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