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feat: use proper trade objects for liquidation calc

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Matthias
2024-08-31 16:46:39 +02:00
parent fe7a88362b
commit 319e8d746f
2 changed files with 19 additions and 7 deletions
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12
freqtrade/exchange/binance.py
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@@ -212,20 +212,20 @@ class Binance(Exchange):
if self.margin_mode == MarginMode.CROSS:
mm_ex_1: float = 0.0
upnl_ex_1: float = 0.0
pairs = [trade["pair"] for trade in open_trades]
pairs = [trade.pair for trade in open_trades]
funding_rates = self.fetch_funding_rates(pairs)
for trade in open_trades:
if trade["pair"] == pair:
if trade.pair == pair:
# Only "other" trades are considered
continue
mark_price = funding_rates[trade["pair"]]["markPrice"]
mark_price = funding_rates[trade.pair]["markPrice"]
mm_ratio1, maint_amnt1 = self.get_maintenance_ratio_and_amt(
trade["pair"], trade["stake_amount"]
trade.pair, trade.stake_amount
)
maint_margin = trade["amount"] * mark_price * mm_ratio1 - maint_amnt1
maint_margin = trade.amount * mark_price * mm_ratio1 - maint_amnt1
mm_ex_1 += maint_margin
upnl_ex_1 += trade["amount"] * mark_price - trade["amount"] * trade["open_rate"]
upnl_ex_1 += trade.amount * mark_price - trade.amount * trade.open_rate
cross_vars = upnl_ex_1 - mm_ex_1
side_1 = -1 if is_short else 1

14
tests/exchange/test_binance.py
View File

@@ -7,6 +7,7 @@ import pytest
from freqtrade.enums import CandleType, MarginMode, TradingMode
from freqtrade.exceptions import DependencyException, InvalidOrderException, OperationalException
from freqtrade.persistence.trade_model import Trade
from tests.conftest import EXMS, get_mock_coro, get_patched_exchange, log_has_re
from tests.exchange.test_exchange import ccxt_exceptionhandlers
@@ -313,6 +314,17 @@ def test_liquidation_price_binance(
exchange.get_maintenance_ratio_and_amt = get_maint_ratio
exchange.fetch_funding_rates = fetch_funding_rates
open_trade_objects = [
Trade(
pair=t["pair"],
open_rate=t["open_rate"],
amount=t["amount"],
stake_amount=t["stake_amount"],
fee_open=0,
)
for t in open_trades
]
assert (
pytest.approx(
round(
@@ -324,7 +336,7 @@ def test_liquidation_price_binance(
amount=amount,
stake_amount=open_rate * amount,
leverage=5,
open_trades=open_trades,
open_trades=open_trade_objects,
),
2,
)