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Merge pull request #10741 from freqtrade/feat/improve_liquidation_logic

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Improved liquidation price logic
This commit is contained in:
Matthias
2024-10-02 19:49:03 +02:00
committed by GitHub
parent c3ad3ff348 a0912ad6b4
commit fe270bd9ae
11 changed files with 315 additions and 69 deletions
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59
freqtrade/exchange/binance.py
View File

@@ -144,6 +144,29 @@ class Binance(Exchange):
"""
return open_date.minute == 0 and open_date.second < 15
def fetch_funding_rates(
self, symbols: Optional[List[str]] = None
) -> Dict[str, Dict[str, float]]:
"""
Fetch funding rates for the given symbols.
:param symbols: List of symbols to fetch funding rates for
:return: Dict of funding rates for the given symbols
"""
try:
if self.trading_mode == TradingMode.FUTURES:
rates = self._api.fetch_funding_rates(symbols)
return rates
return {}
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.OperationFailed, ccxt.ExchangeError) as e:
raise TemporaryError(
f"Error in additional_exchange_init due to {e.__class__.__name__}. Message: {e}"
) from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
def dry_run_liquidation_price(
self,
pair: str,
@@ -153,8 +176,7 @@ 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
open_trades: list,
) -> Optional[float]:
"""
Important: Must be fetching data from cached values as this is used by backtesting!
@@ -172,6 +194,7 @@ 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 open_trades: List of open trades in the same wallet
# * Only required for Cross
:param mm_ex_1: (TMM)
@@ -180,15 +203,41 @@ 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
pairs = [trade.pair for trade in open_trades]
if self._config["runmode"] in ("live", "dry_run"):
funding_rates = self.fetch_funding_rates(pairs)
for trade in open_trades:
if trade.pair == pair:
# Only "other" trades are considered
continue
if self._config["runmode"] in ("live", "dry_run"):
mark_price = funding_rates[trade.pair]["markPrice"]
else:
# Fall back to open rate for backtesting
mark_price = trade.open_rate
mm_ratio1, maint_amnt1 = self.get_maintenance_ratio_and_amt(
trade.pair, trade.stake_amount
)
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
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
open_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 open_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
open_trades: Optional[list] = None,
) -> 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,
open_trades=open_trades or [],
)
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
open_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 open_trades: List of other open trades in the same wallet
"""
market = self.markets[pair]

33
freqtrade/freqtradebot.py
View File

@@ -43,6 +43,7 @@ from freqtrade.exchange import (
timeframe_to_next_date,
timeframe_to_seconds,
)
from freqtrade.leverage.liquidation_price import update_liquidation_prices
from freqtrade.misc import safe_value_fallback, safe_value_fallback2
from freqtrade.mixins import LoggingMixin
from freqtrade.persistence import Order, PairLocks, Trade, init_db
@@ -241,6 +242,7 @@ class FreqtradeBot(LoggingMixin):
# Only update open orders on startup
# This will update the database after the initial migration
self.startup_update_open_orders()
self.update_all_liquidation_prices()
self.update_funding_fees()
def process(self) -> None:
@@ -357,6 +359,16 @@ class FreqtradeBot(LoggingMixin):
open_trades = Trade.get_open_trade_count()
return max(0, self.config["max_open_trades"] - open_trades)
def update_all_liquidation_prices(self) -> None:
if self.trading_mode == TradingMode.FUTURES and self.margin_mode == MarginMode.CROSS:
# Update liquidation prices for all trades in cross margin mode
update_liquidation_prices(
exchange=self.exchange,
wallets=self.wallets,
stake_currency=self.config["stake_currency"],
dry_run=self.config["dry_run"],
)
def update_funding_fees(self) -> None:
if self.trading_mode == TradingMode.FUTURES:
trades: List[Trade] = Trade.get_open_trades()
@@ -2233,20 +2245,13 @@ class FreqtradeBot(LoggingMixin):
# Must also run for partial exits
# TODO: Margin will need to use interest_rate as well.
# interest_rate = self.exchange.get_interest_rate()
try:
trade.set_liquidation_price(
self.exchange.get_liquidation_price(
pair=trade.pair,
open_rate=trade.open_rate,
is_short=trade.is_short,
amount=trade.amount,
stake_amount=trade.stake_amount,
leverage=trade.leverage,
wallet_balance=trade.stake_amount,
)
)
except DependencyException:
logger.warning("Unable to calculate liquidation price")
update_liquidation_prices(
trade,
exchange=self.exchange,
wallets=self.wallets,
stake_currency=self.config["stake_currency"],
dry_run=self.config["dry_run"],
)
if self.strategy.use_custom_stoploss:
current_rate = self.exchange.get_rate(
trade.pair, side="exit", is_short=trade.is_short, refresh=True

