Merge pull request freqtrade#11655 from freqtrade/fix/11650

Fix max-stake-amount with high leverage

Author: xmatthias

freqtrade/exchange/exchange.py

@@ -961,7 +961,7 @@ def price_get_one_pip(self, pair: str, price: float) -> float:
             return 1 / pow(10, precision)
 
     def get_min_pair_stake_amount(
-        self, pair: str, price: float, stoploss: float, leverage: float | None = 1.0
+        self, pair: str, price: float, stoploss: float, leverage: float = 1.0
     ) -> float | None:
         return self._get_stake_amount_limit(pair, price, stoploss, "min", leverage)
 
@@ -980,7 +980,7 @@ def _get_stake_amount_limit(
         price: float,
         stoploss: float,
         limit: Literal["min", "max"],
-        leverage: float | None = 1.0,
+        leverage: float = 1.0,
     ) -> float | None:
         isMin = limit == "min"
 
@@ -989,6 +989,8 @@ def _get_stake_amount_limit(
         except KeyError:
             raise ValueError(f"Can't get market information for symbol {pair}")
 
+        stake_limits = []
+        limits = market["limits"]
         if isMin:
             # reserve some percent defined in config (5% default) + stoploss
             margin_reserve: float = 1.0 + self._config.get(
@@ -998,11 +1000,12 @@ def _get_stake_amount_limit(
             # it should not be more than 50%
             stoploss_reserve = max(min(stoploss_reserve, 1.5), 1)
         else:
+            # is_max
             margin_reserve = 1.0
             stoploss_reserve = 1.0
+            if max_from_tiers := self._get_max_notional_from_tiers(pair, leverage=leverage):
+                stake_limits.append(max_from_tiers)
 
-        stake_limits = []
-        limits = market["limits"]
         if limits["cost"][limit] is not None:
             stake_limits.append(
                 self._contracts_to_amount(pair, limits["cost"][limit]) * stoploss_reserve
@@ -3361,42 +3364,22 @@ def get_max_leverage(self, pair: str, stake_amount: float | None) -> float:
             pair_tiers = self._leverage_tiers[pair]
 
             if stake_amount == 0:
-                return self._leverage_tiers[pair][0]["maxLeverage"]  # Max lev for lowest amount
-
-            for tier_index in range(len(pair_tiers)):
-                tier = pair_tiers[tier_index]
-                lev = tier["maxLeverage"]
-
-                if tier_index < len(pair_tiers) - 1:
-                    next_tier = pair_tiers[tier_index + 1]
-                    next_floor = next_tier["minNotional"] / next_tier["maxLeverage"]
-                    if next_floor > stake_amount:  # Next tier min too high for stake amount
-                        return min((tier["maxNotional"] / stake_amount), lev)
-                        #
-                        # With the two leverage tiers below,
-                        # - a stake amount of 150 would mean a max leverage of (10000 / 150) = 66.66
-                        # - stakes below 133.33 = max_lev of 75
-                        # - stakes between 133.33-200 = max_lev of 10000/stake = 50.01-74.99
-                        # - stakes from 200 + 1000 = max_lev of 50
-                        #
-                        # {
-                        #     "min": 0,      # stake = 0.0
-                        #     "max": 10000,  # max_stake@75 = 10000/75 = 133.33333333333334
-                        #     "lev": 75,
-                        # },
-                        # {
-                        #     "min": 10000,  # stake = 200.0
-                        #     "max": 50000,  # max_stake@50 = 50000/50 = 1000.0
-                        #     "lev": 50,
-                        # }
-                        #
-
-                else:  # if on the last tier
-                    if stake_amount > tier["maxNotional"]:
-                        # If stake is > than max tradeable amount
-                        raise InvalidOrderException(f"Amount {stake_amount} too high for {pair}")
-                    else:
-                        return tier["maxLeverage"]
+                return pair_tiers[0]["maxLeverage"]  # Max lev for lowest amount
+
+            # Find the appropriate tier based on stake_amount
+            prior_max_lev = None
+            for tier in pair_tiers:
+                min_stake = tier["minNotional"] / (prior_max_lev or tier["maxLeverage"])
+                max_stake = tier["maxNotional"] / tier["maxLeverage"]
+                prior_max_lev = tier["maxLeverage"]
+                # Adjust notional by leverage to do a proper comparison
+                if min_stake <= stake_amount <= max_stake:
+                    return tier["maxLeverage"]
+
+            #     else:  # if on the last tier
+            if stake_amount > max_stake:
+                # If stake is > than max tradeable amount
+                raise InvalidOrderException(f"Amount {stake_amount} too high for {pair}")
 
             raise OperationalException(
                 "Looped through all tiers without finding a max leverage. Should never be reached"
@@ -3411,6 +3394,23 @@ def get_max_leverage(self, pair: str, stake_amount: float | None) -> float:
         else:
             return 1.0
 
