From 6dbd249570d07d7519efbfc3e2e08a8e40e1a5c5 Mon Sep 17 00:00:00 2001
From: Sam Germain <sam.germain@usask.ca>
Date: Sat, 26 Feb 2022 10:07:00 -0600
Subject: [PATCH 01/19] backtesting._enter_trade get liquidation_price and
 backtesting._leverage_prep

---
 freqtrade/optimize/backtesting.py | 50 +++++++++++++++++++++++++++++--
 1 file changed, 48 insertions(+), 2 deletions(-)

diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index 0e3a70a93..3b26b4de6 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -591,6 +591,42 @@ class Backtesting:
         else:
             return self._get_sell_trade_entry_for_candle(trade, sell_row)
 
+    def _leverage_prep(
+        self,
+        pair: str,
+        open_rate: float,
+        amount: float,  # quote currency, includes leverage
+        leverage: float,
+        is_short: bool
+    ) -> Tuple[float, Optional[float]]:
+
+        # if TradingMode == TradingMode.MARGIN:
+        #     interest_rate = self.exchange.get_interest_rate(
+        #         pair=pair,
+        #         open_rate=open_rate,
+        #         is_short=is_short
+        #     )
+        if self.trading_mode == TradingMode.SPOT:
+            return (0.0, None)
+        elif (
+            self.margin_mode == MarginMode.ISOLATED and
+            self.trading_mode == TradingMode.FUTURES
+        ):
+            wallet_balance = (amount * open_rate)/leverage
+            isolated_liq = self.exchange.get_liquidation_price(
+                pair=pair,
+                open_rate=open_rate,
+                is_short=is_short,
+                position=amount,
+                wallet_balance=wallet_balance,
+                mm_ex_1=0.0,
+                upnl_ex_1=0.0,
+            )
+            return (0.0, isolated_liq)
+        else:
+            raise OperationalException(
+                "Freqtrade only supports isolated futures for leverage trading")
+
     def _enter_trade(self, pair: str, row: Tuple, direction: str,
                      stake_amount: Optional[float] = None,
                      trade: Optional[LocalTrade] = None) -> Optional[LocalTrade]:
@@ -666,6 +702,14 @@ class Backtesting:
             amount = round((stake_amount / propose_rate) * leverage, 8)
             if trade is None:
                 # Enter trade
+                is_short = (direction == 'short')
+                (interest_rate, isolated_liq) = self._leverage_prep(
+                    pair=pair,
+                    open_rate=propose_rate,
+                    amount=amount,
+                    leverage=leverage,
+                    is_short=is_short,
+                )
                 self.trade_id_counter += 1
                 trade = LocalTrade(
                     id=self.trade_id_counter,
@@ -682,10 +726,12 @@ class Backtesting:
                     is_open=True,
                     enter_tag=entry_tag,
                     exchange=self._exchange_name,
-                    is_short=(direction == 'short'),
+                    is_short=is_short,
                     trading_mode=self.trading_mode,
                     leverage=leverage,
-                    orders=[]
+                    interest_rate=interest_rate,
+                    isolated_liq=isolated_liq,
+                    orders=[],
                 )
 
             trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True)

From 8af2ea754fe951ced3d592caace57a248d79dbb9 Mon Sep 17 00:00:00 2001
From: Sam Germain <sam.germain@usask.ca>
Date: Sat, 26 Feb 2022 14:11:21 -0600
Subject: [PATCH 02/19] add margin mode to backtesting

---
 freqtrade/optimize/backtesting.py | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index 3b26b4de6..4f6dec7df 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -19,7 +19,7 @@ from freqtrade.data import history
 from freqtrade.data.btanalysis import find_existing_backtest_stats, trade_list_to_dataframe
 from freqtrade.data.converter import trim_dataframe, trim_dataframes
 from freqtrade.data.dataprovider import DataProvider
-from freqtrade.enums import BacktestState, CandleType, SellType, TradingMode
+from freqtrade.enums import BacktestState, CandleType, MarginMode, SellType, TradingMode
 from freqtrade.exceptions import DependencyException, OperationalException
 from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
 from freqtrade.misc import get_strategy_run_id
@@ -130,6 +130,7 @@ class Backtesting:
         # TODO-lev: This should come from the configuration setting or better a
         # TODO-lev: combination of config/strategy "use_shorts"(?) and "can_short" from the exchange
         self.trading_mode: TradingMode = config.get('trading_mode', TradingMode.SPOT)
+        self.margin_mode: MarginMode = config.get('trading_mode', MarginMode.NONE)
         self._can_short = self.trading_mode != TradingMode.SPOT
 
         self.progress = BTProgress()

From 6fdcc714bfabb39877e3fdd7bfdda91a55715913 Mon Sep 17 00:00:00 2001
From: Sam Germain <sam.germain@usask.ca>
Date: Sun, 27 Feb 2022 11:59:27 -0600
Subject: [PATCH 03/19] backtesting margin_mode key fix

---
 freqtrade/optimize/backtesting.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index 4f6dec7df..1bda42ee0 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -130,7 +130,7 @@ class Backtesting:
         # TODO-lev: This should come from the configuration setting or better a
         # TODO-lev: combination of config/strategy "use_shorts"(?) and "can_short" from the exchange
         self.trading_mode: TradingMode = config.get('trading_mode', TradingMode.SPOT)
-        self.margin_mode: MarginMode = config.get('trading_mode', MarginMode.NONE)
+        self.margin_mode: MarginMode = config.get('margin_mode', MarginMode.NONE)
         self._can_short = self.trading_mode != TradingMode.SPOT
 
         self.progress = BTProgress()

From b103045a0598e8a02d801a3005aa5ee8da7e93c9 Mon Sep 17 00:00:00 2001
From: Sam Germain <sam.germain@usask.ca>
Date: Sun, 27 Feb 2022 12:08:39 -0600
Subject: [PATCH 04/19] backtesting._enter_trade update liquidation price on
 increased position

