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Added Tests for Binance Liquidation price

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This commit is contained in:
Arunavo Ray 2021-09-19 11:16:41 +05:30
parent 6a81730a74
commit 98d2d2f485
3 changed files with 43 additions and 2 deletions
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1
freqtrade/leverage/__init__.py
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@ -1,2 +1,3 @@
# flake8: noqa: F401 # flake8: noqa: F401
from freqtrade.leverage.interest import interest from freqtrade.leverage.interest import interest
from freqtrade.leverage.liquidation_price import liquidation_price

4
freqtrade/leverage/liquidation_price.py
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@ -123,7 +123,7 @@ def binance(
# Liquidation Price of USDⓈ-M Futures Contracts Isolated # Liquidation Price of USDⓈ-M Futures Contracts Isolated
# Isolated margin mode, then TMM=0，UPNL=0 # Isolated margin mode, then TMM=0，UPNL=0
return (wb + cum_b - (side_1_both * position_1_both * ep1_both)) / ( return (wb + cum_b - side_1_both * position_1_both * ep1_both) / (
position_1_both * mmr_b - side_1_both * position_1_both) position_1_both * mmr_b - side_1_both * position_1_both)
elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS: elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS:
@ -131,7 +131,7 @@ def binance(
# Liquidation Price of USDⓈ-M Futures Contracts Cross # Liquidation Price of USDⓈ-M Futures Contracts Cross
# Isolated margin mode, then TMM=0，UPNL=0 # Isolated margin mode, then TMM=0，UPNL=0
return (wb - tmm_1 + upnl_1 + cum_b - (side_1_both * position_1_both * ep1_both)) / ( return (wb - tmm_1 + upnl_1 + cum_b - side_1_both * position_1_both * ep1_both) / (
position_1_both * mmr_b - side_1_both * position_1_both) position_1_both * mmr_b - side_1_both * position_1_both)
# If nothing was returned # If nothing was returned

40
tests/leverage/test_liquidation_price.py Normal file
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@ -0,0 +1,40 @@
from math import isclose
import pytest
from freqtrade.enums import TradingMode, Collateral
from freqtrade.leverage import liquidation_price
@pytest.mark.parametrize(
'exchange_name, open_rate, is_short, leverage, trading_mode, collateral, wallet_balance, maintenance_margin_ex_1, '
'unrealized_pnl_ex_1, maintenance_amount_both, position_1_both, entry_price_1_both, maintenance_margin_rate_both, '
'expected',
[
("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.ISOLATED, 1535443.01, 71200.81144, -56354.57,
135365.00, 3683.979, 1456.84, 0.10, 1114.78),
("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.ISOLATED, 1535443.01, 356512.508, -448192.89,
16300.000, 109.488, 32481.980, 0.025, 18778.73),
("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.CROSS, 1535443.01, 71200.81144, -56354.57, 135365.00,
3683.979, 1456.84, 0.10, 1153.26),
("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.CROSS, 1535443.01, 356512.508, -448192.89, 16300.000,
109.488, 32481.980, 0.025, 26316.89)
])
def test_liquidation_price(exchange_name, open_rate, is_short, leverage, trading_mode, collateral, wallet_balance,
maintenance_margin_ex_1, unrealized_pnl_ex_1, maintenance_amount_both, position_1_both,
entry_price_1_both, maintenance_margin_rate_both, expected):
assert isclose(round(liquidation_price(
exchange_name=exchange_name,
open_rate=open_rate,
is_short=is_short,
leverage=leverage,
trading_mode=trading_mode,
collateral=collateral,
wallet_balance=wallet_balance,
maintenance_margin_ex_1=maintenance_margin_ex_1,
unrealized_pnl_ex_1=unrealized_pnl_ex_1,
maintenance_amount_both=maintenance_amount_both,
position_1_both=position_1_both,
entry_price_1_both=entry_price_1_both,
maintenance_margin_rate_both=maintenance_margin_rate_both
), 2), expected)