Merge pull request #6467 from samgermain/backtest-liq
Liquidation price in backtesting
This commit is contained in:
Matthias
GitHub
commit
f558d4b132
@ -70,9 +70,14 @@ One account is used to share collateral between markets (trading pairs). Margin
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```
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## Understand `liquidation_buffer`
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*Defaults to `0.05`.*
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*Defaults to `0.05`*
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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
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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.
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This artificial liquidation price is calculated as
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`freqtrade_liquidation_price = liquidation_price ± (abs(open_rate - liquidation_price) * liquidation_buffer)`
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- `±` = `+` for long trades
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- `±` = `-` for short trades
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Possible values are any floats between 0.0 and 0.99
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@ -2055,6 +2055,43 @@ class Exchange:
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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def get_interest_rate(self) -> float:
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"""
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Retrieve interest rate - necessary for Margin trading.
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Should not call the exchange directly when used from backtesting.
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"""
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return 0.0
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def get_liquidation_price(
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self,
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pair: str,
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open_rate: float,
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amount: float, # quote currency, includes leverage
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leverage: float,
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is_short: bool
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) -> Optional[float]:
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if self.trading_mode in TradingMode.SPOT:
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return None
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elif (
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self.margin_mode == MarginMode.ISOLATED and
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self.trading_mode == TradingMode.FUTURES
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):
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wallet_balance = (amount * open_rate) / leverage
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isolated_liq = self.get_or_calculate_liquidation_price(
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pair=pair,
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open_rate=open_rate,
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is_short=is_short,
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position=amount,
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wallet_balance=wallet_balance,
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mm_ex_1=0.0,
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upnl_ex_1=0.0,
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)
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return isolated_liq
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else:
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raise OperationalException(
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"Freqtrade only supports isolated futures for leverage trading")
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def funding_fee_cutoff(self, open_date: datetime):
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"""
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:param open_date: The open date for a trade
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@ -2195,7 +2232,7 @@ class Exchange:
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return 0.0
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@retrier
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def get_liquidation_price(
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def get_or_calculate_liquidation_price(
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self,
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pair: str,
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# Dry-run
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@ -2271,6 +2308,7 @@ class Exchange:
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gateio: https://www.gate.io/help/futures/perpetual/22160/calculation-of-liquidation-price
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okex: https://www.okex.com/support/hc/en-us/articles/
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360053909592-VI-Introduction-to-the-isolated-mode-of-Single-Multi-currency-Portfolio-margin
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Important: Must be fetching data from cached values as this is used by backtesting!
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:param exchange_name:
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:param open_rate: Entry price of position
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@ -2314,6 +2352,7 @@ class Exchange:
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nominal_value: float = 0.0,
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) -> Tuple[float, Optional[float]]:
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"""
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Important: Must be fetching data from cached values as this is used by backtesting!
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:param pair: Market symbol
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:param nominal_value: The total trade amount in quote currency including leverage
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maintenance amount only on Binance
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@ -19,7 +19,7 @@ from freqtrade.edge import Edge
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from freqtrade.enums import (MarginMode, RPCMessageType, RunMode, SellType, SignalDirection, State,
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TradingMode)
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from freqtrade.exceptions import (DependencyException, ExchangeError, InsufficientFundsError,
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InvalidOrderException, OperationalException, PricingError)
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InvalidOrderException, PricingError)
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from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
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from freqtrade.misc import safe_value_fallback, safe_value_fallback2
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from freqtrade.mixins import LoggingMixin
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@ -577,42 +577,6 @@ class FreqtradeBot(LoggingMixin):
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logger.info(f"Bids to asks delta for {pair} does not satisfy condition.")