---
 freqtrade/optimize/backtesting.py | 23 +++++++++++++++--------
 1 file changed, 15 insertions(+), 8 deletions(-)

diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index 1bda42ee0..82b576609 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -701,16 +701,16 @@ class Backtesting:
         if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount):
             self.order_id_counter += 1
             amount = round((stake_amount / propose_rate) * leverage, 8)
+            is_short = (direction == 'short')
+            (interest_rate, isolated_liq) = self._leverage_prep(
+                pair=pair,
+                open_rate=propose_rate,
+                amount=amount,
+                leverage=leverage,
+                is_short=is_short,
+            )
             if trade is None:
                 # Enter trade
-                is_short = (direction == 'short')
-                (interest_rate, isolated_liq) = self._leverage_prep(
-                    pair=pair,
-                    open_rate=propose_rate,
-                    amount=amount,
-                    leverage=leverage,
-                    is_short=is_short,
-                )
                 self.trade_id_counter += 1
                 trade = LocalTrade(
                     id=self.trade_id_counter,
@@ -737,6 +737,13 @@ class Backtesting:
 
             trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True)
 
+            if self.trading_mode == TradingMode.FUTURES:
+                if isolated_liq is None:
+                    raise OperationalException(
+                        f'isolated_liq is none for {pair} while trading futures, '
+                        'this should never happen')
+                trade.set_isolated_liq(isolated_liq)
+
             order = Order(
                 id=self.order_id_counter,
                 ft_trade_id=trade.id,

From 1121965c6e8363b08337b519de98e9b57c196e6e Mon Sep 17 00:00:00 2001
From: Sam Germain <sam.germain@usask.ca>
Date: Sun, 27 Feb 2022 14:28:28 -0600
Subject: [PATCH 05/19] liq backtesting tests

---
 tests/optimize/test_backtesting.py | 25 +++++++++++++++++++++++++
 1 file changed, 25 insertions(+)

diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py
index 7644385a5..e9732171e 100644
--- a/tests/optimize/test_backtesting.py
+++ b/tests/optimize/test_backtesting.py
@@ -10,6 +10,7 @@ import numpy as np
 import pandas as pd
 import pytest
 from arrow import Arrow
+from math import isclose
 
 from freqtrade import constants
 from freqtrade.commands.optimize_commands import setup_optimize_configuration, start_backtesting
@@ -562,6 +563,30 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
     assert trade
     assert trade.stake_amount == 300.0
 
+    backtesting.strategy.leverage = MagicMock(return_value=5.0)
+    mocker.patch("freqtrade.exchange.Exchange.get_maintenance_ratio_and_amt",
+                 return_value=(0.01, 0.01))
+
+    # leverage = 5
+    # ep1(trade.open_rate) = 0.001
+    # position(trade.amount) = 60000
+    # stake_amount = 300 -> wb = 300 / 5 = 60
+    # mmr = 0.01
+    # cum_b = 0.01
+    # side_1: -1 if is_short else 1
+    #
+    # Binance, Short
+    # ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
+    # ((60 + 0.01) - ((-1) * 60000 * 0.001)) / ((60000 * 0.01) - ((-1) * 60000)) = 0.00198036303630
+    trade = backtesting._enter_trade(pair, row=row, direction='long')
+    assert isclose(trade.isolated_liq, 0.0019803630363036304)
+
+    # Binance, Long
+    # ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
+    # ((60 + 0.01) - (1 * 60000 * 0.001)) / ((60000 * 0.01) - (1 * 60000)) = -1.6835016835013486e-07
+    trade = backtesting._enter_trade(pair, row=row, direction='short')
+    assert isclose(trade.isolated_liq, -1.6835016835013486e-07)
+
     # Stake-amount too high!
     mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=600.0)
 

From 8e2d3445a771190ae6fa497393dc6ec8e7956257 Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Mon, 28 Feb 2022 19:27:48 +0100
Subject: [PATCH 06/19] Move leverage_prep calculations to exchange class

---
 freqtrade/exchange/exchange.py     |  36 +++++++++
 freqtrade/freqtradebot.py          |  38 +--------
 freqtrade/optimize/backtesting.py  |  38 +--------
 tests/exchange/test_exchange.py    | 124 ++++++++++++++++++++++++++++
 tests/optimize/test_backtesting.py |   2 +-
 tests/test_freqtradebot.py         | 126 -----------------------------
 6 files changed, 163 insertions(+), 201 deletions(-)

diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py
index 092420eab..67ebc6dd6 100644
--- a/freqtrade/exchange/exchange.py
+++ b/freqtrade/exchange/exchange.py
@@ -2055,6 +2055,42 @@ class Exchange:
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
 
+    def leverage_prep(
+            self,
+            pair: str,
+            open_rate: float,
+            amount: float,  # quote currency, includes leverage
+            leverage: float,
+            is_short: bool
+    ) -> Tuple[float, Optional[float]]:
+
+        # if TradingMode == TradingMode.MARGIN:
+        #     interest_rate = self.get_interest_rate(
+        #         pair=pair,
+        #         open_rate=open_rate,
+        #         is_short=is_short
+        #     )
+        if self.trading_mode == TradingMode.SPOT:
+            return (0.0, None)
+        elif (
+            self.margin_mode == MarginMode.ISOLATED and
+            self.trading_mode == TradingMode.FUTURES
+        ):
+            wallet_balance = (amount * open_rate) / leverage
+            isolated_liq = self.get_liquidation_price(
+                pair=pair,
+                open_rate=open_rate,
+                is_short=is_short,
+                position=amount,
+                wallet_balance=wallet_balance,
+                mm_ex_1=0.0,
+                upnl_ex_1=0.0,
+            )
+            return (0.0, isolated_liq)
+        else:
+            raise OperationalException(
+                "Freqtrade only supports isolated futures for leverage trading")
+
     def funding_fee_cutoff(self, open_date: datetime):
         """
         :param open_date: The open date for a trade
diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py
index abd38859b..70540c398 100644
--- a/freqtrade/freqtradebot.py
+++ b/freqtrade/freqtradebot.py
@@ -578,42 +578,6 @@ class FreqtradeBot(LoggingMixin):
             logger.info(f"Bids to asks delta for {pair} does not satisfy condition.")
             return False
 
