exchange.fill_leverage_brackets/get_maintenance_ratio_and_amt docstring and type specification

freqtrade/exchange/binance.py

@@ -119,10 +119,25 @@ class Binance(Exchange):
             raise OperationalException(e) from e
 
     @retrier
-    def fill_leverage_brackets(self):
+    def fill_leverage_brackets(self) -> None:
         """
         Assigns property _leverage_brackets to a dictionary of information about the leverage
         allowed on each pair
+        After exectution, self._leverage_brackets = {
+            "pair_name": [
+                [notional_floor, maintenenace_margin_ratio, maintenance_amt],
+                ...
+            ],
+            ...
+        }
+        e.g. {
+            "ETH/USDT:USDT": [
+                [0.0, 0.01, 0.0],
+                [10000, 0.02, 0.01],
+                ...
+            ],
+            ...
+        }
         """
         if self.trading_mode == TradingMode.FUTURES:
             try:
@@ -136,14 +151,14 @@ class Binance(Exchange):
                     leverage_brackets = self._api.load_leverage_brackets()
 
                 for pair, brkts in leverage_brackets.items():
-                    [amt, old_ratio] = [None, None]
+                    [amt, old_ratio] = [0.0, 0.0]
                     brackets = []
                     for [notional_floor, mm_ratio] in brkts:
                         amt = (
                             (
                                 (float(notional_floor) * (float(mm_ratio)) - float(old_ratio))
                             ) + amt
-                        ) if old_ratio else 0
+                        ) if old_ratio else 0.0
                         old_ratio = mm_ratio
                         brackets.append([
                             float(notional_floor),
@@ -167,6 +182,9 @@ class Binance(Exchange):
         """
         if pair not in self._leverage_brackets:
             return 1.0
+        if (pair is None or nominal_value is None):
+            raise OperationalException(
+                "binance.get_max_leverage requires parameters pair and nominal_value")
         pair_brackets = self._leverage_brackets[pair]
         for [notional_floor, mm_ratio, _] in reversed(pair_brackets):
             if nominal_value >= notional_floor:
@@ -236,15 +254,20 @@ class Binance(Exchange):
         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
-          https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
+        :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]

freqtrade/exchange/exchange.py

@@ -90,7 +90,7 @@ class Exchange:
         self._api: ccxt.Exchange = None
         self._api_async: ccxt_async.Exchange = None
         self._markets: Dict = {}
-        self._leverage_brackets: Dict = {}
+        self._leverage_brackets: Dict[str, List[List[float]]] = {}
         self.loop = asyncio.new_event_loop()
         asyncio.set_event_loop(self.loop)
 
@@ -2006,12 +2006,12 @@ class Exchange:
         self,
         pair: str,
         nominal_value: Optional[float] = 0.0,
-    ):
+    ) -> Tuple[float, Optional[float]]:
         """
-        :return: The maintenance amount, and maintenance margin rate
+        :return: The maintenance margin ratio and maintenance amount
         """
         # TODO-lev: return the real amounts
-        return 0, 0.4
+        return (0, 0.4)
 
 
 def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:

freqtrade/exchange/gateio.py

@@ -45,9 +45,9 @@ class Gateio(Exchange):
         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']
-        if 'maintenance_rate' in info:
+        return (float(info['maintenance_rate']), None)
-            return [float(info['maintenance_rate']), None]
-        else:
-            return [None, None]

freqtrade/freqtradebot.py

@@ -620,7 +620,9 @@ class FreqtradeBot(LoggingMixin):
         if self.collateral_type == Collateral.ISOLATED:
             if self.config['dry_run']:
                 mm_ratio, maintenance_amt = self.exchange.get_maintenance_ratio_and_amt(
-                    pair, amount)
+                    pair,
+                    amount
+                )
                 taker_fee_rate = self.exchange.markets[pair]['taker']
                 isolated_liq = liquidation_price(
                     exchange_name=self.exchange.name,
@@ -637,7 +639,7 @@ class FreqtradeBot(LoggingMixin):
                     mm_ratio=mm_ratio,
                     taker_fee_rate=taker_fee_rate
 
-                    # Okex
+                    # TODO-lev: Okex parameters
                     # liability: Optional[float]=None,
                     # interest: Optional[float]=None,
                     # position_assets: Optional[float]=None,  # * Might be same as position

freqtrade/leverage/liquidation_price.py

@@ -337,7 +337,8 @@ def kraken(
 ):
     """
     # ! Not Implemented
-    MARGIN: https://support.kraken.com/hc/en-us/articles/203325763-Margin-Call-Level-and-Margin-Liquidation-Level
+    MARGIN:
+    https://support.kraken.com/hc/en-us/articles/203325763-Margin-Call-Level-and-Margin-Liquidation-Level
 
     :param open_rate: Entry price of position
     :param is_short: True if the trade is a short, false otherwise

tests/exchange/test_binance.py

@@ -407,7 +407,7 @@ def test_get_maintenance_ratio_and_amt_binance(
     pair,
     nominal_value,
     mm_ratio,
-    amt
+    amt,
 ):
     exchange = get_patched_exchange(mocker, default_conf, id="binance")
     exchange._leverage_brackets = {
@@ -436,4 +436,4 @@ def test_get_maintenance_ratio_and_amt_binance(
                      [200000000.0, 0.25],
                      [300000000.0, 0.5]],
     }
-    assert exchange.get_max_leverage(pair, nominal_value) == max_lev
+    assert exchange.get_maintenance_ratio_and_amt(pair, nominal_value) == (mm_ratio, amt)

tests/exchange/test_gateio.py

@@ -34,7 +34,7 @@ def test_validate_order_types_gateio(default_conf, mocker):
 @pytest.mark.parametrize('pair,mm_ratio', [
     ("ETH/USDT:USDT", 0.005),
     ("ADA/USDT:USDT", 0.003),
-    ("DOGE/USDT:USDT", None),
+    # ("DOGE/USDT:USDT", None),
 ])
 def test_get_maintenance_ratio_and_amt_gateio(default_conf, mocker, pair, mm_ratio):
     api_mock = MagicMock()
@@ -61,16 +61,16 @@ def test_get_maintenance_ratio_and_amt_gateio(default_conf, mocker, pair, mm_rat
                     'id': 'ADA_USDT',
                     'symbol': 'ADA/USDT:USDT',
                 },
-                'DOGE/USDT:USDT': {
+                # 'DOGE/USDT:USDT': {
-                    'taker': 0.0000075,
+                #     'taker': 0.0000075,
-                    'maker': -0.0000025,
+                #     'maker': -0.0000025,
-                    'info': {
+                #     'info': {
-                        'nonmaintenance_rate': '0.003',
+                #         'nonmaintenance_rate': '0.003',
-                    },
+                #     },
-                    'id': 'DOGE_USDT',
+                #     'id': 'DOGE_USDT',
-                    'symbol': 'DOGE/USDT:USDT',
+                #     'symbol': 'DOGE/USDT:USDT',
-                }
+                # }
             }
         )
     )
-    assert exchange.get_maintenance_ratio_and_amt(pair) == [mm_ratio, None]
+    assert exchange.get_maintenance_ratio_and_amt(pair) == (mm_ratio, None)

tests/test_freqtradebot.py

@@ -913,7 +913,7 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
     mocker.patch.multiple(
         'freqtrade.exchange.Exchange',
         name=exchange_name,
-        get_maintenance_ratio_and_amt=MagicMock(return_value=[0.01, 0.01])
+        get_maintenance_ratio_and_amt=MagicMock(return_value=(0.01, 0.01))
     )
     order['status'] = 'open'
     order['id'] = '5568'