from typing import Optional from freqtrade.enums import Collateral, TradingMode from freqtrade.exceptions import OperationalException def liquidation_price( exchange_name: str, open_rate: float, # (b) Entry price of position is_short: bool, leverage: float, trading_mode: TradingMode, collateral: Optional[Collateral], # Binance collateral_amount: Optional[float] = None, # (bg) mm_ex_1: Optional[float] = None, # (b) upnl_ex_1: Optional[float] = None, # (b) maintenance_amt: Optional[float] = None, # (b) (cum_b) position: Optional[float] = None, # (b) Absolute value of position size mm_rate: Optional[float] = None, # (b) # Gateio & Okex mm_ratio: Optional[float] = None, # (go) taker_fee_rate: Optional[float] = None, # (go) # Gateio base_size: Optional[float] = None, # (g) # Okex liability: Optional[float] = None, # (o) interest: Optional[float] = None, # (o) position_assets: Optional[float] = None, # (o) ) -> Optional[float]: ''' exchange_name is_short leverage trading_mode collateral # open_rate - b collateral_amount - bg In Cross margin mode, WB is crossWalletBalance In Isolated margin mode, WB is isolatedWalletBalance of the isolated position, TMM=0, UPNL=0, substitute the position quantity, MMR, cum into the formula to calculate. Under the cross margin mode, the same ticker/symbol, both long and short position share the same liquidation price except in the isolated mode. Under the isolated mode, each isolated position will have different liquidation prices depending on the margin allocated to the positions. mm_ex_1 - b Maintenance Margin of all other contracts, excluding Contract 1 If it is an isolated margin mode, then TMM=0，UPNL=0 upnl_ex_1 - b Unrealized PNL of all other contracts, excluding Contract 1 If it is an isolated margin mode, then UPNL=0 maintenance_amt (cumb) - b Maintenance Amount of position position - b Absolute value of position size mm_rate - b Maintenance margin rate of position # Gateio & okex mm_ratio - go - [assets in the position - (liability +interest) * mark price] / (maintenance margin + liquidation fee) (okex) taker_fee_rate - go # Gateio base_size - g The size of the position in base currency # Okex liability - o Initial liabilities + deducted interest • Long positions: Liability is calculated in quote currency. • Short positions: Liability is calculated in trading currency. interest - o Interest that has not been deducted yet. position_assets - o # * I think this is the same as collateral_amount Total position assets – on-hold by pending order ''' if trading_mode == TradingMode.SPOT: return None if not collateral: raise OperationalException( "Parameter collateral is required by liquidation_price when trading_mode is " f"{trading_mode}" ) if exchange_name.lower() == "binance": if ( collateral_amount is None or mm_ex_1 is None or upnl_ex_1 is None or maintenance_amt is None or position is None or mm_rate is None ): raise OperationalException( f"Parameters wallet_balance, mm_ex_1, upnl_ex_1, " f"maintenance_amt, position, mm_rate " f"is required by liquidation_price when exchange is {exchange_name.lower()}") # Suppress incompatible type "Optional[float]"; expected "float" as the check exists above. return binance( open_rate=open_rate, is_short=is_short, leverage=leverage, trading_mode=trading_mode, collateral=collateral, # type: ignore wallet_balance=collateral_amount, mm_ex_1=mm_ex_1, upnl_ex_1=upnl_ex_1, maintenance_amt=maintenance_amt, # type: ignore position=position, mm_rate=mm_rate, ) # type: ignore elif exchange_name.lower() == "kraken": return kraken(open_rate, is_short, leverage, trading_mode, collateral) elif exchange_name.lower() == "ftx": return ftx(open_rate, is_short, leverage, trading_mode, collateral) elif exchange_name.lower() == "gateio": if ( not collateral_amount or not base_size or not mm_ratio or not taker_fee_rate ): raise OperationalException( f"{exchange_name} {collateral} {trading_mode} requires parameters " f"collateral_amount, contract_size, num_contracts, mm_ratio and taker_fee" ) else: return gateio( open_rate=open_rate, is_short=is_short, trading_mode=trading_mode, collateral=collateral, collateral_amount=collateral_amount, base_size=base_size, mm_ratio=mm_ratio, taker_fee_rate=taker_fee_rate ) elif exchange_name.lower() == "okex": if ( not mm_ratio or not liability or not interest or not taker_fee_rate or not position_assets ): raise OperationalException( f"{exchange_name} {collateral} {trading_mode} requires parameters " f"mm_ratio, liability, interest, taker_fee_rate, position_assets" ) else: return okex( is_short=is_short, trading_mode=trading_mode, collateral=collateral, mm_ratio=mm_ratio, liability=liability, interest=interest, taker_fee_rate=taker_fee_rate, position_assets=position_assets, ) raise OperationalException( f"liquidation_price is not implemented for {exchange_name}" ) def exception( exchange: str, trading_mode: TradingMode, collateral: Collateral, ): """ Raises an exception if exchange used doesn't support desired leverage mode :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} Mode {trading_mode.value} trading ") def binance( open_rate: float, is_short: bool, leverage: float, trading_mode: TradingMode, collateral: Collateral, wallet_balance: float, mm_ex_1: float, upnl_ex_1: float, maintenance_amt: float, position: float, mm_rate: float, ): """ Calculates the liquidation price on Binance :param is_short: true or false :param leverage: leverage in float :param trading_mode: spot, margin, futures :param collateral: cross, isolated :param wallet_balance: Wallet Balance is crossWalletBalance in Cross-Margin Mode. Wallet Balance is isolatedWalletBalance in Isolated Margin Mode :param mm_ex_1: Maintenance Margin of all other contracts, excluding Contract 1. If it is an isolated margin mode, then TMM=0 :param upnl_ex_1: Unrealized PNL of all other contracts, excluding Contract 1. If it is an isolated margin mode, then UPNL=0 :param maintenance_amt: Maintenance Amount of position (one-way mode) :param position: Absolute value of position size (one-way mode) :param open_rate: Entry Price of position (one-way mode) :param mm_rate: Maintenance margin rate of position (one-way mode) """ # TODO-lev: Additional arguments, fill in formulas wb = wallet_balance tmm_1 = 0.0 if collateral == Collateral.ISOLATED else mm_ex_1 upnl_1 = 0.0 if collateral == Collateral.ISOLATED else upnl_ex_1 cum_b = maintenance_amt side_1 = -1 if is_short else 1 position = abs(position) ep1 = open_rate mmr_b = mm_rate 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 * position * ep1) / ( position * mmr_b - side_1 * position) 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 # 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 * position * ep1) / ( position * mmr_b - side_1 * position) # If nothing was returned exception("binance", trading_mode, collateral) def kraken( open_rate: float, is_short: bool, leverage: float, trading_mode: TradingMode, collateral: Collateral ): """ Calculates the liquidation price on Kraken :param trading_mode: spot, margin, futures :param collateral: cross, isolated """ # TODO-lev: Additional arguments, fill in formulas if collateral == Collateral.CROSS: if trading_mode == TradingMode.MARGIN: exception("kraken", trading_mode, collateral) # TODO-lev: perform a calculation based on this formula # https://support.kraken.com/hc/en-us/articles/203325763-Margin-Call-Level-and-Margin-Liquidation-Level elif trading_mode == TradingMode.FUTURES: exception("kraken", trading_mode, collateral) # If nothing was returned exception("kraken", trading_mode, collateral) def ftx( open_rate: float, is_short: bool, leverage: float, trading_mode: TradingMode, collateral: Collateral ): """ Calculates the liquidation price on FTX :param trading_mode: spot, margin, futures :param collateral: cross, isolated """ if collateral == Collateral.CROSS: # TODO-lev: Additional arguments, fill in formulas exception("ftx", trading_mode, collateral) # If nothing was returned exception("ftx", trading_mode, collateral) def gateio( open_rate: float, is_short: bool, trading_mode: TradingMode, collateral: Collateral, collateral_amount: float, base_size: float, mm_ratio: float, taker_fee_rate: float, is_inverse: bool = False ): """ Calculates the liquidation price on Gate.io :param open_rate: Entry Price of position :param is_short: True for short trades :param trading_mode: spot, margin, futures :param collateral: cross, isolated :param collateral_amount: Also called margin :param base_size: size of position in base currency contract_size / num_contracts contract_size: How much one contract is worth num_contracts: Also called position :param mm_ratio: Viewed in contract details :param taker_fee_rate: :param is_inverse: True if settle currency matches base currency ( Opening Price ± Margin/Contract Multiplier/Position ) / [ 1 ± ( MMR + Taker Fee)] '±' in the formula refers to the direction of the contract, go long refers to '-' go short refers to '+' Position refers to the number of contracts. Maintenance Margin Ratio and Contract Multiplier can be viewed in the Contract Details. https://www.gate.io/help/futures/perpetual/22160/calculation-of-liquidation-price """ if trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED: if is_inverse: raise OperationalException( "Freqtrade does not support inverse contracts at the moment") value = collateral_amount / base_size mm_ratio_taker = (mm_ratio + taker_fee_rate) if is_short: return (open_rate + value) / (1 + mm_ratio_taker) else: return (open_rate - value) / (1 - mm_ratio_taker) else: exception("gatio", trading_mode, collateral) def okex( is_short: bool, trading_mode: TradingMode, collateral: Collateral, liability: float, interest: float, mm_ratio: float, taker_fee_rate: float, position_assets: float ): ''' https://www.okex.com/support/hc/en-us/articles/ 360053909592-VI-Introduction-to-the-isolated-mode-of-Single-Multi-currency-Portfolio-margin Initial liabilities + deducted interest Long positions: Liability is calculated in quote currency. Short positions: Liability is calculated in trading currency. interest: Interest that has not been deducted yet. Margin ratio Long: [position_assets - (liability + interest) / mark_price] / (maintenance_margin + fees) Short: [position_assets - (liability + interest) * mark_price] / (maintenance_margin + fees) ''' if trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED: if is_short: return (liability + interest) * (1 + mm_ratio) * (1 + taker_fee_rate) else: return (liability + interest) * (1 + mm_ratio) * (1 + taker_fee_rate) / position_assets else: exception("okex", trading_mode, collateral) # if __name__ == '__main__': # print(liquidation_price( # "binance", # 32481.980, # False, # 1, # TradingMode.FUTURES, # Collateral.ISOLATED, # 1535443.01, # 356512.508, # 0.0, # 16300.000, # 109.488, # 0.025 # ))