-    def leverage_prep(
-        self,
-        pair: str,
-        open_rate: float,
-        amount: float,  # quote currency, includes leverage
-        leverage: float,
-        is_short: bool
-    ) -> Tuple[float, Optional[float]]:
-
-        # if TradingMode == TradingMode.MARGIN:
-        #     interest_rate = self.exchange.get_interest_rate(
-        #         pair=pair,
-        #         open_rate=open_rate,
-        #         is_short=is_short
-        #     )
-        if self.trading_mode == TradingMode.SPOT:
-            return (0.0, None)
-        elif (
-            self.margin_mode == MarginMode.ISOLATED and
-            self.trading_mode == TradingMode.FUTURES
-        ):
-            wallet_balance = (amount * open_rate)/leverage
-            isolated_liq = self.exchange.get_liquidation_price(
-                pair=pair,
-                open_rate=open_rate,
-                is_short=is_short,
-                position=amount,
-                wallet_balance=wallet_balance,
-                mm_ex_1=0.0,
-                upnl_ex_1=0.0,
-            )
-            return (0.0, isolated_liq)
-        else:
-            raise OperationalException(
-                "Freqtrade only supports isolated futures for leverage trading")
-
     def execute_entry(
         self,
         pair: str,
@@ -724,7 +688,7 @@ class FreqtradeBot(LoggingMixin):
             amount = safe_value_fallback(order, 'filled', 'amount')
             enter_limit_filled_price = safe_value_fallback(order, 'average', 'price')
 
-        interest_rate, isolated_liq = self.leverage_prep(
+        interest_rate, isolated_liq = self.exchange.leverage_prep(
             leverage=leverage,
             pair=pair,
             amount=amount,
diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index 82b576609..eae398010 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -592,42 +592,6 @@ class Backtesting:
         else:
             return self._get_sell_trade_entry_for_candle(trade, sell_row)
 
-    def _leverage_prep(
-        self,
-        pair: str,
-        open_rate: float,
-        amount: float,  # quote currency, includes leverage
-        leverage: float,
-        is_short: bool
-    ) -> Tuple[float, Optional[float]]:
-
-        # if TradingMode == TradingMode.MARGIN:
-        #     interest_rate = self.exchange.get_interest_rate(
-        #         pair=pair,
-        #         open_rate=open_rate,
-        #         is_short=is_short
-        #     )
-        if self.trading_mode == TradingMode.SPOT:
-            return (0.0, None)
-        elif (
-            self.margin_mode == MarginMode.ISOLATED and
-            self.trading_mode == TradingMode.FUTURES
-        ):
-            wallet_balance = (amount * open_rate)/leverage
-            isolated_liq = self.exchange.get_liquidation_price(
-                pair=pair,
-                open_rate=open_rate,
-                is_short=is_short,
-                position=amount,
-                wallet_balance=wallet_balance,
-                mm_ex_1=0.0,
-                upnl_ex_1=0.0,
-            )
-            return (0.0, isolated_liq)
-        else:
-            raise OperationalException(
-                "Freqtrade only supports isolated futures for leverage trading")
-
     def _enter_trade(self, pair: str, row: Tuple, direction: str,
                      stake_amount: Optional[float] = None,
                      trade: Optional[LocalTrade] = None) -> Optional[LocalTrade]:
@@ -702,7 +666,7 @@ class Backtesting:
             self.order_id_counter += 1
             amount = round((stake_amount / propose_rate) * leverage, 8)
             is_short = (direction == 'short')
-            (interest_rate, isolated_liq) = self._leverage_prep(
+            (interest_rate, isolated_liq) = self.exchange.leverage_prep(
                 pair=pair,
                 open_rate=propose_rate,
                 amount=amount,
diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py
index 894f5b75b..211dd6654 100644
--- a/tests/exchange/test_exchange.py
+++ b/tests/exchange/test_exchange.py
@@ -4527,3 +4527,127 @@ def test__get_params(mocker, default_conf, exchange_name):
         time_in_force='ioc',
         leverage=3.0,
     ) == params2
+
+
+@pytest.mark.parametrize('liquidation_buffer', [0.0, 0.05])
+@pytest.mark.parametrize(
+    "is_short,trading_mode,exchange_name,margin_mode,leverage,open_rate,amount,expected_liq", [
+        (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', 'okx', '', 5.0,  10.0, 1.0, None),
+        (True, 'spot', 'okx', '', 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/okx, 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/okx, 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', 'okx', 'isolated', 11.87413417771621),
+        # (False, 'futures', 'okx', '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,
+    liquidation_buffer,
+):
+    """
+    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/Okx, 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/Okx, 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['liquidation_buffer'] = liquidation_buffer
+    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')
+    exchange = get_patched_exchange(mocker, default_conf_usdt)
+
+    exchange.get_maintenance_ratio_and_amt = MagicMock(return_value=(0.01, 0.01))
+    exchange.name = exchange_name
+    # default_conf_usdt.update({
+    #     "dry_run": False,
+    # })
+    (interest, liq) = exchange.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:
+        buffer_amount = liquidation_buffer * abs(open_rate - expected_liq)
+        expected_liq = expected_liq - buffer_amount if is_short else expected_liq + buffer_amount
+        isclose(expected_liq, liq)
diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py
index e9732171e..56d4571d8 100644
--- a/tests/optimize/test_backtesting.py
+++ b/tests/optimize/test_backtesting.py
@@ -3,6 +3,7 @@
 import random
 from copy import deepcopy
 from datetime import datetime, timedelta, timezone
+from math import isclose
 from pathlib import Path
 from unittest.mock import MagicMock, PropertyMock
 
@@ -10,7 +11,6 @@ import numpy as np
 import pandas as pd
 import pytest
 from arrow import Arrow
-from math import isclose
 
 from freqtrade import constants
 from freqtrade.commands.optimize_commands import setup_optimize_configuration, start_backtesting
diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py
index d6930bc24..cc844963d 100644
--- a/tests/test_freqtradebot.py
+++ b/tests/test_freqtradebot.py
@@ -4839,132 +4839,6 @@ def test_get_valid_price(mocker, default_conf_usdt) -> None:
     assert valid_price_at_min_alwd < proposed_price
 
