -1074,9 +1115,17 @@ def test_create_order(default_conf, mocker, side, ordertype, rate, marketprice,
     mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y)
     mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y)
     exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
+    exchange._set_leverage = MagicMock()
+    exchange.set_margin_mode = MagicMock()
 
     order = exchange.create_order(
-        pair='ETH/BTC', ordertype=ordertype, side=side, amount=1, rate=200)
+        pair='ETH/BTC',
+        ordertype=ordertype,
+        side=side,
+        amount=1,
+        rate=200,
+        leverage=1.0
+    )
 
     assert 'id' in order
     assert 'info' in order
@@ -1086,6 +1135,21 @@ def test_create_order(default_conf, mocker, side, ordertype, rate, marketprice,
     assert api_mock.create_order.call_args[0][2] == side
     assert api_mock.create_order.call_args[0][3] == 1
     assert api_mock.create_order.call_args[0][4] is rate
+    assert exchange._set_leverage.call_count == 0
+    assert exchange.set_margin_mode.call_count == 0
+
+    exchange.trading_mode = TradingMode.FUTURES
+    order = exchange.create_order(
+        pair='ETH/BTC',
+        ordertype=ordertype,
+        side=side,
+        amount=1,
+        rate=200,
+        leverage=3.0
+    )
+
+    assert exchange._set_leverage.call_count == 1
+    assert exchange.set_margin_mode.call_count == 1
 
 
 def test_buy_dry_run(default_conf, mocker):
@@ -2624,10 +2688,17 @@ def test_get_fee(default_conf, mocker, exchange_name):
 def test_stoploss_order_unsupported_exchange(default_conf, mocker):
     exchange = get_patched_exchange(mocker, default_conf, id='bittrex')
     with pytest.raises(OperationalException, match=r"stoploss is not implemented .*"):
-        exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
+        exchange.stoploss(
+            pair='ETH/BTC',
+            amount=1,
+            stop_price=220,
+            order_types={},
+            side="sell",
+            leverage=1.0
+        )
 
     with pytest.raises(OperationalException, match=r"stoploss is not implemented .*"):
-        exchange.stoploss_adjust(1, {})
+        exchange.stoploss_adjust(1, {}, side="sell")
 
