[Funding] Add implementation

octobot_trading/channels/funding.pxd

@@ -0,0 +1,25 @@
+# cython: language_level=3
+#  Drakkar-Software OctoBot-Trading
+#  Copyright (c) Drakkar-Software, All rights reserved.
+#
+#  This library is free software; you can redistribute it and/or
+#  modify it under the terms of the GNU Lesser General Public
+#  License as published by the Free Software Foundation; either
+#  version 3.0 of the License, or (at your option) any later version.
+#
+#  This library is distributed in the hope that it will be useful,
+#  but WITHOUT ANY WARRANTY; without even the implied warranty of
+#  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
+#  Lesser General Public License for more details.
+#
+#  You should have received a copy of the GNU Lesser General Public
+#  License along with this library.
+
+from octobot_trading.channels.exchange_channel cimport ExchangeChannel, ExchangeChannelProducer
+
+
+cdef class FundingProducer(ExchangeChannelProducer):
+    pass
+
+cdef class FundingChannel(ExchangeChannel):
+    pass

octobot_trading/channels/funding.py

@@ -0,0 +1,57 @@
+#  Drakkar-Software OctoBot-Trading
+#  Copyright (c) Drakkar-Software, All rights reserved.
+#
+#  This library is free software; you can redistribute it and/or
+#  modify it under the terms of the GNU Lesser General Public
+#  License as published by the Free Software Foundation; either
+#  version 3.0 of the License, or (at your option) any later version.
+#
+#  This library is distributed in the hope that it will be useful,
+#  but WITHOUT ANY WARRANTY; without even the implied warranty of
+#  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
+#  Lesser General Public License for more details.
+#
+#  You should have received a copy of the GNU Lesser General Public
+#  License along with this library.
+from asyncio import CancelledError
+
+from octobot_channels.constants import CHANNEL_WILDCARD
+from octobot_trading.channels.exchange_channel import ExchangeChannel, ExchangeChannelProducer, ExchangeChannelConsumer
+
+
+class FundingProducer(ExchangeChannelProducer):
+    async def push(self, symbol, funding_rate, next_funding_time, timestamp):
+        await self.perform(symbol, funding_rate, next_funding_time, timestamp)
+
+    async def perform(self, symbol, funding_rate, next_funding_time, timestamp):
+        try:
+            if self.channel.get_filtered_consumers(
+                    symbol=CHANNEL_WILDCARD) or self.channel.get_filtered_consumers(symbol=symbol):
+                await self.channel.exchange_manager.get_symbol_data(symbol) \
+                    .handle_funding_update(funding_rate=funding_rate,
+                                           next_funding_time=next_funding_time,
+                                           timestamp=timestamp)
+                await self.send(symbol=symbol,
+                                funding_rate=funding_rate,
+                                next_funding_time=next_funding_time,
+                                timestamp=timestamp)
+        except CancelledError:
+            self.logger.info("Update tasks cancelled.")
+        except Exception as e:
+            self.logger.exception(e, True, f"Exception when triggering update: {e}")
+
+    async def send(self, symbol, funding_rate, next_funding_time, timestamp):
+        for consumer in self.channel.get_filtered_consumers(symbol=symbol):
+            await consumer.queue.put({
+                "exchange": self.channel.exchange_manager.exchange_name,
+                "exchange_id": self.channel.exchange_manager.id,
+                "symbol": symbol,
+                "funding_rate": funding_rate,
+                "next_funding_time": next_funding_time,
+                "timestamp": timestamp
+            })
+
+
+class FundingChannel(ExchangeChannel):
+    PRODUCER_CLASS = FundingProducer
+    CONSUMER_CLASS = ExchangeChannelConsumer

octobot_trading/channels/positions.py

@@ -16,11 +16,8 @@
 from asyncio import CancelledError
 
 from octobot_channels.constants import CHANNEL_WILDCARD
-from octobot_channels.producer import Producer
-from octobot_commons.logging.logging_util import get_logger
-
 from octobot_trading.channels.exchange_channel import ExchangeChannel, ExchangeChannelProducer, ExchangeChannelConsumer
-from octobot_trading.enums import ExchangeConstantsOrderColumns, ExchangeConstantsPositionColumns, PositionStatus
+from octobot_trading.enums import ExchangeConstantsOrderColumns, ExchangeConstantsPositionColumns
 
 
 class PositionsProducer(ExchangeChannelProducer):

octobot_trading/constants.py

@@ -76,6 +76,7 @@
 KLINE_CHANNEL = "Kline"
 OHLCV_CHANNEL = "OHLCV"
 MARK_PRICE_CHANNEL = "MarkPrice"
+FUNDING_CHANNEL = "Funding"
 
