Merge branch 'feat/short' into max-amount

freqtrade/enums/marginmode.py

@@ -9,3 +9,4 @@ class MarginMode(Enum):
     """
     CROSS = "cross"
     ISOLATED = "isolated"
+    NONE = ''

freqtrade/exchange/exchange.py

@@ -941,11 +941,10 @@ class Exchange:
         side: str,
         amount: float,
         rate: float,
+        leverage: float,
         reduceOnly: bool = False,
-        leverage: float = 1.0,
         time_in_force: str = 'gtc',
     ) -> Dict:
-        # TODO-lev: remove default for leverage
         if self._config['dry_run']:
             dry_order = self.create_dry_run_order(pair, ordertype, side, amount, rate, leverage)
             return dry_order

freqtrade/freqtradebot.py

@@ -605,7 +605,7 @@ class FreqtradeBot(LoggingMixin):
         self,
         pair: str,
         open_rate: float,
-        amount: float,
+        amount: float,  # quote currency, includes leverage
         leverage: float,
         is_short: bool
     ) -> Tuple[float, Optional[float]]:
@@ -1285,7 +1285,8 @@ class FreqtradeBot(LoggingMixin):
             # to the order dict acquired before cancelling.
             # we need to fall back to the values from order if corder does not contain these keys.
             trade.amount = filled_amount
-            # TODO-lev: Check edge cases, we don't want to make leverage > 1.0 if we don't have to
+            # * Check edge cases, we don't want to make leverage > 1.0 if we don't have to
+            # * (for leverage modes which aren't isolated futures)
 
             trade.stake_amount = trade.amount * trade.open_rate
             self.update_trade_state(trade, trade.open_order_id, corder)
@@ -1352,13 +1353,14 @@ class FreqtradeBot(LoggingMixin):
         :return: amount to sell
         :raise: DependencyException: if available balance is not within 2% of the available amount.
         """
-        # TODO-lev Maybe update?
         # Update wallets to ensure amounts tied up in a stoploss is now free!
         self.wallets.update()
         trade_base_currency = self.exchange.get_pair_base_currency(pair)
         wallet_amount = self.wallets.get_free(trade_base_currency)
         logger.debug(f"{pair} - Wallet: {wallet_amount} - Trade-amount: {amount}")
-        if wallet_amount >= amount:
+        # TODO-lev: Get wallet amount + value of positions
+        if wallet_amount >= amount or self.trading_mode == TradingMode.FUTURES:
+            # A safe exit amount isn't needed for futures, you can just exit/close the position
             return amount
         elif wallet_amount > amount * 0.98:
             logger.info(f"{pair} - Falling back to wallet-amount {wallet_amount} -> {amount}.")
@@ -1436,6 +1438,7 @@ class FreqtradeBot(LoggingMixin):
                 side=trade.exit_side,
                 amount=amount,
                 rate=limit,
+                leverage=trade.leverage,
                 reduceOnly=self.trading_mode == TradingMode.FUTURES,
                 time_in_force=time_in_force
             )

freqtrade/optimize/backtesting.py

@@ -333,8 +333,12 @@ class Backtesting:
                     df_analyzed.loc[:, col] = 0 if not tag_col else None
 
             # Update dataprovider cache
-            self.dataprovider._set_cached_df(pair, self.timeframe, df_analyzed, CandleType.SPOT)
+            self.dataprovider._set_cached_df(
-            # TODO-lev: Candle-type should be conditional, either "spot" or futures
+                pair,
+                self.timeframe,
+                df_analyzed,
+                self.config['candle_type_def']
+            )
 
             df_analyzed = df_analyzed.drop(df_analyzed.head(1).index)
 
@@ -499,7 +503,7 @@ class Backtesting:
         sell_candle_time: datetime = sell_row[DATE_IDX].to_pydatetime()
 
         if self.trading_mode == TradingMode.FUTURES:
-            # TODO-lev: Other fees / liquidation price?
+            # TODO-lev: liquidation price?
             trade.funding_fees = self.exchange.calculate_funding_fees(
                 self.futures_data[trade.pair],
                 amount=trade.amount,

freqtrade/persistence/models.py

@@ -569,7 +569,6 @@ class LocalTrade():
                 payment = "BUY" if self.is_short else "SELL"
                 # * On margin shorts, you buy a little bit more than the amount (amount + interest)
                 logger.info(f'{order_type.upper()}_{payment} has been fulfilled for {self}.')
-            # TODO-lev: Double check this
             self.close(safe_value_fallback(order, 'average', 'price'))
         elif order_type in ('stop_loss_limit', 'stop-loss', 'stop-loss-limit', 'stop'):
             self.stoploss_order_id = None

freqtrade/plot/plotting.py

@@ -431,7 +431,6 @@ def generate_candlestick_graph(pair: str, data: pd.DataFrame, trades: pd.DataFra
     )
     fig.add_trace(candles, 1, 1)
 