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return False
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def leverage_prep(
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self,
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pair: str,
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open_rate: float,
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amount: float, # quote currency, includes leverage
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leverage: float,
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is_short: bool
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) -> Tuple[float, Optional[float]]:
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# if TradingMode == TradingMode.MARGIN:
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# interest_rate = self.exchange.get_interest_rate(
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# pair=pair,
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# open_rate=open_rate,
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# is_short=is_short
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# )
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if self.trading_mode == TradingMode.SPOT:
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return (0.0, None)
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elif (
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self.margin_mode == MarginMode.ISOLATED and
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self.trading_mode == TradingMode.FUTURES
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):
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wallet_balance = (amount * open_rate)/leverage
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isolated_liq = self.exchange.get_liquidation_price(
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pair=pair,
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open_rate=open_rate,
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is_short=is_short,
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position=amount,
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wallet_balance=wallet_balance,
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mm_ex_1=0.0,
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upnl_ex_1=0.0,
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)
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return (0.0, isolated_liq)
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else:
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raise OperationalException(
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"Freqtrade only supports isolated futures for leverage trading")
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def execute_entry(
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self,
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pair: str,
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@ -727,13 +691,14 @@ class FreqtradeBot(LoggingMixin):
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enter_limit_filled_price = safe_value_fallback(order, 'average', 'price')
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# TODO: this might be unnecessary, as we're calling it in update_trade_state.
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interest_rate, isolated_liq = self.leverage_prep(
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isolated_liq = self.exchange.get_liquidation_price(
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leverage=leverage,
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pair=pair,
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amount=amount,
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open_rate=enter_limit_filled_price,
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is_short=is_short
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)
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interest_rate = self.exchange.get_interest_rate()
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# Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
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fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
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@ -1603,15 +1568,16 @@ class FreqtradeBot(LoggingMixin):
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if order.get('side', None) == trade.enter_side:
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trade = self.cancel_stoploss_on_exchange(trade)
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# TODO: Margin will need to use interest_rate as well.
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_, isolated_liq = self.leverage_prep(
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# interest_rate = self.exchange.get_interest_rate()
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trade.set_isolated_liq(self.exchange.get_liquidation_price(
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leverage=trade.leverage,
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pair=trade.pair,
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amount=trade.amount,
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open_rate=trade.open_rate,
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is_short=trade.is_short
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)
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if isolated_liq:
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trade.set_isolated_liq(isolated_liq)
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))
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# Updating wallets when order is closed
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self.wallets.update()
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@ -19,7 +19,7 @@ from freqtrade.data import history
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from freqtrade.data.btanalysis import find_existing_backtest_stats, trade_list_to_dataframe
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from freqtrade.data.converter import trim_dataframe, trim_dataframes
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from freqtrade.data.dataprovider import DataProvider
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from freqtrade.enums import BacktestState, CandleType, SellType, TradingMode
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from freqtrade.enums import BacktestState, CandleType, MarginMode, SellType, TradingMode
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from freqtrade.exceptions import DependencyException, OperationalException
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from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
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from freqtrade.misc import get_strategy_run_id
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@ -130,6 +130,7 @@ class Backtesting:
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# TODO-lev: This should come from the configuration setting or better a
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# TODO-lev: combination of config/strategy "use_shorts"(?) and "can_short" from the exchange
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self.trading_mode: TradingMode = config.get('trading_mode', TradingMode.SPOT)
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self.margin_mode: MarginMode = config.get('margin_mode', MarginMode.NONE)
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self._can_short = self.trading_mode != TradingMode.SPOT
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self.progress = BTProgress()
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@ -638,6 +639,8 @@ class Backtesting:
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# In case of pos adjust, still return the original trade
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# If not pos adjust, trade is None
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return trade
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order_type = self.strategy.order_types['buy']
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time_in_force = self.strategy.order_time_in_force['buy']
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if not pos_adjust:
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max_leverage = self.exchange.get_max_leverage(pair, stake_amount)
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@ -651,22 +654,23 @@ class Backtesting:
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) if self._can_short else 1.0
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# Cap leverage between 1.0 and max_leverage.
