finished up funding fee formulas

freqtrade/exchange/binance.py

@@ -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

freqtrade/exchange/exchange.py

@@ -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