Merge pull request #7339 from freqtrade/fix/fundingfee_handling

Fix/fundingfee handling

freqtrade/freqtradebot.py

@@ -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

freqtrade/optimize/backtesting.py

@@ -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,
             )
 

freqtrade/persistence/migrations.py

@@ -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}")

freqtrade/persistence/trade_model.py

@@ -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

tests/test_persistence.py

@@ -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