wehub-resource-sync
101 lines
3.9 KiB
C#
101 lines
3.9 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*
|
|
*/
|
|
|
|
using System;
|
|
using QuantConnect.Data.Market;
|
|
|
|
namespace QuantConnect.Securities.CryptoFuture
|
|
{
|
|
/// <summary>
|
|
/// The responsability of this model is to apply future funding rate cash flows to the portfolio based on open positions
|
|
/// </summary>
|
|
public class BinanceFutureMarginInterestRateModel : IMarginInterestRateModel
|
|
{
|
|
private DateTime _nextFundingRateApplication = DateTime.MaxValue;
|
|
|
|
/// <summary>
|
|
/// Apply margin interest rates to the portfolio
|
|
/// </summary>
|
|
/// <param name="marginInterestRateParameters">The parameters to use</param>
|
|
public void ApplyMarginInterestRate(MarginInterestRateParameters marginInterestRateParameters)
|
|
{
|
|
var security = marginInterestRateParameters.Security;
|
|
var time = marginInterestRateParameters.Time;
|
|
var cryptoFuture = (CryptoFuture)security;
|
|
if (!cryptoFuture.Invested)
|
|
{
|
|
// nothing to do
|
|
_nextFundingRateApplication = DateTime.MaxValue;
|
|
return;
|
|
}
|
|
else if (_nextFundingRateApplication == DateTime.MaxValue)
|
|
{
|
|
// we opened a new position
|
|
_nextFundingRateApplication = GetNextFundingRateApplication(time);
|
|
}
|
|
|
|
var marginInterest = cryptoFuture.Cache.GetData<MarginInterestRate>();
|
|
if(marginInterest == null)
|
|
{
|
|
return;
|
|
}
|
|
|
|
while(time >= _nextFundingRateApplication)
|
|
{
|
|
// When the funding rate is positive, the price of the perpetual contract is higher than the mark price,
|
|
// thus, traders who are long pay for short positions. Conversely, a negative funding rate indicates that perpetual
|
|
// prices are below the mark price, which means that short positions pay for longs.
|
|
// Funding Amount = Nominal Value of Positions * Funding Rate
|
|
|
|
var holdings = cryptoFuture.Holdings;
|
|
|
|
var positionValue = cryptoFuture.Holdings.GetQuantityValue(holdings.Quantity);
|
|
|
|
var funding = marginInterest.InterestRate * positionValue.Amount;
|
|
|
|
funding *= -1;
|
|
// '* -1' because:
|
|
// - we pay when 'funding' positive:
|
|
// long position & positive rate
|
|
// short position & negative rate
|
|
// - we ear when 'funding' negative:
|
|
// long position & negative rate
|
|
// short position & positive rate
|
|
positionValue.Cash.AddAmount(funding);
|
|
|
|
_nextFundingRateApplication = GetNextFundingRateApplication(_nextFundingRateApplication);
|
|
}
|
|
}
|
|
|
|
private static DateTime GetNextFundingRateApplication(DateTime currentTime)
|
|
{
|
|
if(currentTime.Hour >= 16)
|
|
{
|
|
// tomorrow 00:00
|
|
return currentTime.Date.AddDays(1);
|
|
}
|
|
else if (currentTime.Hour >= 8)
|
|
{
|
|
return currentTime.Date.AddHours(16);
|
|
}
|
|
else
|
|
{
|
|
return currentTime.Date.AddHours(8);
|
|
}
|
|
}
|
|
}
|
|
}
|