-    # TODO-lev: Needs short equivalent
     if 'enter_long' in data.columns:
         df_buy = data[data['enter_long'] == 1]
         if len(df_buy) > 0:

tests/exchange/test_exchange.py

@@ -1227,7 +1227,8 @@ def test_buy_dry_run(default_conf, mocker):
     exchange = get_patched_exchange(mocker, default_conf)
 
     order = exchange.create_order(pair='ETH/BTC', ordertype='limit', side="buy",
-                                  amount=1, rate=200, time_in_force='gtc')
+                                  amount=1, rate=200, leverage=1.0,
+                                  time_in_force='gtc')
     assert 'id' in order
     assert 'dry_run_buy_' in order['id']
 
@@ -1252,7 +1253,8 @@ def test_buy_prod(default_conf, mocker, exchange_name):
     exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
 
     order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="buy",
-                                  amount=1, rate=200, time_in_force=time_in_force)
+                                  amount=1, rate=200, leverage=1.0,
+                                  time_in_force=time_in_force)
 
     assert 'id' in order
     assert 'info' in order
@@ -1271,7 +1273,9 @@ def test_buy_prod(default_conf, mocker, exchange_name):
         side="buy",
         amount=1,
         rate=200,
-        time_in_force=time_in_force)
+        leverage=1.0,
+        time_in_force=time_in_force
+    )
     assert api_mock.create_order.call_args[0][0] == 'ETH/BTC'
     assert api_mock.create_order.call_args[0][1] == order_type
     assert api_mock.create_order.call_args[0][2] == 'buy'
@@ -1283,31 +1287,36 @@ def test_buy_prod(default_conf, mocker, exchange_name):
         api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("Not enough funds"))
         exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
         exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="buy",
-                              amount=1, rate=200, time_in_force=time_in_force)
+                              amount=1, rate=200, leverage=1.0,
+                              time_in_force=time_in_force)
 
     with pytest.raises(DependencyException):
         api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found"))
         exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
         exchange.create_order(pair='ETH/BTC', ordertype='limit', side="buy",
-                              amount=1, rate=200, time_in_force=time_in_force)
+                              amount=1, rate=200, leverage=1.0,
+                              time_in_force=time_in_force)
 
     with pytest.raises(DependencyException):
         api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found"))
         exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
         exchange.create_order(pair='ETH/BTC', ordertype='market', side="buy",
-                              amount=1, rate=200, time_in_force=time_in_force)
+                              amount=1, rate=200, leverage=1.0,
+                              time_in_force=time_in_force)
 
     with pytest.raises(TemporaryError):
         api_mock.create_order = MagicMock(side_effect=ccxt.NetworkError("Network disconnect"))
         exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
         exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="buy",
-                              amount=1, rate=200, time_in_force=time_in_force)
+                              amount=1, rate=200, leverage=1.0,
+                              time_in_force=time_in_force)
 
     with pytest.raises(OperationalException):
         api_mock.create_order = MagicMock(side_effect=ccxt.BaseError("Unknown error"))
         exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
         exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="buy",
-                              amount=1, rate=200, time_in_force=time_in_force)
+                              amount=1, rate=200, leverage=1.0,
+                              time_in_force=time_in_force)
 
 
 @pytest.mark.parametrize("exchange_name", EXCHANGES)
@@ -1331,7 +1340,8 @@ def test_buy_considers_time_in_force(default_conf, mocker, exchange_name):
     time_in_force = 'ioc'
 
     order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="buy",
-                                  amount=1, rate=200, time_in_force=time_in_force)
+                                  amount=1, rate=200, leverage=1.0,
+                                  time_in_force=time_in_force)
 
     assert 'id' in order
     assert 'info' in order
@@ -1348,7 +1358,8 @@ def test_buy_considers_time_in_force(default_conf, mocker, exchange_name):
     time_in_force = 'ioc'
 
     order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="buy",
-                                  amount=1, rate=200, time_in_force=time_in_force)
+                                  amount=1, rate=200, leverage=1.0,
+                                  time_in_force=time_in_force)
 
     assert 'id' in order
     assert 'info' in order
@@ -1367,7 +1378,7 @@ def test_sell_dry_run(default_conf, mocker):
     exchange = get_patched_exchange(mocker, default_conf)
 
     order = exchange.create_order(pair='ETH/BTC', ordertype='limit',
-                                  side="sell", amount=1, rate=200)
+                                  side="sell", amount=1, rate=200, leverage=1.0)
     assert 'id' in order
     assert 'dry_run_sell_' in order['id']
 
