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Binance Liquidation Price Hedge-Mode Removed

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This commit is contained in:
Arunavo Ray 2021-09-19 10:18:28 +05:30
parent 13331e4dc7
commit 6a81730a74
3 changed files with 29 additions and 79 deletions
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1
freqtrade/enums/__init__.py
View File

@ -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

10
freqtrade/enums/marginmode.py
View File

@ -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"

97
freqtrade/leverage/liquidation_price.py
View File

@ -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)
exception("ftx", trading_mode, collateral)