Commission schemes with funding fees for crypto futures

toinou222

Hi all,

I read the docs about custom commission schemes and credit interest but not sure I understand it correctly.

Some context: I'm trading on crypto exchange Binance on BTCUSDT futures market, my strategy use 4h data to compute long and short signal. Binance has a funding fee that has to be paid if a position is open at 0-8-16h00 and is approximatly 0.03% daily (0.01% per funding interval) + a premium (that I will ignore)

"Binance uses a flat interest rate component, with the assumption that holding cash equivalent returns a higher interest than BTC equivalent. The difference is stipulated to be 0.03% per day by default (0.01% per funding interval since funding occurs every 8 hours)"

import backtrader as bt

class MyCommissionInfo(bt.CommInfo):
    def _get_credit_interest(self, size, price, days, dt0, dt1):
        '''
        This method returns  the cost in terms of credit interest charged by
        the broker.

        In the case of ``size > 0`` this method will only be called if the
        parameter to the class ``interest_long`` is ``True``

        The formulat for the calculation of the credit interest rate is:

          The formula: ``days * price * abs(size) * (interest / 365)``


        Params:
          - ``data``: data feed for which interest is charged

          - ``size``: current position size. > 0 for long positions and < 0 for
            short positions (this parameter will not be ``0``)

          - ``price``: current position price

          - ``days``: number of days elapsed since last credit calculation
            (this is (dt0 - dt1).days)

          - ``dt0``: (datetime.datetime) current datetime

          - ``dt1``: (datetime.datetime) datetime of previous calculation

        ``dt0`` and ``dt1`` are not used in the default implementation and are
        provided as extra input for overridden methods
        '''

    return days * abs(size) * price * (self.p.interest / 365.0)

Not sure how to modify this to have what I want.

Thanks for your help and let me know if more informations are needed!

toinou222

I forgot to mention that there is also a trading fee for opening and closing a trade of 0.04%

toinou222

Nobody's trying to do the same? No one's backtesting on crypto futures?
Would really appreciate some help here
Thanks

konichuvak

@toinou222 instead of modifying the commission scheme you can simply increment the value of the account with every funding.

    dt = self.datetime.datetime()

    if not self.position.size:
        # Entry logic
        ...
    else:
        # Collect funding
        rate = self.data._dataname.loc[dt].funding
        if not np.isnan(rate):
           funding = -self.position.size * rate
           self.broker.add_cash(funding)
           
       # Exit logic
       ...

Here I am assuming that you are using Pandas DataFeed and there exists a funding column in it with NaNs everywhere except at 0-8-16h. You can pull the historical data using Binance's API endpoint.