Move leverage_prep calculations to exchange class
This commit is contained in:
Matthias
@@ -2055,6 +2055,42 @@ class Exchange:
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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def leverage_prep(
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self,
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pair: str,
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open_rate: float,
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amount: float, # quote currency, includes leverage
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leverage: float,
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is_short: bool
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) -> Tuple[float, Optional[float]]:
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# if TradingMode == TradingMode.MARGIN:
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# interest_rate = self.get_interest_rate(
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# pair=pair,
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# open_rate=open_rate,
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# is_short=is_short
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# )
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if self.trading_mode == TradingMode.SPOT:
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return (0.0, None)
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elif (
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self.margin_mode == MarginMode.ISOLATED and
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self.trading_mode == TradingMode.FUTURES
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):
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wallet_balance = (amount * open_rate) / leverage
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isolated_liq = self.get_liquidation_price(
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pair=pair,
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open_rate=open_rate,
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is_short=is_short,
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position=amount,
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wallet_balance=wallet_balance,
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mm_ex_1=0.0,
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upnl_ex_1=0.0,
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)
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return (0.0, isolated_liq)
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else:
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raise OperationalException(
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"Freqtrade only supports isolated futures for leverage trading")
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def funding_fee_cutoff(self, open_date: datetime):
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"""
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:param open_date: The open date for a trade
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@@ -578,42 +578,6 @@ class FreqtradeBot(LoggingMixin):
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logger.info(f"Bids to asks delta for {pair} does not satisfy condition.")
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return False
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def leverage_prep(
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self,
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pair: str,
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open_rate: float,
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amount: float, # quote currency, includes leverage
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leverage: float,
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is_short: bool
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) -> Tuple[float, Optional[float]]:
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# if TradingMode == TradingMode.MARGIN:
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# interest_rate = self.exchange.get_interest_rate(
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# pair=pair,
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# open_rate=open_rate,
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# is_short=is_short
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# )
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if self.trading_mode == TradingMode.SPOT:
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return (0.0, None)
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elif (
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self.margin_mode == MarginMode.ISOLATED and
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self.trading_mode == TradingMode.FUTURES
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):
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wallet_balance = (amount * open_rate)/leverage
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isolated_liq = self.exchange.get_liquidation_price(
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pair=pair,
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open_rate=open_rate,
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is_short=is_short,
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position=amount,
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wallet_balance=wallet_balance,
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mm_ex_1=0.0,
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upnl_ex_1=0.0,
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)
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return (0.0, isolated_liq)
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else:
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raise OperationalException(
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"Freqtrade only supports isolated futures for leverage trading")
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def execute_entry(
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self,
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pair: str,
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@@ -724,7 +688,7 @@ class FreqtradeBot(LoggingMixin):
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amount = safe_value_fallback(order, 'filled', 'amount')
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enter_limit_filled_price = safe_value_fallback(order, 'average', 'price')
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interest_rate, isolated_liq = self.leverage_prep(
