Changed funding fee tracking method, need to get funding_rate and open prices at multiple candles

freqtrade/exchange/binance.py

@@ -1,6 +1,6 @@
 """ Binance exchange subclass """
 import logging
-from typing import Dict
+from typing import Dict, Optional
 
 import ccxt
 

freqtrade/exchange/exchange.py

@@ -9,7 +9,7 @@ import logging
 from copy import deepcopy
 from datetime import datetime, timezone
 from math import ceil
-from typing import Any, Dict, List, Optional, Tuple, Union
+from typing import Any, Dict, List, Optional, Tuple
 
 import arrow
 import ccxt
@@ -1516,35 +1516,13 @@ class Exchange:
             self._async_get_trade_history(pair=pair, since=since,
                                           until=until, from_id=from_id))
 
-    @retrier
+    # https://www.binance.com/en/support/faq/360033525031
-    def get_funding_fees(self, pair: str, since: Union[datetime, int]) -> float:
+    def fetch_funding_rate(self):
-        """
-            Returns the sum of all funding fees that were exchanged for a pair within a timeframe
-            :param pair: (e.g. ADA/USDT)
-            :param since: The earliest time of consideration for calculating funding fees,
-                in unix time or as a datetime
-        """
-
         if not self.exchange_has("fetchFundingHistory"):
             raise OperationalException(
                 f"fetch_funding_history() has not been implemented on ccxt.{self.name}")
 
-        if type(since) is datetime:
+        return self._api.fetch_funding_rates()
-            since = int(since.strftime('%s'))
-
-        try:
-            funding_history = self._api.fetch_funding_history(
-                pair=pair,
-                since=since
-            )
-            return sum(fee['amount'] for fee in funding_history)
-        except ccxt.DDoSProtection as e:
-            raise DDosProtection(e) from e
-        except (ccxt.NetworkError, ccxt.ExchangeError) as e:
-            raise TemporaryError(
-                f'Could not get funding fees due to {e.__class__.__name__}. Message: {e}') from e
-        except ccxt.BaseError as e:
-            raise OperationalException(e) from e
 
 
 def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:

freqtrade/exchange/ftx.py

@@ -1,6 +1,6 @@
 """ FTX exchange subclass """
 import logging
-from typing import Any, Dict
+from typing import Any, Dict, Optional
 
 import ccxt
 

freqtrade/freqtradebot.py

@@ -242,11 +242,6 @@ class FreqtradeBot(LoggingMixin):
         open_trades = len(Trade.get_open_trades())
         return max(0, self.config['max_open_trades'] - open_trades)
 
-    def add_funding_fees(self, trade: Trade):
-        if self.trading_mode == TradingMode.FUTURES:
-            funding_fees = self.exchange.get_funding_fees(trade.pair, trade.open_date)
-            trade.funding_fees = funding_fees
-
     def update_open_orders(self):
         """
         Updates open orders based on order list kept in the database.

freqtrade/leverage/__init__.py

@@ -1,2 +1,3 @@
 # flake8: noqa: F401
+from freqtrade.leverage.funding_fees import funding_fee
 from freqtrade.leverage.interest import interest

freqtrade/leverage/funding_fees.py

@@ -0,0 +1,74 @@
+from datetime import datetime
+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
+    # 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 ["23:59:45", "07:59:45", "15:59:45"]:
+            # 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/persistence/models.py

@@ -16,7 +16,7 @@ from sqlalchemy.sql.schema import UniqueConstraint
 from freqtrade.constants import DATETIME_PRINT_FORMAT, NON_OPEN_EXCHANGE_STATES
 from freqtrade.enums import SellType, TradingMode
 from freqtrade.exceptions import DependencyException, OperationalException
-from freqtrade.leverage import interest
+from freqtrade.leverage import funding_fees, interest
 from freqtrade.misc import safe_value_fallback
 from freqtrade.persistence.migrations import check_migrate
 
@@ -707,6 +707,7 @@ class LocalTrade():
                 return float(self._calc_base_close(amount, rate, fee) - total_interest)
 
         elif (trading_mode == TradingMode.FUTURES):
+            self.add_funding_fees()
             funding_fees = self.funding_fees or 0.0
             return float(self._calc_base_close(amount, rate, fee)) + funding_fees
         else:
@@ -785,6 +786,16 @@ class LocalTrade():
         else:
             return None
 
+    def add_funding_fees(self):
+        if self.trading_mode == TradingMode.FUTURES:
+            self.funding_fees = funding_fees(
+                self.exchange,
+                self.pair,
+                self.amount,
+                self.open_date_utc,
+                self.close_date_utc
+            )
+
     @staticmethod
     def get_trades_proxy(*, pair: str = None, is_open: bool = None,
                          open_date: datetime = None, close_date: datetime = None,

tests/exchange/test_exchange.py

@@ -2928,69 +2928,69 @@ def test_calculate_backoff(retrycount, max_retries, expected):
     assert calculate_backoff(retrycount, max_retries) == expected
 
