Merge pull request #6231 from freqtrade/funding_rate_backtest

Funding rate backtest
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Matthias 2022-01-27 17:01:28 +01:00 committed by GitHub
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13 changed files with 312 additions and 82 deletions

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@ -248,7 +248,7 @@ class IDataHandler(ABC):
timerange=timerange_startup,
candle_type=candle_type
)
if self._check_empty_df(pairdf, pair, timeframe, warn_no_data):
if self._check_empty_df(pairdf, pair, timeframe, candle_type, warn_no_data):
return pairdf
else:
enddate = pairdf.iloc[-1]['date']
@ -256,7 +256,7 @@ class IDataHandler(ABC):
if timerange_startup:
self._validate_pairdata(pair, pairdf, timeframe, candle_type, timerange_startup)
pairdf = trim_dataframe(pairdf, timerange_startup)
if self._check_empty_df(pairdf, pair, timeframe, warn_no_data):
if self._check_empty_df(pairdf, pair, timeframe, candle_type, warn_no_data):
return pairdf
# incomplete candles should only be dropped if we didn't trim the end beforehand.
@ -265,18 +265,19 @@ class IDataHandler(ABC):
fill_missing=fill_missing,
drop_incomplete=(drop_incomplete and
enddate == pairdf.iloc[-1]['date']))
self._check_empty_df(pairdf, pair, timeframe, warn_no_data)
self._check_empty_df(pairdf, pair, timeframe, candle_type, warn_no_data)
return pairdf
def _check_empty_df(self, pairdf: DataFrame, pair: str, timeframe: str, warn_no_data: bool):
def _check_empty_df(self, pairdf: DataFrame, pair: str, timeframe: str,
candle_type: CandleType, warn_no_data: bool):
"""
Warn on empty dataframe
"""
if pairdf.empty:
if warn_no_data:
logger.warning(
f'No history data for pair: "{pair}", timeframe: {timeframe}. '
'Use `freqtrade download-data` to download the data'
f"No history for {pair}, {candle_type}, {timeframe} found. "
"Use `freqtrade download-data` to download the data"
)
return True
return False

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@ -1830,25 +1830,6 @@ class Exchange:
else:
return 1.0
def _get_funding_fee(
self,
size: float,
funding_rate: float,
mark_price: float,
time_in_ratio: Optional[float] = None
) -> float:
"""
Calculates a single funding fee
:param size: contract size * number of contracts
:param mark_price: The price of the asset that the contract is based off of
:param funding_rate: the interest rate and the premium
- interest rate:
- premium: varies by price difference between the perpetual contract and mark price
:param time_in_ratio: Not used by most exchange classes
"""
nominal_value = mark_price * size
return nominal_value * funding_rate
@retrier
def _set_leverage(
self,
@ -1901,18 +1882,21 @@ class Exchange:
except ccxt.BaseError as e:
raise OperationalException(e) from e
def _calculate_funding_fees(
def _fetch_and_calculate_funding_fees(
self,
pair: str,
amount: float,
is_short: bool,
open_date: datetime,
close_date: Optional[datetime] = None
) -> float:
"""
calculates the sum of all funding fees that occurred for a pair during a futures trade
Fetches and calculates the sum of all funding fees that occurred for a pair
during a futures trade.
Only used during dry-run or if the exchange does not provide a funding_rates endpoint.
:param pair: The quote/base pair of the trade
:param amount: The quantity of the trade
:param is_short: trade direction
:param open_date: The date and time that the trade started
:param close_date: The date and time that the trade ended
"""
@ -1924,7 +1908,6 @@ class Exchange:
self._ft_has['mark_ohlcv_timeframe'])
open_date = timeframe_to_prev_date(timeframe, open_date)
fees: float = 0
if not close_date:
close_date = datetime.now(timezone.utc)
open_timestamp = int(open_date.timestamp()) * 1000
@ -1942,25 +1925,69 @@ class Exchange:
)
funding_rates = candle_histories[funding_comb]
mark_rates = candle_histories[mark_comb]
funding_mark_rates = self.combine_funding_and_mark(
funding_rates=funding_rates, mark_rates=mark_rates)
return self.calculate_funding_fees(
funding_mark_rates,
amount=amount,
is_short=is_short,
open_date=open_date,
close_date=close_date
)
@staticmethod
def combine_funding_and_mark(funding_rates: DataFrame, mark_rates: DataFrame) -> DataFrame:
"""
Combine funding-rates and mark-rates dataframes
:param funding_rates: Dataframe containing Funding rates (Type FUNDING_RATE)
:param mark_rates: Dataframe containing Mark rates (Type mark_ohlcv_price)
"""
return funding_rates.merge(mark_rates, on='date', how="inner", suffixes=["_fund", "_mark"])
def calculate_funding_fees(
self,
df: DataFrame,
amount: float,
is_short: bool,
open_date: datetime,
close_date: Optional[datetime] = None,
time_in_ratio: Optional[float] = None
) -> float:
"""
calculates the sum of all funding fees that occurred for a pair during a futures trade
:param df: Dataframe containing combined funding and mark rates
as `open_fund` and `open_mark`.
:param amount: The quantity of the trade
:param is_short: trade direction
:param open_date: The date and time that the trade started
:param close_date: The date and time that the trade ended
:param time_in_ratio: Not used by most exchange classes
"""
fees: float = 0
df = funding_rates.merge(mark_rates, on='date', how="inner", suffixes=["_fund", "_mark"])
if not df.empty:
df = df[(df['date'] >= open_date) & (df['date'] <= close_date)]
fees = sum(df['open_fund'] * df['open_mark'] * amount)
return fees
# Negate fees for longs as funding_fees expects it this way based on live endpoints.
return fees if is_short else -fees
def get_funding_fees(self, pair: str, amount: float, open_date: datetime) -> float:
def get_funding_fees(
self, pair: str, amount: float, is_short: bool, open_date: datetime) -> float:
"""
Fetch funding fees, either from the exchange (live) or calculates them
based on funding rate/mark price history
:param pair: The quote/base pair of the trade
:param is_short: trade direction
:param amount: Trade amount
:param open_date: Open date of the trade
"""
if self.trading_mode == TradingMode.FUTURES:
if self._config['dry_run']:
funding_fees = self._calculate_funding_fees(pair, amount, open_date)
funding_fees = self._fetch_and_calculate_funding_fees(
pair, amount, is_short, open_date)
else:
funding_fees = self._get_funding_fees_from_exchange(pair, open_date)
return funding_fees

