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Removed both from parameters in liquidation price

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This commit is contained in:
Arunavo Ray 2021-09-19 11:22:22 +05:30
parent 98d2d2f485
commit e5a9e11899
3 changed files with 34 additions and 34 deletions
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54
freqtrade/leverage/liquidation_price.py
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@ -14,10 +14,10 @@ def liquidation_price(
wallet_balance: Optional[float], wallet_balance: Optional[float],
maintenance_margin_ex_1: Optional[float], maintenance_margin_ex_1: Optional[float],
unrealized_pnl_ex_1: Optional[float], unrealized_pnl_ex_1: Optional[float],
maintenance_amount_both: Optional[float], maintenance_amount: Optional[float],
position_1_both: Optional[float], position_1: Optional[float],
entry_price_1_both: Optional[float], entry_price_1: Optional[float],
maintenance_margin_rate_both: Optional[float] maintenance_margin_rate: Optional[float]
) -> Optional[float]: ) -> Optional[float]:
if trading_mode == TradingMode.SPOT: if trading_mode == TradingMode.SPOT:
return None return None
@ -29,16 +29,16 @@ 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 or not maintenance_amount_both \ if not wallet_balance or not maintenance_margin_ex_1 or not unrealized_pnl_ex_1 or not maintenance_amount \
or not position_1_both or not entry_price_1_both or not maintenance_margin_rate_both: or not position_1 or not entry_price_1 or not maintenance_margin_rate:
raise OperationalException( raise OperationalException(
f"Parameters wallet_balance, maintenance_margin_ex_1, unrealized_pnl_ex_1, maintenance_amount_both, " f"Parameters wallet_balance, maintenance_margin_ex_1, unrealized_pnl_ex_1, maintenance_amount, "
f"position_1_both, entry_price_1_both, maintenance_margin_rate_both is required by liquidation_price " f"position_1, entry_price_1, maintenance_margin_rate is required by liquidation_price "
f"when exchange is {exchange_name.lower()}") f"when exchange is {exchange_name.lower()}")
return binance(open_rate, is_short, leverage, trading_mode, collateral, wallet_balance, maintenance_margin_ex_1, return binance(open_rate, is_short, leverage, trading_mode, collateral, wallet_balance, maintenance_margin_ex_1,
unrealized_pnl_ex_1, maintenance_amount_both, position_1_both, entry_price_1_both, unrealized_pnl_ex_1, maintenance_amount, position_1, entry_price_1,
maintenance_margin_rate_both) maintenance_margin_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":
@ -73,10 +73,10 @@ def binance(
wallet_balance: float, wallet_balance: float,
maintenance_margin_ex_1: float, maintenance_margin_ex_1: float,
unrealized_pnl_ex_1: float, unrealized_pnl_ex_1: float,
maintenance_amount_both: float, maintenance_amount: float,
position_1_both: float, position_1: float,
entry_price_1_both: float, entry_price_1: float,
maintenance_margin_rate_both: float, maintenance_margin_rate: float,
): ):
r""" r"""
Calculates the liquidation price on Binance Calculates the liquidation price on Binance
@ -95,24 +95,24 @@ def binance(
:param unrealized_pnl_ex_1: Unrealized PNL of all other contracts, excluding Contract 1. :param unrealized_pnl_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_both: Maintenance Amount of BOTH position (one-way mode) :param maintenance_amount: Maintenance Amount of position (one-way mode)
:param position_1_both: Absolute value of BOTH position size (one-way mode) :param position_1: Absolute value of position size (one-way mode)
:param entry_price_1_both: Entry Price of BOTH position (one-way mode) :param entry_price_1: Entry Price of position (one-way mode)
:param maintenance_margin_rate_both: Maintenance margin rate of BOTH position (one-way mode) :param maintenance_margin_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 maintenance_margin_ex_1
upnl_1 = 0.0 if collateral == Collateral.ISOLATED else unrealized_pnl_ex_1 upnl_1 = 0.0 if collateral == Collateral.ISOLATED else unrealized_pnl_ex_1
cum_b = maintenance_amount_both cum_b = maintenance_amount
side_1_both = -1 if is_short else 1 side_1 = -1 if is_short else 1
position_1_both = abs(position_1_both) position_1 = abs(position_1)
ep1_both = entry_price_1_both ep1 = entry_price_1
mmr_b = maintenance_margin_rate_both mmr_b = maintenance_margin_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
@ -123,16 +123,16 @@ 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_both * position_1_both * ep1_both) / ( return (wb + cum_b - side_1 * position_1 * ep1) / (
position_1_both * mmr_b - side_1_both * position_1_both) position_1 * mmr_b - side_1 * position_1)
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_both * position_1_both * ep1_both) / ( return (wb - tmm_1 + upnl_1 + cum_b - side_1 * position_1 * ep1) / (
position_1_both * mmr_b - side_1_both * position_1_both) position_1 * mmr_b - side_1 * position_1)
# If nothing was returned # If nothing was returned
exception("binance", trading_mode, collateral) exception("binance", trading_mode, collateral)

0
tests/leverage/test_leverage.py → tests/leverage/test_interest.py
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14
tests/leverage/test_liquidation_price.py
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@ -8,7 +8,7 @@ from freqtrade.leverage import liquidation_price
@pytest.mark.parametrize( @pytest.mark.parametrize(
'exchange_name, open_rate, is_short, leverage, trading_mode, collateral, wallet_balance, maintenance_margin_ex_1, ' 'exchange_name, open_rate, is_short, leverage, trading_mode, collateral, wallet_balance, maintenance_margin_ex_1, '
'unrealized_pnl_ex_1, maintenance_amount_both, position_1_both, entry_price_1_both, maintenance_margin_rate_both, ' 'unrealized_pnl_ex_1, maintenance_amount, position_1, entry_price_1, maintenance_margin_rate, '
'expected', 'expected',
[ [
("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.ISOLATED, 1535443.01, 71200.81144, -56354.57, ("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.ISOLATED, 1535443.01, 71200.81144, -56354.57,
@ -21,8 +21,8 @@ from freqtrade.leverage import liquidation_price
109.488, 32481.980, 0.025, 26316.89) 109.488, 32481.980, 0.025, 26316.89)
]) ])
def test_liquidation_price(exchange_name, open_rate, is_short, leverage, trading_mode, collateral, wallet_balance, 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_both, position_1_both, maintenance_margin_ex_1, unrealized_pnl_ex_1, maintenance_amount, position_1,
entry_price_1_both, maintenance_margin_rate_both, expected): entry_price_1, maintenance_margin_rate, expected):
assert isclose(round(liquidation_price( assert isclose(round(liquidation_price(
exchange_name=exchange_name, exchange_name=exchange_name,
open_rate=open_rate, open_rate=open_rate,
@ -33,8 +33,8 @@ def test_liquidation_price(exchange_name, open_rate, is_short, leverage, trading
wallet_balance=wallet_balance, wallet_balance=wallet_balance,
maintenance_margin_ex_1=maintenance_margin_ex_1, maintenance_margin_ex_1=maintenance_margin_ex_1,
unrealized_pnl_ex_1=unrealized_pnl_ex_1, unrealized_pnl_ex_1=unrealized_pnl_ex_1,
maintenance_amount_both=maintenance_amount_both, maintenance_amount=maintenance_amount,
position_1_both=position_1_both, position_1=position_1,
entry_price_1_both=entry_price_1_both, entry_price_1=entry_price_1,
maintenance_margin_rate_both=maintenance_margin_rate_both maintenance_margin_rate=maintenance_margin_rate
), 2), expected) ), 2), expected)