 # Exchange personal data
 TRADES_CHANNEL = "Trades"
@@ -98,5 +99,6 @@
     ORDERS_CHANNEL: [Feeds.ORDERS],
     MARK_PRICE_CHANNEL: [Feeds.MARK_PRICE],
     BALANCE_CHANNEL: [Feeds.PORTFOLIO],
-    POSITIONS_CHANNEL: [Feeds.POSITION]
+    POSITIONS_CHANNEL: [Feeds.POSITION],
+    FUNDING_CHANNEL: [Feeds.FUNDING]
 }

octobot_trading/data_manager/funding_manager.pxd

@@ -0,0 +1,29 @@
+# cython: language_level=3
+#  Drakkar-Software OctoBot-Trading
+#  Copyright (c) Drakkar-Software, All rights reserved.
+#
+#  This library is free software; you can redistribute it and/or
+#  modify it under the terms of the GNU Lesser General Public
+#  License as published by the Free Software Foundation; either
+#  version 3.0 of the License, or (at your option) any later version.
+#
+#  This library is distributed in the hope that it will be useful,
+#  but WITHOUT ANY WARRANTY; without even the implied warranty of
+#  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
+#  Lesser General License for more details.
+#
+#  You should have received a copy of the GNU Lesser General Public
+#  License along with this library.
+from octobot_trading.util.initializable cimport Initializable
+
+cdef class FundingManager(Initializable):
+    cdef object logger
+
+    cdef public double funding_rate
+    cdef public double next_updated
+    cdef public double last_updated
+
+    cpdef void reset_funding(self)
+
+    cpdef funding_update(self, double funding_rate, double next_funding_time, double timestamp)
+

octobot_trading/data_manager/funding_manager.py

@@ -0,0 +1,43 @@
+#  Drakkar-Software OctoBot-Trading
+#  Copyright (c) Drakkar-Software, All rights reserved.
+#
+#  This library is free software; you can redistribute it and/or
+#  modify it under the terms of the GNU Lesser General Public
+#  License as published by the Free Software Foundation; either
+#  version 3.0 of the License, or (at your option) any later version.
+#
+#  This library is distributed in the hope that it will be useful,
+#  but WITHOUT ANY WARRANTY; without even the implied warranty of
+#  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
+#  Lesser General Public License for more details.
+#
+#  You should have received a copy of the GNU Lesser General Public
+#  License along with this library.
+from math import nan
+
+from octobot_commons.logging.logging_util import get_logger
+from octobot_trading.util.initializable import Initializable
+
+
+class FundingManager(Initializable):
+    def __init__(self):
+        super().__init__()
+        self.logger = get_logger(self.__class__.__name__)
+        self.funding_rate = nan
+        self.next_updated = 0
+        self.last_updated = 0
+        self.reset_funding()
+
+    async def initialize_impl(self):
+        self.reset_funding()
+
+    def reset_funding(self):
+        self.funding_rate = nan
+        self.next_updated = 0
+        self.last_updated = 0
+
+    def funding_update(self, funding_rate, next_funding_time, timestamp):
+        if funding_rate and next_funding_time:
+            self.funding_rate = funding_rate
+            self.next_updated = next_funding_time
+            self.last_updated = timestamp

octobot_trading/enums.py

@@ -77,6 +77,13 @@ class TraderOrderType(Enum):
     UNKNOWN = "unknown"  # default value when the order type info is missing in the exchange data
 
 
+class ExchangeConstantsFundingColumns(Enum):
+    SYMBOL = "symbol"
+    TIMESTAMP = "timestamp"
+    FUNDING_RATE = "funding_rate"
+    NEXT_FUNDING_TIME = "next_funding_time"
+
+
 class ExchangeConstantsTickersColumns(Enum):
     SYMBOL = "symbol"
     TIMESTAMP = "timestamp"

