moved get_maintenance_ratio_and_amt to base.exchange. Wrote get_leverage_tiers. Added mmr_key to exchange._ft_has
This commit is contained in:
Sam Germain
parent
ee5f05208e
commit
a5aba4813d
@ -169,11 +169,11 @@ class Binance(Exchange):
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+ amt
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) if old_ratio else 0.0
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old_ratio = mm_ratio
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brackets.append([
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brackets.append((
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float(notional_floor),
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float(mm_ratio),
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amt,
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])
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))
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self._leverage_brackets[pair] = brackets
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except ccxt.DDoSProtection as e:
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raise DDosProtection(e) from e
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@ -272,34 +272,6 @@ class Binance(Exchange):
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"""
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return open_date.minute > 0 or (open_date.minute == 0 and open_date.second > 15)
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def get_maintenance_ratio_and_amt(
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self,
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pair: str,
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nominal_value: Optional[float] = 0.0,
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) -> Tuple[float, Optional[float]]:
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"""
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Formula: https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
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Maintenance amt = Floor of Position Bracket on Level n *
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difference between
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Maintenance Margin Rate on Level n and
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Maintenance Margin Rate on Level n-1)
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+ Maintenance Amount on Level n-1
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:return: The maintenance margin ratio and maintenance amount
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"""
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if nominal_value is None:
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raise OperationalException(
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"nominal value is required for binance.get_maintenance_ratio_and_amt")
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if pair not in self._leverage_brackets:
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raise InvalidOrderException(f"Cannot calculate liquidation price for {pair}")
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pair_brackets = self._leverage_brackets[pair]
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for [notional_floor, mm_ratio, amt] in reversed(pair_brackets):
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if nominal_value >= notional_floor:
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return (mm_ratio, amt)
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raise OperationalException("nominal value can not be lower than 0")
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# The lowest notional_floor for any pair in loadLeverageBrackets is always 0 because it
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# describes the min amount for a bracket, and the lowest bracket will always go down to 0
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def dry_run_liquidation_price(
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self,
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pair: str,
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@ -73,7 +73,8 @@ class Exchange:
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"l2_limit_range_required": True, # Allow Empty L2 limit (kucoin)
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"mark_ohlcv_price": "mark",
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"mark_ohlcv_timeframe": "8h",
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"ccxt_futures_name": "swap"
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"ccxt_futures_name": "swap",
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"mmr_key": None,
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}
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_ft_has: Dict = {}
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@ -90,7 +91,7 @@ class Exchange:
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self._api: ccxt.Exchange = None
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self._api_async: ccxt_async.Exchange = None
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self._markets: Dict = {}
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self._leverage_brackets: Dict[str, List[List[float]]] = {}
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self._leverage_brackets: Dict[str, List[Tuple[float, float, Optional(float)]]] = {}
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self.loop = asyncio.new_event_loop()
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asyncio.set_event_loop(self.loop)
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@ -2099,16 +2100,6 @@ class Exchange:
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else:
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return None
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def get_maintenance_ratio_and_amt(
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self,
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pair: str,
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nominal_value: Optional[float] = 0.0,
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) -> Tuple[float, Optional[float]]:
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"""
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:return: The maintenance margin ratio and maintenance amount
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"""
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raise OperationalException(self.name + ' does not support leverage futures trading')
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def dry_run_liquidation_price(
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self,
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pair: str,
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@ -2161,6 +2152,59 @@ class Exchange:
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raise OperationalException(
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"Freqtrade only supports isolated futures for leverage trading")
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def get_leverage_tiers(self, pair: str):
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# When exchanges can load all their leverage brackets at once in the constructor
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# then this method does nothing, it should only be implemented when the leverage
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# brackets requires per symbol fetching to avoid excess api calls
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return None
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def get_maintenance_ratio_and_amt(
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self,
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pair: str,
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nominal_value: Optional[float] = 0.0,
