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Removed backtesting funding-fee code

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Sam Germain
2021-09-16 03:36:48 -06:00
parent e827ba1388
commit a8657bb1ce
7 changed files with 2 additions and 195 deletions
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67
freqtrade/exchange/exchange.py
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@@ -1529,14 +1529,6 @@ class Exchange:
self._async_get_trade_history(pair=pair, since=since,
until=until, from_id=from_id))
# https://www.binance.com/en/support/faq/360033525031
def fetch_funding_rate(self, pair):
if not self.exchange_has("fetchFundingHistory"):
raise OperationalException(
f"fetch_funding_history() has not been implemented on ccxt.{self.name}")
return self._api.fetch_funding_rates()
@retrier
def get_funding_fees_from_exchange(self, pair: str, since: Union[datetime, int]) -> float:
"""
@@ -1567,37 +1559,6 @@ class Exchange:
except ccxt.BaseError as e:
raise OperationalException(e) from e
def _get_premium_index(self, pair: str, date: datetime) -> float:
raise OperationalException(f'_get_premium_index has not been implemented on {self.name}')
def _get_mark_price(self, pair: str, date: datetime) -> float:
raise OperationalException(f'_get_mark_price has not been implemented on {self.name}')
def _get_funding_rate(self, pair: str, when: datetime):
"""
Get's the funding_rate for a pair at a specific date and time in the past
"""
# TODO-lev: implement
raise OperationalException(f"get_funding_rate has not been implemented for {self.name}")
def _get_funding_fee(
self,
pair: str,
contract_size: float,
mark_price: float,
premium_index: Optional[float],
# index_price: float,
# interest_rate: float)
) -> float:
"""
Calculates a single funding fee
:param contract_size: The amount/quanity
:param mark_price: The price of the asset that the contract is based off of
:param funding_rate: the interest rate and the premium
- premium: varies by price difference between the perpetual contract and mark price
"""
raise OperationalException(f"Funding fee has not been implemented for {self.name}")
def _get_funding_fee_dates(self, open_date: datetime, close_date: datetime):
"""
Get's the date and time of every funding fee that happened between two datetimes
@@ -1614,34 +1575,6 @@ class Exchange:
return results
def calculate_funding_fees(
self,
pair: str,
amount: float,
open_date: datetime,
close_date: datetime
) -> float:
"""
calculates the sum of all funding fees that occurred for a pair during a futures trade
:param pair: The quote/base pair of the trade
:param amount: The quantity of the trade
:param open_date: The date and time that the trade started
:param close_date: The date and time that the trade ended
"""
fees: float = 0
for date in self._get_funding_fee_dates(open_date, close_date):
premium_index = self._get_premium_index(pair, date)
mark_price = self._get_mark_price(pair, date)
fees += self._get_funding_fee(
pair=pair,
contract_size=amount,
mark_price=mark_price,
premium_index=premium_index
)
return fees
def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:
return exchange_name in ccxt_exchanges(ccxt_module)