Removed backtesting funding-fee code
This commit is contained in:
Sam Germain
@@ -1,7 +1,6 @@
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""" Binance exchange subclass """
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import logging
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from datetime import datetime
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from typing import Any, Dict, List, Optional
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from typing import Dict, List
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import arrow
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import ccxt
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@@ -27,13 +26,6 @@ class Binance(Exchange):
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"l2_limit_range": [5, 10, 20, 50, 100, 500, 1000],
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}
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funding_fee_times: List[int] = [0, 8, 16] # hours of the day
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_funding_interest_rates: Dict = {} # TODO-lev: delete
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def __init__(self, config: Dict[str, Any], validate: bool = True) -> None:
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super().__init__(config, validate)
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# TODO-lev: Uncomment once lev-exchange merged in
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# if self.trading_mode == TradingMode.FUTURES:
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# self._funding_interest_rates = self._get_funding_interest_rates()
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def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
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"""
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@@ -101,51 +93,6 @@ class Binance(Exchange):
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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def _get_premium_index(self, pair: str, date: datetime) -> float:
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raise OperationalException(f'_get_premium_index has not been implemented on {self.name}')
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def _get_mark_price(self, pair: str, date: datetime) -> float:
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raise OperationalException(f'_get_mark_price has not been implemented on {self.name}')
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def _get_funding_interest_rates(self):
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rates = self._api.fetch_funding_rates()
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interest_rates = {}
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for pair, data in rates.items():
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interest_rates[pair] = data['interestRate']
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return interest_rates
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def _calculate_funding_rate(self, pair: str, premium_index: float) -> Optional[float]:
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"""
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Get's the funding_rate for a pair at a specific date and time in the past
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"""
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return (
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premium_index +
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max(min(self._funding_interest_rates[pair] - premium_index, 0.0005), -0.0005)
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)
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def _get_funding_fee(
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self,
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pair: str,
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contract_size: float,
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mark_price: float,
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premium_index: Optional[float],
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) -> float:
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"""
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Calculates a single funding fee
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:param contract_size: The amount/quanity
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:param mark_price: The price of the asset that the contract is based off of
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:param funding_rate: the interest rate and the premium
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- interest rate: 0.03% daily, BNBUSDT, LINKUSDT, and LTCUSDT are 0%
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- premium: varies by price difference between the perpetual contract and mark price
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"""
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if premium_index is None:
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raise OperationalException("Premium index cannot be None for Binance._get_funding_fee")
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nominal_value = mark_price * contract_size
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funding_rate = self._calculate_funding_rate(pair, premium_index)
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if funding_rate is None:
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raise OperationalException("Funding rate should never be none on Binance")
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return nominal_value * funding_rate
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async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
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since_ms: int, is_new_pair: bool
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) -> List:
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@@ -1529,14 +1529,6 @@ class Exchange:
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self._async_get_trade_history(pair=pair, since=since,
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until=until, from_id=from_id))
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# https://www.binance.com/en/support/faq/360033525031
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def fetch_funding_rate(self, pair):
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if not self.exchange_has("fetchFundingHistory"):
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raise OperationalException(
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f"fetch_funding_history() has not been implemented on ccxt.{self.name}")
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return self._api.fetch_funding_rates()
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@retrier
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def get_funding_fees_from_exchange(self, pair: str, since: Union[datetime, int]) -> float:
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"""
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@@ -1567,37 +1559,6 @@ class Exchange:
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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def _get_premium_index(self, pair: str, date: datetime) -> float:
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raise OperationalException(f'_get_premium_index has not been implemented on {self.name}')
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def _get_mark_price(self, pair: str, date: datetime) -> float:
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raise OperationalException(f'_get_mark_price has not been implemented on {self.name}')
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def _get_funding_rate(self, pair: str, when: datetime):
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"""
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Get's the funding_rate for a pair at a specific date and time in the past
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"""
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# TODO-lev: implement
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raise OperationalException(f"get_funding_rate has not been implemented for {self.name}")
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def _get_funding_fee(
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self,
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pair: str,
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contract_size: float,
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mark_price: float,
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premium_index: Optional[float],
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# index_price: float,
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# interest_rate: float)
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) -> float:
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"""
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Calculates a single funding fee
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:param contract_size: The amount/quanity
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:param mark_price: The price of the asset that the contract is based off of
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:param funding_rate: the interest rate and the premium
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- premium: varies by price difference between the perpetual contract and mark price
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"""
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raise OperationalException(f"Funding fee has not been implemented for {self.name}")
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def _get_funding_fee_dates(self, open_date: datetime, close_date: datetime):
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"""
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Get's the date and time of every funding fee that happened between two datetimes
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@@ -1614,34 +1575,6 @@ class Exchange:
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return results
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def calculate_funding_fees(
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self,
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pair: str,
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amount: float,
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open_date: datetime,
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close_date: datetime
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) -> float:
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"""
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calculates the sum of all funding fees that occurred for a pair during a futures trade
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:param pair: The quote/base pair of the trade
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:param amount: The quantity of the trade
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:param open_date: The date and time that the trade started
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:param close_date: The date and time that the trade ended
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"""
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fees: float = 0
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for date in self._get_funding_fee_dates(open_date, close_date):
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premium_index = self._get_premium_index(pair, date)
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mark_price = self._get_mark_price(pair, date)
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fees += self._get_funding_fee(
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pair=pair,
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contract_size=amount,
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mark_price=mark_price,
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premium_index=premium_index
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)
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return fees
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def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:
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return exchange_name in ccxt_exchanges(ccxt_module)
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@@ -1,7 +1,6 @@
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""" FTX exchange subclass """
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import logging
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from datetime import datetime
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from typing import Any, Dict, List, Optional
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from typing import Any, Dict, List
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import ccxt
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@@ -154,25 +153,3 @@ class Ftx(Exchange):
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if order['type'] == 'stop':
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return safe_value_fallback2(order, order, 'id_stop', 'id')
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return order['id']
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def _get_funding_rate(self, pair: str, when: datetime) -> Optional[float]:
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"""FTX doesn't use this"""
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return None
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def _get_funding_fee(
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self,
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pair: str,
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contract_size: float,
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mark_price: float,
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premium_index: Optional[float],
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# index_price: float,
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# interest_rate: float)
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) -> float:
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"""
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Calculates a single funding fee
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Always paid in USD on FTX # TODO: How do we account for this
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: param contract_size: The amount/quanity
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: param mark_price: The price of the asset that the contract is based off of
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: param funding_rate: Must be None on ftx
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"""
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return (contract_size * mark_price) / 24
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