Changed funding fee implementation

freqtrade/exchange/binance.py

@@ -1,6 +1,6 @@
 """ Binance exchange subclass """
 import logging
-from typing import Dict, Optional
+from typing import Dict
 
 import ccxt
 
@@ -89,17 +89,3 @@ class Binance(Exchange):
                 f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
-
-    # https://www.binance.com/en/support/faq/360033525031
-    def get_funding_fee(
-        self,
-        contract_size: float,
-        mark_price: float,
-        rate: Optional[float],
-        # index_price: float,
-        # interest_rate: float
-    ):
-        assert isinstance(rate, float)
-        nominal_value = mark_price * contract_size
-        adjustment = nominal_value * rate
-        return adjustment

freqtrade/exchange/exchange.py

@@ -1516,19 +1516,22 @@ class Exchange:
             self._async_get_trade_history(pair=pair, since=since,
                                           until=until, from_id=from_id))
 
-    def fetch_funding_rates(self):
-        return self._api.fetch_funding_rates()
-
-    # https://www.binance.com/en/support/faq/360033525031
-    def get_funding_fee(
-        self,
-        contract_size: float,
-        mark_price: float,
-        rate: Optional[float],
-        # index_price: float,
-        # interest_rate: float
-    ):
-        raise OperationalException(f"{self.name} has not implemented get_funding_rate")
+    def get_funding_fees(self, pair: str, since: datetime):
+        try:
+            funding_history = self._api.fetch_funding_history(
+                pair=pair,
+                since=since
+            )
+            # TODO: sum all the funding fees in funding_history together
+            funding_fees = funding_history
+            return funding_fees
+        except ccxt.DDoSProtection as e:
+            raise DDosProtection(e) from e
+        except (ccxt.NetworkError, ccxt.ExchangeError) as e:
+            raise TemporaryError(
+                f'Could not get funding fees due to {e.__class__.__name__}. Message: {e}') from e
+        except ccxt.BaseError as e:
+            raise OperationalException(e) from e
 
 
 def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:

freqtrade/exchange/ftx.py

@@ -1,6 +1,6 @@
 """ FTX exchange subclass """
 import logging
-from typing import Any, Dict, Optional
+from typing import Any, Dict
 
 import ccxt
 
@@ -152,18 +152,3 @@ class Ftx(Exchange):
         if order['type'] == 'stop':
             return safe_value_fallback2(order, order, 'id_stop', 'id')
         return order['id']
-
-    # https://help.ftx.com/hc/en-us/articles/360027946571-Funding
-    def get_funding_fee(
-        self,
-        contract_size: float,
-        mark_price: float,
-        rate: Optional[float],
-        # index_price: float,
-        # interest_rate: float
-    ):
-        """
-            Always paid in USD on FTX # TODO: How do we account for this
-        """
-        (contract_size * mark_price) / 24
-        return

freqtrade/freqtradebot.py

@@ -103,7 +103,7 @@ class FreqtradeBot(LoggingMixin):
         self._sell_lock = Lock()
         LoggingMixin.__init__(self, logger, timeframe_to_seconds(self.strategy.timeframe))
 
-        self.trading_mode = TradingMode.SPOT
+        self.trading_mode = self.config['trading_mode']
         if self.trading_mode == TradingMode.FUTURES:
             self.funding_fee = FundingFee()
             self.funding_fee.start()
@@ -243,6 +243,10 @@ class FreqtradeBot(LoggingMixin):
         open_trades = len(Trade.get_open_trades())
         return max(0, self.config['max_open_trades'] - open_trades)
 
+    def get_funding_fees():
+        if self.trading_mode == TradingMode.FUTURES:
+            return
+
     def update_open_orders(self):
         """
         Updates open orders based on order list kept in the database.
@@ -258,7 +262,6 @@ class FreqtradeBot(LoggingMixin):
             try:
                 fo = self.exchange.fetch_order_or_stoploss_order(order.order_id, order.ft_pair,
                                                                  order.ft_order_side == 'stoploss')
-
                 self.update_trade_state(order.trade, order.order_id, fo)
 
             except ExchangeError as e:

freqtrade/leverage/__init__.py

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

freqtrade/leverage/funding_fee.py

@@ -1,88 +0,0 @@
-from datetime import datetime, timedelta
-from typing import List
-
-import schedule
-
-from freqtrade.exchange import Exchange
-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",
-    ]
-    exchange: Exchange
-
-    # FTX
-    # begin_times = every hour
-
-    def __init__(self, exchange: Exchange):
-        self.exchange = exchange
-
-    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_current_funding_fees(self):
-        funding_rates = self.exchange.fetch_funding_rates()
-
-        for trade in self.trades:
-            funding_rate = funding_rates[trade.pair]
-            self._apply_fee_to_trade(funding_rate, trade)
-
-    def _apply_fee_to_trade(self, funding_rate: dict, trade: Trade):
-
-        amount = trade.amount
-        mark_price = funding_rate['markPrice']
-        rate = funding_rate['fundingRate']
-        # index_price = funding_rate['indexPrice']
-        # interest_rate = funding_rate['interestRate']
-
-        funding_fee = self.exchange.get_funding_fee(
-            amount,
-            mark_price,
-            rate,
-            # interest_rate
-            # index_price,
-        )
-
-        trade.adjust_funding_fee(funding_fee)
-
-    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)

freqtrade/optimize/backtesting.py

@@ -386,7 +386,7 @@ class Backtesting:
             detail_data = detail_data.loc[
                 (detail_data['date'] >= sell_candle_time) &
                 (detail_data['date'] < sell_candle_end)
-             ]
+            ]
             if len(detail_data) == 0:
                 # Fall back to "regular" data if no detail data was found for this candle
                 return self._get_sell_trade_entry_for_candle(trade, sell_row)