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@ -1,8 +1,10 @@
""" Kraken exchange subclass """
import logging
from datetime import datetime
from typing import Any, Dict, List, Optional, Tuple
import ccxt
from pandas import DataFrame
from freqtrade.enums import Collateral, TradingMode
from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException,
@ -157,11 +159,13 @@ class Kraken(Exchange):
params['leverage'] = leverage
return params
def _get_funding_fee(
def calculate_funding_fees(
self,
size: float,
funding_rate: float,
mark_price: float,
df: DataFrame,
amount: float,
is_short: bool,
open_date: datetime,
close_date: Optional[datetime] = None,
time_in_ratio: Optional[float] = None
) -> float:
"""
@ -169,16 +173,22 @@ class Kraken(Exchange):
# ! passed to _get_funding_fee. For kraken futures to work in dry run and backtesting
# ! functionality must be added that passes the parameter time_in_ratio to
# ! _get_funding_fee when using Kraken
Calculates a single funding fee
:param size: contract size * number of contracts
:param mark_price: The price of the asset that the contract is based off of
:param funding_rate: the interest rate and the premium
- interest rate:
- premium: varies by price difference between the perpetual contract and mark price
:param time_in_ratio: time elapsed within funding period without position alteration
calculates the sum of all funding fees that occurred for a pair during a futures trade
:param df: Dataframe containing combined funding and mark rates
as `open_fund` and `open_mark`.
:param amount: The quantity of the trade
:param is_short: trade direction
:param open_date: The date and time that the trade started
:param close_date: The date and time that the trade ended
:param time_in_ratio: Not used by most exchange classes
"""
if not time_in_ratio:
raise OperationalException(
f"time_in_ratio is required for {self.name}._get_funding_fee")
nominal_value = mark_price * size
return nominal_value * funding_rate * time_in_ratio
fees: float = 0
if not df.empty:
df = df[(df['date'] >= open_date) & (df['date'] <= close_date)]
fees = sum(df['open_fund'] * df['open_mark'] * amount * time_in_ratio)
return fees if is_short else -fees