 
-@pytest.mark.parametrize('liquidation_buffer', [0.0, 0.05])
-@pytest.mark.parametrize(
-    "is_short,trading_mode,exchange_name,margin_mode,leverage,open_rate,amount,expected_liq", [
-        (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', 'okx', '', 5.0,  10.0, 1.0, None),
-        (True, 'spot', 'okx', '', 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/okx, 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/okx, 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', 'okx', 'isolated', 11.87413417771621),
-        # (False, 'futures', 'okx', '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,
-    liquidation_buffer,
-):
-    """
-    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/Okx, 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/Okx, 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['liquidation_buffer'] = liquidation_buffer
-    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:
-        buffer_amount = liquidation_buffer * abs(open_rate - expected_liq)
-        expected_liq = expected_liq - buffer_amount if is_short else expected_liq + buffer_amount
-        isclose(expected_liq, liq)
-
-
 @pytest.mark.parametrize('trading_mode,calls,t1,t2', [
     ('spot', 0, "2021-09-01 00:00:00", "2021-09-01 08:00:00"),
     ('margin', 0, "2021-09-01 00:00:00", "2021-09-01 08:00:00"),

From 1d27cbd01f1fff08f5187bc052c56d12c84304a2 Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Mon, 28 Feb 2022 19:34:10 +0100
Subject: [PATCH 07/19] Simplify leverage_prep interface

---
 freqtrade/optimize/backtesting.py | 5 -----
 freqtrade/persistence/models.py   | 4 +++-
 2 files changed, 3 insertions(+), 6 deletions(-)

diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index eae398010..bde887998 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -695,17 +695,12 @@ class Backtesting:
                     trading_mode=self.trading_mode,
                     leverage=leverage,
                     interest_rate=interest_rate,
-                    isolated_liq=isolated_liq,
                     orders=[],
                 )
 
             trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True)
 
             if self.trading_mode == TradingMode.FUTURES:
-                if isolated_liq is None:
-                    raise OperationalException(
-                        f'isolated_liq is none for {pair} while trading futures, '
-                        'this should never happen')
                 trade.set_isolated_liq(isolated_liq)
 
             order = Order(
diff --git a/freqtrade/persistence/models.py b/freqtrade/persistence/models.py
index 18491d687..2c96248d3 100644
--- a/freqtrade/persistence/models.py
+++ b/freqtrade/persistence/models.py
@@ -425,11 +425,13 @@ class LocalTrade():
             self.stop_loss_pct = -1 * abs(percent)
         self.stoploss_last_update = datetime.utcnow()
 
-    def set_isolated_liq(self, isolated_liq: float):
+    def set_isolated_liq(self, isolated_liq: Optional[float]):
         """
         Method you should use to set self.liquidation price.
         Assures stop_loss is not passed the liquidation price
         """
+        if not isolated_liq:
+            return
         if self.stop_loss is not None:
             if self.is_short:
                 self.stop_loss = min(self.stop_loss, isolated_liq)

From ab46476e638d0e60b222f61e8e18cf24ef686da2 Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Mon, 28 Feb 2022 19:42:26 +0100
Subject: [PATCH 08/19] Rename get_liquidation method

---
 freqtrade/exchange/exchange.py  |  2 +-
 tests/exchange/test_exchange.py | 12 ++++++------
 2 files changed, 7 insertions(+), 7 deletions(-)

diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py
index 67ebc6dd6..bef2f766e 100644
--- a/freqtrade/exchange/exchange.py
+++ b/freqtrade/exchange/exchange.py
@@ -2077,7 +2077,7 @@ class Exchange:
             self.trading_mode == TradingMode.FUTURES
         ):
             wallet_balance = (amount * open_rate) / leverage
-            isolated_liq = self.get_liquidation_price(
+            isolated_liq = self.get_or_calculate_liquidation_price(
                 pair=pair,
                 open_rate=open_rate,
                 is_short=is_short,
diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py
index 211dd6654..f937038e0 100644
--- a/tests/exchange/test_exchange.py
+++ b/tests/exchange/test_exchange.py
@@ -3666,7 +3666,7 @@ def test_calculate_funding_fees(
         ) == kraken_fee
 
 
-def test_get_liquidation_price(mocker, default_conf):
+def test_get_or_calculate_liquidation_price(mocker, default_conf):
 
     api_mock = MagicMock()
     positions = [
@@ -3705,7 +3705,7 @@ def test_get_liquidation_price(mocker, default_conf):
     default_conf['liquidation_buffer'] = 0.0
 
     exchange = get_patched_exchange(mocker, default_conf, api_mock)
-    liq_price = exchange.get_liquidation_price(
+    liq_price = exchange.get_or_calculate_liquidation_price(
         pair='NEAR/USDT:USDT',
         open_rate=18.884,
         is_short=False,
@@ -3716,7 +3716,7 @@ def test_get_liquidation_price(mocker, default_conf):
 
     default_conf['liquidation_buffer'] = 0.05
     exchange = get_patched_exchange(mocker, default_conf, api_mock)
-    liq_price = exchange.get_liquidation_price(
+    liq_price = exchange.get_or_calculate_liquidation_price(
         pair='NEAR/USDT:USDT',
         open_rate=18.884,
         is_short=False,
@@ -3730,7 +3730,7 @@ def test_get_liquidation_price(mocker, default_conf):
         default_conf,
         api_mock,
         "binance",
-        "get_liquidation_price",
+        "get_or_calculate_liquidation_price",
         "fetch_positions",
         pair="XRP/USDT",
         open_rate=0.0,
@@ -4088,7 +4088,7 @@ def test_liquidation_price_is_none(
     default_conf['trading_mode'] = trading_mode
     default_conf['margin_mode'] = margin_mode
     exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
-    assert exchange.get_liquidation_price(
+    assert exchange.get_or_calculate_liquidation_price(
         pair='DOGE/USDT',
         open_rate=open_rate,
         is_short=is_short,
@@ -4122,7 +4122,7 @@ def test_liquidation_price(
     default_conf['liquidation_buffer'] = 0.0
     exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
     exchange.get_maintenance_ratio_and_amt = MagicMock(return_value=(mm_ratio, maintenance_amt))
-    assert isclose(round(exchange.get_liquidation_price(
+    assert isclose(round(exchange.get_or_calculate_liquidation_price(
         pair='DOGE/USDT',
         open_rate=open_rate,
         is_short=is_short,