 
 def test_merge_ft_has_dict(default_conf, mocker):
@@ -2972,7 +3043,123 @@ def test_calculate_fee_rate(mocker, default_conf, order, expected) -> None:
     (3, 5, 5),
     (4, 5, 2),
     (5, 5, 1),
-
 ])
 def test_calculate_backoff(retrycount, max_retries, expected):
     assert calculate_backoff(retrycount, max_retries) == expected
+
+
+@pytest.mark.parametrize('exchange', ['binance', 'kraken', 'ftx'])
+@pytest.mark.parametrize('stake_amount,leverage,min_stake_with_lev', [
+    (9.0, 3.0, 3.0),
+    (20.0, 5.0, 4.0),
+    (100.0, 100.0, 1.0)
+])
+def test_get_stake_amount_considering_leverage(
+    exchange,
+    stake_amount,
+    leverage,
+    min_stake_with_lev,
+    mocker,
+    default_conf
+):
+    exchange = get_patched_exchange(mocker, default_conf, id=exchange)
+    assert exchange._get_stake_amount_considering_leverage(
+        stake_amount, leverage) == min_stake_with_lev
+
+
+@pytest.mark.parametrize("exchange_name,trading_mode", [
+    ("binance", TradingMode.FUTURES),
+    ("ftx", TradingMode.MARGIN),
+    ("ftx", TradingMode.FUTURES)
+])
+def test__set_leverage(mocker, default_conf, exchange_name, trading_mode):
+
+    api_mock = MagicMock()
+    api_mock.set_leverage = MagicMock()
+    type(api_mock).has = PropertyMock(return_value={'setLeverage': True})
+    default_conf['dry_run'] = False
+
+    ccxt_exceptionhandlers(
+        mocker,
+        default_conf,
+        api_mock,
+        exchange_name,
+        "_set_leverage",
+        "set_leverage",
+        pair="XRP/USDT",
+        leverage=5.0,
+        trading_mode=trading_mode
+    )
+
+
+@pytest.mark.parametrize("collateral", [
+    (Collateral.CROSS),
+    (Collateral.ISOLATED)
+])
+def test_set_margin_mode(mocker, default_conf, collateral):
+
+    api_mock = MagicMock()
+    api_mock.set_margin_mode = MagicMock()
+    type(api_mock).has = PropertyMock(return_value={'setMarginMode': True})
+    default_conf['dry_run'] = False
+
+    ccxt_exceptionhandlers(
+        mocker,
+        default_conf,
+        api_mock,
+        "binance",
+        "set_margin_mode",
+        "set_margin_mode",
+        pair="XRP/USDT",
+        collateral=collateral
+    )
+
+
+@pytest.mark.parametrize("exchange_name, trading_mode, collateral, exception_thrown", [
+    ("binance", TradingMode.SPOT, None, False),
+    ("binance", TradingMode.MARGIN, Collateral.ISOLATED, True),
+    ("kraken", TradingMode.SPOT, None, False),
+    ("kraken", TradingMode.MARGIN, Collateral.ISOLATED, True),
+    ("kraken", TradingMode.FUTURES, Collateral.ISOLATED, True),
+    ("ftx", TradingMode.SPOT, None, False),
+    ("ftx", TradingMode.MARGIN, Collateral.ISOLATED, True),
+    ("ftx", TradingMode.FUTURES, Collateral.ISOLATED, True),
+    ("bittrex", TradingMode.SPOT, None, False),
+    ("bittrex", TradingMode.MARGIN, Collateral.CROSS, True),
+    ("bittrex", TradingMode.MARGIN, Collateral.ISOLATED, True),
+    ("bittrex", TradingMode.FUTURES, Collateral.CROSS, True),
+    ("bittrex", TradingMode.FUTURES, Collateral.ISOLATED, True),
+
+    # TODO-lev: Remove once implemented
+    ("binance", TradingMode.MARGIN, Collateral.CROSS, True),
+    ("binance", TradingMode.FUTURES, Collateral.CROSS, True),
+    ("binance", TradingMode.FUTURES, Collateral.ISOLATED, True),
+    ("kraken", TradingMode.MARGIN, Collateral.CROSS, True),
+    ("kraken", TradingMode.FUTURES, Collateral.CROSS, True),
+    ("ftx", TradingMode.MARGIN, Collateral.CROSS, True),
+    ("ftx", TradingMode.FUTURES, Collateral.CROSS, True),
+
+    # TODO-lev: Uncomment once implemented
+    # ("binance", TradingMode.MARGIN, Collateral.CROSS, False),
+    # ("binance", TradingMode.FUTURES, Collateral.CROSS, False),
+    # ("binance", TradingMode.FUTURES, Collateral.ISOLATED, False),
+    # ("kraken", TradingMode.MARGIN, Collateral.CROSS, False),
+    # ("kraken", TradingMode.FUTURES, Collateral.CROSS, False),
+    # ("ftx", TradingMode.MARGIN, Collateral.CROSS, False),
+    # ("ftx", TradingMode.FUTURES, Collateral.CROSS, False)
+])
+def test_validate_trading_mode_and_collateral(
+    default_conf,
+    mocker,
+    exchange_name,
+    trading_mode,
+    collateral,
+    exception_thrown
+):
+    exchange = get_patched_exchange(
+        mocker, default_conf, id=exchange_name, mock_supported_modes=False)
+    if (exception_thrown):
+        with pytest.raises(OperationalException):
+            exchange.validate_trading_mode_and_collateral(trading_mode, collateral)
+    else:
+        exchange.validate_trading_mode_and_collateral(trading_mode, collateral)

tests/exchange/test_ftx.py

@@ -14,7 +14,11 @@ from .test_exchange import ccxt_exceptionhandlers
 STOPLOSS_ORDERTYPE = 'stop'
 
 
-def test_stoploss_order_ftx(default_conf, mocker):
+@pytest.mark.parametrize('order_price,exchangelimitratio,side', [
+    (217.8, 1.05, "sell"),
+    (222.2, 0.95, "buy"),
+])
+def test_stoploss_order_ftx(default_conf, mocker, order_price, exchangelimitratio, side):
     api_mock = MagicMock()
     order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6))
 
