Created FundingFee class and added funding_fee to LocalTrade and freqtradebot
This commit is contained in:
Sam Germain
parent
5184cc7749
commit
b7891485b3
@ -16,10 +16,11 @@ from freqtrade.configuration import validate_config_consistency
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from freqtrade.data.converter import order_book_to_dataframe
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from freqtrade.data.dataprovider import DataProvider
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from freqtrade.edge import Edge
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from freqtrade.enums import RPCMessageType, SellType, State
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from freqtrade.enums import RPCMessageType, SellType, State, TradingMode
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from freqtrade.exceptions import (DependencyException, ExchangeError, InsufficientFundsError,
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InvalidOrderException, PricingError)
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from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
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from freqtrade.leverage.funding_fee import FundingFee
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from freqtrade.misc import safe_value_fallback, safe_value_fallback2
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from freqtrade.mixins import LoggingMixin
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from freqtrade.persistence import Order, PairLocks, Trade, cleanup_db, init_db
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@ -102,6 +103,11 @@ class FreqtradeBot(LoggingMixin):
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self._sell_lock = Lock()
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LoggingMixin.__init__(self, logger, timeframe_to_seconds(self.strategy.timeframe))
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self.trading_mode = TradingMode.SPOT
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if self.trading_mode == TradingMode.FUTURES:
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self.funding_fee = FundingFee()
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self.funding_fee.start()
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def notify_status(self, msg: str) -> None:
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"""
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Public method for users of this class (worker, etc.) to send notifications
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@ -559,6 +565,10 @@ class FreqtradeBot(LoggingMixin):
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amount = safe_value_fallback(order, 'filled', 'amount')
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buy_limit_filled_price = safe_value_fallback(order, 'average', 'price')
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funding_fee = (self.funding_fee.initial_funding_fee(amount)
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if self.trading_mode == TradingMode.FUTURES
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else None)
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# Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
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fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
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trade = Trade(
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@ -576,10 +586,15 @@ class FreqtradeBot(LoggingMixin):
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open_order_id=order_id,
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strategy=self.strategy.get_strategy_name(),
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buy_tag=buy_tag,
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timeframe=timeframe_to_minutes(self.config['timeframe'])
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timeframe=timeframe_to_minutes(self.config['timeframe']),
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funding_fee=funding_fee,
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trading_mode=self.trading_mode
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)
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trade.orders.append(order_obj)
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if self.trading_mode == TradingMode.FUTURES:
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self.funding_fee.add_new_trade(trade)
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# Update fees if order is closed
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if order_status == 'closed':
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self.update_trade_state(trade, order_id, order)
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@ -1,2 +1 @@
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# flake8: noqa: F401
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from freqtrade.leverage.interest import interest
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80
freqtrade/leverage/funding_fee.py
Normal file
80
freqtrade/leverage/funding_fee.py
Normal file
@ -0,0 +1,80 @@
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from datetime import datetime, timedelta
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from typing import List
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import schedule
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from freqtrade.persistence import Trade
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class FundingFee:
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trades: List[Trade]
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# Binance
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begin_times = [
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# TODO-lev: Make these UTC time
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"23:59:45",
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"07:59:45",
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"15:59:45",
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]
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# FTX
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# begin_times = every hour
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def _is_time_between(self, begin_time, end_time):
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# If check time is not given, default to current UTC time
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check_time = datetime.utcnow().time()
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if begin_time < end_time:
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return check_time >= begin_time and check_time <= end_time
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else: # crosses midnight
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return check_time >= begin_time or check_time <= end_time
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def _apply_funding_fees(self, num_of: int = 1):
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if num_of == 0:
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return
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for trade in self.trades:
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trade.adjust_funding_fee(self._calculate(trade.amount) * num_of)