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interest_rate, isolated_liq = self.exchange.leverage_prep(
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leverage=leverage,
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pair=pair,
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amount=amount,
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@@ -592,42 +592,6 @@ class Backtesting:
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else:
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return self._get_sell_trade_entry_for_candle(trade, sell_row)
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def _leverage_prep(
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self,
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pair: str,
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open_rate: float,
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amount: float, # quote currency, includes leverage
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leverage: float,
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is_short: bool
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) -> Tuple[float, Optional[float]]:
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# if TradingMode == TradingMode.MARGIN:
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# interest_rate = self.exchange.get_interest_rate(
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# pair=pair,
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# open_rate=open_rate,
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# is_short=is_short
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# )
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if self.trading_mode == TradingMode.SPOT:
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return (0.0, None)
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elif (
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self.margin_mode == MarginMode.ISOLATED and
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self.trading_mode == TradingMode.FUTURES
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):
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wallet_balance = (amount * open_rate)/leverage
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isolated_liq = self.exchange.get_liquidation_price(
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pair=pair,
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open_rate=open_rate,
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is_short=is_short,
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position=amount,
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wallet_balance=wallet_balance,
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mm_ex_1=0.0,
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upnl_ex_1=0.0,
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)
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return (0.0, isolated_liq)
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else:
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raise OperationalException(
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"Freqtrade only supports isolated futures for leverage trading")
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def _enter_trade(self, pair: str, row: Tuple, direction: str,
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stake_amount: Optional[float] = None,
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trade: Optional[LocalTrade] = None) -> Optional[LocalTrade]:
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@@ -702,7 +666,7 @@ class Backtesting:
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self.order_id_counter += 1
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amount = round((stake_amount / propose_rate) * leverage, 8)
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is_short = (direction == 'short')
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(interest_rate, isolated_liq) = self._leverage_prep(
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(interest_rate, isolated_liq) = self.exchange.leverage_prep(
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pair=pair,
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open_rate=propose_rate,
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amount=amount,
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@@ -4527,3 +4527,127 @@ def test__get_params(mocker, default_conf, exchange_name):
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time_in_force='ioc',
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leverage=3.0,
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) == params2
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@pytest.mark.parametrize('liquidation_buffer', [0.0, 0.05])
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@pytest.mark.parametrize(
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"is_short,trading_mode,exchange_name,margin_mode,leverage,open_rate,amount,expected_liq", [
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(False, 'spot', 'binance', '', 5.0, 10.0, 1.0, None),
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(True, 'spot', 'binance', '', 5.0, 10.0, 1.0, None),
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(False, 'spot', 'gateio', '', 5.0, 10.0, 1.0, None),
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(True, 'spot', 'gateio', '', 5.0, 10.0, 1.0, None),
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(False, 'spot', 'okx', '', 5.0, 10.0, 1.0, None),
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(True, 'spot', 'okx', '', 5.0, 10.0, 1.0, None),
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# Binance, short
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(True, 'futures', 'binance', 'isolated', 5.0, 10.0, 1.0, 11.89108910891089),
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(True, 'futures', 'binance', 'isolated', 3.0, 10.0, 1.0, 13.211221122079207),
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(True, 'futures', 'binance', 'isolated', 5.0, 8.0, 1.0, 9.514851485148514),
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(True, 'futures', 'binance', 'isolated', 5.0, 10.0, 0.6, 12.557755775577558),
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# Binance, long
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(False, 'futures', 'binance', 'isolated', 5, 10, 1.0, 8.070707070707071),
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(False, 'futures', 'binance', 'isolated', 5, 8, 1.0, 6.454545454545454),
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(False, 'futures', 'binance', 'isolated', 3, 10, 1.0, 6.717171717171718),
