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Improve funding fee cutof logic

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Matthias
2023-10-09 06:37:08 +02:00
parent 7a69b01b9b
commit 19620470bd
2 changed files with 12 additions and 6 deletions
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8
freqtrade/exchange/binance.py
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@@ -123,10 +123,14 @@ class Binance(Exchange):
def funding_fee_cutoff(self, open_date: datetime):
"""
Funding fees are only charged at full hours (usually every 4-8h).
Therefore a trade opening at 10:00:01 will not be charged a funding fee until the next hour.
On binance, this cutoff is 15s.
https://github.com/freqtrade/freqtrade/pull/5779#discussion_r740175931
:param open_date: The open date for a trade
:return: The cutoff open time for when a funding fee is charged
:return: True if the date falls on a full hour, False otherwise
"""
return open_date.minute > 0 or (open_date.minute == 0 and open_date.second > 15)
return open_date.minute == 0 and open_date.second < 15
def dry_run_liquidation_price(
self,

10
freqtrade/exchange/exchange.py
View File

@@ -2653,14 +2653,14 @@ class Exchange:
"""
return 0.0
def funding_fee_cutoff(self, open_date: datetime):
def funding_fee_cutoff(self, open_date: datetime) -> bool:
"""
Funding fees are only charged at full hours (usually every 4-8h).
Therefore a trade opening at 10:00:01 will not be charged a funding fee until the next hour.
:param open_date: The open date for a trade
:return: The cutoff open time for when a funding fee is charged
:return: True if the date falls on a full hour, False otherwise
"""
return open_date.minute > 0 or open_date.second > 0
return open_date.minute == 0 and open_date.second == 0
@retrier
def set_margin_mode(self, pair: str, margin_mode: MarginMode, accept_fail: bool = False,
@@ -2708,7 +2708,9 @@ class Exchange:
"""
if self.funding_fee_cutoff(open_date):
open_date += timedelta(hours=1)
# Shift back to 1h candle to avoid missing funding fees
# Only really relevant for trades very close to the full hour
open_date = timeframe_to_prev_date('1h', open_date)
timeframe = self._ft_has['mark_ohlcv_timeframe']
timeframe_ff = self._ft_has.get('funding_fee_timeframe',
self._ft_has['mark_ohlcv_timeframe'])