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adjusted funding fee formula binance

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This commit is contained in:
Sam Germain 2021-10-05 17:25:09 -06:00
parent 2a26c6fbed
commit cba0a8cee6
2 changed files with 7 additions and 33 deletions
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19
freqtrade/exchange/binance.py
View File

@ -218,34 +218,21 @@ class Binance(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_interest_rates(self):
rates = self._api.fetch_funding_rates()
interest_rates = {}
for pair, data in rates.items():
interest_rates[pair] = data['interestRate']
return interest_rates
def _calculate_funding_rate(self, pair: str, premium_index: float) -> Optional[float]:
def _get_funding_rate(self, pair: str, premium_index: float) -> Optional[float]:
"""
Get's the funding_rate for a pair at a specific date and time in the past
"""
return (
premium_index +
max(min(self._funding_interest_rates[pair] - premium_index, 0.0005), -0.0005)
)
raise OperationalException(f'_get_mark_price has not been implemented on {self.name}')
def _get_funding_fee(
self,
pair: str,
contract_size: float,
mark_price: float,
premium_index: Optional[float],
funding_rate: Optional[float],
) -> float:
"""
Calculates a single funding fee

21
freqtrade/exchange/exchange.py
View File

@ -1604,14 +1604,6 @@ 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:
"""
@ -1667,9 +1659,6 @@ class Exchange:
else:
return 1.0
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}')
@ -1685,9 +1674,7 @@ class Exchange:
pair: str,
contract_size: float,
mark_price: float,
premium_index: Optional[float],
# index_price: float,
# interest_rate: float)
funding_rate: Optional[float]
) -> float:
"""
Calculates a single funding fee
@ -1740,7 +1727,7 @@ class Exchange:
def set_margin_mode(self, pair: str, collateral: Collateral, params: dict = {}):
'''
Set's the margin mode on the exchange to cross or isolated for a specific pair
:param symbol: base/quote currency pair (e.g. "ADA/USDT")
:param pair: base/quote currency pair (e.g. "ADA/USDT")
'''
if self._config['dry_run'] or not self.exchange_has("setMarginMode"):
# Some exchanges only support one collateral type
@ -1773,13 +1760,13 @@ class Exchange:
fees: float = 0
for date in self._get_funding_fee_dates(open_date, close_date):
premium_index = self._get_premium_index(pair, date)
funding_rate = self._get_funding_rate(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
funding_rate=funding_rate
)
return fees