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feat: add method to fetch binance funding fees

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which is necessary to calculate accurate liquidation prices
This commit is contained in:
Matthias
2024-08-31 16:43:34 +02:00
parent 8bf314202f
commit fe7a88362b
2 changed files with 38 additions and 10 deletions
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30
freqtrade/exchange/binance.py
View File

@@ -144,6 +144,27 @@ class Binance(Exchange):
"""
return open_date.minute == 0 and open_date.second < 15
def fetch_funding_rates(self, symbols: Optional[List[str]] = None) -> Dict[str, float]:
"""
Fetch funding rates for the given symbols.
:param symbols: List of symbols to fetch funding rates for
:return: Dict of funding rates for the given symbols
"""
try:
if self.trading_mode == TradingMode.FUTURES:
rates = self._api.fetch_funding_rates(symbols)
return rates
return {}
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.OperationFailed, ccxt.ExchangeError) as e:
raise TemporaryError(
f"Error in additional_exchange_init due to {e.__class__.__name__}. Message: {e}"
) from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
def dry_run_liquidation_price(
self,
pair: str,
@@ -191,19 +212,20 @@ class Binance(Exchange):
if self.margin_mode == MarginMode.CROSS:
mm_ex_1: float = 0.0
upnl_ex_1: float = 0.0
pairs = [trade["pair"] for trade in open_trades]
funding_rates = self.fetch_funding_rates(pairs)
for trade in open_trades:
if trade["pair"] == pair:
# Only "other" trades are considered
continue
mark_price = funding_rates[trade["pair"]]["markPrice"]
mm_ratio1, maint_amnt1 = self.get_maintenance_ratio_and_amt(
trade["pair"], trade["stake_amount"]
)
maint_margin = trade["amount"] * trade["mark_price"] * mm_ratio1 - maint_amnt1
maint_margin = trade["amount"] * mark_price * mm_ratio1 - maint_amnt1
mm_ex_1 += maint_margin
upnl_ex_1 += (
trade["amount"] * trade["mark_price"] - trade["amount"] * trade["open_rate"]
)
upnl_ex_1 += trade["amount"] * mark_price - trade["amount"] * trade["open_rate"]
cross_vars = upnl_ex_1 - mm_ex_1
side_1 = -1 if is_short else 1

18
tests/exchange/test_binance.py
View File

@@ -172,7 +172,7 @@ def test_stoploss_adjust_binance(mocker, default_conf, sl1, sl2, sl3, side):
@pytest.mark.parametrize(
"pair, is_short, trading_mode, margin_mode, wallet_balance, "
"maintenance_amt, amount, open_rate, mark_price, open_trades,"
"maintenance_amt, amount, open_rate, open_trades,"
"mm_ratio, expected",
[
(
@@ -184,7 +184,6 @@ def test_stoploss_adjust_binance(mocker, default_conf, sl1, sl2, sl3, side):
135365.00,
3683.979,
1456.84,
1456.84, # mark price
[],
0.10,
1114.78,
@@ -198,7 +197,6 @@ def test_stoploss_adjust_binance(mocker, default_conf, sl1, sl2, sl3, side):
16300.000,
109.488,
32481.980,
32481.980,
[],
0.025,
18778.73,
@@ -214,7 +212,6 @@ def test_stoploss_adjust_binance(mocker, default_conf, sl1, sl2, sl3, side):
135365.00,
3683.979, # amount
1456.84, # open_rate
1335.18, # mark_price
[
{
# From calc example
@@ -251,7 +248,6 @@ def test_stoploss_adjust_binance(mocker, default_conf, sl1, sl2, sl3, side):
16300.0,
109.488, # amount
32481.980, # open_rate
31967.27, # mark_price
[
{
# From calc example
@@ -290,7 +286,6 @@ def test_liquidation_price_binance(
maintenance_amt,
amount,
open_rate,
mark_price,
open_trades,
mm_ratio,
expected,
@@ -306,7 +301,18 @@ def test_liquidation_price_binance(
return oc["mm_ratio"], oc["maintenance_amt"]
return mm_ratio, maintenance_amt
def fetch_funding_rates(*args, **kwargs):
return {
t["pair"]: {
"symbol": t["pair"],
"markPrice": t["mark_price"],
}
for t in open_trades
}
exchange.get_maintenance_ratio_and_amt = get_maint_ratio
exchange.fetch_funding_rates = fetch_funding_rates
assert (
pytest.approx(
round(