3. Commission schemes with funding fees for crypto futures
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Commission schemes with funding fees for crypto futures


  • 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!

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

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