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feat: update dry-run calculation params to be more generic

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Matthias
2024-08-29 19:55:21 +02:00
parent 0560567058
commit ec79b0b17b
3 changed files with 27 additions and 17 deletions
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26
freqtrade/exchange/binance.py
View File

@@ -153,8 +153,7 @@ class Binance(Exchange):
stake_amount: float,
leverage: float,
wallet_balance: float, # Or margin balance
mm_ex_1: float = 0.0, # (Binance) Cross only
upnl_ex_1: float = 0.0, # (Binance) Cross only
other_trades: list,
) -> Optional[float]:
"""
Important: Must be fetching data from cached values as this is used by backtesting!
@@ -172,6 +171,7 @@ class Binance(Exchange):
:param wallet_balance: Amount of margin_mode in the wallet being used to trade
Cross-Margin Mode: crossWalletBalance
Isolated-Margin Mode: isolatedWalletBalance
:param other_trades: List of other open trades in the same wallet
# * Only required for Cross
:param mm_ex_1: (TMM)
@@ -180,15 +180,31 @@ class Binance(Exchange):
:param upnl_ex_1: (UPNL)
Cross-Margin Mode: Unrealized PNL of all other contracts, excluding Contract 1.
Isolated-Margin Mode: 0
:param other
"""
side_1 = -1 if is_short else 1
cross_vars = upnl_ex_1 - mm_ex_1 if self.margin_mode == MarginMode.CROSS else 0.0
cross_vars: float = 0.0
# mm_ratio: Binance's formula specifies maintenance margin rate which is mm_ratio * 100%
# maintenance_amt: (CUM) Maintenance Amount of position
mm_ratio, maintenance_amt = self.get_maintenance_ratio_and_amt(pair, stake_amount)
if self.margin_mode == MarginMode.CROSS:
mm_ex_1: float = 0.0
upnl_ex_1: float = 0.0
for trade in other_trades:
mm_ratio1, maint_amnt1 = self.get_maintenance_ratio_and_amt(
trade["pair"], trade["stake_amount"]
)
maint_margin = trade["amount"] * trade["mark_price"] * mm_ratio1 - maint_amnt1
mm_ex_1 += maint_margin
upnl_ex_1 += (
trade["amount"] * trade["mark_price"] - trade["amount"] * trade["open_rate"]
)
cross_vars = upnl_ex_1 - mm_ex_1
side_1 = -1 if is_short else 1
if maintenance_amt is None:
raise OperationalException(
"Parameter maintenance_amt is required by Binance.liquidation_price"

4
freqtrade/exchange/bybit.py
View File

@@ -147,8 +147,7 @@ class Bybit(Exchange):
stake_amount: float,
leverage: float,
wallet_balance: float, # Or margin balance
mm_ex_1: float = 0.0, # (Binance) Cross only
upnl_ex_1: float = 0.0, # (Binance) Cross only
other_trades: list,
) -> Optional[float]:
"""
Important: Must be fetching data from cached values as this is used by backtesting!
@@ -178,6 +177,7 @@ class Bybit(Exchange):
:param wallet_balance: Amount of margin_mode in the wallet being used to trade
Cross-Margin Mode: crossWalletBalance
Isolated-Margin Mode: isolatedWalletBalance
:param other_trades: List of other open trades in the same wallet
"""
market = self.markets[pair]

14
freqtrade/exchange/exchange.py
View File

@@ -3532,8 +3532,7 @@ class Exchange:
stake_amount: float,
leverage: float,
wallet_balance: float,
mm_ex_1: float = 0.0, # (Binance) Cross only
upnl_ex_1: float = 0.0, # (Binance) Cross only
other_trades: list,
) -> Optional[float]:
"""
Set's the margin mode on the exchange to cross or isolated for a specific pair
@@ -3555,8 +3554,7 @@ class Exchange:
leverage=leverage,
stake_amount=stake_amount,
wallet_balance=wallet_balance,
mm_ex_1=mm_ex_1,
upnl_ex_1=upnl_ex_1,
other_trades=other_trades,
)
else:
positions = self.fetch_positions(pair)
@@ -3582,8 +3580,7 @@ class Exchange:
stake_amount: float,
leverage: float,
wallet_balance: float, # Or margin balance
mm_ex_1: float = 0.0, # (Binance) Cross only
upnl_ex_1: float = 0.0, # (Binance) Cross only
other_trades: list,
) -> Optional[float]:
"""
Important: Must be fetching data from cached values as this is used by backtesting!
@@ -3608,10 +3605,7 @@ class Exchange:
:param wallet_balance: Amount of margin_mode in the wallet being used to trade
Cross-Margin Mode: crossWalletBalance
Isolated-Margin Mode: isolatedWalletBalance
# * Not required by Gate or OKX
:param mm_ex_1:
:param upnl_ex_1:
:param other_trades: List of other open trades in the same wallet
"""
market = self.markets[pair]