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https://github.com/freqtrade/freqtrade.git
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New funding fee methods
This commit is contained in:
Sam Germain
parent
b854350e8d
commit
d6d5bae2a1
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@ -20,7 +20,6 @@ from freqtrade.enums import RPCMessageType, SellType, State, TradingMode
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from freqtrade.exceptions import (DependencyException, ExchangeError, InsufficientFundsError,
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InvalidOrderException, PricingError)
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from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
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from freqtrade.leverage.funding_fee import FundingFee
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from freqtrade.misc import safe_value_fallback, safe_value_fallback2
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from freqtrade.mixins import LoggingMixin
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from freqtrade.persistence import Order, PairLocks, Trade, cleanup_db, init_db
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@ -103,10 +102,10 @@ class FreqtradeBot(LoggingMixin):
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self._sell_lock = Lock()
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LoggingMixin.__init__(self, logger, timeframe_to_seconds(self.strategy.timeframe))
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self.trading_mode = self.config['trading_mode']
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if self.trading_mode == TradingMode.FUTURES:
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self.funding_fee = FundingFee()
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self.funding_fee.start()
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if 'trading_mode' in self.config:
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self.trading_mode = self.config['trading_mode']
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else:
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self.trading_mode = TradingMode.SPOT
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def notify_status(self, msg: str) -> None:
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"""
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@ -243,9 +242,10 @@ class FreqtradeBot(LoggingMixin):
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open_trades = len(Trade.get_open_trades())
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return max(0, self.config['max_open_trades'] - open_trades)
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def get_funding_fees():
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def add_funding_fees(self, trade: Trade):
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if self.trading_mode == TradingMode.FUTURES:
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return
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funding_fees = self.exchange.get_funding_fees(trade.pair, trade.open_date)
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trade.funding_fees = funding_fees
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def update_open_orders(self):
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"""
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@ -262,6 +262,7 @@ class FreqtradeBot(LoggingMixin):
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try:
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fo = self.exchange.fetch_order_or_stoploss_order(order.order_id, order.ft_pair,
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order.ft_order_side == 'stoploss')
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self.update_trade_state(order.trade, order.order_id, fo)
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except ExchangeError as e:
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@ -568,10 +569,6 @@ class FreqtradeBot(LoggingMixin):
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amount = safe_value_fallback(order, 'filled', 'amount')
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buy_limit_filled_price = safe_value_fallback(order, 'average', 'price')
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funding_fee = (self.funding_fee.initial_funding_fee(amount)
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if self.trading_mode == TradingMode.FUTURES
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else None)
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# Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
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fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
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trade = Trade(
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@ -590,14 +587,10 @@ class FreqtradeBot(LoggingMixin):
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strategy=self.strategy.get_strategy_name(),
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buy_tag=buy_tag,
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timeframe=timeframe_to_minutes(self.config['timeframe']),
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funding_fee=funding_fee,
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trading_mode=self.trading_mode
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)
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trade.orders.append(order_obj)
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if self.trading_mode == TradingMode.FUTURES:
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self.funding_fee.add_new_trade(trade)
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# Update fees if order is closed
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if order_status == 'closed':
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self.update_trade_state(trade, order_id, order)
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@ -61,8 +61,7 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
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interest_rate = get_column_def(cols, 'interest_rate', '0.0')
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# Futures properties
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funding_fee = get_column_def(cols, 'funding_fee', '0.0')
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last_funding_adjustment = get_column_def(cols, 'last_funding_adjustment', 'null')
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funding_fees = get_column_def(cols, 'funding_fees', '0.0')
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# If ticker-interval existed use that, else null.
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if has_column(cols, 'ticker_interval'):
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@ -102,7 +101,7 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
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max_rate, min_rate, sell_reason, sell_order_status, strategy, buy_tag,
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timeframe, open_trade_value, close_profit_abs,
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trading_mode, leverage, isolated_liq, is_short,
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interest_rate, funding_fee, last_funding_adjustment
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interest_rate, funding_fees
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)
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select id, lower(exchange), pair,
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is_open, {fee_open} fee_open, {fee_open_cost} fee_open_cost,
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@ -121,7 +120,7 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
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{open_trade_value} open_trade_value, {close_profit_abs} close_profit_abs,
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{trading_mode} trading_mode, {leverage} leverage, {isolated_liq} isolated_liq,
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{is_short} is_short, {interest_rate} interest_rate,
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{funding_fee} funding_fee, {last_funding_adjustment} last_funding_adjustment
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{funding_fees} funding_fees
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from {table_back_name}
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"""))
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@ -2,7 +2,7 @@
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This module contains the class to persist trades into SQLite
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"""
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import logging
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from datetime import datetime, timedelta, timezone
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from datetime import datetime, timezone
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from decimal import Decimal
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from typing import Any, Dict, List, Optional
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@ -16,7 +16,7 @@ from sqlalchemy.sql.schema import UniqueConstraint
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from freqtrade.constants import DATETIME_PRINT_FORMAT, NON_OPEN_EXCHANGE_STATES
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from freqtrade.enums import SellType, TradingMode
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from freqtrade.exceptions import DependencyException, OperationalException
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from freqtrade.leverage.interest import interest
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from freqtrade.leverage import interest
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from freqtrade.misc import safe_value_fallback
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from freqtrade.persistence.migrations import check_migrate
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@ -57,7 +57,7 @@ def init_db(db_url: str, clean_open_orders: bool = False) -> None:
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f"is no valid database URL! (See {_SQL_DOCS_URL})")
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# https://docs.sqlalchemy.org/en/13/orm/contextual.html#thread-local-scope
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# Scoped sessions proxy reque sts to the appropriate thread-local session.