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leverage = min(max(leverage, 1.0), max_leverage)
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else:
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leverage = trade.leverage if trade else 1.0
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order_type = self.strategy.order_types['buy']
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time_in_force = self.strategy.order_time_in_force['buy']
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# Confirm trade entry:
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if not pos_adjust:
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if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
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pair=pair, order_type=order_type, amount=stake_amount, rate=propose_rate,
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time_in_force=time_in_force, current_time=current_time,
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entry_tag=entry_tag, side=direction):
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return None
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return trade
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else:
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leverage = trade.leverage if trade else 1.0
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if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount):
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self.order_id_counter += 1
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amount = round((stake_amount / propose_rate) * leverage, 8)
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is_short = (direction == 'short')
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# Necessary for Margin trading. Disabled until support is enabled.
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# interest_rate = self.exchange.get_interest_rate()
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if trade is None:
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# Enter trade
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self.trade_id_counter += 1
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@ -685,14 +689,23 @@ class Backtesting:
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is_open=True,
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enter_tag=entry_tag,
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exchange=self._exchange_name,
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is_short=(direction == 'short'),
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is_short=is_short,
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trading_mode=self.trading_mode,
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leverage=leverage,
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orders=[]
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# interest_rate=interest_rate,
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orders=[],
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)
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trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True)
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trade.set_isolated_liq(self.exchange.get_liquidation_price(
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pair=pair,
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open_rate=propose_rate,
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amount=amount,
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leverage=leverage,
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is_short=is_short,
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))
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order = Order(
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id=self.order_id_counter,
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ft_trade_id=trade.id,
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@ -425,11 +425,13 @@ class LocalTrade():
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self.stop_loss_pct = -1 * abs(percent)
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self.stoploss_last_update = datetime.utcnow()
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def set_isolated_liq(self, isolated_liq: float):
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def set_isolated_liq(self, isolated_liq: Optional[float]):
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"""
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Method you should use to set self.liquidation price.
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Assures stop_loss is not passed the liquidation price
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"""
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if not isolated_liq:
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return
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if self.stop_loss is not None:
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if self.is_short:
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self.stop_loss = min(self.stop_loss, isolated_liq)
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@ -1175,7 +1175,7 @@ def get_markets():
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'spot': False,
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'margin': False,
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'swap': True,
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'futures': False,
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'future': True, # Binance mode ...
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'option': False,
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'contract': True,
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'linear': True,
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@ -1278,7 +1278,7 @@ def get_markets():
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'spot': False,
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'margin': False,
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'swap': True,
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'future': False,
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'future': True, # Binance mode ...
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'option': False,
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'active': True,
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'contract': True,
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@ -3666,7 +3666,7 @@ def test_calculate_funding_fees(
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) == kraken_fee
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def test_get_liquidation_price(mocker, default_conf):
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def test_get_or_calculate_liquidation_price(mocker, default_conf):
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api_mock = MagicMock()
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positions = [
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@ -3705,7 +3705,7 @@ def test_get_liquidation_price(mocker, default_conf):
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default_conf['liquidation_buffer'] = 0.0
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exchange = get_patched_exchange(mocker, default_conf, api_mock)
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liq_price = exchange.get_liquidation_price(
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liq_price = exchange.get_or_calculate_liquidation_price(
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pair='NEAR/USDT:USDT',
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open_rate=18.884,
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is_short=False,
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@ -3716,7 +3716,7 @@ def test_get_liquidation_price(mocker, default_conf):
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default_conf['liquidation_buffer'] = 0.05
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exchange = get_patched_exchange(mocker, default_conf, api_mock)
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liq_price = exchange.get_liquidation_price(
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liq_price = exchange.get_or_calculate_liquidation_price(