From 79538368dbe0ced14a21a74a9122c6d90f3c9a69 Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Mon, 28 Feb 2022 19:45:15 +0100
Subject: [PATCH 09/19] Simplify liquidation price calculation

---
 freqtrade/exchange/exchange.py    | 24 ++++++++++++------------
 freqtrade/freqtradebot.py         |  5 +++--
 freqtrade/optimize/backtesting.py |  7 +++++--
 tests/exchange/test_exchange.py   |  5 ++---
 4 files changed, 22 insertions(+), 19 deletions(-)

diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py
index bef2f766e..4fd0b86d2 100644
--- a/freqtrade/exchange/exchange.py
+++ b/freqtrade/exchange/exchange.py
@@ -2055,23 +2055,23 @@ class Exchange:
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
 
-    def leverage_prep(
+    def get_interest_rate(self) -> float:
+        """
+        Calculate interest rate - necessary for Margin trading.
+        """
+        return 0.0
+
+    def get_liquidation_price(
             self,
             pair: str,
             open_rate: float,
             amount: float,  # quote currency, includes leverage
             leverage: float,
             is_short: bool
-    ) -> Tuple[float, Optional[float]]:
+    ) -> Optional[float]:
 
-        # if TradingMode == TradingMode.MARGIN:
-        #     interest_rate = self.get_interest_rate(
-        #         pair=pair,
-        #         open_rate=open_rate,
-        #         is_short=is_short
-        #     )
-        if self.trading_mode == TradingMode.SPOT:
-            return (0.0, None)
+        if self.trading_mode in (TradingMode.SPOT, TradingMode.MARGIN):
+            return None
         elif (
             self.margin_mode == MarginMode.ISOLATED and
             self.trading_mode == TradingMode.FUTURES
@@ -2086,7 +2086,7 @@ class Exchange:
                 mm_ex_1=0.0,
                 upnl_ex_1=0.0,
             )
-            return (0.0, isolated_liq)
+            return isolated_liq
         else:
             raise OperationalException(
                 "Freqtrade only supports isolated futures for leverage trading")
@@ -2231,7 +2231,7 @@ class Exchange:
             return 0.0
 
     @retrier
-    def get_liquidation_price(
+    def get_or_calculate_liquidation_price(
         self,
         pair: str,
         # Dry-run
diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py
index 70540c398..8f38ab8aa 100644
--- a/freqtrade/freqtradebot.py
+++ b/freqtrade/freqtradebot.py
@@ -19,7 +19,7 @@ from freqtrade.edge import Edge
 from freqtrade.enums import (MarginMode, RPCMessageType, RunMode, SellType, SignalDirection, State,
                              TradingMode)
 from freqtrade.exceptions import (DependencyException, ExchangeError, InsufficientFundsError,
-                                  InvalidOrderException, OperationalException, PricingError)
+                                  InvalidOrderException, PricingError)
 from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
 from freqtrade.misc import safe_value_fallback, safe_value_fallback2
 from freqtrade.mixins import LoggingMixin
@@ -688,13 +688,14 @@ class FreqtradeBot(LoggingMixin):
             amount = safe_value_fallback(order, 'filled', 'amount')
             enter_limit_filled_price = safe_value_fallback(order, 'average', 'price')
 
-        interest_rate, isolated_liq = self.exchange.leverage_prep(
+        isolated_liq = self.exchange.get_liquidation_price(
             leverage=leverage,
             pair=pair,
             amount=amount,
             open_rate=enter_limit_filled_price,
             is_short=is_short
         )
+        interest_rate = self.exchange.get_interest_rate()
 
         # Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
         fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index bde887998..6d562b6ab 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -666,13 +666,16 @@ class Backtesting:
             self.order_id_counter += 1
             amount = round((stake_amount / propose_rate) * leverage, 8)
             is_short = (direction == 'short')
-            (interest_rate, isolated_liq) = self.exchange.leverage_prep(
+            isolated_liq = self.exchange.get_liquidation_price(
                 pair=pair,
                 open_rate=propose_rate,
                 amount=amount,
                 leverage=leverage,
                 is_short=is_short,
             )
+            # Necessary for Margin trading. Disabled until support is enabled.
+            # interest_rate = self.exchange.get_interest_rate()
+
             if trade is None:
                 # Enter trade
                 self.trade_id_counter += 1
@@ -694,7 +697,7 @@ class Backtesting:
                     is_short=is_short,
                     trading_mode=self.trading_mode,
                     leverage=leverage,
-                    interest_rate=interest_rate,
+                    # interest_rate=interest_rate,
                     orders=[],
                 )
 
diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py
index f937038e0..fadcacc53 100644
--- a/tests/exchange/test_exchange.py
+++ b/tests/exchange/test_exchange.py
@@ -4560,7 +4560,7 @@ def test__get_params(mocker, default_conf, exchange_name):
         # (False, 'futures', 'okx', 'isolated', 8.085708510208207),
     ]
 )
-def test_leverage_prep(
+def test_get_liquidation_price(
     mocker,
     default_conf_usdt,
     is_short,
@@ -4637,14 +4637,13 @@ def test_leverage_prep(
     # default_conf_usdt.update({
     #     "dry_run": False,
     # })
-    (interest, liq) = exchange.leverage_prep(
+    liq = exchange.get_liquidation_price(
         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:

From c39e7368ee2e7820f82ab9cded544d3762912c1a Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Mon, 28 Feb 2022 19:58:44 +0100
Subject: [PATCH 10/19] Split backtesting test to properly initialize it

---
 tests/optimize/test_backtesting.py | 28 ++++++++++++++++++++++++++++
 1 file changed, 28 insertions(+)

diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py
index 56d4571d8..c342dadcc 100644
--- a/tests/optimize/test_backtesting.py
+++ b/tests/optimize/test_backtesting.py
@@ -21,6 +21,7 @@ from freqtrade.data.converter import clean_ohlcv_dataframe
 from freqtrade.data.dataprovider import DataProvider
 from freqtrade.data.history import get_timerange
 from freqtrade.enums import RunMode, SellType
+from freqtrade.enums.tradingmode import TradingMode
 from freqtrade.exceptions import DependencyException, OperationalException
 from freqtrade.exchange.exchange import timeframe_to_next_date
 from freqtrade.misc import get_strategy_run_id
@@ -563,6 +564,33 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
     assert trade
     assert trade.stake_amount == 300.0
 