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def _calculate(self, amount):
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# TODO-futures: implement
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# TODO-futures: Check how other exchages do it and adjust accordingly
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# https://www.binance.com/en/support/faq/360033525031
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# mark_price =
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# contract_size = maybe trade.amount
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# funding_rate = # https://www.binance.com/en/futures/funding-history/0
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# nominal_value = mark_price * contract_size
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# adjustment = nominal_value * funding_rate
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# return adjustment
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# FTX - paid in USD(always)
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# position size * TWAP of((future - index) / index) / 24
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# https: // help.ftx.com/hc/en-us/articles/360027946571-Funding
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return
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def initial_funding_fee(self, amount) -> float:
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# A funding fee interval is applied immediately if within 30s of an iterval
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# May only exist on binance
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for begin_string in self.begin_times:
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begin_time = datetime.strptime(begin_string, "%H:%M:%S")
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end_time = (begin_time + timedelta(seconds=30))
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if self._is_time_between(begin_time.time(), end_time.time()):
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return self._calculate(amount)
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return 0.0
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def start(self):
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for interval in self.begin_times:
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schedule.every().day.at(interval).do(self._apply_funding_fees())
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# https://stackoverflow.com/a/30393162/6331353
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# TODO-futures: Put schedule.run_pending() somewhere in the bot_loop
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def reboot(self):
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# TODO-futures Find out how many begin_times have passed since last funding_fee added
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amount_missed = 0
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self.apply_funding_fees(num_of=amount_missed)
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self.start()
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def add_new_trade(self, trade):
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self.trades.append(trade)
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def remove_trade(self, trade):
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self.trades.remove(trade)
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@ -49,11 +49,21 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
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strategy = get_column_def(cols, 'strategy', 'null')
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buy_tag = get_column_def(cols, 'buy_tag', 'null')
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trading_mode = get_column_def(cols, 'trading_mode', 'null')
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# Leverage Properties
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leverage = get_column_def(cols, 'leverage', '1.0')
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interest_rate = get_column_def(cols, 'interest_rate', '0.0')
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isolated_liq = get_column_def(cols, 'isolated_liq', 'null')
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# sqlite does not support literals for booleans
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is_short = get_column_def(cols, 'is_short', '0')
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# Margin Properties
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interest_rate = get_column_def(cols, 'interest_rate', '0.0')
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# Futures properties
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funding_fee = get_column_def(cols, 'funding_fee', '0.0')
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last_funding_adjustment = get_column_def(cols, 'last_funding_adjustment', 'null')
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# If ticker-interval existed use that, else null.
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if has_column(cols, 'ticker_interval'):
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timeframe = get_column_def(cols, 'timeframe', 'ticker_interval')
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@ -91,7 +101,8 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
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stoploss_order_id, stoploss_last_update,
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max_rate, min_rate, sell_reason, sell_order_status, strategy, buy_tag,
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timeframe, open_trade_value, close_profit_abs,
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leverage, interest_rate, isolated_liq, is_short
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trading_mode, leverage, isolated_liq, is_short,
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interest_rate, funding_fee, last_funding_adjustment
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)
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select id, lower(exchange), pair,
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is_open, {fee_open} fee_open, {fee_open_cost} fee_open_cost,
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@ -108,8 +119,9 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
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{sell_order_status} sell_order_status,
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{strategy} strategy, {buy_tag} buy_tag, {timeframe} timeframe,
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{open_trade_value} open_trade_value, {close_profit_abs} close_profit_abs,
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{leverage} leverage, {interest_rate} interest_rate,
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{isolated_liq} isolated_liq, {is_short} is_short
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{trading_mode} trading_mode, {leverage} leverage, {isolated_liq} isolated_liq,
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{is_short} is_short, {interest_rate} interest_rate,
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{funding_fee} funding_fee, {last_funding_adjustment} last_funding_adjustment