@@ -32,12 +36,18 @@ def test_stoploss_order_ftx(default_conf, mocker):
     exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx')
 
     # stoploss_on_exchange_limit_ratio is irrelevant for ftx market orders
-    order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190,
+    order = exchange.stoploss(
-                              order_types={'stoploss_on_exchange_limit_ratio': 1.05})
+        pair='ETH/BTC',
+        amount=1,
+        stop_price=190,
+        side=side,
+        order_types={'stoploss_on_exchange_limit_ratio': exchangelimitratio},
+        leverage=1.0
+    )
 
     assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC'
     assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_ORDERTYPE
-    assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell'
+    assert api_mock.create_order.call_args_list[0][1]['side'] == side
     assert api_mock.create_order.call_args_list[0][1]['amount'] == 1
     assert 'orderPrice' not in api_mock.create_order.call_args_list[0][1]['params']
     assert 'stopPrice' in api_mock.create_order.call_args_list[0][1]['params']
@@ -47,51 +57,79 @@ def test_stoploss_order_ftx(default_conf, mocker):
 
     api_mock.create_order.reset_mock()
 
-    order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
+    order = exchange.stoploss(
+        pair='ETH/BTC',
+        amount=1,
+        stop_price=220,
+        order_types={},
+        side=side,
+        leverage=1.0
+    )
 
     assert 'id' in order
     assert 'info' in order
     assert order['id'] == order_id
     assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC'
     assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_ORDERTYPE
-    assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell'
+    assert api_mock.create_order.call_args_list[0][1]['side'] == side
     assert api_mock.create_order.call_args_list[0][1]['amount'] == 1
     assert 'orderPrice' not in api_mock.create_order.call_args_list[0][1]['params']
     assert api_mock.create_order.call_args_list[0][1]['params']['stopPrice'] == 220
 
     api_mock.create_order.reset_mock()
-    order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220,
+    order = exchange.stoploss(
-                              order_types={'stoploss': 'limit'})
+        pair='ETH/BTC',
+        amount=1,
+        stop_price=220,
+        order_types={'stoploss': 'limit'}, side=side,
+        leverage=1.0
+    )
 
     assert 'id' in order
     assert 'info' in order
     assert order['id'] == order_id
     assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC'
     assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_ORDERTYPE
-    assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell'
+    assert api_mock.create_order.call_args_list[0][1]['side'] == side
     assert api_mock.create_order.call_args_list[0][1]['amount'] == 1
     assert 'orderPrice' in api_mock.create_order.call_args_list[0][1]['params']
-    assert api_mock.create_order.call_args_list[0][1]['params']['orderPrice'] == 217.8
+    assert api_mock.create_order.call_args_list[0][1]['params']['orderPrice'] == order_price
     assert api_mock.create_order.call_args_list[0][1]['params']['stopPrice'] == 220
 
     # test exception handling
     with pytest.raises(DependencyException):
         api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance"))
         exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx')
-        exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
+        exchange.stoploss(
+            pair='ETH/BTC',
+            amount=1,
+            stop_price=220,
+            order_types={},
+            side=side,
+            leverage=1.0
+        )
 
     with pytest.raises(InvalidOrderException):
         api_mock.create_order = MagicMock(
             side_effect=ccxt.InvalidOrder("ftx Order would trigger immediately."))
         exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx')
-        exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
+        exchange.stoploss(
+            pair='ETH/BTC',
+            amount=1,
+            stop_price=220,
+            order_types={},
+            side=side,
+            leverage=1.0
+        )
 
     ccxt_exceptionhandlers(mocker, default_conf, api_mock, "ftx",
                            "stoploss", "create_order", retries=1,
-                           pair='ETH/BTC', amount=1, stop_price=220, order_types={})
+                           pair='ETH/BTC', amount=1, stop_price=220, order_types={},
+                           side=side, leverage=1.0)
 
