mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-09-22 02:21:12 +00:00
81 lines
2.7 KiB
Python
81 lines
2.7 KiB
Python
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from datetime import datetime, timedelta
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from typing import List
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import schedule
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from freqtrade.persistence import Trade
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class FundingFee:
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trades: List[Trade]
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# Binance
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begin_times = [
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# TODO-lev: Make these UTC time
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"23:59:45",
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"07:59:45",
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"15:59:45",
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]
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# FTX
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# begin_times = every hour
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def _is_time_between(self, begin_time, end_time):
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# If check time is not given, default to current UTC time
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check_time = datetime.utcnow().time()
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if begin_time < end_time:
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return check_time >= begin_time and check_time <= end_time
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else: # crosses midnight
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return check_time >= begin_time or check_time <= end_time
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def _apply_funding_fees(self, num_of: int = 1):
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if num_of == 0:
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return
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for trade in self.trades:
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trade.adjust_funding_fee(self._calculate(trade.amount) * num_of)
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def _calculate(self, amount):
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# TODO-futures: implement
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# TODO-futures: Check how other exchages do it and adjust accordingly
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# https://www.binance.com/en/support/faq/360033525031
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# mark_price =
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# contract_size = maybe trade.amount
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# funding_rate = # https://www.binance.com/en/futures/funding-history/0
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# nominal_value = mark_price * contract_size
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# adjustment = nominal_value * funding_rate
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# return adjustment
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# FTX - paid in USD(always)
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# position size * TWAP of((future - index) / index) / 24
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# https: // help.ftx.com/hc/en-us/articles/360027946571-Funding
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return
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def initial_funding_fee(self, amount) -> float:
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# A funding fee interval is applied immediately if within 30s of an iterval
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# May only exist on binance
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for begin_string in self.begin_times:
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begin_time = datetime.strptime(begin_string, "%H:%M:%S")
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end_time = (begin_time + timedelta(seconds=30))
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if self._is_time_between(begin_time.time(), end_time.time()):
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return self._calculate(amount)
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return 0.0
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def start(self):
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for interval in self.begin_times:
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schedule.every().day.at(interval).do(self._apply_funding_fees())
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# https://stackoverflow.com/a/30393162/6331353
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# TODO-futures: Put schedule.run_pending() somewhere in the bot_loop
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def reboot(self):
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# TODO-futures Find out how many begin_times have passed since last funding_fee added
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amount_missed = 0
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self.apply_funding_fees(num_of=amount_missed)
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self.start()
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def add_new_trade(self, trade):
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self.trades.append(trade)
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def remove_trade(self, trade):
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self.trades.remove(trade)
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