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Shorted parameters

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This commit is contained in:
Arunavo Ray 2021-09-19 12:08:50 +05:30
parent 3cc30e741b
commit da00b21cd5
2 changed files with 45 additions and 45 deletions
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70
freqtrade/leverage/liquidation_price.py
View File

@ -12,12 +12,12 @@ def liquidation_price(
trading_mode: TradingMode, trading_mode: TradingMode,
collateral: Optional[Collateral], collateral: Optional[Collateral],
wallet_balance: Optional[float], wallet_balance: Optional[float],
maintenance_margin_ex_1: Optional[float], mm_ex_1: Optional[float],
unrealized_pnl_ex_1: Optional[float], upnl_ex_1: Optional[float],
maintenance_amount: Optional[float], maintenance_amt: Optional[float],
position_1: Optional[float], position: Optional[float],
entry_price_1: Optional[float], entry_price: Optional[float],
maintenance_margin_rate: Optional[float] mm_rate: Optional[float]
) -> Optional[float]: ) -> Optional[float]:
if trading_mode == TradingMode.SPOT: if trading_mode == TradingMode.SPOT:
@ -30,17 +30,17 @@ def liquidation_price(
) )
if exchange_name.lower() == "binance": if exchange_name.lower() == "binance":
if not wallet_balance or not maintenance_margin_ex_1 or not unrealized_pnl_ex_1 \ if not wallet_balance or not mm_ex_1 or not upnl_ex_1 \
or not maintenance_amount or not position_1 or not entry_price_1 \ or not maintenance_amt or not position or not entry_price \
or not maintenance_margin_rate: or not mm_rate:
raise OperationalException( raise OperationalException(
f"Parameters wallet_balance, maintenance_margin_ex_1, unrealized_pnl_ex_1, " f"Parameters wallet_balance, mm_ex_1, upnl_ex_1, "
f"maintenance_amount, position_1, entry_price_1, maintenance_margin_rate " f"maintenance_amt, position, entry_price, mm_rate "
f"is required by liquidation_price when exchange is {exchange_name.lower()}") f"is required by liquidation_price when exchange is {exchange_name.lower()}")
return binance(open_rate, is_short, leverage, trading_mode, collateral, wallet_balance, return binance(open_rate, is_short, leverage, trading_mode, collateral, wallet_balance,
maintenance_margin_ex_1, unrealized_pnl_ex_1, maintenance_amount, mm_ex_1, upnl_ex_1, maintenance_amt,
position_1, entry_price_1, maintenance_margin_rate) position, entry_price, mm_rate)
elif exchange_name.lower() == "kraken": elif exchange_name.lower() == "kraken":
return kraken(open_rate, is_short, leverage, trading_mode, collateral) return kraken(open_rate, is_short, leverage, trading_mode, collateral)
elif exchange_name.lower() == "ftx": elif exchange_name.lower() == "ftx":
@ -73,12 +73,12 @@ def binance(
trading_mode: TradingMode, trading_mode: TradingMode,
collateral: Collateral, collateral: Collateral,
wallet_balance: float, wallet_balance: float,
maintenance_margin_ex_1: float, mm_ex_1: float,
unrealized_pnl_ex_1: float, upnl_ex_1: float,
maintenance_amount: float, maintenance_amt: float,
position_1: float, position: float,
entry_price_1: float, entry_price: float,
maintenance_margin_rate: float, mm_rate: float,
): ):
r""" r"""
Calculates the liquidation price on Binance Calculates the liquidation price on Binance
@ -91,30 +91,30 @@ def binance(
:param wallet_balance: Wallet Balance is crossWalletBalance in Cross-Margin Mode. :param wallet_balance: Wallet Balance is crossWalletBalance in Cross-Margin Mode.
Wallet Balance is isolatedWalletBalance in Isolated 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 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 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 # TODO-lev: Additional arguments, fill in formulas
wb = wallet_balance wb = wallet_balance
tmm_1 = 0.0 if collateral == Collateral.ISOLATED else maintenance_margin_ex_1 tmm_1 = 0.0 if collateral == Collateral.ISOLATED else mm_ex_1
upnl_1 = 0.0 if collateral == Collateral.ISOLATED else unrealized_pnl_ex_1 upnl_1 = 0.0 if collateral == Collateral.ISOLATED else upnl_ex_1
cum_b = maintenance_amount cum_b = maintenance_amt
side_1 = -1 if is_short else 1 side_1 = -1 if is_short else 1
position_1 = abs(position_1) position = abs(position)
ep1 = entry_price_1 ep1 = entry_price
mmr_b = maintenance_margin_rate mmr_b = mm_rate
if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS: if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS:
# TODO-lev: perform a calculation based on this formula # TODO-lev: perform a calculation based on this formula
@ -125,16 +125,16 @@ def binance(
# Liquidation Price of USDⓈ-M Futures Contracts Isolated # Liquidation Price of USDⓈ-M Futures Contracts Isolated
# Isolated margin mode, then TMM=0，UPNL=0 # Isolated margin mode, then TMM=0，UPNL=0
return (wb + cum_b - side_1 * position_1 * ep1) / ( return (wb + cum_b - side_1 * position * ep1) / (
position_1 * mmr_b - side_1 * position_1) position * mmr_b - side_1 * position)
elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS: elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS:
# https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93 # https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
# Liquidation Price of USDⓈ-M Futures Contracts Cross # Liquidation Price of USDⓈ-M Futures Contracts Cross
# Isolated margin mode, then TMM=0，UPNL=0 # Isolated margin mode, then TMM=0，UPNL=0
return (wb - tmm_1 + upnl_1 + cum_b - side_1 * position_1 * ep1) / ( return (wb - tmm_1 + upnl_1 + cum_b - side_1 * position * ep1) / (
position_1 * mmr_b - side_1 * position_1) position * mmr_b - side_1 * position)
# If nothing was returned # If nothing was returned
exception("binance", trading_mode, collateral) exception("binance", trading_mode, collateral)

