moved fill_leverage_brackets and get_max_leverage to base exchange class, wrote parse_leverage_tier and load_leverage_brackets
This commit is contained in:
Sam Germain
@@ -128,128 +128,6 @@ class Binance(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 fill_leverage_brackets(self) -> None:
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"""
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Assigns property _leverage_brackets to a dictionary of information about the leverage
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allowed on each pair
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After exectution, self._leverage_brackets = {
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"pair_name": [
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[notional_floor, maintenenace_margin_ratio, maintenance_amt],
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...
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],
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...
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}
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e.g. {
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"ETH/USDT:USDT": [
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[0.0, 0.01, 0.0],
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[10000, 0.02, 0.01],
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...
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],
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...
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}
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"""
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if self.trading_mode == TradingMode.FUTURES:
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try:
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if self._config['dry_run']:
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leverage_brackets_path = (
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Path(__file__).parent / 'binance_leverage_tiers.json'
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)
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with open(leverage_brackets_path) as json_file:
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leverage_brackets = json.load(json_file)
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else:
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leverage_brackets = self._api.fetch_leverage_tiers()
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for pair, tiers in leverage_brackets.items():
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brackets = []
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for tier in tiers:
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info = tier['info']
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brackets.append({
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'min': tier['notionalFloor'],
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'max': tier['notionalCap'],
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'mmr': tier['maintenanceMarginRatio'],
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'lev': tier['maxLeverage'],
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'maintAmt': float(info['cum']) if 'cum' in info else None,
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})
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self._leverage_brackets[pair] = brackets
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except ccxt.DDoSProtection as e:
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raise DDosProtection(e) from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(f'Could not fetch leverage amounts due to'
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f'{e.__class__.__name__}. Message: {e}') from e
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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def get_max_leverage(self, pair: str, stake_amount: Optional[float]) -> float:
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"""
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Returns the maximum leverage that a pair can be traded at
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:param pair: The base/quote currency pair being traded
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:stake_amount: The total value of the traders margin_mode in quote currency
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"""
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if self.trading_mode == TradingMode.SPOT:
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return 1.0
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if self._api.has['fetchLeverageTiers']:
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# Checks and edge cases
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if stake_amount is None:
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raise OperationalException(
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'binance.get_max_leverage requires argument stake_amount')
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if pair not in self._leverage_brackets: # Not a leveraged market
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return 1.0
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if stake_amount == 0:
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return self._leverage_brackets[pair][0]['lev'] # Max lev for lowest amount
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pair_brackets = self._leverage_brackets[pair]
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num_brackets = len(pair_brackets)
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for bracket_index in range(num_brackets):
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bracket = pair_brackets[bracket_index]
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lev = bracket['lev']
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if bracket_index < num_brackets - 1:
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next_bracket = pair_brackets[bracket_index+1]
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next_floor = next_bracket['min'] / next_bracket['lev']
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if next_floor > stake_amount: # Next bracket min too high for stake amount
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return min((bracket['max'] / stake_amount), lev)
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#
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# With the two leverage brackets below,
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# - a stake amount of 150 would mean a max leverage of (10000 / 150) = 66.66
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# - stakes below 133.33 = max_lev of 75
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# - stakes between 133.33-200 = max_lev of 10000/stake = 50.01-74.99
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# - stakes from 200 + 1000 = max_lev of 50
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#
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# {
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# "min": 0, # stake = 0.0
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# "max": 10000, # max_stake@75 = 10000/75 = 133.33333333333334
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# "lev": 75,
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# },
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# {
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# "min": 10000, # stake = 200.0
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# "max": 50000, # max_stake@50 = 50000/50 = 1000.0
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# "lev": 50,
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# }
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#
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else: # if on the last bracket
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if stake_amount > bracket['max']: # If stake is > than max tradeable amount
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raise InvalidOrderException(f'Amount {stake_amount} too high for {pair}')
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else:
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return bracket['lev']
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raise OperationalException(
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'Looped through all tiers without finding a max leverage. Should never be reached'
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)
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else: # Search markets.limits for max lev
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market = self.markets[pair]
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if market['limits']['leverage']['max'] is not None:
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return market['limits']['leverage']['max']
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else:
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return 1.0 # Default if max leverage cannot be found
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@retrier
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def _set_leverage(
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self,
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@@ -367,3 +245,16 @@ class Binance(Exchange):
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else:
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raise OperationalException(
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"Freqtrade only supports isolated futures for leverage trading")
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def load_leverage_brackets(self) -> Dict[str, List[Dict]]:
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if self._config['dry_run']:
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leverage_brackets_path = (
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Path(__file__).parent / 'binance_leverage_tiers.json'
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)
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leverage_brackets = {}
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with open(leverage_brackets_path) as json_file:
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leverage_brackets = json.load(json_file)
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return leverage_brackets
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else:
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leverage_brackets = self._api.fetch_leverage_tiers()
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return leverage_brackets
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