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pair='NEAR/USDT:USDT',
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open_rate=18.884,
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is_short=False,
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@ -3730,7 +3730,7 @@ def test_get_liquidation_price(mocker, default_conf):
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default_conf,
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api_mock,
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"binance",
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"get_liquidation_price",
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"get_or_calculate_liquidation_price",
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"fetch_positions",
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pair="XRP/USDT",
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open_rate=0.0,
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@ -4088,7 +4088,7 @@ def test_liquidation_price_is_none(
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default_conf['trading_mode'] = trading_mode
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default_conf['margin_mode'] = margin_mode
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exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
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assert exchange.get_liquidation_price(
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assert exchange.get_or_calculate_liquidation_price(
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pair='DOGE/USDT',
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open_rate=open_rate,
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is_short=is_short,
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@ -4122,7 +4122,7 @@ def test_liquidation_price(
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default_conf['liquidation_buffer'] = 0.0
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exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
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exchange.get_maintenance_ratio_and_amt = MagicMock(return_value=(mm_ratio, maintenance_amt))
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assert isclose(round(exchange.get_liquidation_price(
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assert isclose(round(exchange.get_or_calculate_liquidation_price(
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pair='DOGE/USDT',
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open_rate=open_rate,
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is_short=is_short,
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@ -4527,3 +4527,126 @@ def test__get_params(mocker, default_conf, exchange_name):
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time_in_force='ioc',
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leverage=3.0,
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) == params2
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@pytest.mark.parametrize('liquidation_buffer', [0.0, 0.05])
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@pytest.mark.parametrize(
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"is_short,trading_mode,exchange_name,margin_mode,leverage,open_rate,amount,expected_liq", [
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(False, 'spot', 'binance', '', 5.0, 10.0, 1.0, None),
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(True, 'spot', 'binance', '', 5.0, 10.0, 1.0, None),
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(False, 'spot', 'gateio', '', 5.0, 10.0, 1.0, None),
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(True, 'spot', 'gateio', '', 5.0, 10.0, 1.0, None),
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(False, 'spot', 'okx', '', 5.0, 10.0, 1.0, None),
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(True, 'spot', 'okx', '', 5.0, 10.0, 1.0, None),
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# Binance, short
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(True, 'futures', 'binance', 'isolated', 5.0, 10.0, 1.0, 11.89108910891089),
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(True, 'futures', 'binance', 'isolated', 3.0, 10.0, 1.0, 13.211221122079207),
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(True, 'futures', 'binance', 'isolated', 5.0, 8.0, 1.0, 9.514851485148514),
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(True, 'futures', 'binance', 'isolated', 5.0, 10.0, 0.6, 12.557755775577558),
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# Binance, long
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(False, 'futures', 'binance', 'isolated', 5, 10, 1.0, 8.070707070707071),
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(False, 'futures', 'binance', 'isolated', 5, 8, 1.0, 6.454545454545454),
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(False, 'futures', 'binance', 'isolated', 3, 10, 1.0, 6.717171717171718),
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(False, 'futures', 'binance', 'isolated', 5, 10, 0.6, 7.39057239057239),
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# Gateio/okx, short
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(True, 'futures', 'gateio', 'isolated', 5, 10, 1.0, 11.87413417771621),
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(True, 'futures', 'gateio', 'isolated', 5, 10, 2.0, 11.87413417771621),
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(True, 'futures', 'gateio', 'isolated', 3, 10, 1.0, 13.476180850346978),
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(True, 'futures', 'gateio', 'isolated', 5, 8, 1.0, 9.499307342172967),
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# Gateio/okx, long
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(False, 'futures', 'gateio', 'isolated', 5.0, 10.0, 1.0, 8.085708510208207),
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(False, 'futures', 'gateio', 'isolated', 3.0, 10.0, 1.0, 6.738090425173506),
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# (True, 'futures', 'okx', 'isolated', 11.87413417771621),
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# (False, 'futures', 'okx', 'isolated', 8.085708510208207),
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]
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)
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def test_get_liquidation_price(
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mocker,
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default_conf_usdt,
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is_short,
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trading_mode,
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exchange_name,
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margin_mode,
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leverage,
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open_rate,
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amount,
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expected_liq,
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liquidation_buffer,
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):
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"""
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position = 0.2 * 5
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wb: wallet balance (stake_amount if isolated)
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cum_b: maintenance amount
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side_1: -1 if is_short else 1
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ep1: entry price
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mmr_b: maintenance margin ratio
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Binance, Short
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leverage = 5, open_rate = 10, amount = 1.0
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((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)
|
||||
|
||||
@ -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)
|
||||
|
||||
|
||||
@ -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"),
|
||||
|
||||
Loading…
Reference in New Issue
Block a user