diff --git a/freqtrade/leverage/liquidation_price.py b/freqtrade/leverage/liquidation_price.py index d05fbfe3a..12a2f0300 100644 --- a/freqtrade/leverage/liquidation_price.py +++ b/freqtrade/leverage/liquidation_price.py @@ -10,7 +10,14 @@ def liquidation_price( is_short: bool, leverage: float, trading_mode: TradingMode, - collateral: Optional[Collateral] + collateral: Optional[Collateral], + wallet_balance: Optional[float], + maintenance_margin_ex_1: Optional[float], + unrealized_pnl_ex_1: Optional[float], + maintenance_amount_both: Optional[float], + position_1_both: Optional[float], + entry_price_1_both: Optional[float], + maintenance_margin_rate_both: Optional[float] ) -> Optional[float]: if trading_mode == TradingMode.SPOT: @@ -23,7 +30,16 @@ def liquidation_price( ) if exchange_name.lower() == "binance": - return binance(open_rate, is_short, leverage, trading_mode, collateral) + if not wallet_balance or not maintenance_margin_ex_1 or not unrealized_pnl_ex_1 or not maintenance_amount_both \ + or not position_1_both or not entry_price_1_both or not maintenance_margin_rate_both: + raise OperationalException( + f"Parameters wallet_balance, maintenance_margin_ex_1, unrealized_pnl_ex_1, maintenance_amount_both, " + f"position_1_both, entry_price_1_both, maintenance_margin_rate_both is required by liquidation_price " + f"when exchange is {exchange_name.lower()}") + + return binance(open_rate, is_short, leverage, trading_mode, collateral, wallet_balance, maintenance_margin_ex_1, + unrealized_pnl_ex_1, maintenance_amount_both, position_1_both, entry_price_1_both, + maintenance_margin_rate_both) elif exchange_name.lower() == "kraken": return kraken(open_rate, is_short, leverage, trading_mode, collateral) elif exchange_name.lower() == "ftx": @@ -36,16 +52,17 @@ def liquidation_price( def exception( exchange: str, trading_mode: TradingMode, - collateral: Collateral + collateral: Collateral, ): """ Raises an exception if exchange used doesn't support desired leverage mode - :param name: Name of the exchange + :param exchange: Name of the exchange :param trading_mode: spot, margin, futures :param collateral: cross, isolated """ + raise OperationalException( - f"{exchange} does not support {collateral.value} {trading_mode.value} trading") + f"{exchange} does not support {collateral.value} Mode {trading_mode.value} trading ") def binance( @@ -58,21 +75,15 @@ def binance( maintenance_margin_ex_1: float, unrealized_pnl_ex_1: float, maintenance_amount_both: float, - maintenance_amount_long: float, - maintenance_amount_short: float, position_1_both: float, entry_price_1_both: float, - position_1_long: float, - entry_price_1_long: float, - position_1_short: float, - entry_price_1_short: float, maintenance_margin_rate_both: float, - maintenance_margin_rate_long: float, - maintenance_margin_rate_short: float, ): """ Calculates the liquidation price on Binance - :param name: Name of the exchange + :param open_rate: open_rate + :param is_short: true or false + :param leverage: leverage in float :param trading_mode: spot, margin, futures :param collateral: cross, isolated @@ -87,60 +98,43 @@ def binance( :param maintenance_amount_both: Maintenance Amount of BOTH position (one-way mode) - :param maintenance_amount_long: Maintenance Amount of LONG position (hedge mode) - - :param maintenance_amount_short: Maintenance Amount of SHORT position (hedge mode) - - :param side_1_both: Direction of BOTH position, 1 as long position, -1 as short position derived from is_short - :param position_1_both: Absolute value of BOTH position size (one-way mode) :param entry_price_1_both: Entry Price of BOTH position (one-way mode) - :param position_1_long: Absolute value of LONG position size (hedge mode) - - :param entry_price_1_long: Entry Price of LONG position (hedge mode) - - :param position_1_short: Absolute value of SHORT position size (hedge mode) - - :param entry_price_1_short: Entry Price of SHORT position (hedge mode) - :param maintenance_margin_rate_both: Maintenance margin rate of BOTH position (one-way mode) - :param maintenance_margin_rate_long: Maintenance margin rate of LONG position (hedge mode) - - :param maintenance_margin_rate_short: Maintenance margin rate of SHORT position (hedge mode) """ # TODO-lev: Additional arguments, fill in formulas wb = wallet_balance tmm_1 = 0.0 if collateral == Collateral.ISOLATED else maintenance_margin_ex_1 upnl_1 = 0.0 if collateral == Collateral.ISOLATED else unrealized_pnl_ex_1 cum_b = maintenance_amount_both - cum_l = maintenance_amount_long - cum_s = maintenance_amount_short side_1_both = -1 if is_short else 1 position_1_both = abs(position_1_both) ep1_both = entry_price_1_both - position_1_long = abs(position_1_long) - ep1_long = entry_price_1_long - position_1_short = abs(position_1_short) - ep1_short = entry_price_1_short mmr_b = maintenance_margin_rate_both - mmr_l = maintenance_margin_rate_long - mmr_s = maintenance_margin_rate_short if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS: # TODO-lev: perform a calculation based on this formula # https://www.binance.com/en/support/faq/f6b010588e55413aa58b7d63ee0125ed exception("binance", trading_mode, collateral) + elif trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED: + # https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93 + # Liquidation Price of USDⓈ-M Futures Contracts Isolated + + # Isolated margin mode, then TMM=0，UPNL=0 + return (wb + cum_b - (side_1_both * position_1_both * ep1_both)) / ( + position_1_both * mmr_b - side_1_both * position_1_both) + elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS: # TODO-lev: perform a calculation based on this formula # https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93 - exception("binance", trading_mode, collateral) - elif trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED: - # TODO-lev: perform a calculation based on this formula - # https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93 - exception("binance", trading_mode, collateral) + # Liquidation Price of USDⓈ-M Futures Contracts Cross + + # Isolated margin mode, then TMM=0，UPNL=0 + return (wb - tmm_1 + upnl_1 + cum_b - (side_1_both * position_1_both * ep1_both)) / ( + position_1_both * mmr_b - side_1_both * position_1_both) # If nothing was returned exception("binance", trading_mode, collateral)