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Merge branch 'feat/short' into isolated-liq

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This commit is contained in:
Sam Germain 2022-01-31 14:15:34 -06:00
commit fc15e14707
4 changed files with 63 additions and 44 deletions
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31
freqtrade/exchange/binance.py
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@ -173,22 +173,35 @@ class Binance(Exchange):
except ccxt.BaseError as e: except ccxt.BaseError as e:
raise OperationalException(e) from e raise OperationalException(e) from e
def get_max_leverage(self, pair: str, nominal_value: float) -> float: def get_max_leverage(self, pair: str, stake_amount: Optional[float]) -> float:
""" """
Returns the maximum leverage that a pair can be traded at Returns the maximum leverage that a pair can be traded at
:param pair: The base/quote currency pair being traded :param pair: The base/quote currency pair being traded
:nominal_value: The total value of the trade in quote currency (collateral + debt) :stake_amount: The total value of the traders collateral in quote currency
""" """
if stake_amount is None:
raise OperationalException('binance.get_max_leverage requires argument stake_amount')
if pair not in self._leverage_brackets: if pair not in self._leverage_brackets:
return 1.0 return 1.0
pair_brackets = self._leverage_brackets[pair] pair_brackets = self._leverage_brackets[pair]
for [notional_floor, mm_ratio, _] in reversed(pair_brackets): num_brackets = len(pair_brackets)
if nominal_value >= notional_floor: min_amount = 0.0
if mm_ratio != 0: for bracket_num in range(num_brackets):
return 1/mm_ratio [notional_floor, mm_ratio, _] = pair_brackets[bracket_num]
else: lev = 1.0
logger.warning(f"mm_ratio for {pair} with nominal_value {nominal_value} is 0") if mm_ratio != 0:
return 1.0 lev = 1.0/mm_ratio
else:
logger.warning(f"mm_ratio for {pair} with notional floor {notional_floor} is 0")
if bracket_num+1 != num_brackets: # If not on last bracket
[min_amount, _, __] = pair_brackets[bracket_num+1] # Get min_amount of next bracket
else:
return lev
nominal_value = stake_amount * lev
# Bracket is good if the leveraged trade value doesnt exceed min_amount of next bracket
if nominal_value < min_amount:
return lev
return 1.0 # default leverage
@retrier @retrier
def _set_leverage( def _set_leverage(

2
freqtrade/exchange/exchange.py
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@ -1806,7 +1806,7 @@ class Exchange:
""" """
return return
def get_max_leverage(self, pair: str, nominal_value: float) -> float: def get_max_leverage(self, pair: str, stake_amount: Optional[float]) -> float:
""" """
Returns the maximum leverage that a pair can be traded at Returns the maximum leverage that a pair can be traded at
:param pair: The base/quote currency pair being traded :param pair: The base/quote currency pair being traded

4
tests/commands/test_commands.py
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@ -810,7 +810,9 @@ def test_download_data_trades(mocker, caplog):
"--days", "20", "--days", "20",
"--dl-trades" "--dl-trades"
] ]
start_download_data(get_args(args)) pargs = get_args(args)
pargs['config'] = None
start_download_data(pargs)
assert dl_mock.call_args[1]['timerange'].starttype == "date" assert dl_mock.call_args[1]['timerange'].starttype == "date"
assert dl_mock.call_count == 1 assert dl_mock.call_count == 1
assert convert_mock.call_count == 1 assert convert_mock.call_count == 1