+
+def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
+    default_conf_usdt['use_sell_signal'] = False
+    mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
+    mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
+    mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
+    patch_exchange(mocker)
+    default_conf_usdt['stake_amount'] = 'unlimited'
+    default_conf_usdt['max_open_trades'] = 2
+    default_conf_usdt['trading_mode'] = 'futures'
+    default_conf_usdt['margin_mode'] = 'isolated'
+    default_conf_usdt['stake_currency'] = 'BUSD'
+    default_conf_usdt['exchange']['pair_whitelist'] = ['.*']
+    backtesting = Backtesting(default_conf_usdt)
+    backtesting._set_strategy(backtesting.strategylist[0])
+    pair = 'UNITTEST/BTC'
+    row = [
+        pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0),
+        1,  # Buy
+        0.001,  # Open
+        0.0011,  # Close
+        0,  # Sell
+        0.00099,  # Low
+        0.0012,  # High
+        '',  # Buy Signal Name
+    ]
+
     backtesting.strategy.leverage = MagicMock(return_value=5.0)
     mocker.patch("freqtrade.exchange.Exchange.get_maintenance_ratio_and_amt",
                  return_value=(0.01, 0.01))

From c745f5828c533a350af692814e575e766eec43cc Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Mon, 28 Feb 2022 20:05:14 +0100
Subject: [PATCH 11/19] Update comments to clarify it's supposed to be a
 "offline" call

---
 freqtrade/exchange/exchange.py | 2 ++
 1 file changed, 2 insertions(+)

diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py
index 4fd0b86d2..a47cf065a 100644
--- a/freqtrade/exchange/exchange.py
+++ b/freqtrade/exchange/exchange.py
@@ -2307,6 +2307,7 @@ class Exchange:
          gateio: https://www.gate.io/help/futures/perpetual/22160/calculation-of-liquidation-price
          okex: https://www.okex.com/support/hc/en-us/articles/
             360053909592-VI-Introduction-to-the-isolated-mode-of-Single-Multi-currency-Portfolio-margin
+        Important: Must be fetching data from cached values as this is used by backtesting!
 
         :param exchange_name:
         :param open_rate: Entry price of position
@@ -2350,6 +2351,7 @@ class Exchange:
         nominal_value: float = 0.0,
     ) -> Tuple[float, Optional[float]]:
         """
+        Important: Must be fetching data from cached values as this is used by backtesting!
         :param pair: Market symbol
         :param nominal_value: The total trade amount in quote currency including leverage
         maintenance amount only on Binance

From e8206bc75190d742c3882ad5749ae6fa5b7a1f37 Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Mon, 28 Feb 2022 20:10:23 +0100
Subject: [PATCH 12/19] Simplify backtesting enter_Trade

---
 freqtrade/optimize/backtesting.py | 29 +++++++++++++----------------
 1 file changed, 13 insertions(+), 16 deletions(-)

diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index 365d8be37..fa3deb86f 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -639,6 +639,8 @@ class Backtesting:
             # In case of pos adjust, still return the original trade
             # If not pos adjust, trade is None
             return trade
+        order_type = self.strategy.order_types['buy']
+        time_in_force = self.strategy.order_time_in_force['buy']
 
         if not pos_adjust:
             max_leverage = self.exchange.get_max_leverage(pair, stake_amount)
@@ -652,30 +654,20 @@ class Backtesting:
             ) if self._can_short else 1.0
             # Cap leverage between 1.0 and max_leverage.
             leverage = min(max(leverage, 1.0), max_leverage)
-        else:
-            leverage = trade.leverage if trade else 1.0
 
-        order_type = self.strategy.order_types['buy']
-        time_in_force = self.strategy.order_time_in_force['buy']
-        # Confirm trade entry:
-        if not pos_adjust:
+            # Confirm trade entry:
             if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
                     pair=pair, order_type=order_type, amount=stake_amount, rate=propose_rate,
                     time_in_force=time_in_force, current_time=current_time,
                     entry_tag=entry_tag, side=direction):
-                return None
+                return trade
+        else:
+            leverage = trade.leverage if trade else 1.0
 
         if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount):
             self.order_id_counter += 1
             amount = round((stake_amount / propose_rate) * leverage, 8)
             is_short = (direction == 'short')
-            isolated_liq = self.exchange.get_liquidation_price(
-                pair=pair,
-                open_rate=propose_rate,
-                amount=amount,
-                leverage=leverage,
-                is_short=is_short,
-            )
             # Necessary for Margin trading. Disabled until support is enabled.
             # interest_rate = self.exchange.get_interest_rate()
 
@@ -706,8 +698,13 @@ class Backtesting:
 
             trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True)
 
-            if self.trading_mode == TradingMode.FUTURES:
-                trade.set_isolated_liq(isolated_liq)
+            trade.set_isolated_liq(self.exchange.get_liquidation_price(
+                pair=pair,
+                open_rate=propose_rate,
+                amount=amount,
+                leverage=leverage,
+                is_short=is_short,
+            ))
 
             order = Order(
                 id=self.order_id_counter,

From 736a9301526b091412540809693a0ea103922ab7 Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Tue, 1 Mar 2022 19:23:14 +0100
Subject: [PATCH 13/19] Update small things

---
 freqtrade/exchange/exchange.py | 5 +++--
 1 file changed, 3 insertions(+), 2 deletions(-)

diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py
index a47cf065a..0f693036e 100644
--- a/freqtrade/exchange/exchange.py
+++ b/freqtrade/exchange/exchange.py
@@ -2057,7 +2057,8 @@ class Exchange:
 
     def get_interest_rate(self) -> float:
         """
-        Calculate interest rate - necessary for Margin trading.
+        Retrieve interest rate - necessary for Margin trading.
+        Should not call the exchange directly when used from backtesting.
         """
         return 0.0
 
@@ -2070,7 +2071,7 @@ class Exchange:
             is_short: bool
     ) -> Optional[float]:
 
