Created FundingFee class and added funding_fee to LocalTrade and freqtradebot

freqtrade/leverage/__init__.py

@@ -1,2 +1 @@
 # flake8: noqa: F401
-from freqtrade.leverage.interest import interest

freqtrade/leverage/funding_fee.py

@@ -0,0 +1,80 @@
+from datetime import datetime, timedelta
+from typing import List
+
+import schedule
+
+from freqtrade.persistence import Trade
+
+
+class FundingFee:
+
+    trades: List[Trade]
+    # Binance
+    begin_times = [
+        # TODO-lev: Make these UTC time
+        "23:59:45",
+        "07:59:45",
+        "15:59:45",
+    ]
+
+    # FTX
+    # begin_times = every hour
+
+    def _is_time_between(self, begin_time, end_time):
+        # If check time is not given, default to current UTC time
+        check_time = datetime.utcnow().time()
+        if begin_time < end_time:
+            return check_time >= begin_time and check_time <= end_time
+        else:  # crosses midnight
+            return check_time >= begin_time or check_time <= end_time
+
+    def _apply_funding_fees(self, num_of: int = 1):
+        if num_of == 0:
+            return
+        for trade in self.trades:
+            trade.adjust_funding_fee(self._calculate(trade.amount) * num_of)
+
+    def _calculate(self, amount):
+        # TODO-futures: implement
+        # TODO-futures: Check how other exchages do it and adjust accordingly
+        # https://www.binance.com/en/support/faq/360033525031
+        # mark_price =
+        # contract_size = maybe trade.amount
+        # funding_rate =  # https://www.binance.com/en/futures/funding-history/0
+        # nominal_value = mark_price * contract_size
+        # adjustment = nominal_value * funding_rate
+        # return adjustment
+
+        # FTX - paid in USD(always)
+        # position size * TWAP of((future - index) / index) / 24
+        # https: // help.ftx.com/hc/en-us/articles/360027946571-Funding
+        return
+
+    def initial_funding_fee(self, amount) -> float:
+        # A funding fee interval is applied immediately if within 30s of an iterval
+        # May only exist on binance
+        for begin_string in self.begin_times:
+            begin_time = datetime.strptime(begin_string, "%H:%M:%S")
+            end_time = (begin_time + timedelta(seconds=30))
+            if self._is_time_between(begin_time.time(), end_time.time()):
+                return self._calculate(amount)
+        return 0.0
+
+    def start(self):
+        for interval in self.begin_times:
+            schedule.every().day.at(interval).do(self._apply_funding_fees())
+
+        # https://stackoverflow.com/a/30393162/6331353
+        # TODO-futures: Put schedule.run_pending() somewhere in the bot_loop
+
+    def reboot(self):
+        # TODO-futures Find out how many begin_times have passed since last funding_fee added
+        amount_missed = 0
+        self.apply_funding_fees(num_of=amount_missed)
+        self.start()
+
+    def add_new_trade(self, trade):
+        self.trades.append(trade)
+
+    def remove_trade(self, trade):
+        self.trades.remove(trade)