@@ -1392,7 +1403,7 @@ def test_sell_prod(default_conf, mocker, exchange_name):
     exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
 
     order = exchange.create_order(pair='ETH/BTC', ordertype=order_type,
-                                  side="sell", amount=1, rate=200)
+                                  side="sell", amount=1, rate=200, leverage=1.0)
 
     assert 'id' in order
     assert 'info' in order
@@ -1406,7 +1417,8 @@ def test_sell_prod(default_conf, mocker, exchange_name):
     api_mock.create_order.reset_mock()
     order_type = 'limit'
     order = exchange.create_order(pair='ETH/BTC', ordertype=order_type,
-                                  side="sell", amount=1, rate=200)
+                                  side="sell", amount=1, rate=200,
+                                  leverage=1.0)
     assert api_mock.create_order.call_args[0][0] == 'ETH/BTC'
     assert api_mock.create_order.call_args[0][1] == order_type
     assert api_mock.create_order.call_args[0][2] == 'sell'
@@ -1417,28 +1429,33 @@ def test_sell_prod(default_conf, mocker, exchange_name):
     with pytest.raises(DependencyException):
         api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance"))
         exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
-        exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="sell", amount=1, rate=200)
+        exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="sell", amount=1, rate=200,
+                              leverage=1.0)
 
     with pytest.raises(DependencyException):
         api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found"))
         exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
-        exchange.create_order(pair='ETH/BTC', ordertype='limit', side="sell", amount=1, rate=200)
+        exchange.create_order(pair='ETH/BTC', ordertype='limit', side="sell", amount=1, rate=200,
+                              leverage=1.0)
 
     # Market orders don't require price, so the behaviour is slightly different
     with pytest.raises(DependencyException):
         api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found"))
         exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
-        exchange.create_order(pair='ETH/BTC', ordertype='market', side="sell", amount=1, rate=200)
+        exchange.create_order(pair='ETH/BTC', ordertype='market', side="sell", amount=1, rate=200,
+                              leverage=1.0)
 
     with pytest.raises(TemporaryError):
         api_mock.create_order = MagicMock(side_effect=ccxt.NetworkError("No Connection"))
         exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
-        exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="sell", amount=1, rate=200)
+        exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="sell", amount=1, rate=200,
+                              leverage=1.0)
 
     with pytest.raises(OperationalException):
         api_mock.create_order = MagicMock(side_effect=ccxt.BaseError("DeadBeef"))
         exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
-        exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="sell", amount=1, rate=200)
+        exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="sell", amount=1, rate=200,
+                              leverage=1.0)
 
 
 @pytest.mark.parametrize("exchange_name", EXCHANGES)
@@ -1462,7 +1479,8 @@ def test_sell_considers_time_in_force(default_conf, mocker, exchange_name):
     time_in_force = 'ioc'
 
     order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="sell",
-                                  amount=1, rate=200, time_in_force=time_in_force)
+                                  amount=1, rate=200, leverage=1.0,
+                                  time_in_force=time_in_force)
 
     assert 'id' in order
     assert 'info' in order
@@ -1478,7 +1496,8 @@ def test_sell_considers_time_in_force(default_conf, mocker, exchange_name):
     order_type = 'market'
     time_in_force = 'ioc'
     order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="sell",
-                                  amount=1, rate=200, time_in_force=time_in_force)
+                                  amount=1, rate=200, leverage=1.0,
+                                  time_in_force=time_in_force)
 
     assert 'id' in order
     assert 'info' in order
@@ -3792,9 +3811,10 @@ def test__fetch_and_calculate_funding_fees_datetime_called(
     d1 = datetime.strptime("2021-09-01 00:00:00 +0000", '%Y-%m-%d %H:%M:%S %z')
 
     time_machine.move_to("2021-09-01 08:00:00 +00:00")
-    # TODO-lev: test this for longs
     funding_fees = exchange._fetch_and_calculate_funding_fees('ADA/USDT', 30.0, True, d1)
     assert funding_fees == expected_fees
+    funding_fees = exchange._fetch_and_calculate_funding_fees('ADA/USDT', 30.0, False, d1)
+    assert funding_fees == 0 - expected_fees
 
 
 @pytest.mark.parametrize('pair,expected_size,trading_mode', [

tests/exchange/test_kraken.py

@@ -32,8 +32,15 @@ def test_buy_kraken_trading_agreement(default_conf, mocker):
     mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y)
     exchange = get_patched_exchange(mocker, default_conf, api_mock, id="kraken")
 
