finished up funding fee formulas

This commit is contained in:
Sam Germain 2021-09-15 23:51:21 -06:00
commit e827ba1388
2 changed files with 40 additions and 8 deletions

View File

@ -1,7 +1,7 @@
""" Binance exchange subclass """
import logging
from datetime import datetime
from typing import Dict, List, Optional
from typing import Any, Dict, List, Optional
import arrow
import ccxt
@ -27,6 +27,13 @@ class Binance(Exchange):
"l2_limit_range": [5, 10, 20, 50, 100, 500, 1000],
}
funding_fee_times: List[int] = [0, 8, 16] # hours of the day
_funding_interest_rates: Dict = {} # TODO-lev: delete
def __init__(self, config: Dict[str, Any], validate: bool = True) -> None:
super().__init__(config, validate)
# TODO-lev: Uncomment once lev-exchange merged in
# if self.trading_mode == TradingMode.FUTURES:
# self._funding_interest_rates = self._get_funding_interest_rates()
def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
"""
@ -94,12 +101,27 @@ 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]:
"""
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")
return (
premium_index +
max(min(self._funding_interest_rates[pair] - premium_index, 0.0005), -0.0005)
)
def _get_funding_fee(
self,
@ -117,13 +139,12 @@ class Binance(Exchange):
- premium: varies by price difference between the perpetual contract and mark price
"""
if premium_index is None:
raise OperationalException("Funding rate cannot be None for Binance._get_funding_fee")
raise OperationalException("Premium index cannot be None for Binance._get_funding_fee")
nominal_value = mark_price * contract_size
funding_rate = self._calculate_funding_rate(pair, premium_index)
if funding_rate is None:
raise OperationalException("Funding rate should never be none on Binance")
adjustment = nominal_value * funding_rate
return adjustment
return nominal_value * funding_rate
async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, is_new_pair: bool

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@ -1567,6 +1567,12 @@ class 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_rate(self, pair: str, when: datetime):
"""
Get's the funding_rate for a pair at a specific date and time in the past
@ -1625,9 +1631,14 @@ class Exchange:
fees: float = 0
for date in self._get_funding_fee_dates(open_date, close_date):
funding_rate = self._get_funding_rate(pair, date)
premium_index = self._get_premium_index(pair, date)
mark_price = self._get_mark_price(pair, date)
fees += self._get_funding_fee(amount, mark_price, funding_rate)
fees += self._get_funding_fee(
pair=pair,
contract_size=amount,
mark_price=mark_price,
premium_index=premium_index
)
return fees