66
freqtrade/leverage/liquidation_price.py Normal file
View File

@@ -0,0 +1,66 @@
import logging
from typing import Optional
from freqtrade.enums import MarginMode
from freqtrade.exceptions import DependencyException
from freqtrade.exchange import Exchange
from freqtrade.persistence import LocalTrade, Trade
from freqtrade.wallets import Wallets
logger = logging.getLogger(__name__)
def update_liquidation_prices(
trade: Optional[LocalTrade] = None,
*,
exchange: Exchange,
wallets: Wallets,
stake_currency: str,
dry_run: bool = False,
):
"""
Update trade liquidation price in isolated margin mode.
Updates liquidation price for all trades in cross margin mode.
"""
try:
if exchange.margin_mode == MarginMode.CROSS:
total_wallet_stake = 0.0
if dry_run:
# Parameters only needed for cross margin
total_wallet_stake = wallets.get_total(stake_currency)
logger.info("Updating liquidation price for all open trades.")
open_trades = Trade.get_open_trades()
for t in open_trades:
# TODO: This should be done in a batch update
t.set_liquidation_price(
exchange.get_liquidation_price(
pair=t.pair,
open_rate=t.open_rate,
is_short=t.is_short,
amount=t.amount,
stake_amount=t.stake_amount,
leverage=t.leverage,
wallet_balance=total_wallet_stake,
open_trades=open_trades,
)
)
elif trade:
trade.set_liquidation_price(
exchange.get_liquidation_price(
pair=trade.pair,
open_rate=trade.open_rate,
is_short=trade.is_short,
amount=trade.amount,
stake_amount=trade.stake_amount,
leverage=trade.leverage,
wallet_balance=trade.stake_amount,
)
)
else:
raise DependencyException(
"Trade object is required for updating liquidation price in isolated margin mode."
)
except DependencyException:
logger.warning("Unable to calculate liquidation price")

28
freqtrade/optimize/backtesting.py
View File

@@ -26,6 +26,7 @@ from freqtrade.enums import (
CandleType,
ExitCheckTuple,
ExitType,
MarginMode,
RunMode,
TradingMode,
)
@@ -37,6 +38,7 @@ from freqtrade.exchange import (
)
from freqtrade.exchange.exchange import Exchange
from freqtrade.ft_types import BacktestResultType, get_BacktestResultType_default
from freqtrade.leverage.liquidation_price import update_liquidation_prices
from freqtrade.mixins import LoggingMixin
from freqtrade.optimize.backtest_caching import get_strategy_run_id
from freqtrade.optimize.bt_progress import BTProgress
@@ -206,6 +208,7 @@ class Backtesting:
self.required_startup = self.dataprovider.get_required_startup(self.timeframe)
self.trading_mode: TradingMode = config.get("trading_mode", TradingMode.SPOT)
self.margin_mode: MarginMode = config.get("margin_mode", MarginMode.ISOLATED)
# strategies which define "can_short=True" will fail to load in Spot mode.
self._can_short = self.trading_mode != TradingMode.SPOT
self._position_stacking: bool = self.config.get("position_stacking", False)
@@ -698,21 +701,20 @@ class Backtesting:
current_time=current_date,
)
if not (order.ft_order_side == trade.exit_side and order.safe_amount == trade.amount):
# trade is still open
trade.set_liquidation_price(
self.exchange.get_liquidation_price(
pair=trade.pair,
open_rate=trade.open_rate,
is_short=trade.is_short,
amount=trade.amount,
stake_amount=trade.stake_amount,
leverage=trade.leverage,
wallet_balance=trade.stake_amount,
)
if self.margin_mode == MarginMode.CROSS or not (
order.ft_order_side == trade.exit_side and order.safe_amount == trade.amount
):
# trade is still open or we are in cross margin mode and
# must update all liquidation prices
update_liquidation_prices(
trade,
exchange=self.exchange,
wallets=self.wallets,
stake_currency=self.config["stake_currency"],
dry_run=self.config["dry_run"],
)
if not (order.ft_order_side == trade.exit_side and order.safe_amount == trade.amount):
self._call_adjust_stop(current_date, trade, order.ft_price)
# pass
return True
return False