octobot_trading/exchanges/data/exchange_symbol_data.pxd

@@ -14,6 +14,7 @@
 #
 #  You should have received a copy of the GNU Lesser General Public
 #  License along with this library.
+from octobot_trading.data_manager.funding_manager cimport FundingManager
 from octobot_trading.data_manager.order_book_manager cimport OrderBookManager
 from octobot_trading.data_manager.prices_manager cimport PricesManager
 from octobot_trading.data_manager.recent_trades_manager cimport RecentTradesManager
@@ -32,6 +33,7 @@ cdef class ExchangeSymbolData:
     cdef public PricesManager prices_manager
     cdef public RecentTradesManager recent_trades_manager
     cdef public TickerManager ticker_manager
+    cdef public FundingManager funding_manager
 
     cpdef list handle_recent_trade_update(self, object recent_trades, bint replace_all=*, bint partial=*) # recent trades can be list or dict
     cpdef void handle_order_book_update(self, list asks, list bids, bint is_delta=*)

octobot_trading/exchanges/data/exchange_symbol_data.py

@@ -17,6 +17,7 @@
 from octobot_commons.logging.logging_util import get_logger
 
 from octobot_trading.data_manager.candles_manager import CandlesManager
+from octobot_trading.data_manager.funding_manager import FundingManager
 from octobot_trading.data_manager.kline_manager import KlineManager
 from octobot_trading.data_manager.order_book_manager import OrderBookManager
 from octobot_trading.data_manager.prices_manager import PricesManager
@@ -36,6 +37,7 @@ def __init__(self, exchange_manager, symbol):
         self.prices_manager = PricesManager()
         self.recent_trades_manager = RecentTradesManager()
         self.ticker_manager = TickerManager()
+        self.funding_manager = FundingManager() if self.exchange_manager.is_margin else None
 
         self.symbol_candles = {}
         self.symbol_klines = {}
@@ -103,3 +105,7 @@ async def handle_kline_update(self, time_frame, kline):
                 return
 
         symbol_klines.kline_update(kline)
+
+    async def handle_funding_update(self, funding_rate, next_funding_time, timestamp):
+        if self.funding_manager:
+            self.funding_manager.funding_update(funding_rate, next_funding_time, timestamp)

octobot_trading/exchanges/margin/margin_exchange.py

@@ -19,6 +19,13 @@
 
 
 class MarginExchange(RestExchange):
+    # Mark price params
+    MARK_PRICE_IN_POSITION = False
+
+    # Funding rate params
+    FUNDING_IN_TICKER = False
+    FUNDING_WITH_MARK_PRICE = False
+
     """
     CCXT margin library wrapper
     """
@@ -37,6 +44,12 @@ async def get_positions_history(self):
     async def get_symbol_leverage(self, symbol: str):
         raise NotImplementedError("get_symbol_leverage is not implemented")
 
+    async def get_mark_price(self, symbol: str, limit: int = 1):
+        raise NotImplementedError("get_mark_price is not implemented")
+
+    async def get_funding_rate(self, symbol: str, limit: int = 1):
+        raise NotImplementedError("get_funding_rate is not implemented")
+
     async def set_symbol_leverage(self, symbol: str, leverage: int):
         raise NotImplementedError("set_symbol_leverage is not implemented")
 

octobot_trading/producers/__init__.py

@@ -13,6 +13,7 @@
 #
 #  You should have received a copy of the GNU Lesser General Public
 #  License along with this library.
+from octobot_trading.producers.funding_updater import FundingUpdater
 from octobot_trading.producers.orders_updater import OpenOrdersUpdater, CloseOrdersUpdater
 from octobot_trading.producers.prices_updater import MarkPriceUpdater
 
@@ -35,6 +36,6 @@ def __init__(self, order_id):
 
 
 UNAUTHENTICATED_UPDATER_PRODUCERS = [OHLCVUpdater, OrderBookUpdater, RecentTradeUpdater, TickerUpdater, KlineUpdater,
-                                     MarkPriceUpdater]
+                                     MarkPriceUpdater, FundingUpdater]
 AUTHENTICATED_UPDATER_PRODUCERS = [BalanceUpdater, CloseOrdersUpdater, OpenOrdersUpdater, TradesUpdater,
                                    PositionsUpdater, BalanceProfitabilityUpdater]

octobot_trading/producers/funding_updater.pxd

@@ -0,0 +1,22 @@
+# cython: language_level=3
+#  Drakkar-Software OctoBot-Trading
+#  Copyright (c) Drakkar-Software, All rights reserved.
+#
+#  This library is free software; you can redistribute it and/or
+#  modify it under the terms of the GNU Lesser General Public
+#  License as published by the Free Software Foundation; either
+#  version 3.0 of the License, or (at your option) any later version.
+#
+#  This library is distributed in the hope that it will be useful,
+#  but WITHOUT ANY WARRANTY; without even the implied warranty of
+#  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
+#  Lesser General Public License for more details.
+#
+#  You should have received a copy of the GNU Lesser General Public
+#  License along with this library.
+
+from octobot_trading.channels.funding cimport FundingProducer
+
+
+cdef class FundingUpdater(FundingProducer):
+    pass

