diff --git a/freqtrade/enums/__init__.py b/freqtrade/enums/__init__.py index 9c6788f6c..4eb0ce307 100644 --- a/freqtrade/enums/__init__.py +++ b/freqtrade/enums/__init__.py @@ -9,4 +9,3 @@ from freqtrade.enums.selltype import SellType from freqtrade.enums.signaltype import SignalDirection, 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 383d598b4..62199a657 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 @@ -12,6 +12,7 @@ def liquidation_price( trading_mode: TradingMode, collateral: Optional[Collateral] ) -> Optional[float]: + if trading_mode == TradingMode.SPOT: return None @@ -35,164 +36,60 @@ def liquidation_price( def exception( exchange: str, trading_mode: TradingMode, - collateral: Collateral, - margin_mode: Optional[MarginMode] + collateral: Collateral ): """ 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 name: Name of the exchange :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} {trading_mode.value} trading") def binance( open_rate: float, is_short: bool, leverage: float, - margin_mode: MarginMode, trading_mode: TradingMode, - collateral: Collateral, - **kwargs + collateral: Collateral ): - 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 name: Name of the exchange :param trading_mode: spot, margin, futures :param collateral: cross, isolated - - :param \**kwargs: - See below - - :Keyword Arguments: - * *wallet_balance* (``float``) -- - Wallet Balance is crossWalletBalance in Cross-Margin Mode - Wallet Balance is isolatedWalletBalance in Isolated Margin Mode - - * *maintenance_margin_ex_1* (``float``) -- - Maintenance Margin of all other contracts, excluding Contract 1. - If it is an isolated margin mode, then TMM=0 - - * *unrealized_pnl_ex_1* (``float``) -- - Unrealized PNL of all other contracts, excluding Contract 1. - If it is an isolated margin mode, then UPNL=0 - - * *maintenance_amount_both* (``float``) -- - Maintenance Amount of BOTH position (one-way mode) - - * *maintenance_amount_long* (``float``) -- - Maintenance Amount of LONG position (hedge mode) - - * *maintenance_amount_short* (``float``) -- - Maintenance Amount of SHORT position (hedge mode) - - * *side_1_both* (``int``) -- - 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 - wb = kwargs.get("wallet_balance") - tmm_1 = 0.0 if collateral == Collateral.ISOLATED else kwargs.get("maintenance_margin_ex_1") - upnl_1 = 0.0 if collateral == Collateral.ISOLATED else kwargs.get("unrealized_pnl_ex_1") - cum_b = kwargs.get("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 - position_1_both = abs(kwargs.get("position_1_both")) - ep1_both = kwargs.get("entry_price_1_both") - position_1_long = abs(kwargs.get("position_1_long")) - 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: # TODO-lev: perform a calculation based on this formula # https://www.binance.com/en/support/faq/f6b010588e55413aa58b7d63ee0125ed - exception("binance", trading_mode, collateral, margin_mode) - 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) - + exception("binance", trading_mode, collateral) elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS: + # TODO-lev: perform a calculation based on this formula # 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) + exception("binance", trading_mode, collateral) + elif trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED: + # TODO-lev: perform a calculation based on this formula + # https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93 + exception("binance", trading_mode, collateral) # If nothing was returned - exception("binance", trading_mode, collateral, margin_mode) + exception("binance", trading_mode, collateral) def kraken( open_rate: float, is_short: bool, leverage: float, - margin_mode: MarginMode, trading_mode: TradingMode, collateral: Collateral ): """ Calculates the liquidation price on Kraken - :param open_rate: open_rate - :param is_short: true or false - :param leverage: leverage in float - :param margin_mode: one-way or hedge + :param name: Name of the exchange :param trading_mode: spot, margin, futures :param collateral: cross, isolated """ @@ -204,32 +101,28 @@ 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, margin_mode) + exception("kraken", trading_mode, collateral) # If nothing was returned - exception("kraken", trading_mode, collateral, margin_mode) + exception("kraken", trading_mode, collateral) def ftx( open_rate: float, is_short: bool, leverage: float, - margin_mode: MarginMode, trading_mode: TradingMode, collateral: Collateral ): """ Calculates the liquidation price on FTX - :param open_rate: open_rate - :param is_short: true or false - :param leverage: leverage in float - :param margin_mode: one-way or hedge + :param name: Name of the exchange :param trading_mode: spot, margin, futures :param collateral: cross, isolated """ if collateral == Collateral.CROSS: # TODO-lev: Additional arguments, fill in formulas - exception("ftx", trading_mode, collateral, margin_mode) + exception("ftx", trading_mode, collateral) # If nothing was returned - exception("ftx", trading_mode, collateral, margin_mode) + exception("ftx", trading_mode, collateral)