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merged with aranova4/feat/binance_liq

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This commit is contained in:
Sam Germain 2021-09-19 00:04:47 -06:00
commit 6ec4432c92
2 changed files with 53 additions and 109 deletions
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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"

126
freqtrade/leverage/liquidation_price.py
View File

@ -1,6 +1,6 @@
from typing import Optional from typing import Optional
from freqtrade.enums import Collateral, TradingMode, MarginMode from freqtrade.enums import Collateral, TradingMode
from freqtrade.exceptions import OperationalException from freqtrade.exceptions import OperationalException
@ -11,7 +11,13 @@ def liquidation_price(
leverage: float, leverage: float,
trading_mode: TradingMode, trading_mode: TradingMode,
collateral: Optional[Collateral], 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]: ) -> Optional[float]:
if trading_mode == TradingMode.SPOT: if trading_mode == TradingMode.SPOT:
return None return None
@ -23,11 +29,16 @@ def liquidation_price(
) )
if exchange_name.lower() == "binance": 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( 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": elif exchange_name.lower() == "kraken":
return kraken(open_rate, is_short, leverage, trading_mode, collateral) return kraken(open_rate, is_short, leverage, trading_mode, collateral)
elif exchange_name.lower() == "ftx": elif exchange_name.lower() == "ftx":
@ -41,127 +52,76 @@ def exception(
exchange: str, exchange: str,
trading_mode: TradingMode, trading_mode: TradingMode,
collateral: Collateral, collateral: Collateral,
margin_mode: Optional[MarginMode] = None
): ):
""" """
Raises an exception if exchange used doesn't support desired leverage mode Raises an exception if exchange used doesn't support desired leverage mode
:param exchange: Name of the exchange :param exchange: Name of the exchange
:param margin_mode: one-way or hedge
:param trading_mode: spot, margin, futures :param trading_mode: spot, margin, futures
:param collateral: cross, isolated :param collateral: cross, isolated
""" """
if not margin_mode:
raise OperationalException(
f"{exchange} does not support {collateral.value} {trading_mode.value} trading ")
raise OperationalException( 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( def binance(
open_rate: float, open_rate: float,
is_short: bool, is_short: bool,
leverage: float, leverage: float,
margin_mode: MarginMode,
trading_mode: TradingMode, trading_mode: TradingMode,
collateral: Collateral, collateral: Collateral,
**kwargs wallet_balance: float,
maintenance_margin_ex_1: float,
unrealized_pnl_ex_1: float,
maintenance_amount_both: float,
position_1_both: float,
entry_price_1_both: float,
maintenance_margin_rate_both: float,
): ):
r""" r"""
Calculates the liquidation price on Binance Calculates the liquidation price on Binance
:param open_rate: open_rate :param open_rate: open_rate
:param is_short: true or false :param is_short: true or false
:param leverage: leverage in float :param leverage: leverage in float
:param margin_mode: one-way or hedge
:param trading_mode: spot, margin, futures :param trading_mode: spot, margin, futures
:param collateral: cross, isolated :param collateral: cross, isolated
:param \**kwargs: :param wallet_balance: Wallet Balance is crossWalletBalance in Cross-Margin Mode.
See below
:Keyword Arguments:
* *wallet_balance* (``float``) --
Wallet Balance is crossWalletBalance in Cross-Margin Mode
Wallet Balance is isolatedWalletBalance in Isolated Margin Mode Wallet Balance is isolatedWalletBalance in Isolated Margin Mode
* *maintenance_margin_ex_1* (``float``) -- :param maintenance_margin_ex_1: Maintenance Margin of all other contracts, excluding Contract 1.
Maintenance Margin of all other contracts, excluding Contract 1.
If it is an isolated margin mode, then TMM=0 If it is an isolated margin mode, then TMM=0
* *unrealized_pnl_ex_1* (``float``) -- :param unrealized_pnl_ex_1: Unrealized PNL of all other contracts, excluding Contract 1.
Unrealized PNL of all other contracts, excluding Contract 1.
If it is an isolated margin mode, then UPNL=0 If it is an isolated margin mode, then UPNL=0
* *maintenance_amount_both* (``float``) -- :param maintenance_amount_both: Maintenance Amount of BOTH position (one-way mode)
