implemented binance.get_maintenance_ratio_and_amt
This commit is contained in:
Sam Germain
parent
ba5fc21d84
commit
69a6223ca0
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@ -163,11 +163,10 @@ class Binance(Exchange):
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if pair not in self._leverage_brackets:
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return 1.0
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pair_brackets = self._leverage_brackets[pair]
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max_lev = 1.0
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for [notional_floor, maint_margin_ratio] in pair_brackets:
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for [notional_floor, mm_ratio, _] in reversed(pair_brackets):
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if nominal_value >= notional_floor:
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max_lev = 1/maint_margin_ratio
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return max_lev
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return 1/mm_ratio
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return 1.0
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@retrier
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def _set_leverage(
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@ -227,3 +226,114 @@ class Binance(Exchange):
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:return: The cutoff open time for when a funding fee is charged
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"""
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return open_date.minute > 0 or (open_date.minute == 0 and open_date.second > 15)
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def get_maintenance_ratio_and_amt(
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self,
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pair: Optional[str],
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nominal_value: Optional[float]
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):
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'''
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Maintenance amt = Floor of Position Bracket on Level n *
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difference between
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Maintenance Margin Rate on Level n and
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Maintenance Margin Rate on Level n-1)
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+ Maintenance Amount on Level n-1
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https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
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'''
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if pair not in self._leverage_brackets:
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raise InvalidOrderException(f"Cannot calculate liquidation price for {pair}")
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pair_brackets = self._leverage_brackets[pair]
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for [notional_floor, mm_ratio, amt] in reversed(pair_brackets):
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if nominal_value >= notional_floor:
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return (mm_ratio, amt)
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raise OperationalException("nominal value can not be lower than 0")
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# The lowest notional_floor for any pair in loadLeverageBrackets is always 0 because it
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# describes the min amount for a bracket, and the lowest bracket will always go down to 0
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def liquidation_price_helper(
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self,
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open_rate: float, # Entry price of position
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is_short: bool,
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leverage: float,
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trading_mode: TradingMode,
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mm_ratio: float,
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collateral: Collateral,
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maintenance_amt: Optional[float] = None, # (Binance)
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position: Optional[float] = None, # (Binance and Gateio) Absolute value of position size
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wallet_balance: Optional[float] = None, # (Binance and Gateio)
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taker_fee_rate: Optional[float] = None, # (Gateio & Okex)
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liability: Optional[float] = None, # (Okex)
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interest: Optional[float] = None, # (Okex)
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position_assets: Optional[float] = None, # * (Okex) Might be same as position
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mm_ex_1: Optional[float] = 0.0, # (Binance) Cross only
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upnl_ex_1: Optional[float] = 0.0, # (Binance) Cross only
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) -> Optional[float]:
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"""
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MARGIN: https://www.binance.com/en/support/faq/f6b010588e55413aa58b7d63ee0125ed
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PERPETUAL: https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
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:param exchange_name:
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:param open_rate: (EP1) Entry price of position
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:param is_short: True if the trade is a short, false otherwise
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:param leverage: The amount of leverage on the trade
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:param trading_mode: SPOT, MARGIN, FUTURES, etc.
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:param position: Absolute value of position size (in base currency)
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:param mm_ratio: (MMR)
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# Binance's formula specifies maintenance margin rate which is mm_ratio * 100%
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:param collateral: Either ISOLATED or CROSS
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:param maintenance_amt: (CUM) Maintenance Amount of position
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:param wallet_balance: (WB)
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Cross-Margin Mode: crossWalletBalance
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Isolated-Margin Mode: isolatedWalletBalance
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:param position: Absolute value of position size (in base currency)
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# * Not required by Binance
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:param taker_fee_rate:
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:param liability:
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:param interest:
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:param position_assets:
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# * Only required for Cross
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:param mm_ex_1: (TMM)
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Cross-Margin Mode: Maintenance Margin of all other contracts, excluding Contract 1
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Isolated-Margin Mode: 0
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:param upnl_ex_1: (UPNL)
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Cross-Margin Mode: Unrealized PNL of all other contracts, excluding Contract 1.
