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exchange.liquidation_price methods combined, dry_run check on exchange for liquidation price

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Sam Germain
2022-01-29 18:47:17 -06:00
parent 143c37d36f
commit b8f4cebce7
8 changed files with 140 additions and 124 deletions
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52
freqtrade/exchange/binance.py
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@@ -277,17 +277,15 @@ class Binance(Exchange):
# 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 liquidation_price(
def dry_run_liquidation_price(
self,
pair: str,
open_rate: float, # Entry price of position
is_short: bool,
mm_ratio: float,
position: float, # Absolute value of position size
wallet_balance: float, # Or margin balance
taker_fee_rate: Optional[float] = None, # (Gateio & Okex)
maintenance_amt: Optional[float] = None, # (Binance)
mm_ex_1: Optional[float] = 0.0, # (Binance) Cross only
upnl_ex_1: Optional[float] = 0.0, # (Binance) Cross only
mm_ex_1: float = 0.0, # (Binance) Cross only
upnl_ex_1: float = 0.0, # (Binance) Cross only
) -> Optional[float]:
"""
MARGIN: https://www.binance.com/en/support/faq/f6b010588e55413aa58b7d63ee0125ed
@@ -296,14 +294,10 @@ class Binance(Exchange):
:param exchange_name:
:param open_rate: (EP1) Entry price of position
:param is_short: True if the trade is a short, false otherwise
:param mm_ratio: (MMR)
# Binance's formula specifies maintenance margin rate which is mm_ratio * 100%
:param position: Absolute value of position size (in base currency)
:param maintenance_amt: (CUM) Maintenance Amount of position
:param wallet_balance: (WB)
Cross-Margin Mode: crossWalletBalance
Isolated-Margin Mode: isolatedWalletBalance
:param taker_fee_rate: # * Not required by Binance
:param maintenance_amt:
# * Only required for Cross
@@ -314,30 +308,20 @@ class Binance(Exchange):
Cross-Margin Mode: Unrealized PNL of all other contracts, excluding Contract 1.
Isolated-Margin Mode: 0
"""
if self.trading_mode == TradingMode.SPOT:
return None
elif (self.collateral is None):
raise OperationalException('Binance.collateral must be set for liquidation_price')
if (maintenance_amt is None):
raise OperationalException(
f"Parameter maintenance_amt is required by Binance.liquidation_price"
f"for {self.collateral.value} {self.trading_mode.value}"
)
if (self.collateral == Collateral.CROSS and (mm_ex_1 is None or upnl_ex_1 is None)):
raise OperationalException(
f"Parameters mm_ex_1 and upnl_ex_1 are required by Binance.liquidation_price"
f"for {self.collateral.value} {self.trading_mode.value}"
)
side_1 = -1 if is_short else 1
position = abs(position)
cross_vars = (
upnl_ex_1 - mm_ex_1 # type: ignore
if self.collateral == Collateral.CROSS else
0.0
)
cross_vars = upnl_ex_1 - mm_ex_1 if self.collateral == Collateral.CROSS else 0.0
# mm_ratio: Binance's formula specifies maintenance margin rate which is mm_ratio * 100%
# maintenance_amt: (CUM) Maintenance Amount of position
mm_ratio, maintenance_amt = self.get_maintenance_ratio_and_amt(pair, position)
if (maintenance_amt is None):
raise OperationalException(
"Parameter maintenance_amt is required by Binance.liquidation_price"
f"for {self.trading_mode.value}"
)
if self.trading_mode == TradingMode.FUTURES:
return (
@@ -348,6 +332,6 @@ class Binance(Exchange):
(position * mm_ratio) - (side_1 * position)
)
)
raise OperationalException(
f"Binance does not support {self.collateral.value} {self.trading_mode.value} trading")
else:
raise OperationalException(
"Freqtrade only supports isolated futures for leverage trading")