+    def _get_max_notional_from_tiers(self, pair: str, leverage: float) -> float | None:
+        """
+        get max_notional from leverage_tiers
+        :param pair: The base/quote currency pair being traded
+        :param leverage: The leverage to be used
+        :return: The maximum notional value for the given leverage or None if not found
+        """
+        if self.trading_mode != TradingMode.FUTURES:
+            return None
+        if pair not in self._leverage_tiers:
+            return None
+        pair_tiers = self._leverage_tiers[pair]
+        for tier in reversed(pair_tiers):
+            if leverage <= tier["maxLeverage"]:
+                return tier["maxNotional"]
+        return None
+
     @retrier
     def _set_leverage(
         self,

freqtrade/freqtradebot.py

@@ -760,12 +760,14 @@ def check_and_call_adjust_trade_position(self, trade: Trade):
         current_exit_profit = trade.calc_profit_ratio(current_exit_rate)
 
         min_entry_stake = self.exchange.get_min_pair_stake_amount(
-            trade.pair, current_entry_rate, 0.0
+            trade.pair, current_entry_rate, 0.0, trade.leverage
         )
         min_exit_stake = self.exchange.get_min_pair_stake_amount(
-            trade.pair, current_exit_rate, self.strategy.stoploss
+            trade.pair, current_exit_rate, self.strategy.stoploss, trade.leverage
+        )
+        max_entry_stake = self.exchange.get_max_pair_stake_amount(
+            trade.pair, current_entry_rate, trade.leverage
         )
-        max_entry_stake = self.exchange.get_max_pair_stake_amount(trade.pair, current_entry_rate)
         stake_available = self.wallets.get_available_stake_amount()
         logger.debug(f"Calling adjust_trade_position for pair {trade.pair}")
         stake_amount, order_tag = self.strategy._adjust_trade_position_internal(

tests/exchange/test_exchange.py

@@ -5599,11 +5599,13 @@ def test_liquidation_price_is_none(
 def test_get_max_pair_stake_amount(
     mocker,
     default_conf,
+    leverage_tiers,
 ):
     api_mock = MagicMock()
     default_conf["margin_mode"] = "isolated"
     default_conf["trading_mode"] = "futures"
     exchange = get_patched_exchange(mocker, default_conf, api_mock)
+    exchange._leverage_tiers = leverage_tiers
     markets = {
         "XRP/USDT:USDT": {
             "limits": {
@@ -5667,11 +5669,23 @@ def test_get_max_pair_stake_amount(
             "contractSize": 0.01,
             "spot": False,
         },
+        "ZEC/USDT:USDT": {
+            "limits": {
+                "amount": {"min": 0.001, "max": None},
+                "cost": {"min": 5, "max": None},
+            },
+            "contractSize": 1,
+            "spot": False,
+        },
     }
 
     mocker.patch(f"{EXMS}.markets", markets)
     assert exchange.get_max_pair_stake_amount("XRP/USDT:USDT", 2.0) == 20000
     assert exchange.get_max_pair_stake_amount("XRP/USDT:USDT", 2.0, 5) == 4000
+    # limit leverage tiers
+    assert exchange.get_max_pair_stake_amount("ZEC/USDT:USDT", 2.0, 5) == 100_000
+    assert exchange.get_max_pair_stake_amount("ZEC/USDT:USDT", 2.0, 50) == 1000
+
     assert exchange.get_max_pair_stake_amount("LTC/USDT:USDT", 2.0) == float("inf")
     assert exchange.get_max_pair_stake_amount("ETH/USDT:USDT", 2.0) == 200
     assert exchange.get_max_pair_stake_amount("DOGE/USDT:USDT", 2.0) == 500
@@ -5902,8 +5916,8 @@ def test_get_max_leverage_futures(default_conf, mocker, leverage_tiers):
     assert exchange.get_max_leverage("XRP/USDT:USDT", 1.0) == 20.0
     assert exchange.get_max_leverage("BNB/USDT:USDT", 100.0) == 75.0
     assert exchange.get_max_leverage("BTC/USDT:USDT", 170.30) == 125.0
-    assert pytest.approx(exchange.get_max_leverage("XRP/USDT:USDT", 99999.9)) == 5.000005
-    assert pytest.approx(exchange.get_max_leverage("BNB/USDT:USDT", 1500)) == 33.333333333333333
+    assert pytest.approx(exchange.get_max_leverage("XRP/USDT:USDT", 99999.9)) == 5
+    assert pytest.approx(exchange.get_max_leverage("BNB/USDT:USDT", 1500)) == 25
     assert exchange.get_max_leverage("BTC/USDT:USDT", 300000000) == 2.0
     assert exchange.get_max_leverage("BTC/USDT:USDT", 600000000) == 1.0  # Last tier