finished up funding fee formulas
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commit
e827ba1388
@ -1,7 +1,7 @@
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""" Binance exchange subclass """
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import logging
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from datetime import datetime
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from typing import Dict, List, Optional
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from typing import Any, Dict, List, Optional
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import arrow
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import ccxt
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@ -27,6 +27,13 @@ class Binance(Exchange):
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"l2_limit_range": [5, 10, 20, 50, 100, 500, 1000],
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}
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funding_fee_times: List[int] = [0, 8, 16] # hours of the day
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_funding_interest_rates: Dict = {} # TODO-lev: delete
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def __init__(self, config: Dict[str, Any], validate: bool = True) -> None:
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super().__init__(config, validate)
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# TODO-lev: Uncomment once lev-exchange merged in
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# if self.trading_mode == TradingMode.FUTURES:
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# self._funding_interest_rates = self._get_funding_interest_rates()
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def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
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"""
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@ -94,12 +101,27 @@ class Binance(Exchange):
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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def _get_premium_index(self, pair: str, date: datetime) -> float:
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raise OperationalException(f'_get_premium_index has not been implemented on {self.name}')
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def _get_mark_price(self, pair: str, date: datetime) -> float:
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raise OperationalException(f'_get_mark_price has not been implemented on {self.name}')
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def _get_funding_interest_rates(self):
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rates = self._api.fetch_funding_rates()
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interest_rates = {}
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for pair, data in rates.items():
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interest_rates[pair] = data['interestRate']
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return interest_rates
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def _calculate_funding_rate(self, pair: str, premium_index: float) -> Optional[float]:
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"""
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Get's the funding_rate for a pair at a specific date and time in the past
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"""
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# TODO-lev: implement
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raise OperationalException("_get_funding_rate has not been implement on binance")
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return (
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premium_index +
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max(min(self._funding_interest_rates[pair] - premium_index, 0.0005), -0.0005)
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)
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def _get_funding_fee(
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self,
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@ -117,13 +139,12 @@ class Binance(Exchange):
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- premium: varies by price difference between the perpetual contract and mark price
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"""
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if premium_index is None:
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raise OperationalException("Funding rate cannot be None for Binance._get_funding_fee")
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raise OperationalException("Premium index cannot be None for Binance._get_funding_fee")
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nominal_value = mark_price * contract_size
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funding_rate = self._calculate_funding_rate(pair, premium_index)
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if funding_rate is None:
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raise OperationalException("Funding rate should never be none on Binance")
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adjustment = nominal_value * funding_rate
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return adjustment
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return nominal_value * funding_rate
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async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
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since_ms: int, is_new_pair: bool
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@ -1567,6 +1567,12 @@ class Exchange:
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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def _get_premium_index(self, pair: str, date: datetime) -> float:
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raise OperationalException(f'_get_premium_index has not been implemented on {self.name}')
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def _get_mark_price(self, pair: str, date: datetime) -> float:
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raise OperationalException(f'_get_mark_price has not been implemented on {self.name}')
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def _get_funding_rate(self, pair: str, when: datetime):
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"""
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Get's the funding_rate for a pair at a specific date and time in the past
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@ -1625,9 +1631,14 @@ class Exchange:
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fees: float = 0
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for date in self._get_funding_fee_dates(open_date, close_date):
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funding_rate = self._get_funding_rate(pair, date)
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premium_index = self._get_premium_index(pair, date)
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mark_price = self._get_mark_price(pair, date)
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fees += self._get_funding_fee(amount, mark_price, funding_rate)
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fees += self._get_funding_fee(
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pair=pair,
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contract_size=amount,
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mark_price=mark_price,
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premium_index=premium_index
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)
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return fees
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