 
-def test_stoploss_order_dry_run_ftx(default_conf, mocker):
+@pytest.mark.parametrize('side', [("sell"), ("buy")])
+def test_stoploss_order_dry_run_ftx(default_conf, mocker, side):
     api_mock = MagicMock()
     default_conf['dry_run'] = True
     mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y)
@@ -101,7 +139,14 @@ def test_stoploss_order_dry_run_ftx(default_conf, mocker):
 
     api_mock.create_order.reset_mock()
 
-    order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
+    order = exchange.stoploss(
+        pair='ETH/BTC',
+        amount=1,
+        stop_price=220,
+        order_types={},
+        side=side,
+        leverage=1.0
+    )
 
     assert 'id' in order
     assert 'info' in order
@@ -112,20 +157,24 @@ def test_stoploss_order_dry_run_ftx(default_conf, mocker):
     assert order['amount'] == 1
 
 
-def test_stoploss_adjust_ftx(mocker, default_conf):
+@pytest.mark.parametrize('sl1,sl2,sl3,side', [
+    (1501, 1499, 1501, "sell"),
+    (1499, 1501, 1499, "buy")
+])
+def test_stoploss_adjust_ftx(mocker, default_conf, sl1, sl2, sl3, side):
     exchange = get_patched_exchange(mocker, default_conf, id='ftx')
     order = {
         'type': STOPLOSS_ORDERTYPE,
         'price': 1500,
     }
-    assert exchange.stoploss_adjust(1501, order)
+    assert exchange.stoploss_adjust(sl1, order, side=side)
-    assert not exchange.stoploss_adjust(1499, order)
+    assert not exchange.stoploss_adjust(sl2, order, side=side)
     # Test with invalid order case ...
     order['type'] = 'stop_loss_limit'
-    assert not exchange.stoploss_adjust(1501, order)
+    assert not exchange.stoploss_adjust(sl3, order, side=side)
 
 
-def test_fetch_stoploss_order(default_conf, mocker, limit_sell_order):
+def test_fetch_stoploss_order(default_conf, mocker, limit_sell_order, limit_buy_order):
     default_conf['dry_run'] = True
     order = MagicMock()
     order.myid = 123
@@ -158,6 +207,16 @@ def test_fetch_stoploss_order(default_conf, mocker, limit_sell_order):
     assert resp['type'] == 'stop'
     assert resp['status_stop'] == 'triggered'
 
+    api_mock.fetch_order = MagicMock(return_value=limit_buy_order)
+
+    resp = exchange.fetch_stoploss_order('X', 'TKN/BTC')
+    assert resp
+    assert api_mock.fetch_order.call_count == 1
+    assert resp['id_stop'] == 'mocked_limit_buy'
+    assert resp['id'] == 'X'
+    assert resp['type'] == 'stop'
+    assert resp['status_stop'] == 'triggered'
+
     with pytest.raises(InvalidOrderException):
         api_mock.fetch_orders = MagicMock(side_effect=ccxt.InvalidOrder("Order not found"))
         exchange = get_patched_exchange(mocker, default_conf, api_mock, id='ftx')
@@ -191,3 +250,20 @@ def test_get_order_id(mocker, default_conf):
         }
     }
     assert exchange.get_order_id_conditional(order) == '1111'
+
+
+@pytest.mark.parametrize('pair,nominal_value,max_lev', [
+    ("ADA/BTC", 0.0, 20.0),
+    ("BTC/EUR", 100.0, 20.0),
+    ("ZEC/USD", 173.31, 20.0),
+])
+def test_get_max_leverage_ftx(default_conf, mocker, pair, nominal_value, max_lev):
+    exchange = get_patched_exchange(mocker, default_conf, id="ftx")
+    assert exchange.get_max_leverage(pair, nominal_value) == max_lev
+
+
+def test_fill_leverage_brackets_ftx(default_conf, mocker):
+    # FTX only has one account wide leverage, so there's no leverage brackets
+    exchange = get_patched_exchange(mocker, default_conf, id="ftx")
+    exchange.fill_leverage_brackets()
+    assert exchange._leverage_brackets == {}

tests/exchange/test_kraken.py

@@ -166,7 +166,11 @@ def test_get_balances_prod(default_conf, mocker):
 
