from typing import Optional from freqtrade.enums import Collateral, TradingMode from freqtrade.exceptions import OperationalException def liquidation_price( exchange_name: str, open_rate: float, is_short: bool, leverage: float, trading_mode: TradingMode, collateral: Optional[Collateral] ) -> Optional[float]: 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": return binance(open_rate, is_short, leverage, trading_mode, collateral) 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) 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 name: 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") def binance( open_rate: float, is_short: bool, leverage: float, trading_mode: TradingMode, collateral: Collateral, wallet_balance: float, 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 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 maintenance_margin_ex_1: Maintenance Margin of all other contracts, excluding Contract 1. If it is an isolated margin mode, then TMM=0 :param unrealized_pnl_ex_1: Unrealized PNL of all other contracts, excluding Contract 1. If it is an isolated margin mode, then UPNL=0 :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.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) # 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 name: Name of the exchange :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 name: Name of the exchange :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)