194 lines
6.8 KiB
Python
194 lines
6.8 KiB
Python
from typing import Optional
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from freqtrade.enums import Collateral, TradingMode
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from freqtrade.exceptions import OperationalException
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def liquidation_price(
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exchange_name: str,
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open_rate: float,
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is_short: bool,
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leverage: float,
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trading_mode: TradingMode,
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collateral: Optional[Collateral],
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wallet_balance: Optional[float],
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mm_ex_1: Optional[float],
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upnl_ex_1: Optional[float],
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maintenance_amt: Optional[float],
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position: Optional[float],
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entry_price: Optional[float],
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mm_rate: Optional[float]
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) -> Optional[float]:
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if trading_mode == TradingMode.SPOT:
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return None
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if not collateral:
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raise OperationalException(
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"Parameter collateral is required by liquidation_price when trading_mode is "
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f"{trading_mode}"
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)
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if exchange_name.lower() == "binance":
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if None in [wallet_balance, mm_ex_1, upnl_ex_1, maintenance_amt, position, entry_price,
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mm_rate]:
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raise OperationalException(
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f"Parameters wallet_balance, mm_ex_1, upnl_ex_1, "
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f"maintenance_amt, position, entry_price, mm_rate "
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f"is required by liquidation_price when exchange is {exchange_name.lower()}")
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return binance(open_rate, is_short, leverage, trading_mode, collateral, wallet_balance,
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mm_ex_1, upnl_ex_1, maintenance_amt,
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position, entry_price, mm_rate)
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elif exchange_name.lower() == "kraken":
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return kraken(open_rate, is_short, leverage, trading_mode, collateral)
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elif exchange_name.lower() == "ftx":
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return ftx(open_rate, is_short, leverage, trading_mode, collateral)
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raise OperationalException(
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f"liquidation_price is not implemented for {exchange_name}"
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)
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def exception(
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exchange: str,
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trading_mode: TradingMode,
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collateral: Collateral,
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):
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"""
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Raises an exception if exchange used doesn't support desired leverage mode
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:param exchange: Name of the exchange
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:param trading_mode: spot, margin, futures
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:param collateral: cross, isolated
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"""
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raise OperationalException(
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f"{exchange} does not support {collateral.value} Mode {trading_mode.value} trading ")
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def binance(
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open_rate: float,
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is_short: bool,
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leverage: float,
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trading_mode: TradingMode,
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collateral: Collateral,
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wallet_balance: float,
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mm_ex_1: float,
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upnl_ex_1: float,
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maintenance_amt: float,
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position: float,
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entry_price: float,
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mm_rate: float,
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):
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"""
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Calculates the liquidation price on Binance
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:param open_rate: open_rate
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:param is_short: true or false
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:param leverage: leverage in float
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:param trading_mode: spot, margin, futures
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:param collateral: cross, isolated
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:param wallet_balance: Wallet Balance is crossWalletBalance in Cross-Margin Mode.
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Wallet Balance is isolatedWalletBalance in Isolated Margin Mode
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:param mm_ex_1: Maintenance Margin of all other contracts,
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excluding Contract 1. If it is an isolated margin mode, then TMM=0
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:param upnl_ex_1: Unrealized PNL of all other contracts, excluding Contract 1.
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If it is an isolated margin mode, then UPNL=0
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:param maintenance_amt: Maintenance Amount of position (one-way mode)
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:param position: Absolute value of position size (one-way mode)
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:param entry_price: Entry Price of position (one-way mode)
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:param mm_rate: Maintenance margin rate of position (one-way mode)
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"""
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# TODO-lev: Additional arguments, fill in formulas
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wb = wallet_balance
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tmm_1 = 0.0 if collateral == Collateral.ISOLATED else mm_ex_1
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upnl_1 = 0.0 if collateral == Collateral.ISOLATED else upnl_ex_1
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cum_b = maintenance_amt
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side_1 = -1 if is_short else 1
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position = abs(position)
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ep1 = entry_price
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mmr_b = mm_rate
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if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS:
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# TODO-lev: perform a calculation based on this formula
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# https://www.binance.com/en/support/faq/f6b010588e55413aa58b7d63ee0125ed
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exception("binance", trading_mode, collateral)
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elif trading_mode == TradingMode.FUTURES and collateral == Collateral.ISOLATED:
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# https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
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# Liquidation Price of USDⓈ-M Futures Contracts Isolated
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# Isolated margin mode, then TMM=0，UPNL=0
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return (wb + cum_b - side_1 * position * ep1) / (
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position * mmr_b - side_1 * position)
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elif trading_mode == TradingMode.FUTURES and collateral == Collateral.CROSS:
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# TODO-lev: perform a calculation based on this formula
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# https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
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# Liquidation Price of USDⓈ-M Futures Contracts Cross
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# Isolated margin mode, then TMM=0，UPNL=0
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return (wb - tmm_1 + upnl_1 + cum_b - side_1 * position * ep1) / (
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position * mmr_b - side_1 * position)
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# If nothing was returned
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exception("binance", trading_mode, collateral)
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def kraken(
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open_rate: float,
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is_short: bool,
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leverage: float,
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trading_mode: TradingMode,
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collateral: Collateral
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):
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"""
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Calculates the liquidation price on Kraken
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:param name: Name of the exchange
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:param trading_mode: spot, margin, futures
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:param collateral: cross, isolated
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"""
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# TODO-lev: Additional arguments, fill in formulas
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if collateral == Collateral.CROSS:
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if trading_mode == TradingMode.MARGIN:
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exception("kraken", trading_mode, collateral)
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# TODO-lev: perform a calculation based on this formula
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# https://support.kraken.com/hc/en-us/articles/203325763-Margin-Call-Level-and-Margin-Liquidation-Level
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elif trading_mode == TradingMode.FUTURES:
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exception("kraken", trading_mode, collateral)
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# If nothing was returned
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exception("kraken", trading_mode, collateral)
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def ftx(
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open_rate: float,
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is_short: bool,
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leverage: float,
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trading_mode: TradingMode,
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collateral: Collateral
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):
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"""
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Calculates the liquidation price on FTX
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:param name: Name of the exchange
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:param trading_mode: spot, margin, futures
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:param collateral: cross, isolated
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"""
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if collateral == Collateral.CROSS:
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# TODO-lev: Additional arguments, fill in formulas
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exception("ftx", trading_mode, collateral)
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# If nothing was returned
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exception("ftx", trading_mode, collateral)
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if __name__ == '__main__':
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print(liquidation_price("binance", 0.0, False, 1, TradingMode.FUTURES, Collateral.ISOLATED,
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1535443.01, 356512.508,
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0.0, 16300.000, 109.488, 32481.980, 0.025))
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