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(False, 'futures', 'binance', 'isolated', 5, 10, 0.6, 7.39057239057239),
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# Gateio/okx, short
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(True, 'futures', 'gateio', 'isolated', 5, 10, 1.0, 11.87413417771621),
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(True, 'futures', 'gateio', 'isolated', 5, 10, 2.0, 11.87413417771621),
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(True, 'futures', 'gateio', 'isolated', 3, 10, 1.0, 13.476180850346978),
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(True, 'futures', 'gateio', 'isolated', 5, 8, 1.0, 9.499307342172967),
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# Gateio/okx, long
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(False, 'futures', 'gateio', 'isolated', 5.0, 10.0, 1.0, 8.085708510208207),
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(False, 'futures', 'gateio', 'isolated', 3.0, 10.0, 1.0, 6.738090425173506),
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# (True, 'futures', 'okx', 'isolated', 11.87413417771621),
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# (False, 'futures', 'okx', 'isolated', 8.085708510208207),
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]
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)
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def test_leverage_prep(
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mocker,
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default_conf_usdt,
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is_short,
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trading_mode,
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exchange_name,
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margin_mode,
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leverage,
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open_rate,
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amount,
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expected_liq,
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liquidation_buffer,
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):
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"""
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position = 0.2 * 5
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wb: wallet balance (stake_amount if isolated)
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cum_b: maintenance amount
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side_1: -1 if is_short else 1
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ep1: entry price
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mmr_b: maintenance margin ratio
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Binance, Short
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leverage = 5, open_rate = 10, amount = 1.0
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((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
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((2 + 0.01) - ((-1) * 1 * 10)) / ((1 * 0.01) - ((-1) * 1)) = 11.89108910891089
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leverage = 3, open_rate = 10, amount = 1.0
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((3.3333333333 + 0.01) - ((-1) * 1.0 * 10)) / ((1.0 * 0.01) - ((-1) * 1.0)) = 13.2112211220
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leverage = 5, open_rate = 8, amount = 1.0
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((1.6 + 0.01) - ((-1) * 1 * 8)) / ((1 * 0.01) - ((-1) * 1)) = 9.514851485148514
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leverage = 5, open_rate = 10, amount = 0.6
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((1.6 + 0.01) - ((-1) * 0.6 * 10)) / ((0.6 * 0.01) - ((-1) * 0.6)) = 12.557755775577558
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Binance, Long
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leverage = 5, open_rate = 10, amount = 1.0
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((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
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((2 + 0.01) - (1 * 1 * 10)) / ((1 * 0.01) - (1 * 1)) = 8.070707070707071
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leverage = 5, open_rate = 8, amount = 1.0
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((1.6 + 0.01) - (1 * 1 * 8)) / ((1 * 0.01) - (1 * 1)) = 6.454545454545454
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leverage = 3, open_rate = 10, amount = 1.0
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((2 + 0.01) - (1 * 0.6 * 10)) / ((0.6 * 0.01) - (1 * 0.6)) = 6.717171717171718
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leverage = 5, open_rate = 10, amount = 0.6
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((1.6 + 0.01) - (1 * 0.6 * 10)) / ((0.6 * 0.01) - (1 * 0.6)) = 7.39057239057239
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Gateio/Okx, Short
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leverage = 5, open_rate = 10, amount = 1.0
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(open_rate + (wallet_balance / position)) / (1 + (mm_ratio + taker_fee_rate))
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(10 + (2 / 1.0)) / (1 + (0.01 + 0.0006)) = 11.87413417771621
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leverage = 5, open_rate = 10, amount = 2.0
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(10 + (4 / 2.0)) / (1 + (0.01 + 0.0006)) = 11.87413417771621
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leverage = 3, open_rate = 10, amount = 1.0
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(10 + (3.3333333333333 / 1.0)) / (1 - (0.01 + 0.0006)) = 13.476180850346978
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leverage = 5, open_rate = 8, amount = 1.0
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(8 + (1.6 / 1.0)) / (1 + (0.01 + 0.0006)) = 9.499307342172967
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Gateio/Okx, Long
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leverage = 5, open_rate = 10, amount = 1.0
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(open_rate - (wallet_balance / position)) / (1 - (mm_ratio + taker_fee_rate))
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(10 - (2 / 1)) / (1 - (0.01 + 0.0006)) = 8.085708510208207
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leverage = 5, open_rate = 10, amount = 2.0
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(10 - (4 / 2.0)) / (1 + (0.01 + 0.0006)) = 7.916089451810806
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leverage = 3, open_rate = 10, amount = 1.0