2
freqtrade/persistence/trade_model.py
View File

@@ -760,7 +760,7 @@ class LocalTrade:
Method you should use to set self.liquidation price.
Assures stop_loss is not passed the liquidation price
"""
if not liquidation_price:
if liquidation_price is None:
return
self.liquidation_price = liquidation_price

115
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 import Trade
from tests.conftest import EXMS, get_mock_coro, get_patched_exchange, log_has_re
from tests.exchange.test_exchange import ccxt_exceptionhandlers
@@ -171,59 +172,101 @@ def test_stoploss_adjust_binance(mocker, default_conf, sl1, sl2, sl3, side):
@pytest.mark.parametrize(
"is_short, trading_mode, margin_mode, wallet_balance, "
"mm_ex_1, upnl_ex_1, maintenance_amt, amount, open_rate, "
"pair, is_short, trading_mode, margin_mode, wallet_balance, "
"maintenance_amt, amount, open_rate, open_trades,"
"mm_ratio, expected",
[
(
"ETH/USDT:USDT",
False,
"futures",
"isolated",
1535443.01,
0.0,
0.0,
135365.00,
3683.979,
1456.84,
[],
0.10,
1114.78,
),
(
"ETH/USDT:USDT",
False,
"futures",
"isolated",
1535443.01,
0.0,
0.0,
16300.000,
109.488,
32481.980,
[],
0.025,
18778.73,
),
(
"ETH/USDT:USDT",
False,
"futures",
"cross",
1535443.01,
71200.81144,
-56354.57,
135365.00,
3683.979,
1456.84,
3683.979, # amount
1456.84, # open_rate
[
{
# From calc example
"pair": "BTC/USDT:USDT",
"open_rate": 32481.98,
"amount": 109.488,
"stake_amount": 3556387.02624, # open_rate * amount
"mark_price": 31967.27,
"mm_ratio": 0.025,
"maintenance_amt": 16300.0,
},
{
# From calc example
"pair": "ETH/USDT:USDT",
"open_rate": 1456.84,
"amount": 3683.979,
"stake_amount": 5366967.96,
"mark_price": 1335.18,
"mm_ratio": 0.10,
"maintenance_amt": 135365.00,
},
],
0.10,
1153.26,
),
(
"BTC/USDT:USDT",
False,
"futures",
"cross",
1535443.01,
356512.508,
-448192.89,
16300.000,
109.488,
32481.980,
16300.0,
109.488, # amount
32481.980, # open_rate
[
{
# From calc example
"pair": "BTC/USDT:USDT",
"open_rate": 32481.98,
"amount": 109.488,
"stake_amount": 3556387.02624, # open_rate * amount
"mark_price": 31967.27,
"mm_ratio": 0.025,
"maintenance_amt": 16300.0,
},
{
# From calc example
"pair": "ETH/USDT:USDT",
"open_rate": 1456.84,
"amount": 3683.979,
"stake_amount": 5366967.96,
"mark_price": 1335.18,
"mm_ratio": 0.10,
"maintenance_amt": 135365.00,
},
],
0.025,
26316.89,
),
@@ -232,15 +275,15 @@ def test_stoploss_adjust_binance(mocker, default_conf, sl1, sl2, sl3, side):
def test_liquidation_price_binance(
mocker,
default_conf,
open_rate,
pair,
is_short,
trading_mode,
margin_mode,
wallet_balance,
mm_ex_1,
upnl_ex_1,
maintenance_amt,
amount,
open_rate,
open_trades,
mm_ratio,
expected,
):
@@ -248,20 +291,48 @@ def test_liquidation_price_binance(
default_conf["margin_mode"] = margin_mode
default_conf["liquidation_buffer"] = 0.0
exchange = get_patched_exchange(mocker, default_conf, exchange="binance")
exchange.get_maintenance_ratio_and_amt = MagicMock(return_value=(mm_ratio, maintenance_amt))
def get_maint_ratio(pair_, stake_amount):
if pair_ != pair:
oc = [c for c in open_trades if c["pair"] == pair_][0]
return oc["mm_ratio"], oc["maintenance_amt"]
return mm_ratio, maintenance_amt
def fetch_funding_rates(*args, **kwargs):
return {
t["pair"]: {
"symbol": t["pair"],
"markPrice": t["mark_price"],
}
for t in open_trades
}
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(
exchange.get_liquidation_price(
pair="DOGE/USDT",
pair=pair,
open_rate=open_rate,
is_short=is_short,
wallet_balance=wallet_balance,
mm_ex_1=mm_ex_1,
upnl_ex_1=upnl_ex_1,
amount=amount,
stake_amount=open_rate * amount,
leverage=5,
open_trades=open_trade_objects,
),
2,
)

