diff --git a/freqtrade/leverage/liquidation_price.py b/freqtrade/leverage/liquidation_price.py index c84657bd5..2b94f5d34 100644 --- a/freqtrade/leverage/liquidation_price.py +++ b/freqtrade/leverage/liquidation_price.py @@ -12,12 +12,12 @@ def liquidation_price( trading_mode: TradingMode, collateral: Optional[Collateral], wallet_balance: Optional[float], - maintenance_margin_ex_1: Optional[float], - unrealized_pnl_ex_1: Optional[float], - maintenance_amount: Optional[float], - position_1: Optional[float], - entry_price_1: Optional[float], - maintenance_margin_rate: Optional[float] + mm_ex_1: Optional[float], + 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: @@ -30,17 +30,17 @@ def liquidation_price( ) if exchange_name.lower() == "binance": - if not wallet_balance or not maintenance_margin_ex_1 or not unrealized_pnl_ex_1 \ - or not maintenance_amount or not position_1 or not entry_price_1 \ - or not maintenance_margin_rate: + if not wallet_balance or not mm_ex_1 or not upnl_ex_1 \ + or not maintenance_amt or not position or not entry_price \ + or not mm_rate: raise OperationalException( - f"Parameters wallet_balance, maintenance_margin_ex_1, unrealized_pnl_ex_1, " - f"maintenance_amount, position_1, entry_price_1, maintenance_margin_rate " + f"Parameters wallet_balance, mm_ex_1, upnl_ex_1, " + f"maintenance_amt, position, entry_price, mm_rate " f"is required by liquidation_price when exchange is {exchange_name.lower()}") return binance(open_rate, is_short, leverage, trading_mode, collateral, wallet_balance, - maintenance_margin_ex_1, unrealized_pnl_ex_1, maintenance_amount, - position_1, entry_price_1, maintenance_margin_rate) + mm_ex_1, upnl_ex_1, maintenance_amt, + position, entry_price, mm_rate) elif exchange_name.lower() == "kraken": return kraken(open_rate, is_short, leverage, trading_mode, collateral) elif exchange_name.lower() == "ftx": @@ -73,12 +73,12 @@ def binance( trading_mode: TradingMode, collateral: Collateral, wallet_balance: float, - maintenance_margin_ex_1: float, - unrealized_pnl_ex_1: float, - maintenance_amount: float, - position_1: float, - entry_price_1: float, - maintenance_margin_rate: float, + mm_ex_1: float, + upnl_ex_1: float, + maintenance_amt: float, + position: float, + entry_price: float, + mm_rate: float, ): r""" Calculates the liquidation price on Binance @@ -91,30 +91,30 @@ def binance( :param wallet_balance: Wallet Balance is crossWalletBalance in Cross-Margin Mode. Wallet Balance is isolatedWalletBalance in Isolated Margin Mode - :param maintenance_margin_ex_1: Maintenance Margin of all other contracts, + :param mm_ex_1: Maintenance Margin of all other contracts, excluding Contract 1. If it is an isolated margin mode, then TMM=0 - :param unrealized_pnl_ex_1: Unrealized PNL of all other contracts, excluding Contract 1. + :param upnl_ex_1: Unrealized PNL of all other contracts, excluding Contract 1. If it is an isolated margin mode, then UPNL=0 - :param maintenance_amount: Maintenance Amount of position (one-way mode) + :param maintenance_amt: Maintenance Amount of position (one-way mode) - :param position_1: Absolute value of position size (one-way mode) + :param position: Absolute value of position size (one-way mode) - :param entry_price_1: Entry Price of position (one-way mode) + :param entry_price: Entry Price of position (one-way mode) - :param maintenance_margin_rate: Maintenance margin rate of position (one-way mode) + :param mm_rate: Maintenance margin rate of