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Isolated-Margin Mode: 0
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"""
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if trading_mode == TradingMode.SPOT:
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return None
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if not collateral:
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raise OperationalException(
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"Parameter collateral is required by liquidation_price when trading_mode is "
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f"{trading_mode}"
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)
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if (
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(wallet_balance is None or maintenance_amt is None or position is None) or
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(collateral == Collateral.CROSS and (mm_ex_1 is None or upnl_ex_1 is None))
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):
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required_params = "wallet_balance, maintenance_amt, position"
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if collateral == Collateral.CROSS:
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required_params += ", mm_ex_1, upnl_ex_1"
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raise OperationalException(
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f"Parameters {required_params} are required by Binance.liquidation_price"
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f"for {collateral.name} {trading_mode.name}"
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)
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side_1 = -1 if is_short else 1
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position = abs(position)
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cross_vars = upnl_ex_1 - mm_ex_1 if collateral == Collateral.CROSS else 0.0 # type: ignore
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if trading_mode == TradingMode.FUTURES:
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return (
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(
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(wallet_balance + cross_vars + maintenance_amt) -
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(side_1 * position * open_rate)
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) / (
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(position * mm_ratio) - (side_1 * position)
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)
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)
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raise OperationalException(
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f"Binance does not support {collateral.value} Mode {trading_mode.value} trading ")
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@ -2003,8 +2003,11 @@ class Exchange:
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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@retrier
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def get_mm_amt_rate(self, pair: str, amount: float):
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def get_maintenance_ratio_and_amt(
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self,
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pair: Optional[str],
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nominal_value: Optional[float]
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):
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'''
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:return: The maintenance amount, and maintenance margin rate
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'''
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@ -616,7 +616,7 @@ class FreqtradeBot(LoggingMixin):
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# open_rate=open_rate,
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# is_short=is_short
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# )
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maintenance_amt, mm_rate = self.exchange.get_mm_amt_rate(pair, amount)
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mm_ratio, maintenance_amt = self.exchange.get_maintenance_ratio_and_amt(pair, amount)
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if self.collateral_type == Collateral.ISOLATED:
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if self.config['dry_run']:
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@ -630,9 +630,9 @@ class FreqtradeBot(LoggingMixin):
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mm_ex_1=0.0,
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upnl_ex_1=0.0,
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position=amount * open_rate,
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wallet_balance=amount/leverage, # TODO-lev: Is this correct?
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wallet_balance=amount/leverage, # TODO: Update for cross
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maintenance_amt=maintenance_amt,
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mm_rate=mm_rate,
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mm_ratio=mm_ratio,
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)
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else:
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isolated_liq = self.exchange.get_liquidation_price(pair)
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@ -35,12 +35,12 @@ def liquidation_price(
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'''
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wallet_balance
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In Cross margin mode, WB is crossWalletBalance
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In Isolated margin mode, WB is isolatedWalletBalance of the isolated position,
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In Isolated margin mode, WB is isolatedWalletBalance of the isolated position,
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TMM=0, UPNL=0, substitute the position quantity, MMR, cum into the formula to calculate.
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Under the cross margin mode, the same ticker/symbol,
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both long and short position share the same liquidation price except in the isolated mode.
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Under the isolated mode, each isolated position will have different liquidation prices depending
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on the margin allocated to the positions.
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both long and short position share the same liquidation price except in the isolated mode.
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Under the isolated mode, each isolated position will have different liquidation prices
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depending on the margin allocated to the positions.
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position
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Absolute value of position size (in base currency)
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@ -368,7 +368,7 @@ class LocalTrade():
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wallet_balance: Optional[float] = None,
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current_price: Optional[float] = None,
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maintenance_amt: Optional[float] = None,
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mm_rate: Optional[float] = None,
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mm_ratio: Optional[float] = None,
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):
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"""
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Method you should use to set self.liquidation price.
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@ -380,6 +380,16 @@ class LocalTrade():
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"wallet balance must be passed to LocalTrade.set_isolated_liq when param"
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"isolated_liq is None"
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)
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if (
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mm_ratio is None or
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wallet_balance is None or
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current_price is None or
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maintenance_amt is None
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):
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raise OperationalException(
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'mm_ratio, wallet_balance, current_price and maintenance_amt '
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'required in set_isolated_liq when isolated_liq is None'
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)
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isolated_liq = liquidation_price(
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exchange_name=self.exchange,
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open_rate=self.open_rate,
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@ -390,9 +400,9 @@ class LocalTrade():
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mm_ex_1=0.0,
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upnl_ex_1=0.0,
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position=self.amount * current_price,
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wallet_balance=self.amount / self.leverage, # TODO-lev: Is this correct?