-    order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="buy",
+    order = exchange.create_order(
-                                  amount=1, rate=200, time_in_force=time_in_force)
+        pair='ETH/BTC',
+        ordertype=order_type,
+        side="buy",
+        amount=1,
+        rate=200,
+        leverage=1.0,
+        time_in_force=time_in_force
+    )
 
     assert 'id' in order
     assert 'info' in order
@@ -66,7 +73,7 @@ def test_sell_kraken_trading_agreement(default_conf, mocker):
     exchange = get_patched_exchange(mocker, default_conf, api_mock, id="kraken")
 
     order = exchange.create_order(pair='ETH/BTC', ordertype=order_type,
-                                  side="sell", amount=1, rate=200)
+                                  side="sell", amount=1, rate=200, leverage=1.0)
 
     assert 'id' in order
     assert 'info' in order

tests/strategy/strats/strategy_test_v3.py

@@ -169,7 +169,6 @@ class StrategyTestV3(IStrategy):
             ),
             'exit_short'] = 1
 
-        # TODO-lev: Add short logic
         return dataframe
 
     def leverage(self, pair: str, current_time: datetime, current_rate: float,

tests/test_freqtradebot.py

@@ -4799,9 +4799,125 @@ def test_get_valid_price(mocker, default_conf_usdt) -> None:
     assert valid_price_at_min_alwd < proposed_price
 