position (one-way mode) """ # TODO-lev: Additional arguments, fill in formulas wb = wallet_balance - tmm_1 = 0.0 if collateral == Collateral.ISOLATED else maintenance_margin_ex_1 - upnl_1 = 0.0 if collateral == Collateral.ISOLATED else unrealized_pnl_ex_1 - cum_b = maintenance_amount + tmm_1 = 0.0 if collateral == Collateral.ISOLATED else mm_ex_1 + upnl_1 = 0.0 if collateral == Collateral.ISOLATED else upnl_ex_1 + cum_b = maintenance_amt side_1 = -1 if is_short else 1 - position_1 = abs(position_1) - ep1 = entry_price_1 - mmr_b = maintenance_margin_rate + position = abs(position) + ep1 = entry_price + mmr_b = mm_rate if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS: # TODO-lev: perform a calculation based on this formula @@ -125,16 +125,16 @@ def binance( # Liquidation Price of USDⓈ-M Futures Contracts Isolated # Isolated margin mode, then TMM=0，UPNL=0 - return (wb + cum_b - side_1 * position_1 * ep1) / ( - position_1 * mmr_b - side_1 * position_1) + return (wb + cum_b - side_1 * position * ep1) / ( + position * mmr_b - side_1 * position) elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS: # https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93 # Liquidation Price of USDⓈ-M Futures Contracts Cross # Isolated margin mode, then TMM=0，UPNL=0 - return (wb - tmm_1 + upnl_1 + cum_b - side_1 * position_1 * ep1) / ( - position_1 * mmr_b - side_1 * position_1) + return (wb - tmm_1 + upnl_1 + cum_b - side_1 * position * ep1) / ( + position * mmr_b - side_1 * position) # If nothing was returned exception("binance", trading_mode, collateral) diff --git a/tests/leverage/test_liquidation_price.py b/tests/leverage/test_liquidation_price.py index 92348a75c..a3f014bb4 100644 --- a/tests/leverage/test_liquidation_price.py +++ b/tests/leverage/test_liquidation_price.py @@ -90,8 +90,8 @@ def test_liquidation_price_exception_thrown( @pytest.mark.parametrize( 'exchange_name, open_rate, is_short, leverage, trading_mode, collateral, wallet_balance, ' - 'maintenance_margin_ex_1, unrealized_pnl_ex_1, maintenance_amount, position_1, entry_price_1, ' - 'maintenance_margin_rate, expected', + 'mm_ex_1, upnl_ex_1, maintenance_amt, position, entry_price, ' + 'mm_rate, expected', [ ("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.ISOLATED, 1535443.01, 71200.8114, -56354.57, 135365.00, 3683.979, 1456.84, 0.10, 1114.78), @@ -103,8 +103,8 @@ def test_liquidation_price_exception_thrown( -448192.89, 16300.000, 109.488, 32481.980, 0.025, 26316.89) ]) def test_liquidation_price(exchange_name, open_rate, is_short, leverage, trading_mode, collateral, - wallet_balance, maintenance_margin_ex_1, unrealized_pnl_ex_1, - maintenance_amount, position_1, entry_price_1, maintenance_margin_rate, + wallet_balance, mm_ex_1, upnl_ex_1, + maintenance_amt, position, entry_price, mm_rate, expected): assert isclose(round(liquidation_price( exchange_name=exchange_name, @@ -114,10 +114,10 @@ def test_liquidation_price(exchange_name, open_rate, is_short, leverage, trading trading_mode=trading_mode, collateral=collateral, wallet_balance=wallet_balance, - maintenance_margin_ex_1=maintenance_margin_ex_1, - unrealized_pnl_ex_1=unrealized_pnl_ex_1, - maintenance_amount=maintenance_amount, - position_1=position_1, - entry_price_1=entry_price_1, - maintenance_margin_rate=maintenance_margin_rate + mm_ex_1=mm_ex_1, + upnl_ex_1=upnl_ex_1, + maintenance_amt=maintenance_amt, + position=position, + entry_price=entry_price, + mm_rate=mm_rate ), 2), expected)