Merge pull request #6467 from samgermain/backtest-liq

Liquidation price in backtesting

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
 

freqtrade/exchange/exchange.py

@@ -2055,6 +2055,43 @@ class Exchange:
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
 
+    def get_interest_rate(self) -> float:
+        """
+        Retrieve interest rate - necessary for Margin trading.
+        Should not call the exchange directly when used from backtesting.
+        """
+        return 0.0
+
+    def get_liquidation_price(
+            self,
+            pair: str,
+            open_rate: float,
+            amount: float,  # quote currency, includes leverage
+            leverage: float,
+            is_short: bool
+    ) -> Optional[float]:
+
+        if self.trading_mode in TradingMode.SPOT:
+            return None
+        elif (
+            self.margin_mode == MarginMode.ISOLATED and
+            self.trading_mode == TradingMode.FUTURES
+        ):
+            wallet_balance = (amount * open_rate) / leverage
+            isolated_liq = self.get_or_calculate_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 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
@@ -2195,7 +2232,7 @@ class Exchange:
             return 0.0
 
     @retrier
-    def get_liquidation_price(
+    def get_or_calculate_liquidation_price(
         self,
         pair: str,
         # Dry-run
@@ -2271,6 +2308,7 @@ 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
@@ -2314,6 +2352,7 @@ 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

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
@@ -577,42 +577,6 @@ 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,
@@ -727,13 +691,14 @@ class FreqtradeBot(LoggingMixin):
             enter_limit_filled_price = safe_value_fallback(order, 'average', 'price')
 
         # TODO: this might be unnecessary, as we're calling it in update_trade_state.
-        interest_rate, isolated_liq = self.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')
@@ -1603,15 +1568,16 @@ class FreqtradeBot(LoggingMixin):
             if order.get('side', None) == trade.enter_side:
                 trade = self.cancel_stoploss_on_exchange(trade)
                 # TODO: Margin will need to use interest_rate as well.
-                _, isolated_liq = self.leverage_prep(
+                # interest_rate = self.exchange.get_interest_rate()
+                trade.set_isolated_liq(self.exchange.get_liquidation_price(
+
                     leverage=trade.leverage,
                     pair=trade.pair,
                     amount=trade.amount,
                     open_rate=trade.open_rate,
                     is_short=trade.is_short
-                )
+                ))
-                if isolated_liq:
+
-                    trade.set_isolated_liq(isolated_liq)
             # Updating wallets when order is closed
             self.wallets.update()
 

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('margin_mode', MarginMode.NONE)
         self._can_short = self.trading_mode != TradingMode.SPOT
 
         self.progress = BTProgress()
@@ -638,6 +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)
@@ -651,22 +654,23 @@ 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:
             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')
+            # 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
@@ -685,14 +689,23 @@ 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,
+                    orders=[],
                 )
 
             trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True)
 
+            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,
                 ft_trade_id=trade.id,

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)

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,

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,
@@ -4527,3 +4527,126 @@ 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_get_liquidation_price(
+    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,
+    # })
+    liq = exchange.get_liquidation_price(
+        pair='ETH/USDT:USDT',
+        open_rate=open_rate,
+        amount=amount,
+        leverage=leverage,
+        is_short=is_short,
+    )
+    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)

tests/optimize/test_backtesting.py

@@ -562,6 +562,71 @@ 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'))
+    mocker.patch("freqtrade.exchange.Exchange.get_max_leverage", return_value=100)
+    patch_exchange(mocker)
+    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'
+    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/USDT:USDT'
+    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))
+
+    # leverage = 5
+    # ep1(trade.open_rate) = 0.001
+    # position(trade.amount) = 1500000
+    # stake_amount = 300 -> wb = 300 / 5 = 60
+    # mmr = 0.01
+    # cum_b = 0.01
+    # side_1: -1 if is_short else 1
+    # liq_buffer = 0.05
+    #
+    # Binance, Long
+    # 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
+    # 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
+
     # Stake-amount too high!
     mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=600.0)
 

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"),