From 6e912c1053c5bb4146bbe2a1d3bd44cd024b0bd2 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Sat, 6 Nov 2021 17:12:48 -0600 Subject: [PATCH] Updated _get_funding_fee method names, added kraken._get_funding_fee --- freqtrade/exchange/exchange.py | 10 ++++++---- freqtrade/exchange/kraken.py | 22 ++++++++++++++++++++++ tests/exchange/test_exchange.py | 33 ++++++++++++++++++++++----------- tests/test_freqtradebot.py | 4 ++-- 4 files changed, 52 insertions(+), 17 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index f50c024e9..91218b560 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -1662,19 +1662,21 @@ class Exchange: def _get_funding_fee( self, - contract_size: float, + size: float, funding_rate: float, mark_price: float, + time_in_ratio: Optional[float] = None ) -> float: """ Calculates a single funding fee - :param contract_size: The amount/quanity + :param size: contract size * number of contracts :param mark_price: The price of the asset that the contract is based off of :param funding_rate: the interest rate and the premium - interest rate: - premium: varies by price difference between the perpetual contract and mark price + :param time_in_ratio: Not used by most exchange classes """ - nominal_value = mark_price * contract_size + nominal_value = mark_price * size return nominal_value * funding_rate @retrier @@ -1812,7 +1814,7 @@ class Exchange: funding_rate = funding_rate_history[int(date.timestamp() * 1000)] mark_price = mark_price_history[int(date.timestamp() * 1000)] fees += self._get_funding_fee( - contract_size=amount, + size=amount, mark_price=mark_price, funding_rate=funding_rate ) diff --git a/freqtrade/exchange/kraken.py b/freqtrade/exchange/kraken.py index d2cbcd347..22a2d5038 100644 --- a/freqtrade/exchange/kraken.py +++ b/freqtrade/exchange/kraken.py @@ -156,3 +156,25 @@ class Kraken(Exchange): if leverage > 1.0: params['leverage'] = leverage return params + + def _get_funding_fee( + self, + size: float, + funding_rate: float, + mark_price: float, + time_in_ratio: Optional[float] = None + ) -> float: + """ + Calculates a single funding fee + :param size: contract size * number of contracts + :param mark_price: The price of the asset that the contract is based off of + :param funding_rate: the interest rate and the premium + - interest rate: + - premium: varies by price difference between the perpetual contract and mark price + :param time_in_ratio: time elapsed within funding period without position alteration + """ + if not time_in_ratio: + raise OperationalException( + f"time_in_ratio is required for {self.name}._get_funding_fee") + nominal_value = mark_price * size + return nominal_value * funding_rate * time_in_ratio diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 44e99e551..c2c7da291 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -3290,21 +3290,32 @@ def test_get_max_leverage(default_conf, mocker, pair, nominal_value, max_lev): assert exchange.get_max_leverage(pair, nominal_value) == max_lev -@pytest.mark.parametrize('contract_size,funding_rate,mark_price,funding_fee', [ - (10, 0.0001, 2.0, 0.002), - (10, 0.0002, 2.0, 0.004), - (10, 0.0002, 2.5, 0.005) -]) +@pytest.mark.parametrize( + 'size,funding_rate,mark_price,time_in_ratio,funding_fee,kraken_fee', [ + (10, 0.0001, 2.0, 1.0, 0.002, 0.002), + (10, 0.0002, 2.0, 0.01, 0.004, 0.00004), + (10, 0.0002, 2.5, None, 0.005, None), + ]) def test__get_funding_fee( default_conf, mocker, - contract_size, + size, funding_rate, mark_price, - funding_fee + funding_fee, + kraken_fee, + time_in_ratio ): exchange = get_patched_exchange(mocker, default_conf) - assert exchange._get_funding_fee(contract_size, funding_rate, mark_price) == funding_fee + kraken = get_patched_exchange(mocker, default_conf, id="kraken") + + assert exchange._get_funding_fee(size, funding_rate, mark_price, time_in_ratio) == funding_fee + + if (kraken_fee is None): + with pytest.raises(OperationalException): + kraken._get_funding_fee(size, funding_rate, mark_price, time_in_ratio) + else: + assert kraken._get_funding_fee(size, funding_rate, mark_price, time_in_ratio) == kraken_fee @pytest.mark.parametrize('exchange,d1,d2,funding_times', [ @@ -3536,9 +3547,9 @@ def test_calculate_funding_fees( expected_fees ): ''' - nominal_value = mark_price * contract_size + nominal_value = mark_price * size funding_fee = nominal_value * funding_rate - contract_size: 30 + size: 30 time: 0, mark: 2.77, nominal_value: 83.1, fundRate: -0.000008, fundFee: -0.0006648 time: 1, mark: 2.73, nominal_value: 81.9, fundRate: -0.000004, fundFee: -0.0003276 time: 2, mark: 2.74, nominal_value: 82.2, fundRate: 0.000012, fundFee: 0.0009864 @@ -3554,7 +3565,7 @@ def test_calculate_funding_fees( time: 12, mark: 2.81, nominal_value: 84.3, fundRate: 0.000072, fundFee: 0.0060696 time: 13, mark: 2.82, nominal_value: 84.6, fundRate: 0.000097, fundFee: 0.0082062 - contract_size: 50 + size: 50 time: 0, mark: 2.77, nominal_value: 138.5, fundRate: -0.000008, fundFee: -0.001108 time: 1, mark: 2.73, nominal_value: 136.5, fundRate: -0.000004, fundFee: -0.000546 time: 2, mark: 2.74, nominal_value: 137.0, fundRate: 0.000012, fundFee: 0.001644 diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index b223c9097..d36afef8b 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -4702,9 +4702,9 @@ def test_update_funding_fees_schedule(mocker, default_conf, trading_mode, calls, def test_update_funding_fees(mocker, default_conf, time_machine, fee): ''' - nominal_value = mark_price * contract_size + nominal_value = mark_price * size funding_fee = nominal_value * funding_rate - contract_size = 123 + size = 123 "LTC/BTC" time: 0, mark: 3.3, fundRate: 0.00032583, nominal_value: 405.9, fundFee: 0.132254397 time: 8, mark: 3.2, fundRate: 0.00024472, nominal_value: 393.6, fundFee: 0.096321792