calculate_sizes_for_leverage#

API documentation for tradeexecutor.utils.leverage_calculations.calculate_sizes_for_leverage Python function.

calculate_sizes_for_leverage(starting_reserve, leverage)[source]#

Calculate the collateral and borrow loan size to hit the target leverage with a starting capital.

  • When calculating the loan size using this function, the loan net asset value will be the same as starting capital

  • Because loan net asset value is same is deposited reserve, portfolio total NAV stays intact

Notes:

nav = col - borrow
leverage = borrow / nav
leverage = col / nav - 1

borrow = nav * leverage
col = nav * leverage + nav
col = nav * (leverage + 1)

# Calculate leverage for 4x and 1000 USD nav (starting reserve)
nav = 1000
borrow = 1000 * 4 = 4000
col = 1000 * 4 + 1000 = 5000
col = 1000 * (4 + 1) = 5000
col = 1000 + 4000 = 5000
Parameters:

  • starting_reserve (float) – Initial deposit in lending protocol

  • shorting_pair – Leverage short trading pair

  • leverage (float) –

Returns:

Tuple (borrow value, collateral value) in dollars

Return type:

tuple[float, float, decimal.Decimal]