stable/freqtrade/leverage/liquidation_price.py

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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],
entry_price: 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 not wallet_balance or not mm_ex_1 or not upnl_ex_1 \
or not maintenance_amt or not position or not entry_price \
or not mm_rate:
raise OperationalException(
f"Parameters wallet_balance, mm_ex_1, upnl_ex_1, "
f"maintenance_amt, position, entry_price, mm_rate "
f"is required by liquidation_price when exchange is {exchange_name.lower()}")
return binance(open_rate, is_short, leverage, trading_mode, collateral, wallet_balance,
mm_ex_1, upnl_ex_1, maintenance_amt,
position, entry_price, mm_rate)
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,
entry_price: float,
mm_rate: float,
):
"""
Calculates the liquidation price on Binance
: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
: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 entry_price: 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 = entry_price
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=0UPNL=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=0UPNL=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)