Move leverage_prep calculations to exchange class

freqtrade/exchange/exchange.py

@@ -2055,6 +2055,42 @@ class Exchange:
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
 
+    def leverage_prep(
+            self,
+            pair: str,
+            open_rate: float,
+            amount: float,  # quote currency, includes leverage
+            leverage: float,
+            is_short: bool
+    ) -> Tuple[float, Optional[float]]:
+
+        # if TradingMode == TradingMode.MARGIN:
+        #     interest_rate = self.get_interest_rate(
+        #         pair=pair,
+        #         open_rate=open_rate,
+        #         is_short=is_short
+        #     )
+        if self.trading_mode == TradingMode.SPOT:
+            return (0.0, None)
+        elif (
+            self.margin_mode == MarginMode.ISOLATED and
+            self.trading_mode == TradingMode.FUTURES
+        ):
+            wallet_balance = (amount * open_rate) / leverage
+            isolated_liq = self.get_liquidation_price(
+                pair=pair,
+                open_rate=open_rate,
+                is_short=is_short,
+                position=amount,
+                wallet_balance=wallet_balance,
+                mm_ex_1=0.0,
+                upnl_ex_1=0.0,
+            )
+            return (0.0, isolated_liq)
+        else:
+            raise OperationalException(
+                "Freqtrade only supports isolated futures for leverage trading")
+
     def funding_fee_cutoff(self, open_date: datetime):
         """
         :param open_date: The open date for a trade

freqtrade/freqtradebot.py

@@ -578,42 +578,6 @@ class FreqtradeBot(LoggingMixin):
             logger.info(f"Bids to asks delta for {pair} does not satisfy condition.")
             return False
 
-    def leverage_prep(
-        self,
-        pair: str,
-        open_rate: float,
-        amount: float,  # quote currency, includes leverage
-        leverage: float,
-        is_short: bool
-    ) -> Tuple[float, Optional[float]]:
-
-        # if TradingMode == TradingMode.MARGIN:
-        #     interest_rate = self.exchange.get_interest_rate(
-        #         pair=pair,
-        #         open_rate=open_rate,
-        #         is_short=is_short
-        #     )
-        if self.trading_mode == TradingMode.SPOT:
-            return (0.0, None)
-        elif (
-            self.margin_mode == MarginMode.ISOLATED and
-            self.trading_mode == TradingMode.FUTURES
-        ):
-            wallet_balance = (amount * open_rate)/leverage
-            isolated_liq = self.exchange.get_liquidation_price(
-                pair=pair,
-                open_rate=open_rate,
-                is_short=is_short,
-                position=amount,
-                wallet_balance=wallet_balance,
-                mm_ex_1=0.0,
-                upnl_ex_1=0.0,
-            )
-            return (0.0, isolated_liq)
-        else:
-            raise OperationalException(
-                "Freqtrade only supports isolated futures for leverage trading")
-
     def execute_entry(
         self,
         pair: str,
@@ -724,7 +688,7 @@ class FreqtradeBot(LoggingMixin):
             amount = safe_value_fallback(order, 'filled', 'amount')
             enter_limit_filled_price = safe_value_fallback(order, 'average', 'price')
 
-        interest_rate, isolated_liq = self.leverage_prep(
+        interest_rate, isolated_liq = self.exchange.leverage_prep(
             leverage=leverage,
             pair=pair,
             amount=amount,

freqtrade/optimize/backtesting.py

@@ -592,42 +592,6 @@ class Backtesting:
         else:
             return self._get_sell_trade_entry_for_candle(trade, sell_row)
 
-    def _leverage_prep(
-        self,
-        pair: str,
-        open_rate: float,
-        amount: float,  # quote currency, includes leverage
-        leverage: float,
-        is_short: bool
-    ) -> Tuple[float, Optional[float]]:
-
-        # if TradingMode == TradingMode.MARGIN:
-        #     interest_rate = self.exchange.get_interest_rate(
-        #         pair=pair,
-        #         open_rate=open_rate,
-        #         is_short=is_short
-        #     )
-        if self.trading_mode == TradingMode.SPOT:
-            return (0.0, None)
-        elif (
-            self.margin_mode == MarginMode.ISOLATED and
-            self.trading_mode == TradingMode.FUTURES
-        ):
-            wallet_balance = (amount * open_rate)/leverage
-            isolated_liq = self.exchange.get_liquidation_price(
-                pair=pair,
-                open_rate=open_rate,
-                is_short=is_short,
-                position=amount,
-                wallet_balance=wallet_balance,
-                mm_ex_1=0.0,
-                upnl_ex_1=0.0,
-            )
-            return (0.0, isolated_liq)
-        else:
-            raise OperationalException(
-                "Freqtrade only supports isolated futures for leverage trading")
-
     def _enter_trade(self, pair: str, row: Tuple, direction: str,
                      stake_amount: Optional[float] = None,
                      trade: Optional[LocalTrade] = None) -> Optional[LocalTrade]:
@@ -702,7 +666,7 @@ class Backtesting:
             self.order_id_counter += 1
             amount = round((stake_amount / propose_rate) * leverage, 8)
             is_short = (direction == 'short')
-            (interest_rate, isolated_liq) = self._leverage_prep(
+            (interest_rate, isolated_liq) = self.exchange.leverage_prep(
                 pair=pair,
                 open_rate=propose_rate,
                 amount=amount,

