Split tradingmode into tradingmode and collateral, moved functions out of liqformula class
This commit is contained in:
Sam Germain
parent
57ba31c09c
commit
dd8cce00a4
@ -1,5 +1,6 @@
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# flake8: noqa: F401
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from freqtrade.enums.backteststate import BacktestState
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from freqtrade.enums.collateral import Collateral
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from freqtrade.enums.interestmode import InterestMode
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from freqtrade.enums.liqformula import LiqFormula
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from freqtrade.enums.rpcmessagetype import RPCMessageType
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9
freqtrade/enums/collateral.py
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9
freqtrade/enums/collateral.py
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from enum import Enum
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class Collateral(Enum):
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"""
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Bot application states
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"""
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CROSS = "cross"
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ISOLATED = "isolated"
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@ -1,12 +1,14 @@
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# from decimal import Decimal
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from enum import Enum
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# from math import ceil
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from typing import Optional
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from freqtrade.enums.collateral import Collateral
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from freqtrade.enums.tradingmode import TradingMode
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from freqtrade.exceptions import OperationalException
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# from math import ceil
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class LiqFormula(Enum):
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"""Equations to calculate liquidation price"""
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@ -15,72 +17,72 @@ class LiqFormula(Enum):
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FTX = "FTX"
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NONE = None
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def _exception(self, trading_mode: TradingMode, freq_specific: Optional[bool] = True):
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"""
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Raises an exception if exchange used doesn't support desired leverage mode
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:param trading_mode: cross, isolated, cross_futures or isolated_futures
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:param freq_specific:
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False if the exchange does not support this leverage mode
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True if only freqtrade doesn't support it
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"""
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if freq_specific:
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raise OperationalException(
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f"Freqtrade does not support {trading_mode.value} on {self.name}")
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else:
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raise OperationalException(f"{self.name} does not support {trading_mode.value} trading")
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def _binance(self, trading_mode: TradingMode):
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# TODO-lev: Additional arguments, fill in formulas
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if trading_mode == TradingMode.CROSS_MARGIN:
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# TODO-lev: perform a calculation based on this formula
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# https://www.binance.com/en/support/faq/f6b010588e55413aa58b7d63ee0125ed
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self._exception(trading_mode)
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elif trading_mode == TradingMode.ISOLATED_MARGIN:
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self._exception(trading_mode) # Likely won't be implemented
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elif trading_mode == TradingMode.CROSS_FUTURES:
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# TODO-lev: perform a calculation based on this formula
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# https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
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self._exception(trading_mode)
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elif trading_mode == TradingMode.ISOLATED_FUTURES:
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# TODO-lev: perform a calculation based on this formula
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# https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
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self._exception(trading_mode)
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else:
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self._exception(trading_mode)
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def _kraken(self, trading_mode: TradingMode):
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# TODO-lev: Additional arguments, fill in formulas
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if trading_mode == TradingMode.CROSS_MARGIN:
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self._exception(trading_mode)
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# TODO-lev: perform a calculation based on this formula
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# https://support.kraken.com/hc/en-us/articles/203325763-Margin-Call-Level-and-Margin-Liquidation-Level
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elif trading_mode == TradingMode.CROSS_FUTURES:
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# TODO-lev: implement
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self._exception(trading_mode)
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elif trading_mode == TradingMode.ISOLATED_MARGIN or \
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trading_mode == TradingMode.ISOLATED_FUTURES:
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self._exception(trading_mode, True)
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else:
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self._exception(trading_mode)
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def _ftx(self, trading_mode: TradingMode):
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# TODO-lev: Additional arguments, fill in formulas
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self._exception(trading_mode)
