Update funding_fee formula to correctly calculate fees for long trades

freqtrade/exchange/exchange.py

@@ -1885,6 +1885,7 @@ class Exchange:
         self,
         pair: str,
         amount: float,
+        is_short: bool,
         open_date: datetime,
         close_date: Optional[datetime] = None
     ) -> float:
@@ -1894,6 +1895,7 @@ class Exchange:
         Only used during dry-run or if the exchange does not provide a funding_rates endpoint.
         :param pair: The quote/base pair of the trade
         :param amount: The quantity of the trade
+        :param is_short: trade direction
         :param open_date: The date and time that the trade started
         :param close_date: The date and time that the trade ended
         """
@@ -1928,6 +1930,7 @@ class Exchange:
         return self.calculate_funding_fees(
             funding_mark_rates,
             amount=amount,
+            is_short=is_short,
             open_date=open_date,
             close_date=close_date
         )
@@ -1946,6 +1949,7 @@ class Exchange:
         self,
         df: DataFrame,
         amount: float,
+        is_short: bool,
         open_date: datetime,
         close_date: Optional[datetime] = None,
         time_in_ratio: Optional[float] = None
@@ -1955,6 +1959,7 @@ class Exchange:
         :param df: Dataframe containing combined funding and mark rates
                    as `open_fund` and `open_mark`.
         :param amount: The quantity of the trade
+        :param is_short: trade direction
         :param open_date: The date and time that the trade started
         :param close_date: The date and time that the trade ended
         :param time_in_ratio: Not used by most exchange classes
@@ -1965,19 +1970,23 @@ class Exchange:
             df = df[(df['date'] >= open_date) & (df['date'] <= close_date)]
             fees = sum(df['open_fund'] * df['open_mark'] * amount)
 
-        return fees
+        # Negate fees for longs as funding_fees expects it this way based on live endpoints.
+        return fees if is_short else -fees
 
-    def get_funding_fees(self, pair: str, amount: float, open_date: datetime) -> float:
+    def get_funding_fees(
+            self, pair: str, amount: float, is_short: bool, open_date: datetime) -> float:
         """
         Fetch funding fees, either from the exchange (live) or calculates them
         based on funding rate/mark price history
         :param pair: The quote/base pair of the trade
+        :param is_short: trade direction
         :param amount: Trade amount
         :param open_date: Open date of the trade
         """
         if self.trading_mode == TradingMode.FUTURES:
             if self._config['dry_run']:
-                funding_fees = self._fetch_and_calculate_funding_fees(pair, amount, open_date)
+                funding_fees = self._fetch_and_calculate_funding_fees(
+                    pair, amount, is_short, open_date)
             else:
                 funding_fees = self._get_funding_fees_from_exchange(pair, open_date)
             return funding_fees

freqtrade/exchange/kraken.py

@@ -163,6 +163,7 @@ class Kraken(Exchange):
         self,
         df: DataFrame,
         amount: float,
+        is_short: bool,
         open_date: datetime,
         close_date: Optional[datetime] = None,
         time_in_ratio: Optional[float] = None
@@ -176,6 +177,7 @@ class Kraken(Exchange):
         :param df: Dataframe containing combined funding and mark rates
                    as `open_fund` and `open_mark`.
         :param amount: The quantity of the trade
+        :param is_short: trade direction
         :param open_date: The date and time that the trade started
         :param close_date: The date and time that the trade ended
         :param time_in_ratio: Not used by most exchange classes

freqtrade/freqtradebot.py

@@ -273,9 +273,10 @@ class FreqtradeBot(LoggingMixin):
             trades = Trade.get_open_trades()
             for trade in trades:
                 funding_fees = self.exchange.get_funding_fees(
-                    trade.pair,
+                    pair=trade.pair,
-                    trade.amount,
+                    amount=trade.amount,
-                    trade.open_date
+                    is_short=trade.is_short,
+                    open_date=trade.open_date
                 )
                 trade.funding_fees = funding_fees
         else:
@@ -741,7 +742,8 @@ class FreqtradeBot(LoggingMixin):
         # Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
         fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
         open_date = datetime.now(timezone.utc)
-        funding_fees = self.exchange.get_funding_fees(pair, amount, open_date)
+        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:
             trade = Trade(
@@ -1379,9 +1381,10 @@ class FreqtradeBot(LoggingMixin):
         :return: True if it succeeds (supported) False (not supported)
         """
         trade.funding_fees = self.exchange.get_funding_fees(
-            trade.pair,
+            pair=trade.pair,
-            trade.amount,
+            amount=trade.amount,
-            trade.open_date
+            is_short=trade.is_short,
+            open_date=trade.open_date,
         )
         exit_type = 'sell'
         if sell_reason.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):

freqtrade/optimize/backtesting.py

@@ -495,6 +495,7 @@ class Backtesting:
             trade.funding_fees = self.exchange.calculate_funding_fees(
                 self.futures_data[trade.pair],
                 amount=trade.amount,
+                is_short=trade.is_short,
                 open_date=trade.open_date_utc,
                 close_date=sell_candle_time,
             )

tests/exchange/test_exchange.py

@@ -3567,6 +3567,7 @@ def test_calculate_funding_fees(
     assert exchange.calculate_funding_fees(
         df,
         amount=size,
+        is_short=True,
         open_date=trade_date,
         close_date=trade_date,
         time_in_ratio=time_in_ratio,
@@ -3577,6 +3578,7 @@ def test_calculate_funding_fees(
             kraken.calculate_funding_fees(
                 df,
                 amount=size,
+                is_short=True,
                 open_date=trade_date,
                 close_date=trade_date,
                 time_in_ratio=time_in_ratio,
@@ -3586,6 +3588,7 @@ def test_calculate_funding_fees(
         assert kraken.calculate_funding_fees(
             df,
             amount=size,
+            is_short=True,
             open_date=trade_date,
             close_date=trade_date,
             time_in_ratio=time_in_ratio,
@@ -3681,7 +3684,8 @@ def test__fetch_and_calculate_funding_fees(
     type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True})
 
     exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange)
-    funding_fees = exchange._fetch_and_calculate_funding_fees('ADA/USDT', amount, d1, d2)
+    # TODO-lev: test this for longs
+    funding_fees = exchange._fetch_and_calculate_funding_fees('ADA/USDT', amount, True, d1, d2)
     assert pytest.approx(funding_fees) == expected_fees
 
 
@@ -3709,7 +3713,8 @@ def test__fetch_and_calculate_funding_fees_datetime_called(
     d1 = datetime.strptime("2021-09-01 00:00:00 +0000", '%Y-%m-%d %H:%M:%S %z')
 
     time_machine.move_to("2021-09-01 08:00:00 +00:00")
-    funding_fees = exchange._fetch_and_calculate_funding_fees('ADA/USDT', 30.0, d1)
+    # TODO-lev: test this for longs
+    funding_fees = exchange._fetch_and_calculate_funding_fees('ADA/USDT', 30.0, True, d1)
     assert funding_fees == expected_fees