-        if self.trading_mode in (TradingMode.SPOT, TradingMode.MARGIN):
+        if self.trading_mode in TradingMode.SPOT:
             return None
         elif (
             self.margin_mode == MarginMode.ISOLATED and

From 478d440e80e36e3672d5df0777453434405983e7 Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Wed, 2 Mar 2022 07:00:07 +0100
Subject: [PATCH 14/19] Test backtesting with USDT  pairs

---
 tests/conftest.py                  | 4 ++--
 tests/optimize/test_backtesting.py | 8 ++++----
 2 files changed, 6 insertions(+), 6 deletions(-)

diff --git a/tests/conftest.py b/tests/conftest.py
index 407dc2678..33b2e92b5 100644
--- a/tests/conftest.py
+++ b/tests/conftest.py
@@ -1175,7 +1175,7 @@ def get_markets():
             'spot': False,
             'margin': False,
             'swap': True,
-            'futures': False,
+            'future': True,  # Binance mode ...
             'option': False,
             'contract': True,
             'linear': True,
@@ -1278,7 +1278,7 @@ def get_markets():
             'spot': False,
             'margin': False,
             'swap': True,
-            'future': False,
+            'future': True,  # Binance mode ...
             'option': False,
             'active': True,
             'contract': True,
diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py
index 1337f1fa6..486d4e0bc 100644
--- a/tests/optimize/test_backtesting.py
+++ b/tests/optimize/test_backtesting.py
@@ -574,11 +574,11 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
     default_conf_usdt['max_open_trades'] = 2
     default_conf_usdt['trading_mode'] = 'futures'
     default_conf_usdt['margin_mode'] = 'isolated'
-    default_conf_usdt['stake_currency'] = 'BUSD'
+    default_conf_usdt['stake_currency'] = 'USDT'
     default_conf_usdt['exchange']['pair_whitelist'] = ['.*']
     backtesting = Backtesting(default_conf_usdt)
     backtesting._set_strategy(backtesting.strategylist[0])
-    pair = 'UNITTEST/BTC'
+    pair = 'UNITTEST/USDT:USDT'
     row = [
         pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0),
         1,  # Buy
@@ -606,13 +606,13 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
     # ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
     # ((60 + 0.01) - ((-1) * 60000 * 0.001)) / ((60000 * 0.01) - ((-1) * 60000)) = 0.00198036303630
     trade = backtesting._enter_trade(pair, row=row, direction='long')
-    assert isclose(trade.isolated_liq, 0.0019803630363036304)
+    assert pytest.approx(trade.isolated_liq) == 0.0019803630363036304
 
     # Binance, Long
     # ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
     # ((60 + 0.01) - (1 * 60000 * 0.001)) / ((60000 * 0.01) - (1 * 60000)) = -1.6835016835013486e-07
     trade = backtesting._enter_trade(pair, row=row, direction='short')
-    assert isclose(trade.isolated_liq, -1.6835016835013486e-07)
+    assert pytest.approx(trade.isolated_liq) == -1.6835016835013486e-07
 
     # Stake-amount too high!
     mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=600.0)

From 1c4a7c25d7dce43e258a2918faffe9d93f3a07ee Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Wed, 2 Mar 2022 07:14:36 +0100
Subject: [PATCH 15/19] Fix failing test

---
 tests/optimize/test_backtesting.py | 22 +++++++++++++---------
 1 file changed, 13 insertions(+), 9 deletions(-)

diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py
index 486d4e0bc..7448739db 100644
--- a/tests/optimize/test_backtesting.py
+++ b/tests/optimize/test_backtesting.py
@@ -569,8 +569,9 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
     mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
     mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
     mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
+    mocker.patch("freqtrade.exchange.Exchange.get_max_leverage", return_value=100)
     patch_exchange(mocker)
-    default_conf_usdt['stake_amount'] = 'unlimited'
+    default_conf_usdt['stake_amount'] = 300
     default_conf_usdt['max_open_trades'] = 2
     default_conf_usdt['trading_mode'] = 'futures'
     default_conf_usdt['margin_mode'] = 'isolated'
@@ -602,17 +603,20 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
     # cum_b = 0.01
     # side_1: -1 if is_short else 1
     #
-    # Binance, Short
-    # ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
-    # ((60 + 0.01) - ((-1) * 60000 * 0.001)) / ((60000 * 0.01) - ((-1) * 60000)) = 0.00198036303630
-    trade = backtesting._enter_trade(pair, row=row, direction='long')
-    assert pytest.approx(trade.isolated_liq) == 0.0019803630363036304
-
     # Binance, Long
     # ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
-    # ((60 + 0.01) - (1 * 60000 * 0.001)) / ((60000 * 0.01) - (1 * 60000)) = -1.6835016835013486e-07
+    # ((300 + 0.01) - (1 * 150000 * 0.001)) / ((150000 * 0.01) - (1 * 150000)) = -0.00101016835
+    # TODO-lev: is the above formula correct?
+    # The values inserted above seem correct, but the result is different.
+    trade = backtesting._enter_trade(pair, row=row, direction='long')
+    assert pytest.approx(trade.isolated_liq) == 0.00081767037
+
+    # Binance, Short
+    # ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
+    # ((300 + 0.01) - ((-1) * 150000 * 0.001)) / ((150000 * 0.01) - ((-1) * 150000)) = 0.002970363
+
     trade = backtesting._enter_trade(pair, row=row, direction='short')
-    assert pytest.approx(trade.isolated_liq) == -1.6835016835013486e-07
+    assert pytest.approx(trade.isolated_liq) == 0.0011787191
 
     # Stake-amount too high!
     mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=600.0)

From c0fb6f7e85a6377ee38be6b2bb1c6c001f70ecde Mon Sep 17 00:00:00 2001
From: Sam Germain <sam.germain@usask.ca>
Date: Wed, 2 Mar 2022 01:26:47 -0600
Subject: [PATCH 16/19] test_backtest__enter_trade_futures - fixed formula in
 comments

---
 tests/optimize/test_backtesting.py | 10 +++++-----
 1 file changed, 5 insertions(+), 5 deletions(-)

diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py
index 7448739db..094aa5343 100644
--- a/tests/optimize/test_backtesting.py
+++ b/tests/optimize/test_backtesting.py
@@ -597,7 +597,7 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
 