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def __call__(self, **k):
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trading_mode: TradingMode = k['trading_mode']
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if trading_mode == TradingMode.SPOT or self.name == "NONE":
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return None
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collateral: Collateral = k['collateral']
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if self.name == "BINANCE":
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return self._binance(trading_mode)
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return binance(trading_mode, collateral)
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elif self.name == "KRAKEN":
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return self._kraken(trading_mode)
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return kraken(trading_mode, collateral)
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elif self.name == "FTX":
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return self._ftx(trading_mode)
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return ftx(trading_mode, collateral)
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else:
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self._exception(trading_mode)
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exception(self.name, trading_mode, collateral)
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def exception(name: str, trading_mode: TradingMode, collateral: Collateral):
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"""
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Raises an exception if exchange used doesn't support desired leverage mode
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:param trading_mode: cross, isolated, cross_futures or isolated_futures
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"""
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raise OperationalException(
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f"{name} does not support {collateral.value} {trading_mode.value} trading")
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def binance(name: str, trading_mode: TradingMode, collateral: Collateral):
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# TODO-lev: Additional arguments, fill in formulas
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if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS:
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# TODO-lev: perform a calculation based on this formula
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# https://www.binance.com/en/support/faq/f6b010588e55413aa58b7d63ee0125ed
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exception(name, trading_mode, collateral)
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elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS:
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# TODO-lev: perform a calculation based on this formula
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# https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
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exception(name, trading_mode, collateral)
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elif trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
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# TODO-lev: perform a calculation based on this formula
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# https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
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exception(name, trading_mode, collateral)
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# If nothing was returned
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exception(name, trading_mode, collateral)
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def kraken(name: str, trading_mode: TradingMode, collateral: Collateral):
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# TODO-lev: Additional arguments, fill in formulas
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if collateral == Collateral.CROSS:
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if trading_mode == TradingMode.MARGIN:
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exception(name, trading_mode, collateral)
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# TODO-lev: perform a calculation based on this formula
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# https://support.kraken.com/hc/en-us/articles/203325763-Margin-Call-Level-and-Margin-Liquidation-Level
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elif trading_mode == TradingMode.FUTURES:
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exception(name, trading_mode, collateral)
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# If nothing was returned
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exception(name, trading_mode, collateral)
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def ftx(name: str, trading_mode: TradingMode, collateral: Collateral):
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if collateral == Collateral.CROSS:
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# TODO-lev: Additional arguments, fill in formulas
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exception(name, trading_mode, collateral)
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# If nothing was returned
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exception(name, trading_mode, collateral)
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@ -4,10 +4,8 @@ from enum import Enum
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class TradingMode(Enum):
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"""
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Enum to distinguish between
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spot, cross margin, isolated margin, futures or any other trading method
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spot, margin, futures or any other trading method
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"""
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SPOT = "spot"
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CROSS_MARGIN = "cross margin"
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ISOLATED_MARGIN = "isolated margin"
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CROSS_FUTURES = "cross futures"
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ISOLATED_FUTURES = "isolated futures"
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MARGIN = "margin"
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FUTURES = "futures"
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@ -1,4 +1,4 @@
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from freqtrade.enums import LiqFormula, TradingMode
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from freqtrade.enums import Collateral, LiqFormula, TradingMode
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# from freqtrade.exceptions import OperationalException
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@ -7,37 +7,55 @@ from freqtrade.enums import LiqFormula, TradingMode
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def test_liquidation_formula():