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(10 - (3.333333333333333333 / 1.0)) / (1 - (0.01 + 0.0006)) = 6.738090425173506
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leverage = 5, open_rate = 8, amount = 1.0
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(8 - (1.6 / 1.0)) / (1 + (0.01 + 0.0006)) = 6.332871561448645
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"""
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default_conf_usdt['liquidation_buffer'] = liquidation_buffer
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default_conf_usdt['trading_mode'] = trading_mode
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default_conf_usdt['exchange']['name'] = exchange_name
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default_conf_usdt['margin_mode'] = margin_mode
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mocker.patch('freqtrade.exchange.Gateio.validate_ordertypes')
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exchange = get_patched_exchange(mocker, default_conf_usdt)
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exchange.get_maintenance_ratio_and_amt = MagicMock(return_value=(0.01, 0.01))
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exchange.name = exchange_name
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# default_conf_usdt.update({
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# "dry_run": False,
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# })
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(interest, liq) = exchange.leverage_prep(
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pair='ETH/USDT:USDT',
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open_rate=open_rate,
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amount=amount,
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leverage=leverage,
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is_short=is_short,
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)
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assert interest == 0.0
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if expected_liq is None:
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assert liq is None
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else:
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buffer_amount = liquidation_buffer * abs(open_rate - expected_liq)
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expected_liq = expected_liq - buffer_amount if is_short else expected_liq + buffer_amount
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isclose(expected_liq, liq)
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@@ -3,6 +3,7 @@
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import random
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from copy import deepcopy
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from datetime import datetime, timedelta, timezone
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from math import isclose
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from pathlib import Path
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from unittest.mock import MagicMock, PropertyMock
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@@ -10,7 +11,6 @@ import numpy as np
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import pandas as pd
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import pytest
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from arrow import Arrow
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from math import isclose
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from freqtrade import constants
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from freqtrade.commands.optimize_commands import setup_optimize_configuration, start_backtesting
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@@ -4839,132 +4839,6 @@ def test_get_valid_price(mocker, default_conf_usdt) -> None:
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assert valid_price_at_min_alwd < proposed_price
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@pytest.mark.parametrize('liquidation_buffer', [0.0, 0.05])
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@pytest.mark.parametrize(
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"is_short,trading_mode,exchange_name,margin_mode,leverage,open_rate,amount,expected_liq", [
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(False, 'spot', 'binance', '', 5.0, 10.0, 1.0, None),
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(True, 'spot', 'binance', '', 5.0, 10.0, 1.0, None),
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(False, 'spot', 'gateio', '', 5.0, 10.0, 1.0, None),
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(True, 'spot', 'gateio', '', 5.0, 10.0, 1.0, None),
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(False, 'spot', 'okx', '', 5.0, 10.0, 1.0, None),
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(True, 'spot', 'okx', '', 5.0, 10.0, 1.0, None),
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# Binance, short
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(True, 'futures', 'binance', 'isolated', 5.0, 10.0, 1.0, 11.89108910891089),
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(True, 'futures', 'binance', 'isolated', 3.0, 10.0, 1.0, 13.211221122079207),
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(True, 'futures', 'binance', 'isolated', 5.0, 8.0, 1.0, 9.514851485148514),
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(True, 'futures', 'binance', 'isolated', 5.0, 10.0, 0.6, 12.557755775577558),
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# Binance, long
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(False, 'futures', 'binance', 'isolated', 5, 10, 1.0, 8.070707070707071),
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(False, 'futures', 'binance', 'isolated', 5, 8, 1.0, 6.454545454545454),
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(False, 'futures', 'binance', 'isolated', 3, 10, 1.0, 6.717171717171718),
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(False, 'futures', 'binance', 'isolated', 5, 10, 0.6, 7.39057239057239),
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# Gateio/okx, short
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(True, 'futures', 'gateio', 'isolated', 5, 10, 1.0, 11.87413417771621),
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(True, 'futures', 'gateio', 'isolated', 5, 10, 2.0, 11.87413417771621),
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(True, 'futures', 'gateio', 'isolated', 3, 10, 1.0, 13.476180850346978),
