From 6dbd249570d07d7519efbfc3e2e08a8e40e1a5c5 Mon Sep 17 00:00:00 2001
From: Sam Germain <sam.germain@usask.ca>
Date: Sat, 26 Feb 2022 10:07:00 -0600
Subject: [PATCH] backtesting._enter_trade get liquidation_price and
 backtesting._leverage_prep

---
 freqtrade/optimize/backtesting.py | 50 +++++++++++++++++++++++++++++--
 1 file changed, 48 insertions(+), 2 deletions(-)

diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index 0e3a70a93..3b26b4de6 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -591,6 +591,42 @@ class Backtesting:
         else:
             return self._get_sell_trade_entry_for_candle(trade, sell_row)
 
+    def _leverage_prep(
+        self,
+        pair: str,
+        open_rate: float,
+        amount: float,  # quote currency, includes leverage
+        leverage: float,
+        is_short: bool
+    ) -> Tuple[float, Optional[float]]:
+
+        # if TradingMode == TradingMode.MARGIN:
+        #     interest_rate = self.exchange.get_interest_rate(
+        #         pair=pair,
+        #         open_rate=open_rate,
+        #         is_short=is_short
+        #     )
+        if self.trading_mode == TradingMode.SPOT:
+            return (0.0, None)
+        elif (
+            self.margin_mode == MarginMode.ISOLATED and
+            self.trading_mode == TradingMode.FUTURES
+        ):
+            wallet_balance = (amount * open_rate)/leverage
+            isolated_liq = self.exchange.get_liquidation_price(
+                pair=pair,
+                open_rate=open_rate,
+                is_short=is_short,
+                position=amount,
+                wallet_balance=wallet_balance,
+                mm_ex_1=0.0,
+                upnl_ex_1=0.0,
+            )
+            return (0.0, isolated_liq)
+        else:
+            raise OperationalException(
+                "Freqtrade only supports isolated futures for leverage trading")
+
     def _enter_trade(self, pair: str, row: Tuple, direction: str,
                      stake_amount: Optional[float] = None,
                      trade: Optional[LocalTrade] = None) -> Optional[LocalTrade]:
@@ -666,6 +702,14 @@ class Backtesting:
             amount = round((stake_amount / propose_rate) * leverage, 8)
             if trade is None:
                 # Enter trade
+                is_short = (direction == 'short')
+                (interest_rate, isolated_liq) = self._leverage_prep(
+                    pair=pair,
+                    open_rate=propose_rate,
+                    amount=amount,
+                    leverage=leverage,
+                    is_short=is_short,
+                )
                 self.trade_id_counter += 1
                 trade = LocalTrade(
                     id=self.trade_id_counter,
@@ -682,10 +726,12 @@ class Backtesting:
                     is_open=True,
                     enter_tag=entry_tag,
                     exchange=self._exchange_name,
-                    is_short=(direction == 'short'),
+                    is_short=is_short,
                     trading_mode=self.trading_mode,
                     leverage=leverage,
-                    orders=[]
+                    interest_rate=interest_rate,
+                    isolated_liq=isolated_liq,
+                    orders=[],
                 )
 
             trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True)