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spot = TradingMode.SPOT
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cross_margin = TradingMode.CROSS_MARGIN
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isolated_margin = TradingMode.ISOLATED_MARGIN
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cross_futures = TradingMode.CROSS_FUTURES
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isolated_futures = TradingMode.ISOLATED_FUTURES
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margin = TradingMode.MARGIN
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futures = TradingMode.FUTURES
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cross = Collateral.CROSS
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isolated = Collateral.ISOLATED
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# NONE
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assert LiqFormula.NONE(trading_mode=spot) is None
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assert LiqFormula.NONE(trading_mode=cross_margin) is None
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assert LiqFormula.NONE(trading_mode=isolated_margin) is None
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assert LiqFormula.NONE(trading_mode=cross_futures) is None
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assert LiqFormula.NONE(trading_mode=isolated_futures) is None
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assert LiqFormula.NONE(trading_mode=margin, collateral=cross) is None
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assert LiqFormula.NONE(trading_mode=margin, collateral=isolated) is None
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assert LiqFormula.NONE(trading_mode=futures, collateral=cross) is None
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assert LiqFormula.NONE(trading_mode=futures, collateral=isolated) is None
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# Binance
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assert LiqFormula.BINANCE(trading_mode=spot) is None
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assert LiqFormula.BINANCE(trading_mode=spot, collateral=cross) is None
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assert LiqFormula.BINANCE(trading_mode=spot, collateral=isolated) is None
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# TODO-lev: Uncomment these assertions and make them real calculation tests
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# TODO-lev: Replace 1.0 with real value
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# assert LiqFormula.BINANCE(trading_mode=cross_margin) == 1.0
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# assert LiqFormula.BINANCE(trading_mode=isolated_margin) == 1.0
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# assert LiqFormula.BINANCE(trading_mode=cross_futures) == 1.0
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# assert LiqFormula.BINANCE(trading_mode=isolated_futures) == 1.0
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# assert LiqFormula.BINANCE(trading_mode=margin, collateral=cross) == 1.0
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# assert LiqFormula.BINANCE(trading_mode=margin, collateral=isolated) == 1.0
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# assert LiqFormula.BINANCE(trading_mode=futures, collateral=cross) == 1.0
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# Binance supports isolated margin, but freqtrade likely won't for a while on Binance
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# assert LiqFormula.BINANCE(trading_mode=margin, collateral=isolated) == 1.0
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# Kraken
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assert LiqFormula.KRAKEN(trading_mode=spot) is None
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assert LiqFormula.KRAKEN(trading_mode=spot, collateral=cross) is None
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assert LiqFormula.KRAKEN(trading_mode=spot, collateral=isolated) is None
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# TODO-lev: Uncomment these assertions and make them real calculation tests
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# assert LiqFormula.KRAKEN(trading_mode=cross_margin) == 1.0
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# LiqFormula.KRAKEN(trading_mode=isolated_margin)
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# asset exception thrown #TODO-lev: Check that exception is thrown
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# assert LiqFormula.KRAKEN(trading_mode=cross_futures) == 1.0
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# LiqFormula.KRAKEN(trading_mode=isolated_futures)
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# asset exception thrown #TODO-lev: Check that exception is thrown
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# assert LiqFormula.KRAKEN(trading_mode=margin, collateral=cross) == 1.0
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# assert LiqFormula.KRAKEN(trading_mode=margin, collateral=isolated) == 1.0
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# LiqFormula.KRAKEN(trading_mode=futures, collateral=cross)
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# assert exception thrown #TODO-lev: Check that exception is thrown
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# LiqFormula.KRAKEN(trading_mode=futures, collateral=isolated)
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# assert exception thrown #TODO-lev: Check that exception is thrown
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# FTX
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assert LiqFormula.FTX(trading_mode=spot) is None
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assert LiqFormula.FTX(trading_mode=spot, collateral=cross) is None
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assert LiqFormula.FTX(trading_mode=spot, collateral=isolated) is None
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# TODO-lev: Uncomment these assertions and make them real calculation tests
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# assert LiqFormula.FTX(trading_mode=cross_margin) == 1.0
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# assert LiqFormula.FTX(trading_mode=isolated_margin) == 1.0
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# assert LiqFormula.FTX(trading_mode=cross_futures) == 1.0
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# assert LiqFormula.FTX(trading_mode=isolated_futures) == 1.0
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# assert LiqFormula.FTX(trading_mode=margin, collateral=cross) == 1.0
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# assert LiqFormula.FTX(trading_mode=margin, collateral=isolated) == 1.0
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# LiqFormula.KRAKEN(trading_mode=futures, collateral=cross)
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# assert exception thrown #TODO-lev: Check that exception is thrown
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# LiqFormula.KRAKEN(trading_mode=futures, collateral=isolated)
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# assert exception thrown #TODO-lev: Check that exception is thrown
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