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Merge pull request #7339 from freqtrade/fix/fundingfee_handling

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Fix/fundingfee handling
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Matthias 2022-09-06 19:21:40 +02:00 committed by GitHub
commit 98ec84fca6
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5 changed files with 57 additions and 15 deletions
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9
freqtrade/freqtradebot.py
View File

@ -283,7 +283,7 @@ class FreqtradeBot(LoggingMixin):
pair=trade.pair,
amount=trade.amount,
is_short=trade.is_short,
open_date=trade.open_date_utc
open_date=trade.date_last_filled_utc
)
trade.funding_fees = funding_fees
else:
@ -728,10 +728,11 @@ class FreqtradeBot(LoggingMixin):
fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
base_currency = self.exchange.get_pair_base_currency(pair)
open_date = datetime.now(timezone.utc)
funding_fees = self.exchange.get_funding_fees(
pair=pair, amount=amount, is_short=is_short, open_date=open_date)
# This is a new trade
if trade is None:
funding_fees = self.exchange.get_funding_fees(
pair=pair, amount=amount, is_short=is_short, open_date=open_date)
trade = Trade(
pair=pair,
base_currency=base_currency,
@ -1486,7 +1487,7 @@ class FreqtradeBot(LoggingMixin):
pair=trade.pair,
amount=trade.amount,
is_short=trade.is_short,
open_date=trade.open_date_utc,
open_date=trade.date_last_filled_utc,
)
exit_type = 'exit'
exit_reason = exit_tag or exit_check.exit_reason

2
freqtrade/optimize/backtesting.py
View File

@ -686,7 +686,7 @@ class Backtesting:
self.futures_data[trade.pair],
amount=trade.amount,
is_short=trade.is_short,
open_date=trade.open_date_utc,
open_date=trade.date_last_filled_utc,
close_date=exit_candle_time,
)

10
freqtrade/persistence/migrations.py
View File

@ -212,17 +212,18 @@ def migrate_orders_table(engine, table_back_name: str, cols_order: List):
ft_fee_base = get_column_def(cols_order, 'ft_fee_base', 'null')
average = get_column_def(cols_order, 'average', 'null')
stop_price = get_column_def(cols_order, 'stop_price', 'null')
funding_fee = get_column_def(cols_order, 'funding_fee', '0.0')
# sqlite does not support literals for booleans
with engine.begin() as connection:
connection.execute(text(f"""
insert into orders (id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id,
status, symbol, order_type, side, price, amount, filled, average, remaining, cost,
stop_price, order_date, order_filled_date, order_update_date, ft_fee_base)
stop_price, order_date, order_filled_date, order_update_date, ft_fee_base, funding_fee)
select id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id,
status, symbol, order_type, side, price, amount, filled, {average} average, remaining,
cost, {stop_price} stop_price, order_date, order_filled_date,
order_update_date, {ft_fee_base} ft_fee_base
order_update_date, {ft_fee_base} ft_fee_base, {funding_fee} funding_fee
from {table_back_name}
"""))
@ -307,9 +308,10 @@ def check_migrate(engine, decl_base, previous_tables) -> None:
# Check if migration necessary
# Migrates both trades and orders table!
# if ('orders' not in previous_tables
# or not has_column(cols_orders, 'stop_price')):
# or not has_column(cols_orders, 'funding_fee')):
migrating = False
if not has_column(cols_trades, 'contract_size'):
# if not has_column(cols_trades, 'contract_size'):
if not has_column(cols_orders, 'funding_fee'):
migrating = True
logger.info(f"Running database migration for trades - "
f"backup: {table_back_name}, {order_table_bak_name}")

