Okex and Gateio liquidation_price formula are the same, moved liquidation_price to exchange.exchange class
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Sam Germain
parent
7f4894d68e
commit
88ce66650c
@ -2085,22 +2085,68 @@ class Exchange:
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upnl_ex_1=upnl_ex_1,
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)
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def liquidation_price_helper(
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self,
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open_rate: float, # Entry price of position
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is_short: bool,
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leverage: float,
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mm_ratio: float,
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position: float, # Absolute value of position size
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trading_mode: TradingMode,
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collateral: Collateral,
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maintenance_amt: Optional[float] = None, # (Binance)
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wallet_balance: Optional[float] = None, # (Binance and Gateio)
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taker_fee_rate: Optional[float] = None, # (Gateio & Okex)
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mm_ex_1: Optional[float] = 0.0, # (Binance) Cross only
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upnl_ex_1: Optional[float] = 0.0, # (Binance) Cross only
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) -> Optional[float]:
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raise OperationalException(f"liquidation_price is not implemented for {self.name}")
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def liquidation_price_helper(
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self,
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open_rate: float, # Entry price of position
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is_short: bool,
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leverage: float,
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mm_ratio: float,
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position: float, # Absolute value of position size
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wallet_balance: float, # Or margin balance
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trading_mode: TradingMode,
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collateral: Collateral,
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taker_fee_rate: Optional[float] = None, # (Gateio & Okex)
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maintenance_amt: Optional[float] = None, # (Binance)
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mm_ex_1: Optional[float] = 0.0, # (Binance) Cross only
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upnl_ex_1: Optional[float] = 0.0, # (Binance) Cross only
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) -> Optional[float]:
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"""
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PERPETUAL:
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gateio: https://www.gate.io/help/futures/perpetual/22160/calculation-of-liquidation-price
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okex: https://www.okex.com/support/hc/en-us/articles/
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360053909592-VI-Introduction-to-the-isolated-mode-of-Single-Multi-currency-Portfolio-margin
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:param exchange_name:
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:param open_rate: Entry price of position
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:param is_short: True if the trade is a short, false otherwise
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:param leverage: The amount of leverage on the trade
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:param position: Absolute value of position size (in base currency)
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:param mm_ratio:
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:param trading_mode: SPOT, MARGIN, FUTURES, etc.
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:param collateral: Either ISOLATED or CROSS
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:param wallet_balance: Amount of collateral in the wallet being used to trade
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Cross-Margin Mode: crossWalletBalance
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Isolated-Margin Mode: isolatedWalletBalance
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:param taker_fee_rate:
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# * Not required by Gateio or OKX
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:param maintenance_amt:
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:param mm_ex_1:
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:param upnl_ex_1:
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"""
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if trading_mode == TradingMode.SPOT:
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return None
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if (not taker_fee_rate):
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raise OperationalException(
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f"Parameter taker_fee_rate is required by {self.name}.liquidation_price"
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)
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if trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
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# if is_inverse:
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# raise OperationalException(
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# "Freqtrade does not support inverse contracts at the moment")
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value = wallet_balance / position
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mm_ratio_taker = (mm_ratio + taker_fee_rate)
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if is_short:
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return (open_rate + value) / (1 + mm_ratio_taker)
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else:
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return (open_rate - value) / (1 - mm_ratio_taker)
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else:
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raise OperationalException(
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f"{self.name} does not support {collateral.value} {trading_mode.value}")
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def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:
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@ -51,71 +51,3 @@ class Gateio(Exchange):
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"""
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info = self.markets[pair]['info']
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return (float(info['maintenance_rate']), None)
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def liquidation_price_helper(
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self,
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open_rate: float, # Entry price of position
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is_short: bool,
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leverage: float,
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mm_ratio: float,
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position: float, # Absolute value of position size
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trading_mode: TradingMode,
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collateral: Collateral,
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maintenance_amt: Optional[float] = None, # (Binance)
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wallet_balance: Optional[float] = None, # (Binance and Gateio)
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taker_fee_rate: Optional[float] = None, # (Gateio & Okex)
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mm_ex_1: Optional[float] = 0.0, # (Binance) Cross only
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upnl_ex_1: Optional[float] = 0.0, # (Binance) Cross only
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) -> Optional[float]:
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"""
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PERPETUAL: https://www.gate.io/help/futures/perpetual/22160/calculation-of-liquidation-price
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:param exchange_name:
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:param open_rate: Entry price of position
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:param is_short: True if the trade is a short, false otherwise
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:param leverage: The amount of leverage on the trade
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:param position: Absolute value of position size (in base currency)
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:param mm_ratio:
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:param trading_mode: SPOT, MARGIN, FUTURES, etc.