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wallet_balance=self.amount / self.leverage, # TODO: Update for cross
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maintenance_amt=maintenance_amt,
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mm_rate=mm_rate,
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mm_ratio=mm_ratio,
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)
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if isolated_liq is None:
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@ -173,30 +173,32 @@ def test_stoploss_adjust_binance(mocker, default_conf, sl1, sl2, sl3, side):
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def test_get_max_leverage_binance(default_conf, mocker, pair, nominal_value, max_lev):
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exchange = get_patched_exchange(mocker, default_conf, id="binance")
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exchange._leverage_brackets = {
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'BNB/BUSD': [[0.0, 0.025],
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[100000.0, 0.05],
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[500000.0, 0.1],
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[1000000.0, 0.15],
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[2000000.0, 0.25],
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[5000000.0, 0.5]],
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'BNB/USDT': [[0.0, 0.0065],
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[10000.0, 0.01],
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[50000.0, 0.02],
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[250000.0, 0.05],
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[1000000.0, 0.1],
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[2000000.0, 0.125],
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[5000000.0, 0.15],
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[10000000.0, 0.25]],
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'BTC/USDT': [[0.0, 0.004],
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[50000.0, 0.005],
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[250000.0, 0.01],
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[1000000.0, 0.025],
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[5000000.0, 0.05],
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[20000000.0, 0.1],
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[50000000.0, 0.125],
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[100000000.0, 0.15],
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[200000000.0, 0.25],
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[300000000.0, 0.5]],
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'BNB/BUSD': [[0.0, 0.025, 0.0],
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[100000.0, 0.05, 2500.0],
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[500000.0, 0.1, 27500.0],
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[1000000.0, 0.15, 77499.99999999999],
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[2000000.0, 0.25, 277500.0],
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[5000000.0, 0.5, 1527500.0]],
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'BNB/USDT': [[0.0, 0.0065, 0.0],
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[10000.0, 0.01, 35.00000000000001],
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[50000.0, 0.02, 535.0],
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[250000.0, 0.05, 8035.000000000001],
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[1000000.0, 0.1, 58035.0],
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[2000000.0, 0.125, 108034.99999999999],
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[5000000.0, 0.15, 233034.99999999994],
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[10000000.0, 0.25, 1233035.0]],
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'BTC/USDT': [[0.0, 0.004, 0.0],
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[50000.0, 0.005, 50.0],
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[250000.0, 0.01, 1300.0],
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[1000000.0, 0.025, 16300.000000000002],
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[5000000.0, 0.05, 141300.0],
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[20000000.0, 0.1, 1141300.0],
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[50000000.0, 0.125, 2391300.0],
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[100000000.0, 0.15, 4891300.0],
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[200000000.0, 0.25, 24891300.0],
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[300000000.0, 0.5, 99891300.0]
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]
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}
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assert exchange.get_max_leverage(pair, nominal_value) == max_lev
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@ -235,28 +237,28 @@ def test_fill_leverage_brackets_binance(default_conf, mocker):
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exchange.fill_leverage_brackets()
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assert exchange._leverage_brackets == {
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'ADA/BUSD': [[0.0, 0.025],
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[100000.0, 0.05],
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[500000.0, 0.1],
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[1000000.0, 0.15],
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[2000000.0, 0.25],
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[5000000.0, 0.5]],
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'BTC/USDT': [[0.0, 0.004],
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[50000.0, 0.005],
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[250000.0, 0.01],
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[1000000.0, 0.025],
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[5000000.0, 0.05],
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[20000000.0, 0.1],
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[50000000.0, 0.125],
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[100000000.0, 0.15],
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[200000000.0, 0.25],
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[300000000.0, 0.5]],
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"ZEC/USDT": [[0.0, 0.01],
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[5000.0, 0.025],
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[25000.0, 0.05],
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[100000.0, 0.1],
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[250000.0, 0.125],
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[1000000.0, 0.5]],
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'ADA/BUSD': [[0.0, 0.025, 0.0],
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[100000.0, 0.05, 2500.0],
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[500000.0, 0.1, 27500.0],
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[1000000.0, 0.15, 77499.99999999999],