41
freqtrade/persistence/trade_model.py
View File

@ -65,6 +65,8 @@ class Order(_DECL_BASE):
order_filled_date = Column(DateTime, nullable=True)
order_update_date = Column(DateTime, nullable=True)
funding_fee = Column(Float, nullable=True)
ft_fee_base = Column(Float, nullable=True)
@property
@ -72,6 +74,13 @@ class Order(_DECL_BASE):
""" Order-date with UTC timezoneinfo"""
return self.order_date.replace(tzinfo=timezone.utc)
@property
def order_filled_utc(self) -> Optional[datetime]:
""" last order-date with UTC timezoneinfo"""
return (
self.order_filled_date.replace(tzinfo=timezone.utc) if self.order_filled_date else None
)
@property
def safe_price(self) -> float:
return self.average or self.price
@ -119,6 +128,10 @@ class Order(_DECL_BASE):
self.ft_is_open = True
if self.status in NON_OPEN_EXCHANGE_STATES:
self.ft_is_open = False
if self.trade:
# Assign funding fee up to this point
# (represents the funding fee since the last order)
self.funding_fee = self.trade.funding_fees
if (order.get('filled', 0.0) or 0.0) > 0:
self.order_filled_date = datetime.now(timezone.utc)
self.order_update_date = datetime.now(timezone.utc)
@ -179,6 +192,10 @@ class Order(_DECL_BASE):
self.remaining = 0
self.status = 'closed'
self.ft_is_open = False
# Assign funding fees to Order.
# Assumes backtesting will use date_last_filled_utc to calculate future funding fees.
self.funding_fee = trade.funding_fees
if (self.ft_order_side == trade.entry_side):
trade.open_rate = self.price
trade.recalc_trade_from_orders()
@ -346,6 +363,15 @@ class LocalTrade():
else:
return self.amount
@property
def date_last_filled_utc(self) -> datetime:
""" Date of the last filled order"""
orders = self.select_filled_orders()
if not orders:
return self.open_date_utc
return max([self.open_date_utc,
max(o.order_filled_utc for o in orders if o.order_filled_utc)])
@property
def open_date_utc(self):
return self.open_date.replace(tzinfo=timezone.utc)
@ -843,10 +869,14 @@ class LocalTrade():
close_profit = 0.0
close_profit_abs = 0.0
profit = None
for o in self.orders:
# Reset funding fees
self.funding_fees = 0.0
funding_fees = 0.0
ordercount = len(self.orders) - 1
for i, o in enumerate(self.orders):
if o.ft_is_open or not o.filled:
continue
funding_fees += (o.funding_fee or 0.0)
tmp_amount = FtPrecise(o.safe_amount_after_fee)
tmp_price = FtPrecise(o.safe_price)
@ -861,7 +891,11 @@ class LocalTrade():
avg_price = current_stake / current_amount
if is_exit:
# Process partial exits
# Process exits
if i == ordercount and is_closing:
# Apply funding fees only to the last closing order
self.funding_fees = funding_fees
exit_rate = o.safe_price
exit_amount = o.safe_amount_after_fee
profit = self.calc_profit(rate=exit_rate, amount=exit_amount,
@ -871,6 +905,7 @@ class LocalTrade():
exit_rate, amount=exit_amount, open_rate=avg_price)
else:
total_stake = total_stake + self._calc_open_trade_value(tmp_amount, price)
self.funding_fees = funding_fees
if close_profit:
self.close_profit = close_profit

10
tests/test_persistence.py
View File

@ -615,21 +615,25 @@ def test_calc_open_close_trade_price(
is_short=is_short,
leverage=lev,
trading_mode=trading_mode,
funding_fees=funding_fees
)
entry_order = limit_order[trade.entry_side]
exit_order = limit_order[trade.exit_side]
trade.open_order_id = f'something-{is_short}-{lev}-{exchange}'
oobj = Order.parse_from_ccxt_object(entry_order, 'ADA/USDT', trade.entry_side)
trade.orders.append(oobj)
oobj.trade = trade
oobj.update_from_ccxt_object(entry_order)
trade.update_trade(oobj)
trade.funding_fees = funding_fees
oobj = Order.parse_from_ccxt_object(exit_order, 'ADA/USDT', trade.exit_side)
trade.orders.append(oobj)
oobj.trade = trade
oobj.update_from_ccxt_object(exit_order)
trade.update_trade(oobj)
assert trade.is_open is False
assert trade.funding_fees == funding_fees
assert pytest.approx(trade._calc_open_trade_value(trade.amount, trade.open_rate)) == open_value
assert pytest.approx(trade.calc_close_trade_value(trade.close_rate)) == close_value