tests/exchange/test_exchange.py

@@ -4527,3 +4527,127 @@ def test__get_params(mocker, default_conf, exchange_name):
         time_in_force='ioc',
         leverage=3.0,
     ) == params2
+
+
+@pytest.mark.parametrize('liquidation_buffer', [0.0, 0.05])
+@pytest.mark.parametrize(
+    "is_short,trading_mode,exchange_name,margin_mode,leverage,open_rate,amount,expected_liq", [
+        (False, 'spot', 'binance', '', 5.0,  10.0, 1.0, None),
+        (True, 'spot', 'binance', '', 5.0,  10.0, 1.0, None),
+        (False, 'spot', 'gateio', '', 5.0,  10.0, 1.0, None),
+        (True, 'spot', 'gateio', '', 5.0,  10.0, 1.0, None),
+        (False, 'spot', 'okx', '', 5.0,  10.0, 1.0, None),
+        (True, 'spot', 'okx', '', 5.0,  10.0, 1.0, None),
+        # Binance, short
+        (True, 'futures', 'binance', 'isolated', 5.0, 10.0, 1.0, 11.89108910891089),
+        (True, 'futures', 'binance', 'isolated', 3.0, 10.0, 1.0, 13.211221122079207),
+        (True, 'futures', 'binance', 'isolated', 5.0, 8.0, 1.0, 9.514851485148514),
+        (True, 'futures', 'binance', 'isolated', 5.0, 10.0, 0.6, 12.557755775577558),
+        # Binance, long
+        (False, 'futures', 'binance', 'isolated', 5, 10, 1.0, 8.070707070707071),
+        (False, 'futures', 'binance', 'isolated', 5, 8, 1.0, 6.454545454545454),
+        (False, 'futures', 'binance', 'isolated', 3, 10, 1.0, 6.717171717171718),
+        (False, 'futures', 'binance', 'isolated', 5, 10, 0.6, 7.39057239057239),
+        # Gateio/okx, short
+        (True, 'futures', 'gateio', 'isolated', 5, 10, 1.0, 11.87413417771621),
+        (True, 'futures', 'gateio', 'isolated', 5, 10, 2.0, 11.87413417771621),
+        (True, 'futures', 'gateio', 'isolated', 3, 10, 1.0, 13.476180850346978),
+        (True, 'futures', 'gateio', 'isolated', 5, 8, 1.0, 9.499307342172967),
+        # Gateio/okx, long
+        (False, 'futures', 'gateio', 'isolated', 5.0, 10.0, 1.0, 8.085708510208207),
+        (False, 'futures', 'gateio', 'isolated', 3.0, 10.0, 1.0, 6.738090425173506),
+        # (True, 'futures', 'okx', 'isolated', 11.87413417771621),
+        # (False, 'futures', 'okx', 'isolated', 8.085708510208207),
+    ]
+)
+def test_leverage_prep(
+    mocker,
+    default_conf_usdt,
+    is_short,
+    trading_mode,
+    exchange_name,
+    margin_mode,
+    leverage,
+    open_rate,
+    amount,
+    expected_liq,
+    liquidation_buffer,
+):
+    """
+    position = 0.2 * 5
+    wb: wallet balance (stake_amount if isolated)
+    cum_b: maintenance amount
+    side_1: -1 if is_short else 1
+    ep1: entry price
+    mmr_b: maintenance margin ratio
+
+    Binance, Short
+    leverage = 5, open_rate = 10, amount = 1.0
+        ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
+        ((2 + 0.01) - ((-1) * 1 * 10)) / ((1 * 0.01) - ((-1) * 1)) = 11.89108910891089
+    leverage = 3, open_rate = 10, amount = 1.0
+        ((3.3333333333 + 0.01) - ((-1) * 1.0 * 10)) / ((1.0 * 0.01) - ((-1) * 1.0)) = 13.2112211220
+    leverage = 5, open_rate = 8, amount = 1.0
+        ((1.6 + 0.01) - ((-1) * 1 * 8)) / ((1 * 0.01) - ((-1) * 1)) = 9.514851485148514
+    leverage = 5, open_rate = 10, amount = 0.6
+        ((1.6 + 0.01) - ((-1) * 0.6 * 10)) / ((0.6 * 0.01) - ((-1) * 0.6)) = 12.557755775577558
+
+    Binance, Long
+    leverage = 5, open_rate = 10, amount = 1.0
+        ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
+        ((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')
+    exchange = get_patched_exchange(mocker, default_conf_usdt)
+
+    exchange.get_maintenance_ratio_and_amt = MagicMock(return_value=(0.01, 0.01))
+    exchange.name = exchange_name
+    # default_conf_usdt.update({
+    #     "dry_run": False,
+    # })
+    (interest, liq) = exchange.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)

tests/optimize/test_backtesting.py

@@ -3,6 +3,7 @@
 import random
 from copy import deepcopy
 from datetime import datetime, timedelta, timezone
+from math import isclose
 from pathlib import Path
 from unittest.mock import MagicMock, PropertyMock
 
