Revert "Added Formulas to Calculate Liquidation Price of Binance USDⓈ-M Futures Contracts"

This reverts commit d343e84507.

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

freqtrade/enums/marginmode.py

@@ -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"

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,
+    collateral: Collateral
-    margin_mode: Optional[MarginMode]
 ):
     """
         Raises an exception if exchange used doesn't support desired leverage mode
-        :param exchange: Name of the exchange
+        :param name: 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} {trading_mode.value} trading")
 
 
 def binance(
     open_rate: float,
     is_short: bool,
     leverage: float,
-    margin_mode: MarginMode,
     trading_mode: TradingMode,
-    collateral: Collateral,
+    collateral: Collateral
-    **kwargs
 ):
-    r"""
+    """
         Calculates the liquidation price on Binance
-        :param open_rate: open_rate
+        :param name: Name of the exchange
-        :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
-
-        :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)
+        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)
-
     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
+        exception("binance", trading_mode, collateral)
-
+    elif trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
-        if margin_mode == MarginMode.HEDGE:
+        # TODO-lev: perform a calculation based on this formula
-            return (wb - tmm_1 + upnl_1 + cum_l + cum_s - (position_1_long * ep1_long) + (
+        # https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
-                        position_1_short * ep1_short)) / (
+        exception("binance", trading_mode, collateral)
-                               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)
 
     # 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 name: Name of the exchange
-        :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
     """
@@ -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 name: Name of the exchange
-        :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
     """
     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)