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moved get_maintenance_ratio_and_amt to base.exchange. Wrote get_leverage_tiers. Added mmr_key to exchange._ft_has

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This commit is contained in:
Sam Germain
2022-02-05 19:32:46 -06:00
parent ee5f05208e
commit a5aba4813d
7 changed files with 150 additions and 128 deletions
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32
freqtrade/exchange/binance.py
View File

@@ -169,11 +169,11 @@ class Binance(Exchange):
+ amt
) if old_ratio else 0.0
old_ratio = mm_ratio
brackets.append([
brackets.append((
float(notional_floor),
float(mm_ratio),
amt,
])
))
self._leverage_brackets[pair] = brackets
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
@@ -272,34 +272,6 @@ class Binance(Exchange):
"""
return open_date.minute > 0 or (open_date.minute == 0 and open_date.second > 15)
def get_maintenance_ratio_and_amt(
self,
pair: str,
nominal_value: Optional[float] = 0.0,
) -> Tuple[float, Optional[float]]:
"""
Formula: https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
Maintenance amt = Floor of Position Bracket on Level n *
difference between
Maintenance Margin Rate on Level n and
Maintenance Margin Rate on Level n-1)
+ Maintenance Amount on Level n-1
:return: The maintenance margin ratio and maintenance amount
"""
if nominal_value is None:
raise OperationalException(
"nominal value is required for binance.get_maintenance_ratio_and_amt")
if pair not in self._leverage_brackets:
raise InvalidOrderException(f"Cannot calculate liquidation price for {pair}")
pair_brackets = self._leverage_brackets[pair]
for [notional_floor, mm_ratio, amt] in reversed(pair_brackets):
if nominal_value >= notional_floor:
return (mm_ratio, amt)
raise OperationalException("nominal value can not be lower than 0")
# The lowest notional_floor for any pair in loadLeverageBrackets is always 0 because it
# describes the min amount for a bracket, and the lowest bracket will always go down to 0
def dry_run_liquidation_price(
self,
pair: str,

68
freqtrade/exchange/exchange.py
View File

@@ -73,7 +73,8 @@ class Exchange:
"l2_limit_range_required": True, # Allow Empty L2 limit (kucoin)
"mark_ohlcv_price": "mark",
"mark_ohlcv_timeframe": "8h",
"ccxt_futures_name": "swap"
"ccxt_futures_name": "swap",
"mmr_key": None,
}
_ft_has: Dict = {}
@@ -90,7 +91,7 @@ class Exchange:
self._api: ccxt.Exchange = None
self._api_async: ccxt_async.Exchange = None
self._markets: Dict = {}
self._leverage_brackets: Dict[str, List[List[float]]] = {}
self._leverage_brackets: Dict[str, List[Tuple[float, float, Optional(float)]]] = {}
self.loop = asyncio.new_event_loop()
asyncio.set_event_loop(self.loop)
@@ -2099,16 +2100,6 @@ class Exchange:
else:
return None
def get_maintenance_ratio_and_amt(
self,
pair: str,
nominal_value: Optional[float] = 0.0,
) -> Tuple[float, Optional[float]]:
"""
:return: The maintenance margin ratio and maintenance amount
"""
raise OperationalException(self.name + ' does not support leverage futures trading')
def dry_run_liquidation_price(
self,
pair: str,
@@ -2161,6 +2152,59 @@ class Exchange:
raise OperationalException(
"Freqtrade only supports isolated futures for leverage trading")
def get_leverage_tiers(self, pair: str):
# When exchanges can load all their leverage brackets at once in the constructor
# then this method does nothing, it should only be implemented when the leverage
# brackets requires per symbol fetching to avoid excess api calls
return None
def get_maintenance_ratio_and_amt(
self,
pair: str,
nominal_value: Optional[float] = 0.0,
) -> Tuple[float, Optional[float]]:
"""
:param pair: Market symbol
:param nominal_value: The total trade amount in quote currency including leverage
maintenance amount only on Binance
:return: (maintenance margin ratio, maintenance amount)
"""
if nominal_value is None:
raise OperationalException(
f"nominal value is required for {self.name}.get_maintenance_ratio_and_amt"
)
if self._api.has['fetchLeverageTiers']:
if pair not in self._leverage_brackets:
# Used when fetchLeverageTiers cannot fetch all symbols at once
tiers = self.get_leverage_tiers(pair)
if not bool(tiers):
raise InvalidOrderException(f"Cannot calculate liquidation price for {pair}")
else:
self._leverage_brackets[pair] = []
for tier in tiers[pair]:
self._leverage_brackets[pair].append((
tier['notionalFloor'],
tier['maintenanceMarginRatio'],
None,
))
pair_brackets = self._leverage_brackets[pair]
for (notional_floor, mm_ratio, amt) in reversed(pair_brackets):
if nominal_value >= notional_floor:
return (mm_ratio, amt)
raise OperationalException("nominal value can not be lower than 0")
# The lowest notional_floor for any pair in loadLeverageBrackets is always 0 because it
# describes the min amt for a bracket, and the lowest bracket will always go down to 0
else:
info = self.markets[pair]['info']
mmr_key = self._ft_has['mmr_key']
if mmr_key and mmr_key in info:
return (float(info[mmr_key]), None)
else:
raise OperationalException(
f"Cannot fetch maintenance margin. Dry-run for freqtrade {self.trading_mode}"
f"is not available for {self.name}"
)
def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:
return exchange_name in ccxt_exchanges(ccxt_module)

14
freqtrade/exchange/gateio.py
View File

@@ -1,6 +1,6 @@
""" Gate.io exchange subclass """
import logging
from typing import Dict, List, Optional, Tuple
from typing import Dict, List, Tuple
from freqtrade.enums import MarginMode, TradingMode
from freqtrade.exceptions import OperationalException
@@ -23,6 +23,7 @@ class Gateio(Exchange):
_ft_has: Dict = {
"ohlcv_candle_limit": 1000,
"ohlcv_volume_currency": "quote",
"mmr_key": "maintenance_rate",
}
_headers = {'X-Gate-Channel-Id': 'freqtrade'}
@@ -40,14 +41,3 @@ class Gateio(Exchange):
if any(v == 'market' for k, v in order_types.items()):
raise OperationalException(
f'Exchange {self.name} does not support market orders.')
def get_maintenance_ratio_and_amt(
self,
pair: str,
nominal_value: Optional[float] = 0.0,
) -> Tuple[float, Optional[float]]:
"""
:return: The maintenance margin ratio and maintenance amount
"""
info = self.markets[pair]['info']
return (float(info['maintenance_rate']), None)

5
freqtrade/exchange/okx.py
View File

@@ -25,7 +25,7 @@ class Okx(Exchange):
# TradingMode.SPOT always supported and not required in this list
# (TradingMode.MARGIN, MarginMode.CROSS),
# (TradingMode.FUTURES, MarginMode.CROSS),
# (TradingMode.FUTURES, MarginMode.ISOLATED)
(TradingMode.FUTURES, MarginMode.ISOLATED),
]
def _lev_prep(
@@ -46,3 +46,6 @@ class Okx(Exchange):
"mgnMode": self.margin_mode.value,
"posSide": "long" if side == "buy" else "short",
})
def get_leverage_tiers(self, pair: str):
return self._api.fetch_leverage_tiers(pair)