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], wallet_balance: Optional[float], mm_ex_1: Optional[float], upnl_ex_1: Optional[float], maintenance_amt: Optional[float], position: Optional[float], mm_rate: Optional[float] ) -> 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": if ( wallet_balance 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=wallet_balance, 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) 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 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) 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 ))