Added tests and docstring to exchange funding_fee methods, removed utils

freqtrade/exchange/binance.py

@@ -1,5 +1,6 @@
 """ Binance exchange subclass """
 import logging
+from datetime import datetime
 from typing import Dict, List, Optional
 
 import ccxt
@@ -91,6 +92,13 @@ class Binance(Exchange):
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
 
+    def _get_funding_rate(self, pair: str, when: datetime) -> Optional[float]:
+        """
+            Get's the funding_rate for a pair at a specific date and time in the past
+        """
+        # TODO-lev: implement
+        raise OperationalException("_get_funding_rate has not been implement on binance")
+
     def _get_funding_fee(
         self,
         contract_size: float,

freqtrade/exchange/exchange.py

@@ -1555,7 +1555,7 @@ class Exchange:
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
 
-    def get_mark_price(self, pair: str, when: datetime):
+    def _get_mark_price(self, pair: str, when: datetime):
         """
             Get's the value of the underlying asset for a futures contract
             at a specific date and time in the past
@@ -1563,7 +1563,7 @@ class Exchange:
         # TODO-lev: implement
         raise OperationalException(f"get_mark_price has not been implemented for {self.name}")
 
-    def get_funding_rate(self, pair: str, when: datetime):
+    def _get_funding_rate(self, pair: str, when: datetime):
         """
             Get's the funding_rate for a pair at a specific date and time in the past
         """
@@ -1587,7 +1587,7 @@ class Exchange:
         """
         raise OperationalException(f"Funding fee has not been implemented for {self.name}")
 
-    def get_funding_fee_dates(self, open_date: datetime, close_date: datetime):
+    def _get_funding_fee_dates(self, open_date: datetime, close_date: datetime):
         """
             Get's the date and time of every funding fee that happened between two datetimes
         """
@@ -1619,9 +1619,9 @@ class Exchange:
         """
 
         fees: float = 0
-        for date in self.get_funding_fee_dates(open_date, close_date):
+        for date in self._get_funding_fee_dates(open_date, close_date):
-            funding_rate = self.get_funding_rate(pair, date)
+            funding_rate = self._get_funding_rate(pair, date)
-            mark_price = self.get_mark_price(pair, date)
+            mark_price = self._get_mark_price(pair, date)
             fees += self._get_funding_fee(amount, mark_price, funding_rate)
 
         return fees

freqtrade/exchange/ftx.py

@@ -3,7 +3,7 @@ import logging
 from typing import Any, Dict, List, Optional
 
 import ccxt
-
+from datetime import datetime
 from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException,
                                   OperationalException, TemporaryError)
 from freqtrade.exchange import Exchange
@@ -154,6 +154,10 @@ class Ftx(Exchange):
             return safe_value_fallback2(order, order, 'id_stop', 'id')
         return order['id']
 
+    def _get_funding_rate(self, pair: str, when: datetime) -> Optional[float]:
+        """FTX doesn't use this"""
+        return None
+
     def _get_funding_fee(
         self,
         contract_size: float,
@@ -162,9 +166,9 @@ class Ftx(Exchange):
     ) -> float:
         """
             Calculates a single funding fee
-            Always paid in USD on FTX # TODO: How do we account for this
+            Always paid in USD on FTX  # TODO: How do we account for this
-            :param contract_size: The amount/quanity
+            : param contract_size: The amount/quanity
-            :param mark_price: The price of the asset that the contract is based off of
+            : param mark_price: The price of the asset that the contract is based off of
-            :param funding_rate: Must be None on ftx
+            : param funding_rate: Must be None on ftx
         """
         return (contract_size * mark_price) / 24

