Fix funding fee calculation for backtesting

freqtrade/optimize/backtesting.py

@@ -686,7 +686,7 @@ class Backtesting:
                 self.futures_data[trade.pair],
                 amount=trade.amount,
                 is_short=trade.is_short,
-                open_date=trade.open_date_utc,
+                open_date=trade.date_last_filled_utc,
                 close_date=exit_candle_time,
             )
 

freqtrade/persistence/trade_model.py

@@ -65,6 +65,8 @@ class Order(_DECL_BASE):
     order_filled_date = Column(DateTime, nullable=True)
     order_update_date = Column(DateTime, nullable=True)
 
+    funding_fee = Column(Float, nullable=True)
+
     ft_fee_base = Column(Float, nullable=True)
 
     @property
@@ -72,6 +74,13 @@ class Order(_DECL_BASE):
         """ Order-date with UTC timezoneinfo"""
         return self.order_date.replace(tzinfo=timezone.utc)
 
+    @property
+    def order_filled_utc(self) -> Optional[datetime]:
+        """ last order-date with UTC timezoneinfo"""
+        return (
+            self.order_filled_date.replace(tzinfo=timezone.utc) if self.order_filled_date else None
+        )
+
     @property
     def safe_price(self) -> float:
         return self.average or self.price
@@ -179,6 +188,10 @@ class Order(_DECL_BASE):
         self.remaining = 0
         self.status = 'closed'
         self.ft_is_open = False
+        # Assign funding fees to Order.
+        # Assumes backtesting will use date_last_filled_utc to calculate future funding fees.
+        self.funding_fee = trade.funding_fees
+
         if (self.ft_order_side == trade.entry_side):
             trade.open_rate = self.price
             trade.recalc_trade_from_orders()
@@ -346,6 +359,12 @@ class LocalTrade():
         else:
             return self.amount
 
+    @property
+    def date_last_filled_utc(self):
+        """ Date of the last filled order"""
+        return max([self.open_date_utc,
+                   max(o.order_filled_utc for o in self.orders if o.filled and not o.ft_is_open)])
+
     @property
     def open_date_utc(self):
         return self.open_date.replace(tzinfo=timezone.utc)
@@ -843,10 +862,14 @@ class LocalTrade():
         close_profit = 0.0
         close_profit_abs = 0.0
         profit = None
-        for o in self.orders:
+        # Reset funding fees
+        self.funding_fees = 0.0
+        funding_fees = 0.0
+        ordercount = len(self.orders) - 1
+        for i, o in enumerate(self.orders):
             if o.ft_is_open or not o.filled:
                 continue
-
+            funding_fees += (o.funding_fee or 0.0)
             tmp_amount = FtPrecise(o.safe_amount_after_fee)
             tmp_price = FtPrecise(o.safe_price)
 
@@ -861,7 +884,11 @@ class LocalTrade():
                     avg_price = current_stake / current_amount
 
             if is_exit:
-                # Process partial exits
+                # Process exits
+                if i == ordercount and is_closing:
+                    # Apply funding fees only to the last order
+                    self.funding_fees = funding_fees
+
                 exit_rate = o.safe_price
                 exit_amount = o.safe_amount_after_fee
                 profit = self.calc_profit(rate=exit_rate, amount=exit_amount,
@@ -871,6 +898,7 @@ class LocalTrade():
                     exit_rate, amount=exit_amount, open_rate=avg_price)
             else:
                 total_stake = total_stake + self._calc_open_trade_value(tmp_amount, price)
+        self.funding_fees = funding_fees
 
         if close_profit:
             self.close_profit = close_profit