 
-def test_leverage_prep():
+@pytest.mark.parametrize(
-    # TODO-lev
+    "is_short,trading_mode,exchange_name,margin_mode,leverage,open_rate,amount,expected_liq", [
-    return
+        (False, 'spot', 'binance', '', 5.0,  10.0, 1.0, None),
+        (True, 'spot', 'binance', '', 5.0,  10.0, 1.0, None),
+        (False, 'spot', 'gateio', '', 5.0,  10.0, 1.0, None),
+        (True, 'spot', 'gateio', '', 5.0,  10.0, 1.0, None),
+        (False, 'spot', 'okex', '', 5.0,  10.0, 1.0, None),
+        (True, 'spot', 'okex', '', 5.0,  10.0, 1.0, None),
+        # Binance, short
+        (True, 'futures', 'binance', 'isolated', 5.0, 10.0, 1.0, 11.89108910891089),
+        (True, 'futures', 'binance', 'isolated', 3.0, 10.0, 1.0, 13.211221122079207),
+        (True, 'futures', 'binance', 'isolated', 5.0, 8.0, 1.0, 9.514851485148514),
+        (True, 'futures', 'binance', 'isolated', 5.0, 10.0, 0.6, 12.557755775577558),
+        # Binance, long
+        (False, 'futures', 'binance', 'isolated', 5, 10, 1.0, 8.070707070707071),
+        (False, 'futures', 'binance', 'isolated', 5, 8, 1.0, 6.454545454545454),
+        (False, 'futures', 'binance', 'isolated', 3, 10, 1.0, 6.717171717171718),
+        (False, 'futures', 'binance', 'isolated', 5, 10, 0.6, 7.39057239057239),
+        # Gateio/okex, short
+        (True, 'futures', 'gateio', 'isolated', 5, 10, 1.0, 11.87413417771621),
+        (True, 'futures', 'gateio', 'isolated', 5, 10, 2.0, 11.87413417771621),
+        (True, 'futures', 'gateio', 'isolated', 3, 10, 1.0, 13.476180850346978),
+        (True, 'futures', 'gateio', 'isolated', 5, 8, 1.0, 9.499307342172967),
+        # Gateio/okex, long
+        (False, 'futures', 'gateio', 'isolated', 5.0, 10.0, 1.0, 8.085708510208207),
+        (False, 'futures', 'gateio', 'isolated', 3.0, 10.0, 1.0, 6.738090425173506),
+        # (True, 'futures', 'okex', 'isolated', 11.87413417771621),
+        # (False, 'futures', 'okex', 'isolated', 8.085708510208207),
+    ]
+)
+def test_leverage_prep(
+    mocker,
+    default_conf_usdt,
+    is_short,
+    trading_mode,
+    exchange_name,
+    margin_mode,
+    leverage,
+    open_rate,
+    amount,
+    expected_liq,
+):
+    """
+    position = 0.2 * 5
+    wb: wallet balance (stake_amount if isolated)
+    cum_b: maintenance amount
+    side_1: -1 if is_short else 1
+    ep1: entry price
+    mmr_b: maintenance margin ratio
+
+    Binance, Short
+    leverage = 5, open_rate = 10, amount = 1.0
+        ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
+        ((2 + 0.01) - ((-1) * 1 * 10)) / ((1 * 0.01) - ((-1) * 1)) = 11.89108910891089
+    leverage = 3, open_rate = 10, amount = 1.0
+        ((3.3333333333 + 0.01) - ((-1) * 1.0 * 10)) / ((1.0 * 0.01) - ((-1) * 1.0)) = 13.2112211220
+    leverage = 5, open_rate = 8, amount = 1.0
+        ((1.6 + 0.01) - ((-1) * 1 * 8)) / ((1 * 0.01) - ((-1) * 1)) = 9.514851485148514
+    leverage = 5, open_rate = 10, amount = 0.6
+        ((1.6 + 0.01) - ((-1) * 0.6 * 10)) / ((0.6 * 0.01) - ((-1) * 0.6)) = 12.557755775577558
+
+    Binance, Long
+    leverage = 5, open_rate = 10, amount = 1.0
+        ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
+        ((2 + 0.01) - (1 * 1 * 10)) / ((1 * 0.01) - (1 * 1)) = 8.070707070707071
+    leverage = 5, open_rate = 8, amount = 1.0
+        ((1.6 + 0.01) - (1 * 1 * 8)) / ((1 * 0.01) - (1 * 1)) = 6.454545454545454
+    leverage = 3, open_rate = 10, amount = 1.0
+        ((2 + 0.01) - (1 * 0.6 * 10)) / ((0.6 * 0.01) - (1 * 0.6)) = 6.717171717171718
+    leverage = 5, open_rate = 10, amount = 0.6
+        ((1.6 + 0.01) - (1 * 0.6 * 10)) / ((0.6 * 0.01) - (1 * 0.6)) = 7.39057239057239
+
+    Gateio/Okex, Short
+    leverage = 5, open_rate = 10, amount = 1.0
+        (open_rate + (wallet_balance / position)) / (1 + (mm_ratio + taker_fee_rate))
+        (10 + (2 / 1.0)) / (1 + (0.01 + 0.0006)) = 11.87413417771621
+    leverage = 5, open_rate = 10, amount = 2.0
+        (10 + (4 / 2.0)) / (1 + (0.01 + 0.0006)) = 11.87413417771621
+    leverage = 3, open_rate = 10, amount = 1.0
+        (10 + (3.3333333333333 / 1.0)) / (1 - (0.01 + 0.0006)) = 13.476180850346978
+    leverage = 5, open_rate = 8, amount = 1.0
+        (8 + (1.6 / 1.0)) / (1 + (0.01 + 0.0006)) = 9.499307342172967
+
+    Gateio/Okex, Long
+    leverage = 5, open_rate = 10, amount = 1.0
+        (open_rate - (wallet_balance / position)) / (1 - (mm_ratio + taker_fee_rate))
+        (10 - (2 / 1)) / (1 - (0.01 + 0.0006)) = 8.085708510208207
+    leverage = 5, open_rate = 10, amount = 2.0
+        (10 - (4 / 2.0)) / (1 + (0.01 + 0.0006)) = 7.916089451810806
+    leverage = 3, open_rate = 10, amount = 1.0
+        (10 - (3.333333333333333333 / 1.0)) / (1 - (0.01 + 0.0006)) = 6.738090425173506
+    leverage = 5, open_rate = 8, amount = 1.0
+        (8 - (1.6 / 1.0)) / (1 + (0.01 + 0.0006)) = 6.332871561448645
+    """
+    default_conf_usdt['trading_mode'] = trading_mode
+    default_conf_usdt['exchange']['name'] = exchange_name
+    default_conf_usdt['margin_mode'] = margin_mode
+    mocker.patch('freqtrade.exchange.Gateio.validate_ordertypes')
+    patch_RPCManager(mocker)
+    patch_exchange(mocker, id=exchange_name)
+    freqtrade = FreqtradeBot(default_conf_usdt)
+
+    freqtrade.exchange.get_maintenance_ratio_and_amt = MagicMock(return_value=(0.01, 0.01))
+    freqtrade.exchange.name = exchange_name
+    # default_conf_usdt.update({
+    #     "dry_run": False,
+    # })
+    (interest, liq) = freqtrade.leverage_prep(
+        pair='ETH/USDT:USDT',
+        open_rate=open_rate,
+        amount=amount,
+        leverage=leverage,
+        is_short=is_short,
+    )
+    assert interest == 0.0
+    if expected_liq is None:
+        assert liq is None
+    else:
+        isclose(expected_liq, liq)
 
 
 @pytest.mark.parametrize('trading_mode,calls,t1,t2', [