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:param collateral: Either ISOLATED or CROSS
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:param maintenance_amt: # * Not required by Gateio
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:param wallet_balance:
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Cross-Margin Mode: crossWalletBalance
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Isolated-Margin Mode: isolatedWalletBalance
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:param taker_fee_rate:
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# * Not required by Gateio
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:param mm_ex_1:
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:param upnl_ex_1:
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"""
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if trading_mode == TradingMode.SPOT:
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return None
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if not collateral:
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raise OperationalException(
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"Parameter collateral is required by liquidation_price when trading_mode is "
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f"{trading_mode}"
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)
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if (not wallet_balance or not position or not taker_fee_rate):
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raise OperationalException(
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"Parameters wallet_balance, position, taker_fee_rate"
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"are required by Gateio.liquidation_price"
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)
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if trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
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# if is_inverse:
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# # ! Not implemented
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# raise OperationalException(
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# "Freqtrade does not support inverse contracts at the moment")
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value = wallet_balance / position
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mm_ratio_taker = (mm_ratio + taker_fee_rate)
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if is_short:
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return (open_rate + value) / (1 + mm_ratio_taker)
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else:
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return (open_rate - value) / (1 - mm_ratio_taker)
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else:
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raise OperationalException(
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f"Gateio does not support {collateral.value} Mode {trading_mode.value} trading ")
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@ -27,54 +27,3 @@ class Okex(Exchange):
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# (TradingMode.FUTURES, Collateral.CROSS),
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# (TradingMode.FUTURES, Collateral.ISOLATED)
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]
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def liquidation_price_helper(
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self,
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open_rate: float, # Entry price of position
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is_short: bool,
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leverage: float,
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mm_ratio: float,
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position: float, # Absolute value of position size
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trading_mode: TradingMode,
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collateral: Collateral,
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maintenance_amt: Optional[float] = None, # (Binance)
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wallet_balance: Optional[float] = None, # (Binance and Gateio)
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taker_fee_rate: Optional[float] = None, # (Gateio & Okex)
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mm_ex_1: Optional[float] = 0.0, # (Binance) Cross only
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upnl_ex_1: Optional[float] = 0.0, # (Binance) Cross only
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) -> Optional[float]:
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"""
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PERPETUAL: https://www.okex.com/support/hc/en-us/articles/
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360053909592-VI-Introduction-to-the-isolated-mode-of-Single-Multi-currency-Portfolio-margin
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:param exchange_name:
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:param open_rate: (EP1) Entry price of position
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:param is_short: True if the trade is a short, false otherwise
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:param leverage: The amount of leverage on the trade
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:param position: Absolute value of position size (in base currency)
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:param mm_ratio:
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Okex: [assets in the position - (liability +interest) * mark price] /
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(maintenance margin + liquidation fee)
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:param trading_mode: SPOT, MARGIN, FUTURES, etc.
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:param collateral: Either ISOLATED or CROSS
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:param maintenance_amt: # * Not required by Okex
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:param wallet_balance: # * margin_balance?
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:param taker_fee_rate:
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:param mm_ex_1: # * Not required by Okex
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:param upnl_ex_1: # * Not required by Okex
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"""
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if (not taker_fee_rate):
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raise OperationalException(
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"Parameter taker_fee_rate is required by Okex.liquidation_price"
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)
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if trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
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if is_short:
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return (margin_balance + (face_value * number_of_contracts * open_price)) / [face_value * number_of_contracts * (mm_ratio + taker_fee_rate + 1)]
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else:
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return (margin_balance - (face_value * number_of_contracts * open_price)) / [face_value * number_of_contracts * (mm_ratio + taker_fee_rate - 1)]
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else:
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raise OperationalException(
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f"Okex does not support {collateral.value} Mode {trading_mode.value} trading")
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