 
-@pytest.mark.parametrize("exchange_name", ['binance', 'ftx'])
+# @pytest.mark.parametrize("exchange_name", ['binance', 'ftx'])
-def test_get_funding_fees(default_conf, mocker, exchange_name):
+# def test_get_funding_fees(default_conf, mocker, exchange_name):
-    api_mock = MagicMock()
+#     api_mock = MagicMock()
-    api_mock.fetch_funding_history = MagicMock(return_value=[
+#     api_mock.fetch_funding_history = MagicMock(return_value=[
-        {
+#         {
-            'amount': 0.14542341,
+#             'amount': 0.14542341,
-            'code': 'USDT',
+#             'code': 'USDT',
-            'datetime': '2021-09-01T08:00:01.000Z',
+#             'datetime': '2021-09-01T08:00:01.000Z',
-            'id': '485478',
+#             'id': '485478',
-            'info': {'asset': 'USDT',
+#             'info': {'asset': 'USDT',
-                     'income': '0.14542341',
+#                      'income': '0.14542341',
-                     'incomeType': 'FUNDING_FEE',
+#                      'incomeType': 'FUNDING_FEE',
-                     'info': 'FUNDING_FEE',
+#                      'info': 'FUNDING_FEE',
-                     'symbol': 'XRPUSDT',
+#                      'symbol': 'XRPUSDT',
-                     'time': '1630512001000',
+#                      'time': '1630512001000',
-                     'tradeId': '',
+#                      'tradeId': '',
-                     'tranId': '4854789484855218760'},
+#                      'tranId': '4854789484855218760'},
-            'symbol': 'XRP/USDT',
+#             'symbol': 'XRP/USDT',
-            'timestamp': 1630512001000
+#             'timestamp': 1630512001000
-        },
+#         },
-        {
+#         {
-            'amount': -0.14642341,
+#             'amount': -0.14642341,
-            'code': 'USDT',
+#             'code': 'USDT',
-            'datetime': '2021-09-01T16:00:01.000Z',
+#             'datetime': '2021-09-01T16:00:01.000Z',
-            'id': '485479',
+#             'id': '485479',
-            'info': {'asset': 'USDT',
+#             'info': {'asset': 'USDT',
-                     'income': '-0.14642341',
+#                      'income': '-0.14642341',
-                     'incomeType': 'FUNDING_FEE',
+#                      'incomeType': 'FUNDING_FEE',
-                     'info': 'FUNDING_FEE',
+#                      'info': 'FUNDING_FEE',
-                     'symbol': 'XRPUSDT',
+#                      'symbol': 'XRPUSDT',
-                     'time': '1630512001000',
+#                      'time': '1630512001000',
-                     'tradeId': '',
+#                      'tradeId': '',
-                     'tranId': '4854789484855218760'},
+#                      'tranId': '4854789484855218760'},
-            'symbol': 'XRP/USDT',
+#             'symbol': 'XRP/USDT',
-            'timestamp': 1630512001000
+#             'timestamp': 1630512001000
-        }
+#         }
-    ])
+#     ])
-    type(api_mock).has = PropertyMock(return_value={'fetchFundingHistory': True})
+#     type(api_mock).has = PropertyMock(return_value={'fetchFundingHistory': True})
 
-    # mocker.patch('freqtrade.exchange.Exchange.get_funding_fees', lambda pair, since: y)
+#     # mocker.patch('freqtrade.exchange.Exchange.get_funding_fees', lambda pair, since: y)
-    exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
+#     exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
-    date_time = datetime.strptime("2021-09-01T00:00:01.000Z", '%Y-%m-%dT%H:%M:%S.%fZ')
+#     date_time = datetime.strptime("2021-09-01T00:00:01.000Z", '%Y-%m-%dT%H:%M:%S.%fZ')
-    unix_time = int(date_time.strftime('%s'))
+#     unix_time = int(date_time.strftime('%s'))
-    expected_fees = -0.001  # 0.14542341 + -0.14642341
+#     expected_fees = -0.001  # 0.14542341 + -0.14642341
-    fees_from_datetime = exchange.get_funding_fees(
+#     fees_from_datetime = exchange.get_funding_fees(
-        pair='XRP/USDT',
+#         pair='XRP/USDT',
-        since=date_time
+#         since=date_time
-    )
+#     )
-    fees_from_unix_time = exchange.get_funding_fees(
+#     fees_from_unix_time = exchange.get_funding_fees(
-        pair='XRP/USDT',
+#         pair='XRP/USDT',
-        since=unix_time
+#         since=unix_time
-    )
+#     )
 
-    assert(isclose(expected_fees, fees_from_datetime))
+#     assert(isclose(expected_fees, fees_from_datetime))
-    assert(isclose(expected_fees, fees_from_unix_time))
+#     assert(isclose(expected_fees, fees_from_unix_time))
 
-    ccxt_exceptionhandlers(
+#     ccxt_exceptionhandlers(
-        mocker,
+#         mocker,
-        default_conf,
+#         default_conf,
-        api_mock,
+#         api_mock,
-        exchange_name,
+#         exchange_name,
-        "get_funding_fees",
+#         "get_funding_fees",
-        "fetch_funding_history",
+#         "fetch_funding_history",
-        pair="XRP/USDT",
+#         pair="XRP/USDT",
-        since=unix_time
+#         since=unix_time
-    )
+#     )