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(True, 'futures', 'gateio', 'isolated', 5, 8, 1.0, 9.499307342172967),
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# Gateio/okx, long
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(False, 'futures', 'gateio', 'isolated', 5.0, 10.0, 1.0, 8.085708510208207),
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(False, 'futures', 'gateio', 'isolated', 3.0, 10.0, 1.0, 6.738090425173506),
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# (True, 'futures', 'okx', 'isolated', 11.87413417771621),
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# (False, 'futures', 'okx', 'isolated', 8.085708510208207),
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]
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)
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def test_leverage_prep(
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mocker,
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default_conf_usdt,
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is_short,
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trading_mode,
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exchange_name,
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margin_mode,
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leverage,
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open_rate,
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amount,
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expected_liq,
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liquidation_buffer,
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):
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"""
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position = 0.2 * 5
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wb: wallet balance (stake_amount if isolated)
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cum_b: maintenance amount
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side_1: -1 if is_short else 1
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ep1: entry price
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mmr_b: maintenance margin ratio
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Binance, Short
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leverage = 5, open_rate = 10, amount = 1.0
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((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
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((2 + 0.01) - ((-1) * 1 * 10)) / ((1 * 0.01) - ((-1) * 1)) = 11.89108910891089
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leverage = 3, open_rate = 10, amount = 1.0
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((3.3333333333 + 0.01) - ((-1) * 1.0 * 10)) / ((1.0 * 0.01) - ((-1) * 1.0)) = 13.2112211220
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leverage = 5, open_rate = 8, amount = 1.0
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((1.6 + 0.01) - ((-1) * 1 * 8)) / ((1 * 0.01) - ((-1) * 1)) = 9.514851485148514
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leverage = 5, open_rate = 10, amount = 0.6
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((1.6 + 0.01) - ((-1) * 0.6 * 10)) / ((0.6 * 0.01) - ((-1) * 0.6)) = 12.557755775577558
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Binance, Long
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leverage = 5, open_rate = 10, amount = 1.0
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((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
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||||
((2 + 0.01) - (1 * 1 * 10)) / ((1 * 0.01) - (1 * 1)) = 8.070707070707071
|
||||
leverage = 5, open_rate = 8, amount = 1.0
|
||||
((1.6 + 0.01) - (1 * 1 * 8)) / ((1 * 0.01) - (1 * 1)) = 6.454545454545454
|
||||
leverage = 3, open_rate = 10, amount = 1.0
|
||||
((2 + 0.01) - (1 * 0.6 * 10)) / ((0.6 * 0.01) - (1 * 0.6)) = 6.717171717171718
|
||||
leverage = 5, open_rate = 10, amount = 0.6
|
||||
((1.6 + 0.01) - (1 * 0.6 * 10)) / ((0.6 * 0.01) - (1 * 0.6)) = 7.39057239057239
|
||||
|
||||
Gateio/Okx, Short
|
||||
leverage = 5, open_rate = 10, amount = 1.0
|
||||
(open_rate + (wallet_balance / position)) / (1 + (mm_ratio + taker_fee_rate))
|
||||
(10 + (2 / 1.0)) / (1 + (0.01 + 0.0006)) = 11.87413417771621
|
||||
leverage = 5, open_rate = 10, amount = 2.0
|
||||
(10 + (4 / 2.0)) / (1 + (0.01 + 0.0006)) = 11.87413417771621
|
||||
leverage = 3, open_rate = 10, amount = 1.0
|
||||
(10 + (3.3333333333333 / 1.0)) / (1 - (0.01 + 0.0006)) = 13.476180850346978
|
||||
leverage = 5, open_rate = 8, amount = 1.0
|
||||
(8 + (1.6 / 1.0)) / (1 + (0.01 + 0.0006)) = 9.499307342172967
|
||||
|
||||
Gateio/Okx, Long
|
||||
leverage = 5, open_rate = 10, amount = 1.0
|
||||
(open_rate - (wallet_balance / position)) / (1 - (mm_ratio + taker_fee_rate))
|
||||
(10 - (2 / 1)) / (1 - (0.01 + 0.0006)) = 8.085708510208207
|
||||
leverage = 5, open_rate = 10, amount = 2.0
|
||||
(10 - (4 / 2.0)) / (1 + (0.01 + 0.0006)) = 7.916089451810806
|
||||
leverage = 3, open_rate = 10, amount = 1.0
|
||||
(10 - (3.333333333333333333 / 1.0)) / (1 - (0.01 + 0.0006)) = 6.738090425173506
|
||||
leverage = 5, open_rate = 8, amount = 1.0
|
||||
(8 - (1.6 / 1.0)) / (1 + (0.01 + 0.0006)) = 6.332871561448645
|
||||
"""
|
||||
default_conf_usdt['liquidation_buffer'] = liquidation_buffer
|
||||
default_conf_usdt['trading_mode'] = trading_mode
|
||||
default_conf_usdt['exchange']['name'] = exchange_name
|
||||
default_conf_usdt['margin_mode'] = margin_mode
|
||||
mocker.patch('freqtrade.exchange.Gateio.validate_ordertypes')
|
||||
patch_RPCManager(mocker)
|
||||
patch_exchange(mocker, id=exchange_name)
|
||||
freqtrade = FreqtradeBot(default_conf_usdt)
|
||||
|
||||
freqtrade.exchange.get_maintenance_ratio_and_amt = MagicMock(return_value=(0.01, 0.01))
|
||||
freqtrade.exchange.name = exchange_name
|
||||
# default_conf_usdt.update({
|
||||
# "dry_run": False,
|
||||
# })
|
||||
(interest, liq) = freqtrade.leverage_prep(
|
||||
pair='ETH/USDT:USDT',
|
||||
open_rate=open_rate,
|
||||
amount=amount,
|
||||
leverage=leverage,
|
||||
is_short=is_short,
|
||||
)
|
||||
assert interest == 0.0
|
||||
if expected_liq is None:
|
||||
assert liq is None
|
||||
else:
|
||||
buffer_amount = liquidation_buffer * abs(open_rate - expected_liq)
|
||||
expected_liq = expected_liq - buffer_amount if is_short else expected_liq + buffer_amount
|
||||
isclose(expected_liq, liq)
|
||||
|
||||
|
||||
@pytest.mark.parametrize('trading_mode,calls,t1,t2', [
|
||||
('spot', 0, "2021-09-01 00:00:00", "2021-09-01 08:00:00"),
|
||||
('margin', 0, "2021-09-01 00:00:00", "2021-09-01 08:00:00"),
|
||||
|
||||
Reference in New Issue
Block a user