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from {table_back_name}
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"""))
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@ -2,11 +2,11 @@
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This module contains the class to persist trades into SQLite
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"""
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import logging
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from datetime import datetime, timezone
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from datetime import datetime, timedelta, timezone
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from decimal import Decimal
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from typing import Any, Dict, List, Optional
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from sqlalchemy import (Boolean, Column, DateTime, Float, ForeignKey, Integer, String,
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from sqlalchemy import (Boolean, Column, DateTime, Enum, Float, ForeignKey, Integer, String,
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create_engine, desc, func, inspect)
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from sqlalchemy.exc import NoSuchModuleError
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from sqlalchemy.orm import Query, declarative_base, relationship, scoped_session, sessionmaker
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@ -14,9 +14,9 @@ from sqlalchemy.pool import StaticPool
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from sqlalchemy.sql.schema import UniqueConstraint
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from freqtrade.constants import DATETIME_PRINT_FORMAT, NON_OPEN_EXCHANGE_STATES
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from freqtrade.enums import SellType
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from freqtrade.enums import SellType, TradingMode
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from freqtrade.exceptions import DependencyException, OperationalException
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from freqtrade.leverage import interest
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from freqtrade.leverage.interest import interest
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from freqtrade.misc import safe_value_fallback
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from freqtrade.persistence.migrations import check_migrate
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@ -93,6 +93,12 @@ def clean_dry_run_db() -> None:
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Trade.commit()
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def hour_rounder(t):
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# Rounds to nearest hour by adding a timedelta hour if minute >= 30
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return (
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t.replace(second=0, microsecond=0, minute=0, hour=t.hour) + timedelta(hours=t.minute//30))
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class Order(_DECL_BASE):
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"""
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Order database model
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@ -265,14 +271,20 @@ class LocalTrade():
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buy_tag: Optional[str] = None
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timeframe: Optional[int] = None
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trading_mode: TradingMode = TradingMode.SPOT
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# Leverage trading properties
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is_short: bool = False
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isolated_liq: Optional[float] = None
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is_short: bool = False
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leverage: float = 1.0
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# Margin trading properties
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interest_rate: float = 0.0
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# Futures properties
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funding_fee: Optional[float] = None
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last_funding_adjustment: Optional[datetime] = None
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@property
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def has_no_leverage(self) -> bool:
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"""Returns true if this is a non-leverage, non-short trade"""
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@ -438,7 +450,10 @@ class LocalTrade():
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'interest_rate': self.interest_rate,
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'isolated_liq': self.isolated_liq,
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'is_short': self.is_short,
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'trading_mode': self.trading_mode,
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'funding_fee': self.funding_fee,
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'last_funding_adjustment': (self.last_funding_adjustment.strftime(DATETIME_PRINT_FORMAT)
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if self.last_funding_adjustment else None),
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'open_order_id': self.open_order_id,
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}
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@ -516,6 +531,10 @@ class LocalTrade():
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f"Trailing stoploss saved us: "
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f"{float(self.stop_loss) - float(self.initial_stop_loss):.8f}.")
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def adjust_funding_fee(self, adjustment):
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self.funding_fee = self.funding_fee + adjustment
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self.last_funding_adjustment = datetime.utcnow()
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def update(self, order: Dict) -> None:
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"""
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Updates this entity with amount and actual open/close rates.
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@ -654,8 +673,20 @@ class LocalTrade():
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rate = Decimal(interest_rate or self.interest_rate)
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borrowed = Decimal(self.borrowed)
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# TODO-lev: Pass trading mode to interest maybe
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return interest(exchange_name=self.exchange, borrowed=borrowed, rate=rate, hours=hours)
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def _calc_base_close(self, amount: Decimal, rate: Optional[float] = None,
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fee: Optional[float] = None) -> Decimal:
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close_trade = Decimal(amount) * Decimal(rate or self.close_rate) # type: ignore
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fees = close_trade * Decimal(fee or self.fee_close)
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if self.is_short:
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return close_trade + fees
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else:
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return close_trade - fees
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def calc_close_trade_value(self, rate: Optional[float] = None,
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fee: Optional[float] = None,
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interest_rate: Optional[float] = None) -> float:
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@ -672,20 +703,32 @@ class LocalTrade():
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if rate is None and not self.close_rate:
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return 0.0
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interest = self.calculate_interest(interest_rate)
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amount = Decimal(self.amount)
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trading_mode = self.trading_mode or TradingMode.SPOT
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if trading_mode == TradingMode.SPOT:
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return float(self._calc_base_close(amount, rate, fee))
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elif (trading_mode == TradingMode.MARGIN):
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total_interest = self.calculate_interest(interest_rate)
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if self.is_short:
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amount = Decimal(self.amount) + Decimal(interest)
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amount = amount + total_interest
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return float(self._calc_base_close(amount, rate, fee))
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else:
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# Currency already owned for longs, no need to purchase
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amount = Decimal(self.amount)
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close_trade = Decimal(amount) * Decimal(rate or self.close_rate) # type: ignore
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fees = close_trade * Decimal(fee or self.fee_close)
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return float(self._calc_base_close(amount, rate, fee) - total_interest)
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elif (trading_mode == TradingMode.FUTURES):
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funding_fee = self.funding_fee or 0.0
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if self.is_short:
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return float(close_trade + fees)
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return float(self._calc_base_close(amount, rate, fee)) + funding_fee
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else:
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return float(close_trade - fees - interest)
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return float(self._calc_base_close(amount, rate, fee)) - funding_fee
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else:
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raise OperationalException(
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f"{self.trading_mode.value} trading is not yet available using freqtrade")
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def calc_profit(self, rate: Optional[float] = None,
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fee: Optional[float] = None,
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@ -893,14 +936,19 @@ class Trade(_DECL_BASE, LocalTrade):
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buy_tag = Column(String(100), nullable=True)
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timeframe = Column(Integer, nullable=True)
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# Leverage trading properties
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leverage = Column(Float, nullable=True, default=1.0)
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is_short = Column(Boolean, nullable=False, default=False)
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isolated_liq = Column(Float, nullable=True)
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trading_mode = Column(Enum(TradingMode))
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# Margin Trading Properties
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leverage = Column(Float, nullable=True, default=1.0)
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isolated_liq = Column(Float, nullable=True)
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is_short = Column(Boolean, nullable=False, default=False)
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# Margin properties
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interest_rate = Column(Float, nullable=False, default=0.0)
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# Futures properties
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funding_fee = Column(Float, nullable=True, default=None)
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last_funding_adjustment = Column(DateTime, nullable=True)
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def __init__(self, **kwargs):
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super().__init__(**kwargs)
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self.recalc_open_trade_value()
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@ -41,3 +41,6 @@ colorama==0.4.4
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# Building config files interactively
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questionary==1.10.0
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prompt-toolkit==3.0.20
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#Futures
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schedule==1.1.0
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@ -3,7 +3,7 @@ from math import isclose
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import pytest
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from freqtrade.leverage import interest
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from freqtrade.leverage.interest import interest
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ten_mins = Decimal(1/6)
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@ -8,7 +8,7 @@ import pytest
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from numpy import isnan
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from freqtrade.edge import PairInfo
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from freqtrade.enums import State
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from freqtrade.enums import State, TradingMode
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from freqtrade.exceptions import ExchangeError, InvalidOrderException, TemporaryError
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from freqtrade.persistence import Trade
