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Added dry run capability to funding-fee

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This commit is contained in:
Sam Germain 2021-10-22 09:35:50 -06:00
parent 2533d3b420
commit 3eda9455b9
5 changed files with 95 additions and 45 deletions
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86
freqtrade/exchange/exchange.py
View File

@ -1636,23 +1636,8 @@ class Exchange:
except ccxt.BaseError as e:
raise OperationalException(e) from e
def _get_mark_price(self, pair: str, date: datetime) -> float:
"""
Get's the mark price for a pair at a specific date and time in the past
"""
# TODO-lev: Can maybe use self._api.fetchFundingRate, or get the most recent candlestick
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
"""
# TODO-lev: Maybe use self._api.fetchFundingRate or fetchFundingRateHistory with length 1
raise OperationalException(f"get_funding_rate has not been implemented for {self.name}")
def _get_funding_fee(
self,
pair: str,
contract_size: float,
funding_rate: float,
mark_price: float,
@ -1726,12 +1711,39 @@ class Exchange:
except ccxt.BaseError as e:
raise OperationalException(e) from e
def _get_mark_price_history(
self,
pair: str,
start: int,
end: Optional[int]
) -> Dict:
"""
Get's the mark price history for a pair
"""
if end:
params = {
'endTime': end
}
else:
params = {}
candles = self._api.fetch_mark_ohlcv(
pair,
timeframe="1h",
since=start,
params=params
)
history = {}
for candle in candles:
history[candle[0]] = candle[1]
return history
def calculate_funding_fees(
self,
pair: str,
amount: float,
open_date: datetime,
close_date: datetime
close_date: Optional[datetime]
) -> float:
"""
calculates the sum of all funding fees that occurred for a pair during a futures trade
@ -1742,11 +1754,22 @@ class Exchange:
"""
fees: float = 0
if close_date:
close_date_timestamp: Optional[int] = int(close_date.timestamp())
funding_rate_history = self.get_funding_rate_history(
pair,
int(open_date.timestamp()),
close_date_timestamp
)
mark_price_history = self._get_mark_price_history(
pair,
int(open_date.timestamp()),
close_date_timestamp
)
for date in self._get_funding_fee_dates(open_date, close_date):
funding_rate = self._get_funding_rate(pair, date)
mark_price = self._get_mark_price(pair, date)
funding_rate = funding_rate_history[date.timestamp]
mark_price = mark_price_history[date.timestamp]
fees += self._get_funding_fee(
pair=pair,
contract_size=amount,
mark_price=mark_price,
funding_rate=funding_rate
@ -1756,10 +1779,12 @@ class Exchange:
def get_funding_rate_history(
self,
pair: str,
start: int,
end: int
end: Optional[int] = None
) -> Dict:
'''
:param pair: quote/base currency pair
:param start: timestamp in ms of the beginning time
:param end: timestamp in ms of the end time
'''
@ -1771,19 +1796,14 @@ class Exchange:
try:
funding_history: Dict = {}
for pair, market in self.markets.items():
if market['swap']:
response = self._api.fetch_funding_rate_history(
pair,
limit=1000,
since=start,
params={
'endTime': end
}
)
funding_history[pair] = {}
for fund in response:
funding_history[pair][fund['timestamp']] = fund['funding_rate']
response = self._api.fetch_funding_rate_history(
pair,
limit=1000,
start=start,
end=end
)
for fund in response:
funding_history[fund['timestamp']] = fund['fundingRate']
return funding_history
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e

27
freqtrade/exchange/ftx.py
View File

@ -183,3 +183,30 @@ class Ftx(Exchange):
:nominal_value: Here for super method, not used on FTX
"""
return 20.0
def _get_mark_price_history(
self,
pair: str,
start: int,
end: Optional[int]
) -> Dict:
"""
Get's the mark price history for a pair
"""
if end:
params = {
'endTime': end
}
else:
params = {}
candles = self._api.fetch_index_ohlcv(
pair,
timeframe="1h",
since=start,
params=params
)
history = {}
for candle in candles:
history[candle[0]] = candle[1]
return history

7
freqtrade/exchange/gateio.py
View File

@ -1,6 +1,6 @@
""" Gate.io exchange subclass """
import logging
from typing import Dict, List
from typing import Dict, List, Optional
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import Exchange
@ -36,12 +36,13 @@ class Gateio(Exchange):
def get_funding_rate_history(
self,
pair: str,
start: int,
end: int
end: Optional[int] = None
) -> Dict:
'''
:param start: timestamp in ms of the beginning time
:param end: timestamp in ms of the end time
'''
# TODO-lev: Has a max limit into the past of 333 days
return super().get_funding_rate_history(start, end)
return super().get_funding_rate_history(pair, start, end)

15
freqtrade/freqtradebot.py
View File

@ -269,10 +269,17 @@ class FreqtradeBot(LoggingMixin):
def update_funding_fees(self):
if self.trading_mode == TradingMode.FUTURES:
for trade in Trade.get_open_trades():
funding_fees = self.exchange.get_funding_fees_from_exchange(
trade.pair,
trade.open_date
)
if self.config['dry_run']:
funding_fees = self.exchange.calculate_funding_fees(
trade.pair,
trade.amount,
trade.open_date
)
else:
funding_fees = self.exchange.get_funding_fees_from_exchange(
trade.pair,
trade.open_date
)
trade.funding_fees = funding_fees
def startup_update_open_orders(self):

5
freqtrade/optimize/backtesting.py
View File

@ -3,7 +3,6 @@
"""
This module contains the backtesting logic
"""
import ccxt
import logging
from collections import defaultdict
from copy import deepcopy
@ -127,10 +126,6 @@ class Backtesting:
self.progress = BTProgress()
self.abort = False
self.funding_rate_history = getattr(ccxt, self._exchange_name).load_funding_rate_history(
self.timerange.startts,
self.timerange.stopts
)
self.init_backtest()
def __del__(self):