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exchange.fill_leverage_brackets/get_maintenance_ratio_and_amt docstring and type specification

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This commit is contained in:
Sam Germain 2022-01-14 06:11:17 -06:00
parent b4a0611afc
commit bb2b2211d0
8 changed files with 57 additions and 31 deletions
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33
freqtrade/exchange/binance.py
View File

@ -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]

8
freqtrade/exchange/exchange.py
View File

@ -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:

10
freqtrade/exchange/gateio.py
View File

@ -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]
else:
return [None, None]
return (float(info['maintenance_rate']), None)

6
freqtrade/freqtradebot.py
View File

@ -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

3
freqtrade/leverage/liquidation_price.py
View File

@ -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

4
tests/exchange/test_binance.py
View File

@ -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)

22
tests/exchange/test_gateio.py
View File

@ -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': {
'taker': 0.0000075,
'maker': -0.0000025,
'info': {
'nonmaintenance_rate': '0.003',
},
'id': 'DOGE_USDT',
'symbol': 'DOGE/USDT:USDT',
}
# 'DOGE/USDT:USDT': {
# 'taker': 0.0000075,
# 'maker': -0.0000025,
# 'info': {
# 'nonmaintenance_rate': '0.003',
# },
# 'id': 'DOGE_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)

2
tests/test_freqtradebot.py
View File

@ -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'