 
 @pytest.mark.parametrize('ordertype', ['market', 'limit'])
-def test_stoploss_order_kraken(default_conf, mocker, ordertype):
+@pytest.mark.parametrize('side,adjustedprice', [
+    ("sell", 217.8),
+    ("buy", 222.2),
+])
+def test_stoploss_order_kraken(default_conf, mocker, ordertype, side, adjustedprice):
     api_mock = MagicMock()
     order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6))
 
@@ -183,10 +187,17 @@ def test_stoploss_order_kraken(default_conf, mocker, ordertype):
 
     exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken')
 
-    order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220,
+    order = exchange.stoploss(
-                              order_types={'stoploss': ordertype,
+        pair='ETH/BTC',
-                                           'stoploss_on_exchange_limit_ratio': 0.99
+        amount=1,
-                                           })
+        stop_price=220,
+        side=side,
+        order_types={
+            'stoploss': ordertype,
+            'stoploss_on_exchange_limit_ratio': 0.99
+        },
+        leverage=1.0
+    )
 
     assert 'id' in order
     assert 'info' in order
@@ -195,12 +206,14 @@ def test_stoploss_order_kraken(default_conf, mocker, ordertype):
     if ordertype == 'limit':
         assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_LIMIT_ORDERTYPE
         assert api_mock.create_order.call_args_list[0][1]['params'] == {
-            'trading_agreement': 'agree', 'price2': 217.8}
+            'trading_agreement': 'agree',
+            'price2': adjustedprice
+        }
     else:
         assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_ORDERTYPE
         assert api_mock.create_order.call_args_list[0][1]['params'] == {
             'trading_agreement': 'agree'}
-    assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell'
+    assert api_mock.create_order.call_args_list[0][1]['side'] == side
     assert api_mock.create_order.call_args_list[0][1]['amount'] == 1
     assert api_mock.create_order.call_args_list[0][1]['price'] == 220
 
@@ -208,20 +221,36 @@ def test_stoploss_order_kraken(default_conf, mocker, ordertype):
     with pytest.raises(DependencyException):
         api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance"))
         exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken')
-        exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
+        exchange.stoploss(
+            pair='ETH/BTC',
+            amount=1,
+            stop_price=220,
+            order_types={},
+            side=side,
+            leverage=1.0
+        )
 
     with pytest.raises(InvalidOrderException):
         api_mock.create_order = MagicMock(
             side_effect=ccxt.InvalidOrder("kraken Order would trigger immediately."))
         exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken')
-        exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
+        exchange.stoploss(
+            pair='ETH/BTC',
+            amount=1,
+            stop_price=220,
+            order_types={},
+            side=side,
+            leverage=1.0
+        )
 
     ccxt_exceptionhandlers(mocker, default_conf, api_mock, "kraken",
                            "stoploss", "create_order", retries=1,
-                           pair='ETH/BTC', amount=1, stop_price=220, order_types={})
+                           pair='ETH/BTC', amount=1, stop_price=220, order_types={},
+                           side=side, leverage=1.0)
 
 
-def test_stoploss_order_dry_run_kraken(default_conf, mocker):
+@pytest.mark.parametrize('side', ['buy', 'sell'])
+def test_stoploss_order_dry_run_kraken(default_conf, mocker, side):
     api_mock = MagicMock()
     default_conf['dry_run'] = True
     mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y)
@@ -231,7 +260,14 @@ def test_stoploss_order_dry_run_kraken(default_conf, mocker):
 
     api_mock.create_order.reset_mock()
 
-    order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={})
+    order = exchange.stoploss(
+        pair='ETH/BTC',
+        amount=1,
+        stop_price=220,
+        order_types={},
+        side=side,
+        leverage=1.0
+    )
 
     assert 'id' in order
     assert 'info' in order
@@ -242,14 +278,54 @@ def test_stoploss_order_dry_run_kraken(default_conf, mocker):
     assert order['amount'] == 1
 