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) -> Tuple[float, Optional[float]]:
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"""
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:param pair: Market symbol
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:param nominal_value: The total trade amount in quote currency including leverage
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maintenance amount only on Binance
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:return: (maintenance margin ratio, maintenance amount)
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"""
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if nominal_value is None:
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raise OperationalException(
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f"nominal value is required for {self.name}.get_maintenance_ratio_and_amt"
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)
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if self._api.has['fetchLeverageTiers']:
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if pair not in self._leverage_brackets:
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# Used when fetchLeverageTiers cannot fetch all symbols at once
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tiers = self.get_leverage_tiers(pair)
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if not bool(tiers):
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raise InvalidOrderException(f"Cannot calculate liquidation price for {pair}")
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else:
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self._leverage_brackets[pair] = []
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for tier in tiers[pair]:
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self._leverage_brackets[pair].append((
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tier['notionalFloor'],
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tier['maintenanceMarginRatio'],
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None,
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))
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pair_brackets = self._leverage_brackets[pair]
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for (notional_floor, mm_ratio, amt) in reversed(pair_brackets):
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if nominal_value >= notional_floor:
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return (mm_ratio, amt)
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raise OperationalException("nominal value can not be lower than 0")
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# The lowest notional_floor for any pair in loadLeverageBrackets is always 0 because it
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# describes the min amt for a bracket, and the lowest bracket will always go down to 0
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else:
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info = self.markets[pair]['info']
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mmr_key = self._ft_has['mmr_key']
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if mmr_key and mmr_key in info:
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return (float(info[mmr_key]), None)
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else:
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raise OperationalException(
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f"Cannot fetch maintenance margin. Dry-run for freqtrade {self.trading_mode}"
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f"is not available for {self.name}"
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)
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def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:
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return exchange_name in ccxt_exchanges(ccxt_module)
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@ -1,6 +1,6 @@
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""" Gate.io exchange subclass """
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import logging
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from typing import Dict, List, Optional, Tuple
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from typing import Dict, List, Tuple
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from freqtrade.enums import MarginMode, TradingMode
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from freqtrade.exceptions import OperationalException
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@ -23,6 +23,7 @@ class Gateio(Exchange):
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_ft_has: Dict = {
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"ohlcv_candle_limit": 1000,
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"ohlcv_volume_currency": "quote",
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"mmr_key": "maintenance_rate",
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}
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_headers = {'X-Gate-Channel-Id': 'freqtrade'}
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@ -40,14 +41,3 @@ class Gateio(Exchange):
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if any(v == 'market' for k, v in order_types.items()):
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raise OperationalException(
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f'Exchange {self.name} does not support market orders.')
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def get_maintenance_ratio_and_amt(
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self,
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pair: str,
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nominal_value: Optional[float] = 0.0,
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) -> Tuple[float, Optional[float]]:
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"""
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:return: The maintenance margin ratio and maintenance amount
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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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@ -25,7 +25,7 @@ class Okx(Exchange):
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# TradingMode.SPOT always supported and not required in this list
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# (TradingMode.MARGIN, MarginMode.CROSS),
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# (TradingMode.FUTURES, MarginMode.CROSS),
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# (TradingMode.FUTURES, MarginMode.ISOLATED)
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(TradingMode.FUTURES, MarginMode.ISOLATED),
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]
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def _lev_prep(
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@ -46,3 +46,6 @@ class Okx(Exchange):
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"mgnMode": self.margin_mode.value,
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"posSide": "long" if side == "buy" else "short",
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})
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def get_leverage_tiers(self, pair: str):
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return self._api.fetch_leverage_tiers(pair)
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@ -210,28 +210,34 @@ def test_get_max_leverage_binance(default_conf, mocker, pair, stake_amount, max_
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def test_fill_leverage_brackets_binance(default_conf, mocker):
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api_mock = MagicMock()
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api_mock.load_leverage_brackets = MagicMock(return_value={
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'ADA/BUSD': [[0.0, 0.025],