freqtrade/leverage/funding_fees.py

@@ -0,0 +1,75 @@
+from datetime import datetime, time
+from typing import Optional
+
+from freqtrade.exceptions import OperationalException
+
+
+def funding_fees(
+    exchange_name: str,
+    pair: str,
+    contract_size: float,
+    open_date: datetime,
+    close_date: datetime,
+    funding_times: [time]
+    # index_price: float,
+    # interest_rate: float
+):
+    """
+        Equation to calculate funding_fees on futures trades
+
+        :param exchange_name: The exchanged being trading on
+        :param borrowed: The amount of currency being borrowed
+        :param rate: The rate of interest
+        :param hours: The time in hours that the currency has been borrowed for
+
+        Raises:
+            OperationalException: Raised if freqtrade does
+            not support margin trading for this exchange
+
+        Returns: The amount of interest owed (currency matches borrowed)
+    """
+    exchange_name = exchange_name.lower()
+    # fees = 0
+    if exchange_name == "binance":
+        for timeslot in funding_times:
+            # for each day in close_date - open_date
+            #   mark_price = mark_price at this time
+            #   rate = rate at this time
+            #   fees = fees + funding_fee(exchange_name, contract_size, mark_price, rate)
+            # return fees
+            return
+    elif exchange_name == "kraken":
+        raise OperationalException("Funding_fees has not been implemented for Kraken")
+    elif exchange_name == "ftx":
+        # for timeslot in every hour since open_date:
+        #   mark_price = mark_price at this time
+        #   fees = fees + funding_fee(exchange_name, contract_size, mark_price, rate)
+        return
+    else:
+        raise OperationalException(f"Leverage not available on {exchange_name} with freqtrade")
+
+
+def funding_fee(
+    exchange_name: str,
+    contract_size: float,
+    mark_price: float,
+    rate: Optional[float],
+    # index_price: float,
+    # interest_rate: float
+):
+    """
+        Calculates a single funding fee
+    """
+    if exchange_name == "binance":
+        assert isinstance(rate, float)
+        nominal_value = mark_price * contract_size
+        adjustment = nominal_value * rate
+        return adjustment
+    elif exchange_name == "kraken":
+        raise OperationalException("Funding fee has not been implemented for kraken")
+    elif exchange_name == "ftx":
+        """
+            Always paid in USD on FTX # TODO: How do we account for this
+        """
+        (contract_size * mark_price) / 24
+        return

freqtrade/utils/__init__.py

@@ -1,2 +0,0 @@
-# flake8: noqa: F401
-from freqtrade.utils.hours_to_time import hours_to_time

freqtrade/utils/hours_to_time.py

@@ -1,11 +0,0 @@
-from datetime import datetime, time
-from typing import List
-
-
-def hours_to_time(hours: List[int]) -> List[time]:
-    '''
-        :param hours: a list of hours as a time of day (e.g. [1, 16] is 01:00 and 16:00 o'clock)
-        :return: a list of datetime time objects that correspond to the hours in hours
-    '''
-    # TODO-lev: These must be utc time
-    return [datetime.strptime(str(t), '%H').time() for t in hours]

tests/exchange/test_binance.py

@@ -105,3 +105,11 @@ def test_stoploss_adjust_binance(mocker, default_conf):
     # Test with invalid order case
     order['type'] = 'stop_loss'
     assert not exchange.stoploss_adjust(1501, order)
+
+
+def test_get_funding_rate():
+    return
+
+
+def test__get_funding_fee():
+    return

tests/exchange/test_exchange.py

@@ -2994,3 +2994,15 @@ def test_get_funding_fees(default_conf, mocker, exchange_name):
         pair="XRP/USDT",
         since=unix_time
     )
+
+
+def test_get_mark_price():
+    return
+
+
+def test_get_funding_fee_dates():
+    return
+
+
+def test_calculate_funding_fees():
+    return

tests/exchange/test_ftx.py

@@ -1,3 +1,4 @@
+from datetime import datetime, timedelta
 from random import randint
 from unittest.mock import MagicMock
 
@@ -191,3 +192,18 @@ def test_get_order_id(mocker, default_conf):
         }
     }
     assert exchange.get_order_id_conditional(order) == '1111'
+
+
+@pytest.mark.parametrize("pair,when", [
+    ('XRP/USDT', datetime.utcnow()),
+    ('ADA/BTC', datetime.utcnow()),
+    ('XRP/USDT', datetime.utcnow() - timedelta(hours=30)),
+])
+def test__get_funding_rate(default_conf, mocker, pair, when):
+    api_mock = MagicMock()
+    exchange = get_patched_exchange(mocker, default_conf, api_mock, id="ftx")
+    assert exchange._get_funding_rate(pair, when) is None
+
+
+def test__get_funding_fee():
+    return