Maintenance Amount of BOTH position (one-way mode)
* *maintenance_amount_long* (``float``) -- :param position_1_both: Absolute value of BOTH position size (one-way mode)
Maintenance Amount of LONG position (hedge mode)
* *maintenance_amount_short* (``float``) -- :param entry_price_1_both: Entry Price of BOTH position (one-way mode)
Maintenance Amount of SHORT position (hedge mode)
* *side_1_both* (``int``) -- :param maintenance_margin_rate_both: Maintenance margin rate of BOTH position (one-way mode)
Direction of BOTH position, 1 as long position, -1 as short position
Derived from is_short
* *position_1_both* (``float``) --
Absolute value of BOTH position size (one-way mode)
* *entry_price_1_both* (``float``) --
Entry Price of BOTH position (one-way mode)
* *position_1_long* (``float``) --
Absolute value of LONG position size (hedge mode)
* *entry_price_1_long* (``float``) --
Entry Price of LONG position (hedge mode)
* *position_1_short* (``float``) --
Absolute value of SHORT position size (hedge mode)
* *entry_price_1_short* (``float``) --
Entry Price of SHORT position (hedge mode)
* *maintenance_margin_rate_both* (``float``) --
Maintenance margin rate of BOTH position (one-way mode)
* *maintenance_margin_rate_long* (``float``) --
Maintenance margin rate of LONG position (hedge mode)
* *maintenance_margin_rate_short* (``float``) --
Maintenance margin rate of SHORT position (hedge mode)
""" """
# TODO-lev: Additional arguments, fill in formulas # TODO-lev: Additional arguments, fill in formulas
wb = kwargs.get("wallet_balance") wb = wallet_balance
tmm_1 = 0.0 if collateral == Collateral.ISOLATED else kwargs.get("maintenance_margin_ex_1") tmm_1 = 0.0 if collateral == Collateral.ISOLATED else maintenance_margin_ex_1
upnl_1 = 0.0 if collateral == Collateral.ISOLATED else kwargs.get("unrealized_pnl_ex_1") upnl_1 = 0.0 if collateral == Collateral.ISOLATED else unrealized_pnl_ex_1
cum_b = kwargs.get("maintenance_amount_both") cum_b = maintenance_amount_both
cum_l = kwargs.get("maintenance_amount_long")
cum_s = kwargs.get("maintenance_amount_short")
side_1_both = -1 if is_short else 1 side_1_both = -1 if is_short else 1
position_1_both = abs(kwargs.get("position_1_both")) position_1_both = abs(position_1_both)
ep1_both = kwargs.get("entry_price_1_both") ep1_both = entry_price_1_both
position_1_long = abs(kwargs.get("position_1_long")) mmr_b = maintenance_margin_rate_both
ep1_long = kwargs.get("entry_price_1_long")
position_1_short = abs(kwargs.get("position_1_short"))
ep1_short = kwargs.get("entry_price_1_short")
mmr_b = kwargs.get("maintenance_margin_rate_both")
mmr_l = kwargs.get("maintenance_margin_rate_long")
mmr_s = kwargs.get("maintenance_margin_rate_short")
if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS: if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS:
# TODO-lev: perform a calculation based on this formula # TODO-lev: perform a calculation based on this formula
# https://www.binance.com/en/support/faq/f6b010588e55413aa58b7d63ee0125ed # 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: elif trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
# https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93 # https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
# Liquidation Price of USDⓈ-M Futures Contracts Isolated # 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 # Isolated margin mode, then TMM=0，UPNL=0
return (wb + cum_b - (side_1_both * position_1_both * ep1_both)) / ( return (wb + cum_b - (side_1_both * position_1_both * ep1_both)) / (
position_1_both * mmr_b - side_1_both * position_1_both) position_1_both * mmr_b - side_1_both * position_1_both)
@ -170,18 +130,12 @@ def binance(
# https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93 # https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
# Liquidation Price of USDⓈ-M Futures Contracts Cross # 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 # Isolated margin mode, then TMM=0，UPNL=0
return (wb - tmm_1 + upnl_1 + cum_b - (side_1_both * position_1_both * ep1_both)) / ( 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) position_1_both * mmr_b - side_1_both * position_1_both)
# If nothing was returned # If nothing was returned
exception("binance", trading_mode, collateral, margin_mode) exception("binance", trading_mode, collateral)
def kraken( def kraken(