70
tests/exchange/test_binance.py
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@ -162,45 +162,49 @@ def test_stoploss_adjust_binance(mocker, default_conf, sl1, sl2, sl3, side):
assert not exchange.stoploss_adjust(sl3, order, side=side) assert not exchange.stoploss_adjust(sl3, order, side=side)
@pytest.mark.parametrize('pair,nominal_value,max_lev', [ @pytest.mark.parametrize('pair,stake_amount,max_lev', [
("BNB/BUSD", 0.0, 40.0), ("BNB/BUSD", 0.0, 40.0),
("BNB/USDT", 100.0, 153.84615384615384), ("BNB/USDT", 100.0, 100.0),
("BTC/USDT", 170.30, 250.0), ("BTC/USDT", 170.30, 250.0),
("BNB/BUSD", 999999.9, 10.0), ("BNB/BUSD", 99999.9, 10.0),
("BNB/USDT", 5000000.0, 6.666666666666667), ("BNB/USDT", 750000, 6.666666666666667),
("BTC/USDT", 300000000.1, 2.0), ("BTC/USDT", 150000000.1, 2.0),
]) ])
def test_get_max_leverage_binance(default_conf, mocker, pair, nominal_value, max_lev): def test_get_max_leverage_binance(default_conf, mocker, pair, stake_amount, max_lev):
exchange = get_patched_exchange(mocker, default_conf, id="binance") exchange = get_patched_exchange(mocker, default_conf, id="binance")
exchange._leverage_brackets = { exchange._leverage_brackets = {
'BNB/BUSD': [[0.0, 0.025, 0.0], 'BNB/BUSD': [
[100000.0, 0.05, 2500.0], [0.0, 0.025, 0.0], # lev = 40.0
[500000.0, 0.1, 27500.0], [100000.0, 0.05, 2500.0], # lev = 20.0
[1000000.0, 0.15, 77500.0], [500000.0, 0.1, 27500.0], # lev = 10.0
[2000000.0, 0.25, 277500.0], [1000000.0, 0.15, 77500.0], # lev = 6.666666666666667
[5000000.0, 0.5, 1527500.0]], [2000000.0, 0.25, 277500.0], # lev = 4.0
'BNB/USDT': [[0.0, 0.0065, 0.0], [5000000.0, 0.5, 1527500.0], # lev = 2.0
[10000.0, 0.01, 35.0], ],
[50000.0, 0.02, 535.0], 'BNB/USDT': [
[250000.0, 0.05, 8035.0], [0.0, 0.0065, 0.0], # lev = 153.84615384615384
[1000000.0, 0.1, 58035.0], [10000.0, 0.01, 35.0], # lev = 100.0
[2000000.0, 0.125, 108035.0], [50000.0, 0.02, 535.0], # lev = 50.0
[5000000.0, 0.15, 233035.0], [250000.0, 0.05, 8035.0], # lev = 20.0
[10000000.0, 0.25, 1233035.0]], [1000000.0, 0.1, 58035.0], # lev = 10.0
'BTC/USDT': [[0.0, 0.004, 0.0], [2000000.0, 0.125, 108035.0], # lev = 8.0
[50000.0, 0.005, 50.0], [5000000.0, 0.15, 233035.0], # lev = 6.666666666666667
[250000.0, 0.01, 1300.0], [10000000.0, 0.25, 1233035.0], # lev = 4.0
[1000000.0, 0.025, 16300.0], ],
[5000000.0, 0.05, 141300.0], 'BTC/USDT': [
[20000000.0, 0.1, 1141300.0], [0.0, 0.004, 0.0], # lev = 250.0
[50000000.0, 0.125, 2391300.0], [50000.0, 0.005, 50.0], # lev = 200.0
[100000000.0, 0.15, 4891300.0], [250000.0, 0.01, 1300.0], # lev = 100.0
[200000000.0, 0.25, 24891300.0], [1000000.0, 0.025, 16300.0], # lev = 40.0
[300000000.0, 0.5, 99891300.0] [5000000.0, 0.05, 141300.0], # lev = 20.0
] [20000000.0, 0.1, 1141300.0], # lev = 10.0
[50000000.0, 0.125, 2391300.0], # lev = 8.0
[100000000.0, 0.15, 4891300.0], # lev = 6.666666666666667
[200000000.0, 0.25, 24891300.0], # lev = 4.0
[300000000.0, 0.5, 99891300.0], # lev = 2.0
]
} }
assert exchange.get_max_leverage(pair, nominal_value) == max_lev assert exchange.get_max_leverage(pair, stake_amount) == max_lev
def test_fill_leverage_brackets_binance(default_conf, mocker): def test_fill_leverage_brackets_binance(default_conf, mocker):