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[100000.0, 0.05],
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[500000.0, 0.1],
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[1000000.0, 0.15],
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[2000000.0, 0.25],
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[5000000.0, 0.5]],
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'BTC/USDT': [[0.0, 0.004],
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[50000.0, 0.005],
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[250000.0, 0.01],
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[1000000.0, 0.025],
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[5000000.0, 0.05],
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[20000000.0, 0.1],
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[50000000.0, 0.125],
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[100000000.0, 0.15],
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[200000000.0, 0.25],
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[300000000.0, 0.5]],
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"ZEC/USDT": [[0.0, 0.01],
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[5000.0, 0.025],
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[25000.0, 0.05],
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[100000.0, 0.1],
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[250000.0, 0.125],
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[1000000.0, 0.5]],
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'ADA/BUSD': [
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[0.0, 0.025],
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[100000.0, 0.05],
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[500000.0, 0.1],
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[1000000.0, 0.15],
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[2000000.0, 0.25],
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[5000000.0, 0.5],
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],
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'BTC/USDT': [
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[0.0, 0.004],
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[50000.0, 0.005],
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[250000.0, 0.01],
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[1000000.0, 0.025],
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[5000000.0, 0.05],
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[20000000.0, 0.1],
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[50000000.0, 0.125],
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[100000000.0, 0.15],
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[200000000.0, 0.25],
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[300000000.0, 0.5],
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],
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"ZEC/USDT": [
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[0.0, 0.01],
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[5000.0, 0.025],
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[25000.0, 0.05],
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[100000.0, 0.1],
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[250000.0, 0.125],
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[1000000.0, 0.5],
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],
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})
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default_conf['dry_run'] = False
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@ -241,28 +247,34 @@ def test_fill_leverage_brackets_binance(default_conf, mocker):
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exchange.fill_leverage_brackets()
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assert exchange._leverage_brackets == {
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'ADA/BUSD': [[0.0, 0.025, 0.0],
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[100000.0, 0.05, 2500.0],
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[500000.0, 0.1, 27500.0],
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[1000000.0, 0.15, 77499.99999999999],
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[2000000.0, 0.25, 277500.0],
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[5000000.0, 0.5, 1527500.0]],
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'BTC/USDT': [[0.0, 0.004, 0.0],
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[50000.0, 0.005, 50.0],
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[250000.0, 0.01, 1300.0],
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[1000000.0, 0.025, 16300.000000000002],
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[5000000.0, 0.05, 141300.0],
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[20000000.0, 0.1, 1141300.0],
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[50000000.0, 0.125, 2391300.0],
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[100000000.0, 0.15, 4891300.0],
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[200000000.0, 0.25, 24891300.0],
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[300000000.0, 0.5, 99891300.0]],
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"ZEC/USDT": [[0.0, 0.01, 0.0],
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[5000.0, 0.025, 75.0],
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[25000.0, 0.05, 700.0],
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[100000.0, 0.1, 5700.0],
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[250000.0, 0.125, 11949.999999999998],
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[1000000.0, 0.5, 386950.0]]
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'ADA/BUSD': [
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(0.0, 0.025, 0.0),
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(100000.0, 0.05, 2500.0),
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(500000.0, 0.1, 27500.0),
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(1000000.0, 0.15, 77499.99999999999),
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(2000000.0, 0.25, 277500.0),
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(5000000.0, 0.5, 1527500.0),
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],
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'BTC/USDT': [
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(0.0, 0.004, 0.0),
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(50000.0, 0.005, 50.0),
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(250000.0, 0.01, 1300.0),
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(1000000.0, 0.025, 16300.000000000002),
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(5000000.0, 0.05, 141300.0),
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(20000000.0, 0.1, 1141300.0),
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(50000000.0, 0.125, 2391300.0),
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(100000000.0, 0.15, 4891300.0),
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(200000000.0, 0.25, 24891300.0),
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(300000000.0, 0.5, 99891300.0),
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],
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"ZEC/USDT": [
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(0.0, 0.01, 0.0),
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(5000.0, 0.025, 75.0),
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(25000.0, 0.05, 700.0),
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(100000.0, 0.1, 5700.0),
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(250000.0, 0.125, 11949.999999999998),
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(1000000.0, 0.5, 386950.0),
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]
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}
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api_mock = MagicMock()
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@ -288,37 +300,37 @@ def test_fill_leverage_brackets_binance_dryrun(default_conf, mocker):
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leverage_brackets = {
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"1000SHIB/USDT": [
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[0.0, 0.01, 0.0],
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[5000.0, 0.025, 75.0],
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[25000.0, 0.05, 700.0],
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[100000.0, 0.1, 5700.0],
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[250000.0, 0.125, 11949.999999999998],
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[1000000.0, 0.5, 386950.0],
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(0.0, 0.01, 0.0),
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(5000.0, 0.025, 75.0),
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(25000.0, 0.05, 700.0),
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(100000.0, 0.1, 5700.0),
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(250000.0, 0.125, 11949.999999999998),
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(1000000.0, 0.5, 386950.0),
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],
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"1INCH/USDT": [
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[0.0, 0.012, 0.0],
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[5000.0, 0.025, 65.0],
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[25000.0, 0.05, 690.0],
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[100000.0, 0.1, 5690.0],
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[250000.0, 0.125, 11939.999999999998],
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[1000000.0, 0.5, 386940.0],
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(0.0, 0.012, 0.0),
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(5000.0, 0.025, 65.0),
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(25000.0, 0.05, 690.0),
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(100000.0, 0.1, 5690.0),
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(250000.0, 0.125, 11939.999999999998),
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(1000000.0, 0.5, 386940.0),
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],
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"AAVE/USDT": [
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[0.0, 0.01, 0.0],
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[50000.0, 0.02, 500.0],
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[250000.0, 0.05, 8000.000000000001],
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[1000000.0, 0.1, 58000.0],
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[2000000.0, 0.125, 107999.99999999999],
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[5000000.0, 0.1665, 315500.00000000006],
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[10000000.0, 0.25, 1150500.0],
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(0.0, 0.01, 0.0),
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(50000.0, 0.02, 500.0),
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(250000.0, 0.05, 8000.000000000001),
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(1000000.0, 0.1, 58000.0),
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(2000000.0, 0.125, 107999.99999999999),
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(5000000.0, 0.1665, 315500.00000000006),
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(10000000.0, 0.25, 1150500.0),
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],
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"ADA/BUSD": [
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[0.0, 0.025, 0.0],
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[100000.0, 0.05, 2500.0],
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[500000.0, 0.1, 27500.0],
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[1000000.0, 0.15, 77499.99999999999],
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[2000000.0, 0.25, 277500.0],
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[5000000.0, 0.5, 1527500.0],
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(0.0, 0.025, 0.0),
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(100000.0, 0.05, 2500.0),
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(500000.0, 0.1, 27500.0),
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(1000000.0, 0.15, 77499.99999999999),
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(2000000.0, 0.25, 277500.0),
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(5000000.0, 0.5, 1527500.0),
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]
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}
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@ -37,6 +37,7 @@ def test_validate_order_types_gateio(default_conf, mocker):
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])
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def test_get_maintenance_ratio_and_amt_gateio(default_conf, mocker, pair, mm_ratio):
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api_mock = MagicMock()
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type(api_mock).has = PropertyMock(return_value={'fetchLeverageTiers': False})
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id="gateio")
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mocker.patch(
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'freqtrade.exchange.Exchange.markets',
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@ -722,8 +722,8 @@ def test_process_informative_pairs_added(default_conf_usdt, ticker_usdt, mocker)
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(False, 'futures', 'binance', 'isolated', 0.05, 8.167171717171717),
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(True, 'futures', 'gateio', 'isolated', 0.05, 11.7804274688304),
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(False, 'futures', 'gateio', 'isolated', 0.05, 8.181423084697796),
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# (True, 'futures', 'okex', 'isolated', 11.87413417771621),
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# (False, 'futures', 'okex', 'isolated', 8.085708510208207),
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(True, 'futures', 'okex', 'isolated', 11.87413417771621),
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(False, 'futures', 'okex', 'isolated', 8.085708510208207),
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])
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def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
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limit_order_open, is_short, trading_mode,
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@ -778,7 +778,8 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
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get_min_pair_stake_amount=MagicMock(return_value=1),
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get_fee=fee,
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get_funding_fees=MagicMock(return_value=0),
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name=exchange_name
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name=exchange_name,
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get_maintenance_ratio_and_amt=MagicMock(return_value=(0.01, 0.01)),
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)
|
||||
pair = 'ETH/USDT'
|
||||
|
||||
@ -922,7 +923,6 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
|
||||
assert trade.open_rate_requested == 10
|
||||
|
||||
# In case of custom entry price not float type
|
||||
freqtrade.exchange.get_maintenance_ratio_and_amt = MagicMock(return_value=(0.01, 0.01))
|
||||
freqtrade.exchange.name = exchange_name
|
||||
order['status'] = 'open'
|
||||
order['id'] = '5568'
|
||||
|
||||
Loading…
Reference in New Issue
Block a user