75 lines
2.4 KiB
Python
75 lines
2.4 KiB
Python
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from datetime import datetime
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from typing import Optional
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from freqtrade.exceptions import OperationalException
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def funding_fees(
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exchange_name: str,
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pair: str,
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contract_size: float,
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open_date: datetime,
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close_date: datetime
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# index_price: float,
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# interest_rate: float
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):
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"""
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Equation to calculate funding_fees on futures trades
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:param exchange_name: The exchanged being trading on
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:param borrowed: The amount of currency being borrowed
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:param rate: The rate of interest
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:param hours: The time in hours that the currency has been borrowed for
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Raises:
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OperationalException: Raised if freqtrade does
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not support margin trading for this exchange
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Returns: The amount of interest owed (currency matches borrowed)
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"""
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exchange_name = exchange_name.lower()
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# fees = 0
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if exchange_name == "binance":
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for timeslot in ["23:59:45", "07:59:45", "15:59:45"]:
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# for each day in close_date - open_date
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# mark_price = mark_price at this time
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# rate = rate at this time
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# fees = fees + funding_fee(exchange_name, contract_size, mark_price, rate)
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# return fees
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return
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elif exchange_name == "kraken":
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raise OperationalException("Funding_fees has not been implemented for Kraken")
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elif exchange_name == "ftx":
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# for timeslot in every hour since open_date:
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# mark_price = mark_price at this time
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# fees = fees + funding_fee(exchange_name, contract_size, mark_price, rate)
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return
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else:
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raise OperationalException(f"Leverage not available on {exchange_name} with freqtrade")
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def funding_fee(
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exchange_name: str,
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contract_size: float,
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mark_price: float,
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rate: Optional[float],
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# index_price: float,
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# interest_rate: float
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):
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"""
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Calculates a single funding fee
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"""
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if exchange_name == "binance":
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assert isinstance(rate, float)
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nominal_value = mark_price * contract_size
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adjustment = nominal_value * rate
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return adjustment
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elif exchange_name == "kraken":
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raise OperationalException("Funding fee has not been implemented for kraken")
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elif exchange_name == "ftx":
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"""
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Always paid in USD on FTX # TODO: How do we account for this
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"""
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(contract_size * mark_price) / 24
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return
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