adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Okex and Gateio liquidation_price formula are the same, moved liquidation_price to exchange.exchange class

Browse Source
This commit is contained in:
Sam Germain 2022-01-28 21:55:17 -06:00
parent 7f4894d68e
commit 88ce66650c
3 changed files with 62 additions and 135 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

78
freqtrade/exchange/exchange.py
View File

@ -2085,22 +2085,68 @@ class Exchange:
upnl_ex_1=upnl_ex_1, upnl_ex_1=upnl_ex_1,
) )
def liquidation_price_helper( def liquidation_price_helper(
self, self,
open_rate: float, # Entry price of position open_rate: float, # Entry price of position
is_short: bool, is_short: bool,
leverage: float, leverage: float,
mm_ratio: float, mm_ratio: float,
position: float, # Absolute value of position size position: float, # Absolute value of position size
trading_mode: TradingMode, wallet_balance: float, # Or margin balance
collateral: Collateral, trading_mode: TradingMode,
maintenance_amt: Optional[float] = None, # (Binance) collateral: Collateral,
wallet_balance: Optional[float] = None, # (Binance and Gateio) taker_fee_rate: Optional[float] = None, # (Gateio & Okex)
taker_fee_rate: Optional[float] = None, # (Gateio & Okex) maintenance_amt: Optional[float] = None, # (Binance)
mm_ex_1: Optional[float] = 0.0, # (Binance) Cross only mm_ex_1: Optional[float] = 0.0, # (Binance) Cross only
upnl_ex_1: Optional[float] = 0.0, # (Binance) Cross only upnl_ex_1: Optional[float] = 0.0, # (Binance) Cross only
) -> Optional[float]: ) -> Optional[float]:
raise OperationalException(f"liquidation_price is not implemented for {self.name}") """
PERPETUAL:
gateio: https://www.gate.io/help/futures/perpetual/22160/calculation-of-liquidation-price
okex: https://www.okex.com/support/hc/en-us/articles/
360053909592-VI-Introduction-to-the-isolated-mode-of-Single-Multi-currency-Portfolio-margin
:param exchange_name:
:param open_rate: Entry price of position
:param is_short: True if the trade is a short, false otherwise
:param leverage: The amount of leverage on the trade
:param position: Absolute value of position size (in base currency)
:param mm_ratio:
:param trading_mode: SPOT, MARGIN, FUTURES, etc.
:param collateral: Either ISOLATED or CROSS
:param wallet_balance: Amount of collateral in the wallet being used to trade
Cross-Margin Mode: crossWalletBalance
Isolated-Margin Mode: isolatedWalletBalance
:param taker_fee_rate:
# * Not required by Gateio or OKX
:param maintenance_amt:
:param mm_ex_1:
:param upnl_ex_1:
"""
if trading_mode == TradingMode.SPOT:
return None
if (not taker_fee_rate):
raise OperationalException(
f"Parameter taker_fee_rate is required by {self.name}.liquidation_price"
)
if trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
# if is_inverse:
# raise OperationalException(
# "Freqtrade does not support inverse contracts at the moment")
value = wallet_balance / position
mm_ratio_taker = (mm_ratio + taker_fee_rate)
if is_short:
return (open_rate + value) / (1 + mm_ratio_taker)
else:
return (open_rate - value) / (1 - mm_ratio_taker)
else:
raise OperationalException(
f"{self.name} does not support {collateral.value} {trading_mode.value}")
def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool: def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:

68
freqtrade/exchange/gateio.py
View File

@ -51,71 +51,3 @@ class Gateio(Exchange):
""" """
info = self.markets[pair]['info'] info = self.markets[pair]['info']
return (float(info['maintenance_rate']), None) return (float(info['maintenance_rate']), None)
def liquidation_price_helper(
self,
open_rate: float, # Entry price of position
is_short: bool,
leverage: float,
mm_ratio: float,
position: float, # Absolute value of position size
trading_mode: TradingMode,
collateral: Collateral,
maintenance_amt: Optional[float] = None, # (Binance)
wallet_balance: Optional[float] = None, # (Binance and Gateio)
taker_fee_rate: Optional[float] = None, # (Gateio & Okex)
mm_ex_1: Optional[float] = 0.0, # (Binance) Cross only
upnl_ex_1: Optional[float] = 0.0, # (Binance) Cross only
) -> Optional[float]:
"""
PERPETUAL: https://www.gate.io/help/futures/perpetual/22160/calculation-of-liquidation-price
:param exchange_name:
:param open_rate: Entry price of position
:param is_short: True if the trade is a short, false otherwise
:param leverage: The amount of leverage on the trade
:param position: Absolute value of position size (in base currency)
:param mm_ratio:
:param trading_mode: SPOT, MARGIN, FUTURES, etc.
:param collateral: Either ISOLATED or CROSS
:param maintenance_amt: # * Not required by Gateio
:param wallet_balance:
Cross-Margin Mode: crossWalletBalance
Isolated-Margin Mode: isolatedWalletBalance
:param taker_fee_rate:
# * Not required by Gateio
:param mm_ex_1:
:param upnl_ex_1:
"""
if trading_mode == TradingMode.SPOT:
return None
if not collateral:
raise OperationalException(
"Parameter collateral is required by liquidation_price when trading_mode is "
f"{trading_mode}"
)
if (not wallet_balance or not position or not taker_fee_rate):
raise OperationalException(
"Parameters wallet_balance, position, taker_fee_rate"
"are required by Gateio.liquidation_price"
)
if trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
# if is_inverse:
# # ! Not implemented
# raise OperationalException(
# "Freqtrade does not support inverse contracts at the moment")
value = wallet_balance / position
mm_ratio_taker = (mm_ratio + taker_fee_rate)
if is_short:
return (open_rate + value) / (1 + mm_ratio_taker)
else:
return (open_rate - value) / (1 - mm_ratio_taker)
else:
raise OperationalException(
f"Gateio does not support {collateral.value} Mode {trading_mode.value} trading ")

51
freqtrade/exchange/okex.py
View File

@ -27,54 +27,3 @@ class Okex(Exchange):
# (TradingMode.FUTURES, Collateral.CROSS), # (TradingMode.FUTURES, Collateral.CROSS),
# (TradingMode.FUTURES, Collateral.ISOLATED) # (TradingMode.FUTURES, Collateral.ISOLATED)
] ]
def liquidation_price_helper(
self,
open_rate: float, # Entry price of position
is_short: bool,
leverage: float,
mm_ratio: float,
position: float, # Absolute value of position size
trading_mode: TradingMode,
collateral: Collateral,
maintenance_amt: Optional[float] = None, # (Binance)
wallet_balance: Optional[float] = None, # (Binance and Gateio)
taker_fee_rate: Optional[float] = None, # (Gateio & Okex)
mm_ex_1: Optional[float] = 0.0, # (Binance) Cross only
upnl_ex_1: Optional[float] = 0.0, # (Binance) Cross only
) -> Optional[float]:
"""
PERPETUAL: https://www.okex.com/support/hc/en-us/articles/
360053909592-VI-Introduction-to-the-isolated-mode-of-Single-Multi-currency-Portfolio-margin
:param exchange_name:
:param open_rate: (EP1) Entry price of position
:param is_short: True if the trade is a short, false otherwise
:param leverage: The amount of leverage on the trade
:param position: Absolute value of position size (in base currency)
:param mm_ratio:
Okex: [assets in the position - (liability +interest) * mark price] /
(maintenance margin + liquidation fee)
:param trading_mode: SPOT, MARGIN, FUTURES, etc.
:param collateral: Either ISOLATED or CROSS
:param maintenance_amt: # * Not required by Okex
:param wallet_balance: # * margin_balance?
:param taker_fee_rate:
:param mm_ex_1: # * Not required by Okex
:param upnl_ex_1: # * Not required by Okex
"""
if (not taker_fee_rate):
raise OperationalException(
"Parameter taker_fee_rate is required by Okex.liquidation_price"
)
if trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
if is_short:
return (margin_balance + (face_value * number_of_contracts * open_price)) / [face_value * number_of_contracts * (mm_ratio + taker_fee_rate + 1)]
else:
return (margin_balance - (face_value * number_of_contracts * open_price)) / [face_value * number_of_contracts * (mm_ratio + taker_fee_rate - 1)]
else:
raise OperationalException(
f"Okex does not support {collateral.value} Mode {trading_mode.value} trading")