 
-def test_stoploss_adjust_kraken(mocker, default_conf):
+@pytest.mark.parametrize('sl1,sl2,sl3,side', [
+    (1501, 1499, 1501, "sell"),
+    (1499, 1501, 1499, "buy")
+])
+def test_stoploss_adjust_kraken(mocker, default_conf, sl1, sl2, sl3, side):
     exchange = get_patched_exchange(mocker, default_conf, id='kraken')
     order = {
         'type': STOPLOSS_ORDERTYPE,
         'price': 1500,
     }
-    assert exchange.stoploss_adjust(1501, order)
+    assert exchange.stoploss_adjust(sl1, order, side=side)
-    assert not exchange.stoploss_adjust(1499, order)
+    assert not exchange.stoploss_adjust(sl2, order, side=side)
     # Test with invalid order case ...
     order['type'] = 'stop_loss_limit'
-    assert not exchange.stoploss_adjust(1501, order)
+    assert not exchange.stoploss_adjust(sl3, order, side=side)
+
+
+@pytest.mark.parametrize('pair,nominal_value,max_lev', [
+    ("ADA/BTC", 0.0, 3.0),
+    ("BTC/EUR", 100.0, 5.0),
+    ("ZEC/USD", 173.31, 2.0),
+])
+def test_get_max_leverage_kraken(default_conf, mocker, pair, nominal_value, max_lev):
+    exchange = get_patched_exchange(mocker, default_conf, id="kraken")
+    exchange._leverage_brackets = {
+        'ADA/BTC': ['2', '3'],
+        'BTC/EUR': ['2', '3', '4', '5'],
+        'ZEC/USD': ['2']
+    }
+    assert exchange.get_max_leverage(pair, nominal_value) == max_lev
+
+
+def test_fill_leverage_brackets_kraken(default_conf, mocker):
+    api_mock = MagicMock()
+    exchange = get_patched_exchange(mocker, default_conf, api_mock, id="kraken")
+    exchange.fill_leverage_brackets()
+
+    assert exchange._leverage_brackets == {
+        'BLK/BTC': [1, 2, 3],
+        'TKN/BTC': [1, 2, 3, 4, 5],
+        'ETH/BTC': [1, 2],
+        'LTC/BTC': [1],
+        'XRP/BTC': [1],
+        'NEO/BTC': [1],
+        'BTT/BTC': [1],
+        'ETH/USDT': [1],
+        'LTC/USDT': [1],
+        'LTC/USD': [1],
+        'XLTCUSDT': [1],
+        'LTC/ETH': [1]
+    }

tests/test_freqtradebot.py

@@ -1252,6 +1252,7 @@ def test_create_stoploss_order_insufficient_funds(mocker, default_conf, caplog,
 @pytest.mark.usefixtures("init_persistence")
 def test_handle_stoploss_on_exchange_trailing(mocker, default_conf, fee,
                                               limit_buy_order, limit_sell_order) -> None:
+    # TODO-lev: test for short
     # When trailing stoploss is set
     stoploss = MagicMock(return_value={'id': 13434334})
     patch_RPCManager(mocker)
@@ -1343,10 +1344,14 @@ def test_handle_stoploss_on_exchange_trailing(mocker, default_conf, fee,
     assert freqtrade.handle_stoploss_on_exchange(trade) is False
 
     cancel_order_mock.assert_called_once_with(100, 'ETH/BTC')
-    stoploss_order_mock.assert_called_once_with(amount=85.32423208,
+    stoploss_order_mock.assert_called_once_with(
-                                                pair='ETH/BTC',
+        amount=85.32423208,
-                                                order_types=freqtrade.strategy.order_types,
+        pair='ETH/BTC',
-                                                stop_price=0.00002346 * 0.95)
+        order_types=freqtrade.strategy.order_types,
+        stop_price=0.00002346 * 0.95,
+        side="sell",
+        leverage=1.0
+    )
 
