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1299cff894
stable/freqtrade/leverage/liquidation_price.py
Arunavo Ray 1299cff894 Added Margin Mode Check for Binance.
2022-01-31 12:15:54 -06:00

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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],
margin_mode: Optional[MarginMode]
) -> 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 not margin_mode:
raise OperationalException(
f"Parameter margin_mode is required by liquidation_price when exchange is {trading_mode}")
return binance(open_rate, is_short, leverage, margin_mode, 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] = None
):
"""
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,
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 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 open_rate: open_rate
:param is_short: true or false
:param leverage: leverage in float
: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)
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