from typing import Optional from freqtrade.enums import Collateral, TradingMode, MarginMode 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, margin_mode: Optional[MarginMode] ): """ Raises an exception if exchange used doesn't support desired leverage mode :param exchange: Name of the exchange :param margin_mode: one-way or hedge :param trading_mode: spot, margin, futures :param collateral: cross, isolated """ if not margin_mode: raise OperationalException( f"{exchange} does not support {collateral.value} {trading_mode.value} trading ") raise OperationalException( f"{exchange} does not support {collateral.value} {margin_mode.value} Mode {trading_mode.value} trading ") def binance( open_rate: float, is_short: bool, leverage: float, margin_mode: MarginMode, trading_mode: TradingMode, collateral: Collateral, **kwargs ): r""" Calculates the liquidation price on Binance :param open_rate: open_rate :param is_short: true or false :param leverage: leverage in float :param margin_mode: one-way or hedge :param trading_mode: spot, margin, futures :param collateral: cross, isolated :param \**kwargs: See below :Keyword Arguments: * *wallet_balance* (``float``) -- Wallet Balance is crossWalletBalance in Cross-Margin Mode Wallet Balance is isolatedWalletBalance in Isolated Margin Mode * *maintenance_margin_ex_1* (``float``) -- Maintenance Margin of all other contracts, excluding Contract 1. If it is an isolated margin mode, then TMM=0 * *unrealized_pnl_ex_1* (``float``) -- Unrealized PNL of all other contracts, excluding Contract 1. If it is an isolated margin mode, then UPNL=0 * *maintenance_amount_both* (``float``) -- Maintenance Amount of BOTH position (one-way mode) * *maintenance_amount_long* (``float``) -- Maintenance Amount of LONG position (hedge mode) * *maintenance_amount_short* (``float``) -- Maintenance Amount of SHORT position (hedge mode) * *side_1_both* (``int``) -- Direction of BOTH position, 1 as long position, -1 as short position Derived from is_short * *position_1_both* (``float``) -- Absolute value of BOTH position size (one-way mode) * *entry_price_1_both* (``float``) -- Entry Price of BOTH position (one-way mode) * *position_1_long* (``float``) -- Absolute value of LONG position size (hedge mode) * *entry_price_1_long* (``float``) -- Entry Price of LONG position (hedge mode) * *position_1_short* (``float``) -- Absolute value of SHORT position size (hedge mode) * *entry_price_1_short* (``float``) -- Entry Price of SHORT position (hedge mode) * *maintenance_margin_rate_both* (``float``) -- Maintenance margin rate of BOTH position (one-way mode) * *maintenance_margin_rate_long* (``float``) -- Maintenance margin rate of LONG position (hedge mode) * *maintenance_margin_rate_short* (``float``) -- Maintenance margin rate of SHORT position (hedge mode) """ # TODO-lev: Additional arguments, fill in formulas wb = kwargs.get("wallet_balance") tmm_1 = 0.0 if collateral == Collateral.ISOLATED else kwargs.get("maintenance_margin_ex_1") upnl_1 = 0.0 if collateral == Collateral.ISOLATED else kwargs.get("unrealized_pnl_ex_1") cum_b = kwargs.get("maintenance_amount_both") cum_l = kwargs.get("maintenance_amount_long") cum_s = kwargs.get("maintenance_amount_short") side_1_both = -1 if is_short else 1 position_1_both = abs(kwargs.get("position_1_both")) ep1_both = kwargs.get("entry_price_1_both") position_1_long = abs(kwargs.get("position_1_long")) ep1_long = kwargs.get("entry_price_1_long") position_1_short = abs(kwargs.get("position_1_short")) ep1_short = kwargs.get("entry_price_1_short") mmr_b = kwargs.get("maintenance_margin_rate_both") mmr_l = kwargs.get("maintenance_margin_rate_long") mmr_s = kwargs.get("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, margin_mode) 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 if margin_mode == MarginMode.HEDGE: exception("binance", trading_mode, collateral, margin_mode) elif margin_mode == MarginMode.ONE_WAY: # 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: # https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93 # Liquidation Price of USDⓈ-M Futures Contracts Cross if margin_mode == MarginMode.HEDGE: return (wb - tmm_1 + upnl_1 + cum_l + cum_s - (position_1_long * ep1_long) + ( position_1_short * ep1_short)) / ( position_1_long * mmr_l + position_1_short * mmr_s - position_1_long + position_1_short) elif margin_mode == MarginMode.ONE_WAY: # 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, margin_mode) def kraken( open_rate: float, is_short: bool, leverage: float, margin_mode: MarginMode, trading_mode: TradingMode, collateral: Collateral ): """ Calculates the liquidation price on Kraken :param open_rate: open_rate :param is_short: true or false :param leverage: leverage in float :param margin_mode: one-way or hedge :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, margin_mode) # If nothing was returned exception("kraken", trading_mode, collateral, margin_mode) def ftx( open_rate: float, is_short: bool, leverage: float, margin_mode: MarginMode, trading_mode: TradingMode, collateral: Collateral ): """ Calculates the liquidation price on FTX :param open_rate: open_rate :param is_short: true or false :param leverage: leverage in float :param margin_mode: one-way or hedge :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, margin_mode) # If nothing was returned exception("ftx", trading_mode, collateral, margin_mode)