octobot_trading/producers/funding_updater.py

@@ -0,0 +1,80 @@
+# pylint: disable=E0611
+#  Drakkar-Software OctoBot-Trading
+#  Copyright (c) Drakkar-Software, All rights reserved.
+#
+#  This library is free software; you can redistribute it and/or
+#  modify it under the terms of the GNU Lesser General Public
+#  License as published by the Free Software Foundation; either
+#  version 3.0 of the License, or (at your option) any later version.
+#
+#  This library is distributed in the hope that it will be useful,
+#  but WITHOUT ANY WARRANTY; without even the implied warranty of
+#  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
+#  Lesser General Public License for more details.
+#
+#  You should have received a copy of the GNU Lesser General Public
+#  License along with this library.
+import asyncio
+import time
+
+from ccxt.base.errors import NotSupported
+from octobot_commons.constants import HOURS_TO_SECONDS
+
+from octobot_trading.constants import FUNDING_CHANNEL
+from octobot_trading.channels.funding import FundingProducer
+from octobot_trading.enums import ExchangeConstantsFundingColumns
+
+
+class FundingUpdater(FundingProducer):
+    CHANNEL_NAME = FUNDING_CHANNEL
+
+    FUNDING_REFRESH_TIME = 2 * HOURS_TO_SECONDS
+    FUNDING_REFRESH_TIME_MIN = 0.2 * HOURS_TO_SECONDS
+    FUNDING_REFRESH_TIME_MAX = 8 * HOURS_TO_SECONDS
+
+    def __init__(self, channel):
+        super().__init__(channel)
+
+    async def start(self):
+        if not self._should_run():
+            return
+
+        while not self.should_stop and not self.channel.is_paused:
+            next_funding_time = None
+            sleep_time = self.FUNDING_REFRESH_TIME
+            try:
+                for pair in self.channel.exchange_manager.exchange_config.traded_symbol_pairs:
+                    funding: dict = await self.channel.exchange_manager.exchange.get_funding_rate(pair)
+
+                    if funding:
+                        next_funding_time = funding[ExchangeConstantsFundingColumns.NEXT_FUNDING_TIME]
+                        await self.push(symbol=pair,
+                                        funding_rate=funding[ExchangeConstantsFundingColumns.FUNDING_RATE],
+                                        next_funding_time=next_funding_time,
+                                        timestamp=funding[ExchangeConstantsFundingColumns.TIMESTAMP])
+            except NotSupported:
+                self.logger.warning(f"{self.channel.exchange_manager.exchange_name} is not supporting updates")
+                await self.pause()
+            except Exception as e:
+                sleep_time = self.FUNDING_REFRESH_TIME_MIN
+                self.logger.exception(e, True, f"Fail to update funding rate : {e}")
+            finally:
+                if next_funding_time:
+                    should_sleep_time = time.time() - next_funding_time
+                    sleep_time = should_sleep_time if should_sleep_time < self.FUNDING_REFRESH_TIME_MAX else \
+                        self.FUNDING_REFRESH_TIME
+                await asyncio.sleep(sleep_time)
+
+    def _should_run(self) -> bool:
+        if not self.channel.exchange_manager.is_margin:
+            return False
+        else:
+            return not self.channel.exchange_manager.exchange.FUNDING_IN_TICKER and \
+                   not self.channel.exchange_manager.exchange.FUNDING_WITH_MARK_PRICE
+
+    async def resume(self) -> None:
+        if not self._should_run():
+            return
+        await super().resume()
+        if not self.is_running:
+            await self.run()

octobot_trading/producers/positions_updater.py

@@ -18,9 +18,8 @@
 
 from ccxt.base.errors import NotSupported
 
-from octobot_trading.constants import POSITIONS_CHANNEL
 from octobot_trading.channels.positions import PositionsProducer
-from octobot_trading.enums import ExchangeConstantsOrderColumns
+from octobot_trading.constants import POSITIONS_CHANNEL
 
 
 class PositionsUpdater(PositionsProducer):