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# Scoped sessions proxy requests to the appropriate thread-local session.
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# We should use the scoped_session object - not a seperately initialized version
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Trade._session = scoped_session(sessionmaker(bind=engine, autoflush=True))
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Trade.query = Trade._session.query_property()
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@ -93,12 +93,6 @@ def clean_dry_run_db() -> None:
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Trade.commit()
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def hour_rounder(t):
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# Rounds to nearest hour by adding a timedelta hour if minute >= 30
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return (
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t.replace(second=0, microsecond=0, minute=0, hour=t.hour) + timedelta(hours=t.minute//30))
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class Order(_DECL_BASE):
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"""
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Order database model
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@ -282,8 +276,7 @@ class LocalTrade():
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interest_rate: float = 0.0
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# Futures properties
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funding_fee: Optional[float] = None
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last_funding_adjustment: Optional[datetime] = None
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funding_fees: Optional[float] = None
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@property
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def has_no_leverage(self) -> bool:
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@ -451,9 +444,7 @@ class LocalTrade():
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'isolated_liq': self.isolated_liq,
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'is_short': self.is_short,
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'trading_mode': self.trading_mode,
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'funding_fee': self.funding_fee,
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'last_funding_adjustment': (self.last_funding_adjustment.strftime(DATETIME_PRINT_FORMAT)
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if self.last_funding_adjustment else None),
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'funding_fees': self.funding_fees,
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'open_order_id': self.open_order_id,
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}
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@ -531,10 +522,6 @@ class LocalTrade():
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f"Trailing stoploss saved us: "
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f"{float(self.stop_loss) - float(self.initial_stop_loss):.8f}.")
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def adjust_funding_fee(self, adjustment):
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self.funding_fee = self.funding_fee + adjustment
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self.last_funding_adjustment = datetime.utcnow()
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def update(self, order: Dict) -> None:
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"""
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Updates this entity with amount and actual open/close rates.
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@ -673,7 +660,6 @@ class LocalTrade():
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rate = Decimal(interest_rate or self.interest_rate)
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borrowed = Decimal(self.borrowed)
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# TODO-lev: Pass trading mode to interest maybe
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return interest(exchange_name=self.exchange, borrowed=borrowed, rate=rate, hours=hours)
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def _calc_base_close(self, amount: Decimal, rate: Optional[float] = None,
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@ -721,11 +707,8 @@ class LocalTrade():
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return float(self._calc_base_close(amount, rate, fee) - total_interest)
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elif (trading_mode == TradingMode.FUTURES):
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funding_fee = self.funding_fee or 0.0
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if self.is_short:
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return float(self._calc_base_close(amount, rate, fee)) + funding_fee
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else:
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return float(self._calc_base_close(amount, rate, fee)) - funding_fee
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funding_fees = self.funding_fees or 0.0
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return float(self._calc_base_close(amount, rate, fee)) + funding_fees
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else:
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raise OperationalException(
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f"{self.trading_mode.value} trading is not yet available using freqtrade")
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@ -938,16 +921,16 @@ class Trade(_DECL_BASE, LocalTrade):
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trading_mode = Column(Enum(TradingMode))
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# Leverage trading properties
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leverage = Column(Float, nullable=True, default=1.0)
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isolated_liq = Column(Float, nullable=True)
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is_short = Column(Boolean, nullable=False, default=False)
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isolated_liq = Column(Float, nullable=True)
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# Margin properties
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# Margin Trading Properties
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interest_rate = Column(Float, nullable=False, default=0.0)
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# Futures properties
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funding_fee = Column(Float, nullable=True, default=None)
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last_funding_adjustment = Column(DateTime, nullable=True)
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funding_fees = Column(Float, nullable=True, default=None)
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def __init__(self, **kwargs):
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super().__init__(**kwargs)
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@ -3,7 +3,7 @@ from math import isclose
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import pytest
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from freqtrade.leverage.interest import interest
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from freqtrade.leverage import interest
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ten_mins = Decimal(1/6)
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@ -8,7 +8,7 @@ import pytest
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from numpy import isnan
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from freqtrade.edge import PairInfo
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from freqtrade.enums import State
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from freqtrade.enums import State, TradingMode
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from freqtrade.exceptions import ExchangeError, InvalidOrderException, TemporaryError
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from freqtrade.persistence import Trade
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from freqtrade.persistence.pairlock_middleware import PairLocks
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@ -112,6 +112,8 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None:
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'interest_rate': 0.0,
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'isolated_liq': None,
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'is_short': False,
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'funding_fees': None,
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'trading_mode': TradingMode.SPOT
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}
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mocker.patch('freqtrade.exchange.Exchange.get_rate',
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@ -183,6 +185,8 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None:
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'interest_rate': 0.0,
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'isolated_liq': None,
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'is_short': False,
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'funding_fees': None,
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'trading_mode': TradingMode.SPOT
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}
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@ -1724,8 +1724,7 @@ def test_to_json(default_conf, fee):
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'isolated_liq': None,
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'is_short': None,
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'trading_mode': None,
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'funding_fee': None,
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'last_funding_adjustment': None
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'funding_fees': None,
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}
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# Simulate dry_run entries
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@ -1798,8 +1797,7 @@ def test_to_json(default_conf, fee):
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'isolated_liq': None,
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'is_short': None,
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'trading_mode': None,
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'funding_fee': None,
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'last_funding_adjustment': None
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'funding_fees': None,
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}
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@ -2219,7 +2217,6 @@ def test_Trade_object_idem():
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'get_open_trades_without_assigned_fees',
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'get_open_order_trades',
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'get_trades',
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'last_funding_adjustment'
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)
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# Parent (LocalTrade) should have the same attributes
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