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from freqtrade.persistence.pairlock_middleware import PairLocks
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@ -108,10 +108,13 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None:
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'stoploss_entry_dist_ratio': -0.10448878,
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'open_order': None,
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'exchange': 'binance',
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'leverage': 1.0,
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'interest_rate': 0.0,
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'trading_mode': TradingMode.SPOT,
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'isolated_liq': None,
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'is_short': False,
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'leverage': 1.0,
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'interest_rate': 0.0,
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'funding_fee': None,
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'last_funding_adjustment': None,
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}
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mocker.patch('freqtrade.exchange.Exchange.get_rate',
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@ -179,10 +182,13 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None:
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'stoploss_entry_dist_ratio': -0.10448878,
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'open_order': None,
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'exchange': 'binance',
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'leverage': 1.0,
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'interest_rate': 0.0,
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'trading_mode': TradingMode.SPOT,
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'isolated_liq': None,
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'is_short': False,
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'leverage': 1.0,
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'interest_rate': 0.0,
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'funding_fee': None,
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'last_funding_adjustment': None,
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}
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@ -11,6 +11,7 @@ import pytest
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from sqlalchemy import create_engine, inspect, text
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from freqtrade import constants
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from freqtrade.enums import TradingMode
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from freqtrade.exceptions import DependencyException, OperationalException
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from freqtrade.persistence import LocalTrade, Order, Trade, clean_dry_run_db, init_db
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||||
from tests.conftest import create_mock_trades, create_mock_trades_with_leverage, log_has, log_has_re
|
||||
@ -90,7 +91,7 @@ def test_enter_exit_side(fee):
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test__set_stop_loss_isolated_liq(fee):
|
||||
def test_set_stop_loss_isolated_liq(fee):
|
||||
trade = Trade(
|
||||
id=2,
|
||||
pair='ADA/USDT',
|
||||
@ -236,6 +237,7 @@ def test_interest(market_buy_order_usdt, fee):
|
||||
exchange='binance',
|
||||
leverage=3.0,
|
||||
interest_rate=0.0005,
|
||||
trading_mode=TradingMode.MARGIN
|
||||
)
|
||||
|
||||
# 10min, 3x leverage
|
||||
@ -548,6 +550,7 @@ def test_update_limit_order(limit_buy_order_usdt, limit_sell_order_usdt, fee, ca
|
||||
is_short=True,
|
||||
leverage=3.0,
|
||||
interest_rate=0.0005,
|
||||
trading_mode=TradingMode.MARGIN
|
||||
)
|
||||
trade.open_order_id = 'something'
|
||||
trade.update(limit_sell_order_usdt)
|
||||
@ -639,6 +642,7 @@ def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt
|
||||
assert trade.calc_profit() == 5.685
|
||||
assert trade.calc_profit_ratio() == round(0.0945137157107232, 8)
|
||||
# 3x leverage, binance
|
||||
trade.trading_mode = TradingMode.MARGIN
|
||||
trade.leverage = 3
|
||||
trade.exchange = "binance"
|
||||
assert trade._calc_open_trade_value() == 60.15
|
||||
@ -796,12 +800,19 @@ def test_calc_open_trade_value(limit_buy_order_usdt, fee):
|
||||
|
||||
# Get the open rate price with the standard fee rate
|
||||
assert trade._calc_open_trade_value() == 60.15
|
||||
|
||||
# Margin
|
||||
trade.trading_mode = TradingMode.MARGIN
|
||||
trade.is_short = True
|
||||
trade.recalc_open_trade_value()
|
||||
assert trade._calc_open_trade_value() == 59.85
|
||||
|
||||
# 3x short margin leverage
|
||||
trade.leverage = 3
|
||||
trade.exchange = "binance"
|
||||
assert trade._calc_open_trade_value() == 59.85
|
||||
|
||||
# 3x long margin leverage
|
||||
trade.is_short = False
|
||||
trade.recalc_open_trade_value()
|
||||
assert trade._calc_open_trade_value() == 60.15
|
||||
@ -838,6 +849,7 @@ def test_calc_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee
|
||||
assert trade.calc_close_trade_value(fee=0.005) == 65.67
|
||||
|
||||
# 3x leverage binance
|
||||
trade.trading_mode = TradingMode.MARGIN
|
||||
trade.leverage = 3.0
|
||||
assert round(trade.calc_close_trade_value(rate=2.5), 8) == 74.81166667
|
||||
assert round(trade.calc_close_trade_value(rate=2.5, fee=0.003), 8) == 74.77416667
|
||||
@ -1037,6 +1049,8 @@ def test_calc_profit(limit_buy_order_usdt, limit_sell_order_usdt, fee):
|
||||
trade.open_trade_value = 0.0
|
||||
trade.open_trade_value = trade._calc_open_trade_value()
|
||||
|
||||
# Margin
|
||||
trade.trading_mode = TradingMode.MARGIN
|
||||
# 3x leverage, long ###################################################
|
||||
trade.leverage = 3.0
|
||||
# Higher than open rate - 2.1 quote
|
||||
@ -1139,6 +1153,8 @@ def test_calc_profit_ratio(limit_buy_order_usdt, limit_sell_order_usdt, fee):
|
||||
assert trade.calc_profit_ratio(fee=0.003) == 0.0
|
||||
trade.open_trade_value = trade._calc_open_trade_value()
|
||||
|
||||
# Margin
|
||||
trade.trading_mode = TradingMode.MARGIN
|
||||
# 3x leverage, long ###################################################
|
||||
trade.leverage = 3.0
|
||||
# 2.1 quote - Higher than open rate
|
||||
@ -1707,6 +1723,9 @@ def test_to_json(default_conf, fee):
|
||||
'interest_rate': None,
|
||||
'isolated_liq': None,
|
||||
'is_short': None,
|
||||
'trading_mode': None,
|
||||
'funding_fee': None,
|
||||
'last_funding_adjustment': None
|
||||
}
|
||||
|
||||
# Simulate dry_run entries
|
||||
@ -1778,6 +1797,9 @@ def test_to_json(default_conf, fee):
|
||||
'interest_rate': None,
|
||||
'isolated_liq': None,
|
||||
'is_short': None,
|
||||
'trading_mode': None,
|
||||
'funding_fee': None,
|
||||
'last_funding_adjustment': None
|
||||
}
|
||||
|
||||
|
||||
@ -2197,6 +2219,7 @@ def test_Trade_object_idem():
|
||||
'get_open_trades_without_assigned_fees',
|
||||
'get_open_order_trades',
|
||||
'get_trades',
|
||||
'last_funding_adjustment'
|
||||
)
|
||||
|
||||
# Parent (LocalTrade) should have the same attributes
|
||||
|
||||
Loading…
Reference in New Issue
Block a user