From 6a81730a74847edd6e431fe6ede299ac0639174e Mon Sep 17 00:00:00 2001 From: Arunavo Ray Date: Sun, 19 Sep 2021 10:18:28 +0530 Subject: [PATCH] Binance Liquidation Price Hedge-Mode Removed --- freqtrade/enums/__init__.py | 1 - freqtrade/enums/marginmode.py | 10 --- freqtrade/leverage/liquidation_price.py | 97 ++++++++----------------- 3 files changed, 29 insertions(+), 79 deletions(-) delete mode 100644 freqtrade/enums/marginmode.py diff --git a/freqtrade/enums/__init__.py b/freqtrade/enums/__init__.py index 610b5cf43..692a7fcb6 100644 --- a/freqtrade/enums/__init__.py +++ b/freqtrade/enums/__init__.py @@ -7,4 +7,3 @@ from freqtrade.enums.selltype import SellType from freqtrade.enums.signaltype import SignalTagType, SignalType from freqtrade.enums.state import State from freqtrade.enums.tradingmode import TradingMode -from freqtrade.enums.marginmode import MarginMode diff --git a/freqtrade/enums/marginmode.py b/freqtrade/enums/marginmode.py deleted file mode 100644 index 80df6e6fa..000000000 --- a/freqtrade/enums/marginmode.py +++ /dev/null @@ -1,10 +0,0 @@ -from enum import Enum - - -class MarginMode(Enum): - """ - Enum to distinguish between - one-way mode or hedge mode in Futures (Cross and Isolated) or Margin Trading - """ - ONE_WAY = "one-way" - HEDGE = "hedge" diff --git a/freqtrade/leverage/liquidation_price.py b/freqtrade/leverage/liquidation_price.py index 2379875ac..8a9063a81 100644 --- a/freqtrade/leverage/liquidation_price.py +++ b/freqtrade/leverage/liquidation_price.py @@ -1,6 +1,6 @@ from typing import Optional -from freqtrade.enums import Collateral, TradingMode, MarginMode +from freqtrade.enums import Collateral, TradingMode from freqtrade.exceptions import OperationalException @@ -11,7 +11,13 @@ def liquidation_price( leverage: float, trading_mode: TradingMode, collateral: Optional[Collateral], - margin_mode: Optional[MarginMode] + wallet_balance: Optional[float], + maintenance_margin_ex_1: Optional[float], + unrealized_pnl_ex_1: Optional[float], + maintenance_amount_both: Optional[float], + position_1_both: Optional[float], + entry_price_1_both: Optional[float], + maintenance_margin_rate_both: Optional[float] ) -> Optional[float]: if trading_mode == TradingMode.SPOT: return None @@ -23,11 +29,16 @@ def liquidation_price( ) if exchange_name.lower() == "binance": - if not margin_mode: + if not wallet_balance or not maintenance_margin_ex_1 or not unrealized_pnl_ex_1 or not maintenance_amount_both \ + or not position_1_both or not entry_price_1_both or not maintenance_margin_rate_both: raise OperationalException( - f"Parameter margin_mode is required by liquidation_price when exchange is {trading_mode}") + f"Parameters wallet_balance, maintenance_margin_ex_1, unrealized_pnl_ex_1, maintenance_amount_both, " + f"position_1_both, entry_price_1_both, maintenance_margin_rate_both is required by liquidation_price " + f"when exchange is {exchange_name.lower()}") - return binance(open_rate, is_short, leverage, margin_mode, trading_mode, collateral) + return binance(open_rate, is_short, leverage, trading_mode, collateral, wallet_balance, maintenance_margin_ex_1, + unrealized_pnl_ex_1, maintenance_amount_both, position_1_both, entry_price_1_both, + maintenance_margin_rate_both) elif exchange_name.lower() == "kraken": return kraken(open_rate, is_short, leverage, trading_mode, collateral) elif exchange_name.lower() == "ftx": @@ -41,52 +52,37 @@ def exception( exchange: str, trading_mode: TradingMode, collateral: Collateral, - margin_mode: Optional[MarginMode] = None ): """ Raises an exception if exchange used doesn't support desired leverage mode :param exchange: Name of the exchange - :param margin_mode: one-way or hedge :param trading_mode: spot, margin, futures :param collateral: cross, isolated """ - if not margin_mode: - raise OperationalException( - f"{exchange} does not support {collateral.value} {trading_mode.value} trading ") raise OperationalException( - f"{exchange} does not support {collateral.value} {margin_mode.value} Mode {trading_mode.value} trading ") + f"{exchange} does not support {collateral.value} Mode {trading_mode.value} trading ") def binance( open_rate: float, is_short: bool, leverage: float, - margin_mode: MarginMode, trading_mode: TradingMode, collateral: Collateral, wallet_balance: float, maintenance_margin_ex_1: float, unrealized_pnl_ex_1: float, maintenance_amount_both: float, - maintenance_amount_long: float, - maintenance_amount_short: float, position_1_both: float, entry_price_1_both: float, - position_1_long: float, - entry_price_1_long: float, - position_1_short: float, - entry_price_1_short: float, maintenance_margin_rate_both: float, - maintenance_margin_rate_long: float, - maintenance_margin_rate_short: float, ): r""" Calculates the liquidation price on Binance :param open_rate: open_rate :param is_short: true or false :param leverage: leverage in float - :param margin_mode: one-way or hedge :param trading_mode: spot, margin, futures :param collateral: cross, isolated @@ -101,80 +97,45 @@ def binance( :param maintenance_amount_both: Maintenance Amount of BOTH position (one-way mode) - :param maintenance_amount_long: Maintenance Amount of LONG position (hedge mode) - - :param maintenance_amount_short: Maintenance Amount of SHORT position (hedge mode) - - :param side_1_both: Direction of BOTH position, 1 as long position, -1 as short position derived from is_short - :param position_1_both: Absolute value of BOTH position size (one-way mode) :param entry_price_1_both: Entry Price of BOTH position (one-way mode) - :param position_1_long: Absolute value of LONG position size (hedge mode) - - :param entry_price_1_long: Entry Price of LONG position (hedge mode) - - :param position_1_short: Absolute value of SHORT position size (hedge mode) - - :param entry_price_1_short: Entry Price of SHORT position (hedge mode) - :param maintenance_margin_rate_both: Maintenance margin rate of BOTH position (one-way mode) - :param maintenance_margin_rate_long: Maintenance margin rate of LONG position (hedge mode) - - :param maintenance_margin_rate_short: Maintenance margin rate of SHORT position (hedge mode) """ # TODO-lev: Additional arguments, fill in formulas wb = wallet_balance tmm_1 = 0.0 if collateral == Collateral.ISOLATED else maintenance_margin_ex_1 upnl_1 = 0.0 if collateral == Collateral.ISOLATED else unrealized_pnl_ex_1 cum_b = maintenance_amount_both - cum_l = maintenance_amount_long - cum_s = maintenance_amount_short side_1_both = -1 if is_short else 1 position_1_both = abs(position_1_both) ep1_both = entry_price_1_both - position_1_long = abs(position_1_long) - ep1_long = entry_price_1_long - position_1_short = abs(position_1_short) - ep1_short = entry_price_1_short mmr_b = maintenance_margin_rate_both - mmr_l = maintenance_margin_rate_long - mmr_s = maintenance_margin_rate_short if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS: # TODO-lev: perform a calculation based on this formula # https://www.binance.com/en/support/faq/f6b010588e55413aa58b7d63ee0125ed - exception("binance", trading_mode, collateral, margin_mode) + exception("binance", trading_mode, collateral) elif trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED: # https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93 # Liquidation Price of USDⓈ-M Futures Contracts Isolated - if margin_mode == MarginMode.HEDGE: - exception("binance", trading_mode, collateral, margin_mode) - - elif margin_mode == MarginMode.ONE_WAY: - # Isolated margin mode, then TMM=0，UPNL=0 - return (wb + cum_b - (side_1_both * position_1_both * ep1_both)) / ( - position_1_both * mmr_b - side_1_both * position_1_both) + # Isolated margin mode, then TMM=0，UPNL=0 + return (wb + cum_b - (side_1_both * position_1_both * ep1_both)) / ( + position_1_both * mmr_b - side_1_both * position_1_both) elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS: # https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93 # Liquidation Price of USDⓈ-M Futures Contracts Cross - if margin_mode == MarginMode.HEDGE: - return (wb - tmm_1 + upnl_1 + cum_l + cum_s - (position_1_long * ep1_long) + ( - position_1_short * ep1_short)) / ( - position_1_long * mmr_l + position_1_short * mmr_s - position_1_long + position_1_short) - - elif margin_mode == MarginMode.ONE_WAY: - # Isolated margin mode, then TMM=0，UPNL=0 - return (wb - tmm_1 + upnl_1 + cum_b - (side_1_both * position_1_both * ep1_both)) / ( - position_1_both * mmr_b - side_1_both * position_1_both) + # Isolated margin mode, then TMM=0，UPNL=0 + return (wb - tmm_1 + upnl_1 + cum_b - (side_1_both * position_1_both * ep1_both)) / ( + position_1_both * mmr_b - side_1_both * position_1_both) # If nothing was returned - exception("binance", trading_mode, collateral, margin_mode) + exception("binance", trading_mode, collateral) def kraken( @@ -200,10 +161,10 @@ def kraken( # TODO-lev: perform a calculation based on this formula # https://support.kraken.com/hc/en-us/articles/203325763-Margin-Call-Level-and-Margin-Liquidation-Level elif trading_mode == TradingMode.FUTURES: - exception("kraken", trading_mode, collateral) + exception("kraken", trading_mode, collateral) # If nothing was returned - exception("kraken", trading_mode, collateral) + exception("kraken", trading_mode, collateral) def ftx( @@ -223,7 +184,7 @@ def ftx( """ if collateral == Collateral.CROSS: # TODO-lev: Additional arguments, fill in formulas - exception("ftx", trading_mode, collateral) + exception("ftx", trading_mode, collateral) # If nothing was returned - exception("ftx", trading_mode, collateral) \ No newline at end of file + exception("ftx", trading_mode, collateral)