4
tests/exchange/test_exchange.py
View File

@@ -5524,8 +5524,6 @@ def test_liquidation_price_is_none(
stake_amount=open_rate * 71200.81144,
leverage=5,
wallet_balance=-56354.57,
mm_ex_1=0.10,
upnl_ex_1=0.0,
)
is None
)
@@ -6011,6 +6009,7 @@ def test_get_liquidation_price1(mocker, default_conf):
stake_amount=18.884 * 0.8,
leverage=leverage,
wallet_balance=18.884 * 0.8,
open_trades=[],
)
@@ -6141,6 +6140,7 @@ def test_get_liquidation_price(
wallet_balance=amount * open_rate / leverage,
leverage=leverage,
is_short=is_short,
open_trades=[],
)
if expected_liq is None:
assert liq is None

2
tests/exchange_online/test_ccxt_compat.py
View File

@@ -457,6 +457,7 @@ class TestCCXTExchange:
stake_amount=100,
leverage=5,
wallet_balance=100,
open_trades=[],
)
assert isinstance(liquidation_price, float)
assert liquidation_price >= 0.0
@@ -469,6 +470,7 @@ class TestCCXTExchange:
stake_amount=100,
leverage=5,
wallet_balance=100,
open_trades=[],
)
assert isinstance(liquidation_price, float)
assert liquidation_price >= 0.0

57
tests/leverage/test_update_liquidation_price.py Normal file
View File

@@ -0,0 +1,57 @@
from unittest.mock import MagicMock
import pytest
from freqtrade.enums.marginmode import MarginMode
from freqtrade.leverage.liquidation_price import update_liquidation_prices
@pytest.mark.parametrize("dry_run", [False, True])
@pytest.mark.parametrize("margin_mode", [MarginMode.CROSS, MarginMode.ISOLATED])
def test_update_liquidation_prices(mocker, margin_mode, dry_run):
# Heavily mocked test - Only testing the logic of the function
# update liquidation price for trade in isolated mode
# update liquidation price for all trades in cross mode
exchange = MagicMock()
exchange.margin_mode = margin_mode
wallets = MagicMock()
trade_mock = MagicMock()
mocker.patch("freqtrade.persistence.Trade.get_open_trades", return_value=[trade_mock])
update_liquidation_prices(
trade=trade_mock,
exchange=exchange,
wallets=wallets,
stake_currency="USDT",
dry_run=dry_run,
)
assert trade_mock.set_liquidation_price.call_count == 1
assert wallets.get_total.call_count == (
0 if margin_mode == MarginMode.ISOLATED or not dry_run else 1
)
# Test with multiple trades
trade_mock.reset_mock()
trade_mock_2 = MagicMock()
mocker.patch(
"freqtrade.persistence.Trade.get_open_trades", return_value=[trade_mock, trade_mock_2]
)
update_liquidation_prices(
trade=trade_mock,
exchange=exchange,
wallets=wallets,
stake_currency="USDT",
dry_run=dry_run,
)
# Trade2 is only updated in cross mode
assert trade_mock_2.set_liquidation_price.call_count == (
1 if margin_mode == MarginMode.CROSS else 0
)
assert trade_mock.set_liquidation_price.call_count == 1
assert wallets.call_count == 0 if not dry_run else 1