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[2000000.0, 0.25, 277500.0],
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[5000000.0, 0.5, 1827500.0]],
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'BTC/USDT': [[0.0, 0.004, 0.0],
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[50000.0, 0.005, 50.0],
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[250000.0, 0.01, 1300.0],
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[1000000.0, 0.025, 16300.000000000002],
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[5000000.0, 0.05, 141300.0],
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[20000000.0, 0.1, 1141300.0],
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[50000000.0, 0.125, 2391300.0],
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[100000000.0, 0.15, 4891300.0],
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[200000000.0, 0.25, 24891300.0],
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[300000000.0, 0.5, 99891300.0]],
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"ZEC/USDT": [[0.0, 0.01, 0.0],
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[5000.0, 0.025, 75.0],
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[25000.0, 0.05, 700.0],
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[100000.0, 0.1, 5700.0],
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[250000.0, 0.125, 11949.999999999998],
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[1000000.0, 0.5, 386950.0]]
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}
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api_mock = MagicMock()
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@ -389,3 +391,49 @@ def test__ccxt_config(default_conf, mocker, trading_mode, collateral, config):
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default_conf['collateral'] = collateral
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exchange = get_patched_exchange(mocker, default_conf, id="binance")
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assert exchange._ccxt_config == config
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@pytest.mark.parametrize('pair,nominal_value,mm_ratio,amt', [
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("BNB/BUSD", 0.0, 0.025, 0),
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("BNB/USDT", 100.0, 0.0065, 0),
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("BTC/USDT", 170.30, 0.004, 0),
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("BNB/BUSD", 999999.9, 0.1, 0),
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("BNB/USDT", 5000000.0, 0.5, 0),
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("BTC/USDT", 300000000.1, 0.5, 0),
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])
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def test_get_maintenance_ratio_and_amt_binance(
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default_conf,
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mocker,
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pair,
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nominal_value,
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mm_ratio,
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amt
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):
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exchange = get_patched_exchange(mocker, default_conf, id="binance")
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exchange._leverage_brackets = {
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'BNB/BUSD': [[0.0, 0.025],
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[100000.0, 0.05],
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[500000.0, 0.1],
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[1000000.0, 0.15],
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[2000000.0, 0.25],
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[5000000.0, 0.5]],
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'BNB/USDT': [[0.0, 0.0065],
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[10000.0, 0.01],
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[50000.0, 0.02],
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[250000.0, 0.05],
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[1000000.0, 0.1],
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[2000000.0, 0.125],
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[5000000.0, 0.15],
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[10000000.0, 0.25]],
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'BTC/USDT': [[0.0, 0.004],
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[50000.0, 0.005],
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[250000.0, 0.01],
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[1000000.0, 0.025],
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[5000000.0, 0.05],
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[20000000.0, 0.1],
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[50000000.0, 0.125],
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[100000000.0, 0.15],
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[200000000.0, 0.25],
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[300000000.0, 0.5]],
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}
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assert exchange.get_max_leverage(pair, nominal_value) == max_lev
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@ -90,7 +90,7 @@ def test_liquidation_price_exception_thrown(
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@pytest.mark.parametrize(
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'exchange_name, is_short, leverage, trading_mode, collateral, wallet_balance, '
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'mm_ex_1, upnl_ex_1, maintenance_amt, position, open_rate, '
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'mm_rate, expected',
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'mm_ratio, expected',
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[
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("binance", False, 1, TradingMode.FUTURES, Collateral.ISOLATED, 1535443.01, 0.0,
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0.0, 135365.00, 3683.979, 1456.84, 0.10, 1114.78),
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@ -103,7 +103,7 @@ def test_liquidation_price_exception_thrown(
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])
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def test_liquidation_price(
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exchange_name, open_rate, is_short, leverage, trading_mode, collateral, wallet_balance,
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mm_ex_1, upnl_ex_1, maintenance_amt, position, mm_rate, expected
|
||||
mm_ex_1, upnl_ex_1, maintenance_amt, position, mm_ratio, expected
|
||||
):
|
||||
assert isclose(round(liquidation_price(
|
||||
exchange_name=exchange_name,
|
||||
|
|
@ -117,5 +117,5 @@ def test_liquidation_price(
|
|||
upnl_ex_1=upnl_ex_1,
|
||||
maintenance_amt=maintenance_amt,
|
||||
position=position,
|
||||
mm_rate=mm_rate
|
||||
mm_ratio=mm_ratio
|
||||
), 2), expected)
|
||||
|
|
|
|||
Loading…
Reference in New Issue