20
tests/leverage/test_liquidation_price.py
View File

@ -90,8 +90,8 @@ def test_liquidation_price_exception_thrown(
@pytest.mark.parametrize( @pytest.mark.parametrize(
'exchange_name, open_rate, is_short, leverage, trading_mode, collateral, wallet_balance, ' '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, ' 'mm_ex_1, upnl_ex_1, maintenance_amt, position, entry_price, '
'maintenance_margin_rate, expected', 'mm_rate, expected',
[ [
("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.ISOLATED, 1535443.01, 71200.8114, ("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), -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) -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, def test_liquidation_price(exchange_name, open_rate, is_short, leverage, trading_mode, collateral,
wallet_balance, maintenance_margin_ex_1, unrealized_pnl_ex_1, wallet_balance, mm_ex_1, upnl_ex_1,
maintenance_amount, position_1, entry_price_1, maintenance_margin_rate, maintenance_amt, position, entry_price, mm_rate,
expected): expected):
assert isclose(round(liquidation_price( assert isclose(round(liquidation_price(
exchange_name=exchange_name, exchange_name=exchange_name,
@ -114,10 +114,10 @@ def test_liquidation_price(exchange_name, open_rate, is_short, leverage, trading
trading_mode=trading_mode, trading_mode=trading_mode,
collateral=collateral, collateral=collateral,
wallet_balance=wallet_balance, wallet_balance=wallet_balance,
maintenance_margin_ex_1=maintenance_margin_ex_1, mm_ex_1=mm_ex_1,
unrealized_pnl_ex_1=unrealized_pnl_ex_1, upnl_ex_1=upnl_ex_1,
maintenance_amount=maintenance_amount, maintenance_amt=maintenance_amt,
position_1=position_1, position=position,
entry_price_1=entry_price_1, entry_price=entry_price,
maintenance_margin_rate=maintenance_margin_rate mm_rate=mm_rate
), 2), expected) ), 2), expected)