     # price fell below stoploss, so dry-run sells trade.
     mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', MagicMock(return_value={
@@ -1359,6 +1364,7 @@ def test_handle_stoploss_on_exchange_trailing(mocker, default_conf, fee,
 
 def test_handle_stoploss_on_exchange_trailing_error(mocker, default_conf, fee, caplog,
                                                     limit_buy_order, limit_sell_order) -> None:
+    # TODO-lev: test for short
     # When trailing stoploss is set
     stoploss = MagicMock(return_value={'id': 13434334})
     patch_exchange(mocker)
@@ -1417,7 +1423,7 @@ def test_handle_stoploss_on_exchange_trailing_error(mocker, default_conf, fee, c
                  side_effect=InvalidOrderException())
     mocker.patch('freqtrade.exchange.Binance.fetch_stoploss_order',
                  return_value=stoploss_order_hanging)
-    freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging)
+    freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging, side="sell")
     assert log_has_re(r"Could not cancel stoploss order abcd for pair ETH/BTC.*", caplog)
 
     # Still try to create order
@@ -1427,7 +1433,7 @@ def test_handle_stoploss_on_exchange_trailing_error(mocker, default_conf, fee, c
     caplog.clear()
     cancel_mock = mocker.patch("freqtrade.exchange.Binance.cancel_stoploss_order", MagicMock())
     mocker.patch("freqtrade.exchange.Binance.stoploss", side_effect=ExchangeError())
-    freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging)
+    freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging, side="sell")
     assert cancel_mock.call_count == 1
     assert log_has_re(r"Could not create trailing stoploss order for pair ETH/BTC\..*", caplog)
 
@@ -1436,6 +1442,7 @@ def test_handle_stoploss_on_exchange_trailing_error(mocker, default_conf, fee, c
 def test_handle_stoploss_on_exchange_custom_stop(mocker, default_conf, fee,
                                                  limit_buy_order, limit_sell_order) -> None:
     # When trailing stoploss is set
+    # TODO-lev: test for short
     stoploss = MagicMock(return_value={'id': 13434334})
     patch_RPCManager(mocker)
     mocker.patch.multiple(
@@ -1526,10 +1533,14 @@ def test_handle_stoploss_on_exchange_custom_stop(mocker, default_conf, fee,
     assert freqtrade.handle_stoploss_on_exchange(trade) is False
 
     cancel_order_mock.assert_called_once_with(100, 'ETH/BTC')
-    stoploss_order_mock.assert_called_once_with(amount=85.32423208,
+    stoploss_order_mock.assert_called_once_with(
-                                                pair='ETH/BTC',
+        amount=85.32423208,
-                                                order_types=freqtrade.strategy.order_types,
+        pair='ETH/BTC',
-                                                stop_price=0.00002346 * 0.96)
+        order_types=freqtrade.strategy.order_types,
+        stop_price=0.00002346 * 0.96,
+        side="sell",
+        leverage=1.0
+    )
 
     # price fell below stoploss, so dry-run sells trade.
     mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', MagicMock(return_value={
@@ -1542,7 +1553,7 @@ def test_handle_stoploss_on_exchange_custom_stop(mocker, default_conf, fee,
 
 def test_tsl_on_exchange_compatible_with_edge(mocker, edge_conf, fee, caplog,
                                               limit_buy_order, limit_sell_order) -> None:
-
+    # TODO-lev: test for short
     # When trailing stoploss is set
     stoploss = MagicMock(return_value={'id': 13434334})
     patch_RPCManager(mocker)
@@ -1647,10 +1658,14 @@ def test_tsl_on_exchange_compatible_with_edge(mocker, edge_conf, fee, caplog,
     # stoploss should be set to 1% as trailing is on
     assert trade.stop_loss == 0.00002346 * 0.99
     cancel_order_mock.assert_called_once_with(100, 'NEO/BTC')
-    stoploss_order_mock.assert_called_once_with(amount=2132892.49146757,
+    stoploss_order_mock.assert_called_once_with(
-                                                pair='NEO/BTC',
+        amount=2132892.49146757,
-                                                order_types=freqtrade.strategy.order_types,
+        pair='NEO/BTC',
-                                                stop_price=0.00002346 * 0.99)
+        order_types=freqtrade.strategy.order_types,
+        stop_price=0.00002346 * 0.99,
+        side="sell",
+        leverage=1.0
+    )
 
 
 def test_enter_positions(mocker, default_conf, caplog) -> None: