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Isolated liq branch passes all tests and has the general structure that it is supposed to, but is patchy, and doesnt get the correct maintenance amt and maintenance margin rate yet

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This commit is contained in:
Sam Germain
2021-11-05 19:27:06 -06:00
parent eee7271ab8
commit ba02605d77
6 changed files with 103 additions and 44 deletions
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52
freqtrade/leverage/liquidation_price.py
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@@ -16,7 +16,6 @@ def liquidation_price(
upnl_ex_1: Optional[float],
maintenance_amt: Optional[float],
position: Optional[float],
entry_price: Optional[float],
mm_rate: Optional[float]
) -> Optional[float]:
if trading_mode == TradingMode.SPOT:
@@ -29,17 +28,33 @@ def liquidation_price(
)
if exchange_name.lower() == "binance":
if None in [wallet_balance, mm_ex_1, upnl_ex_1, maintenance_amt, position, entry_price,
mm_rate]:
if (
wallet_balance is None or
mm_ex_1 is None or
upnl_ex_1 is None or
maintenance_amt is None or
position is None or
mm_rate is None
):
raise OperationalException(
f"Parameters wallet_balance, mm_ex_1, upnl_ex_1, "
f"maintenance_amt, position, entry_price, mm_rate "
f"maintenance_amt, position, mm_rate "
f"is required by liquidation_price when exchange is {exchange_name.lower()}")
# Suppress incompatible type "Optional[float]"; expected "float" as the check exists above.
return binance(open_rate, is_short, leverage, trading_mode, collateral, # type: ignore
wallet_balance, mm_ex_1, upnl_ex_1, maintenance_amt, # type: ignore
position, entry_price, mm_rate) # type: ignore
return binance(
open_rate=open_rate,
is_short=is_short,
leverage=leverage,
trading_mode=trading_mode,
collateral=collateral, # type: ignore
wallet_balance=wallet_balance,
mm_ex_1=mm_ex_1,
upnl_ex_1=upnl_ex_1,
maintenance_amt=maintenance_amt, # type: ignore
position=position,
mm_rate=mm_rate,
) # type: ignore
elif exchange_name.lower() == "kraken":
return kraken(open_rate, is_short, leverage, trading_mode, collateral)
elif exchange_name.lower() == "ftx":
@@ -76,12 +91,10 @@ def binance(
upnl_ex_1: float,
maintenance_amt: float,
position: float,
entry_price: float,
mm_rate: float,
):
"""
Calculates the liquidation price on Binance
:param open_rate: open_rate
:param is_short: true or false
:param leverage: leverage in float
:param trading_mode: spot, margin, futures
@@ -100,7 +113,7 @@ def binance(
:param position: Absolute value of position size (one-way mode)
:param entry_price: Entry Price of position (one-way mode)
:param open_rate: Entry Price of position (one-way mode)
:param mm_rate: Maintenance margin rate of position (one-way mode)
@@ -112,7 +125,7 @@ def binance(
cum_b = maintenance_amt
side_1 = -1 if is_short else 1
position = abs(position)
ep1 = entry_price
ep1 = open_rate
mmr_b = mm_rate
if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS:
@@ -189,6 +202,17 @@ def ftx(
if __name__ == '__main__':
print(liquidation_price("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.ISOLATED,
1535443.01, 356512.508,
0.0, 16300.000, 109.488, 32481.980, 0.025))
print(liquidation_price(
"binance",
32481.980,
False,
1,
TradingMode.FUTURES,
Collateral.ISOLATED,
1535443.01,
356512.508,
0.0,
16300.000,
109.488,
0.025
))