@@ -10,7 +11,6 @@ import numpy as np
 import pandas as pd
 import pytest
 from arrow import Arrow
-from math import isclose
 
 from freqtrade import constants
 from freqtrade.commands.optimize_commands import setup_optimize_configuration, start_backtesting

tests/test_freqtradebot.py

@@ -4839,132 +4839,6 @@ def test_get_valid_price(mocker, default_conf_usdt) -> None:
     assert valid_price_at_min_alwd < proposed_price
 
 
-@pytest.mark.parametrize('liquidation_buffer', [0.0, 0.05])
-@pytest.mark.parametrize(
-    "is_short,trading_mode,exchange_name,margin_mode,leverage,open_rate,amount,expected_liq", [
-        (False, 'spot', 'binance', '', 5.0,  10.0, 1.0, None),
-        (True, 'spot', 'binance', '', 5.0,  10.0, 1.0, None),
-        (False, 'spot', 'gateio', '', 5.0,  10.0, 1.0, None),
-        (True, 'spot', 'gateio', '', 5.0,  10.0, 1.0, None),
-        (False, 'spot', 'okx', '', 5.0,  10.0, 1.0, None),
-        (True, 'spot', 'okx', '', 5.0,  10.0, 1.0, None),
-        # Binance, short
-        (True, 'futures', 'binance', 'isolated', 5.0, 10.0, 1.0, 11.89108910891089),
-        (True, 'futures', 'binance', 'isolated', 3.0, 10.0, 1.0, 13.211221122079207),
-        (True, 'futures', 'binance', 'isolated', 5.0, 8.0, 1.0, 9.514851485148514),
-        (True, 'futures', 'binance', 'isolated', 5.0, 10.0, 0.6, 12.557755775577558),
-        # Binance, long
-        (False, 'futures', 'binance', 'isolated', 5, 10, 1.0, 8.070707070707071),
-        (False, 'futures', 'binance', 'isolated', 5, 8, 1.0, 6.454545454545454),
-        (False, 'futures', 'binance', 'isolated', 3, 10, 1.0, 6.717171717171718),
-        (False, 'futures', 'binance', 'isolated', 5, 10, 0.6, 7.39057239057239),
-        # Gateio/okx, short
-        (True, 'futures', 'gateio', 'isolated', 5, 10, 1.0, 11.87413417771621),
-        (True, 'futures', 'gateio', 'isolated', 5, 10, 2.0, 11.87413417771621),
-        (True, 'futures', 'gateio', 'isolated', 3, 10, 1.0, 13.476180850346978),
-        (True, 'futures', 'gateio', 'isolated', 5, 8, 1.0, 9.499307342172967),
-        # Gateio/okx, long
-        (False, 'futures', 'gateio', 'isolated', 5.0, 10.0, 1.0, 8.085708510208207),
-        (False, 'futures', 'gateio', 'isolated', 3.0, 10.0, 1.0, 6.738090425173506),
-        # (True, 'futures', 'okx', 'isolated', 11.87413417771621),
-        # (False, 'futures', 'okx', 'isolated', 8.085708510208207),
-    ]
-)
-def test_leverage_prep(
-    mocker,
-    default_conf_usdt,
-    is_short,
-    trading_mode,
-    exchange_name,
-    margin_mode,
-    leverage,
-    open_rate,
-    amount,
-    expected_liq,
-    liquidation_buffer,
-):
-    """
-    position = 0.2 * 5
-    wb: wallet balance (stake_amount if isolated)
-    cum_b: maintenance amount
-    side_1: -1 if is_short else 1
-    ep1: entry price
-    mmr_b: maintenance margin ratio
-
-    Binance, Short
-    leverage = 5, open_rate = 10, amount = 1.0
-        ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
-        ((2 + 0.01) - ((-1) * 1 * 10)) / ((1 * 0.01) - ((-1) * 1)) = 11.89108910891089
-    leverage = 3, open_rate = 10, amount = 1.0
-        ((3.3333333333 + 0.01) - ((-1) * 1.0 * 10)) / ((1.0 * 0.01) - ((-1) * 1.0)) = 13.2112211220
-    leverage = 5, open_rate = 8, amount = 1.0
-        ((1.6 + 0.01) - ((-1) * 1 * 8)) / ((1 * 0.01) - ((-1) * 1)) = 9.514851485148514
-    leverage = 5, open_rate = 10, amount = 0.6
-        ((1.6 + 0.01) - ((-1) * 0.6 * 10)) / ((0.6 * 0.01) - ((-1) * 0.6)) = 12.557755775577558
-
-    Binance, Long
-    leverage = 5, open_rate = 10, amount = 1.0
-        ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
-        ((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"),