integrated liqformula into persistence/models, Added skeleton functions for maintenance margin, added maintenance_margin to freqtradebot

freqtrade/freqtradebot.py

@@ -16,10 +16,11 @@ from freqtrade.configuration import validate_config_consistency
 from freqtrade.data.converter import order_book_to_dataframe
 from freqtrade.data.dataprovider import DataProvider
 from freqtrade.edge import Edge
-from freqtrade.enums import RPCMessageType, SellType, State
+from freqtrade.enums import RPCMessageType, SellType, State, TradingMode
 from freqtrade.exceptions import (DependencyException, ExchangeError, InsufficientFundsError,
                                   InvalidOrderException, PricingError)
 from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
+from freqtrade.maintenance_margin import MaintenanceMargin
 from freqtrade.misc import safe_value_fallback, safe_value_fallback2
 from freqtrade.mixins import LoggingMixin
 from freqtrade.persistence import Order, PairLocks, Trade, cleanup_db, init_db
@@ -102,6 +103,17 @@ class FreqtradeBot(LoggingMixin):
         self._sell_lock = Lock()
         LoggingMixin.__init__(self, logger, timeframe_to_seconds(self.strategy.timeframe))
 
+        if self.config.get("trading_mode"):
+            self.trading_mode = TradingMode(self.config.get("trading_mode"))
+
+        # Start calculating maintenance margin if on cross margin
+        # TODO: Add margin_mode to freqtrade.configuration?
+        if self.config.get('collateral') == "cross":
+            self.maintenance_margin = MaintenanceMargin(
+                exchange_name=self.exchange.name,
+                trading_mode=self.trading_mode)
+            self.maintenance_margin.run
+
     def notify_status(self, msg: str) -> None:
         """
         Public method for users of this class (worker, etc.) to send notifications

freqtrade/maintenance_margin.py

@@ -0,0 +1,52 @@
+from typing import List
+
+from freqtrade.enums import TradingMode
+from freqtrade.leverage import liquidation_price
+from freqtrade.persistence import Trade
+
+
+class MaintenanceMargin:
+
+    trades: List[Trade]
+    exchange_name: str
+    trading_mode: TradingMode
+
+    @property
+    def margin_level(self):
+        # This is the current value of all assets,
+        # and if you pass below liq_level, you are liquidated
+        # TODO: Add args to formula
+        return liquidation_price(
+            trading_mode=self.trading_mode,
+            exchange_name=self.exchange_name
+        )
+
+    @property
+    def liq_level(self):    # This may be a constant value and may not need a function
+        # TODO-lev: The is the value that you are liquidated at
+        return              # If constant, would need to be recalculated after each new trade
+
+    def __init__(self, exchange_name: str, trading_mode: TradingMode):
+        self.exchange_name = exchange_name
+        self.trading_mode = trading_mode
+        return
+
+    def add_new_trade(self, trade):
+        self.trades.append(trade)
+
+    def remove_trade(self, trade):
+        self.trades.remove(trade)
+
+    # ? def update_trade_pric(self):
+
+    def sell_all(self):
+        # TODO-lev
+        return
+
+    def run(self):
+        # TODO-lev: implement a thread that constantly updates with every price change,
+        # TODO-lev: must update at least every few seconds or so
+        # while true:
+        #   if self.margin_level <= self.liq_level:
+        #       self.sell_all()
+        return