     # leverage = 5
     # ep1(trade.open_rate) = 0.001
-    # position(trade.amount) = 60000
+    # position(trade.amount) = 1500000
     # stake_amount = 300 -> wb = 300 / 5 = 60
     # mmr = 0.01
     # cum_b = 0.01
@@ -605,15 +605,15 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
     #
     # Binance, Long
     # ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
-    # ((300 + 0.01) - (1 * 150000 * 0.001)) / ((150000 * 0.01) - (1 * 150000)) = -0.00101016835
-    # TODO-lev: is the above formula correct?
-    # The values inserted above seem correct, but the result is different.
+    # ((300 + 0.01) - (1 * 1500000 * 0.001)) / ((1500000 * 0.01) - (1 * 1500000))
+    # = 0.0008080740740740741
     trade = backtesting._enter_trade(pair, row=row, direction='long')
     assert pytest.approx(trade.isolated_liq) == 0.00081767037
 
     # Binance, Short
     # ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
-    # ((300 + 0.01) - ((-1) * 150000 * 0.001)) / ((150000 * 0.01) - ((-1) * 150000)) = 0.002970363
+    # ((300 + 0.01) - ((-1) * 1500000 * 0.001)) / ((1500000 * 0.01) - ((-1) * 1500000))
+    # = 0.0011881254125412541
 
     trade = backtesting._enter_trade(pair, row=row, direction='short')
     assert pytest.approx(trade.isolated_liq) == 0.0011787191

From c0e11becedbc6f41f9bfb7f304938a2fb168e513 Mon Sep 17 00:00:00 2001
From: Sam Germain <sam.germain@usask.ca>
Date: Wed, 2 Mar 2022 01:30:52 -0600
Subject: [PATCH 17/19] linting

---
 tests/optimize/test_backtesting.py | 1 -
 1 file changed, 1 deletion(-)

diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py
index 094aa5343..c11a1dc55 100644
--- a/tests/optimize/test_backtesting.py
+++ b/tests/optimize/test_backtesting.py
@@ -3,7 +3,6 @@
 import random
 from copy import deepcopy
 from datetime import datetime, timedelta, timezone
-from math import isclose
 from pathlib import Path
 from unittest.mock import MagicMock, PropertyMock
 

From c9988e0aa23eb13673e58e20448f70050e716954 Mon Sep 17 00:00:00 2001
From: Sam Germain <sam.germain@usask.ca>
Date: Wed, 2 Mar 2022 12:46:31 -0600
Subject: [PATCH 18/19] test_backtest__enter_trade_futures comment calculations
 include liquidation buffer

---
 tests/optimize/test_backtesting.py | 22 ++++++++++++++++------
 1 file changed, 16 insertions(+), 6 deletions(-)

diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py
index c11a1dc55..da8751566 100644
--- a/tests/optimize/test_backtesting.py
+++ b/tests/optimize/test_backtesting.py
@@ -601,18 +601,28 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
     # mmr = 0.01
     # cum_b = 0.01
     # side_1: -1 if is_short else 1
+    # liq_buffer = 0.05
     #
     # Binance, Long
-    # ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
-    # ((300 + 0.01) - (1 * 1500000 * 0.001)) / ((1500000 * 0.01) - (1 * 1500000))
-    # = 0.0008080740740740741
+    # liquidation_price
+    #   = ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
+    #   = ((300 + 0.01) - (1 * 1500000 * 0.001)) / ((1500000 * 0.01) - (1 * 1500000))
+    #   = 0.0008080740740740741
+    # freqtrade_liquidation_price = liq + (abs(open_rate - liq) * liq_buffer * side_1)
+    #   = 0.0008080740740740741 + ((0.001 - 0.0008080740740740741) * 0.05 * 1)
+    #   = 0.0008176703703703704
+
     trade = backtesting._enter_trade(pair, row=row, direction='long')
     assert pytest.approx(trade.isolated_liq) == 0.00081767037
 
     # Binance, Short
-    # ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
-    # ((300 + 0.01) - ((-1) * 1500000 * 0.001)) / ((1500000 * 0.01) - ((-1) * 1500000))
-    # = 0.0011881254125412541
+    # liquidation_price
+    #   = ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
+    #   = ((300 + 0.01) - ((-1) * 1500000 * 0.001)) / ((1500000 * 0.01) - ((-1) * 1500000))
+    #   = 0.0011881254125412541
+    # freqtrade_liquidation_price = liq + (abs(open_rate - liq) * liq_buffer * side_1)
+    #   = 0.0011881254125412541 + (abs(0.001 - 0.0011881254125412541) * 0.05 * -1)
+    #   = 0.0011787191419141915
 
     trade = backtesting._enter_trade(pair, row=row, direction='short')
     assert pytest.approx(trade.isolated_liq) == 0.0011787191

From 8a9c6e27a537978f5a3ba8a10f56e3f52004b621 Mon Sep 17 00:00:00 2001
From: Sam Germain <sam.germain@usask.ca>
Date: Wed, 2 Mar 2022 12:53:24 -0600
Subject: [PATCH 19/19] docs/leverage.md: Added freqtrade_liquidation_price
 formula to docs

---
 docs/leverage.md | 9 +++++++--
 1 file changed, 7 insertions(+), 2 deletions(-)

diff --git a/docs/leverage.md b/docs/leverage.md
index de0b0a981..55f644462 100644
--- a/docs/leverage.md
+++ b/docs/leverage.md
@@ -70,9 +70,14 @@ One account is used to share collateral between markets (trading pairs). Margin
 ```
 
 ## Understand `liquidation_buffer`
-*Defaults to `0.05`.*
+*Defaults to `0.05`*
 
-A ratio specifying how large of a safety net to place between the liquidation price and the stoploss to prevent a position from reaching the liquidation price
+A ratio specifying how large of a safety net to place between the liquidation price and the stoploss to prevent a position from reaching the liquidation price.
+This artificial liquidation price is calculated as 
+
+`freqtrade_liquidation_price = liquidation_price ± (abs(open_rate - liquidation_price) * liquidation_buffer)`
+- `±` = `+` for long trades
+- `±` = `-` for short trades
 
 Possible values are any floats between 0.0 and 0.99