View File

@ -273,9 +273,10 @@ class FreqtradeBot(LoggingMixin):
trades = Trade.get_open_trades()
for trade in trades:
funding_fees = self.exchange.get_funding_fees(
trade.pair,
trade.amount,
trade.open_date
pair=trade.pair,
amount=trade.amount,
is_short=trade.is_short,
open_date=trade.open_date
)
trade.funding_fees = funding_fees
else:
@ -741,7 +742,8 @@ class FreqtradeBot(LoggingMixin):
# Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
open_date = datetime.now(timezone.utc)
funding_fees = self.exchange.get_funding_fees(pair, amount, open_date)
funding_fees = self.exchange.get_funding_fees(
pair=pair, amount=amount, is_short=is_short, open_date=open_date)
# This is a new trade
if trade is None:
trade = Trade(
@ -1379,9 +1381,10 @@ class FreqtradeBot(LoggingMixin):
:return: True if it succeeds (supported) False (not supported)
"""
trade.funding_fees = self.exchange.get_funding_fees(
trade.pair,
trade.amount,
trade.open_date
pair=trade.pair,
amount=trade.amount,
is_short=trade.is_short,
open_date=trade.open_date,
)
exit_type = 'sell'
if sell_reason.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):

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@ -154,6 +154,7 @@ class Backtesting:
else:
self.timeframe_detail_min = 0
self.detail_data: Dict[str, DataFrame] = {}
self.futures_data: Dict[str, DataFrame] = {}
def init_backtest(self):
@ -233,6 +234,37 @@ class Backtesting:
)
else:
self.detail_data = {}
if self.trading_mode == TradingMode.FUTURES:
# Load additional futures data.
funding_rates_dict = history.load_data(
datadir=self.config['datadir'],
pairs=self.pairlists.whitelist,
timeframe=self.exchange._ft_has['mark_ohlcv_timeframe'],
timerange=self.timerange,
startup_candles=0,
fail_without_data=True,
data_format=self.config.get('dataformat_ohlcv', 'json'),
candle_type=CandleType.FUNDING_RATE
)
# For simplicity, assign to CandleType.Mark (might contian index candles!)
mark_rates_dict = history.load_data(
datadir=self.config['datadir'],
pairs=self.pairlists.whitelist,
timeframe=self.exchange._ft_has['mark_ohlcv_timeframe'],
timerange=self.timerange,
startup_candles=0,
fail_without_data=True,
data_format=self.config.get('dataformat_ohlcv', 'json'),
candle_type=CandleType.from_string(self.exchange._ft_has["mark_ohlcv_price"])
)
# Combine data to avoid combining the data per trade.
for pair in self.pairlists.whitelist:
self.futures_data[pair] = funding_rates_dict[pair].merge(
mark_rates_dict[pair], on='date', how="inner", suffixes=["_fund", "_mark"])
else:
self.futures_data = {}
def prepare_backtest(self, enable_protections):
"""
@ -399,15 +431,12 @@ class Backtesting:
def _get_sell_trade_entry_for_candle(self, trade: LocalTrade,
sell_row: Tuple) -> Optional[LocalTrade]:
# TODO-lev: add interest / funding fees to trade object ->
# Must be done either here, or one level higher ->
# (if we don't want to do it at "detail" level)
# Check if we need to adjust our current positions
if self.strategy.position_adjustment_enable:
trade = self._get_adjust_trade_entry_for_candle(trade, sell_row)
sell_candle_time = sell_row[DATE_IDX].to_pydatetime()
sell_candle_time: datetime = sell_row[DATE_IDX].to_pydatetime()
enter = sell_row[SHORT_IDX] if trade.is_short else sell_row[LONG_IDX]
exit_ = sell_row[ESHORT_IDX] if trade.is_short else sell_row[ELONG_IDX]
sell = self.strategy.should_exit(
@ -460,8 +489,19 @@ class Backtesting:
return None
def _get_sell_trade_entry(self, trade: LocalTrade, sell_row: Tuple) -> Optional[LocalTrade]:
sell_candle_time: datetime = sell_row[DATE_IDX].to_pydatetime()
if self.trading_mode == TradingMode.FUTURES:
# TODO-lev: Other fees / liquidation price?
trade.funding_fees = self.exchange.calculate_funding_fees(
self.futures_data[trade.pair],
amount=trade.amount,
is_short=trade.is_short,
open_date=trade.open_date_utc,
close_date=sell_candle_time,
)
if self.timeframe_detail and trade.pair in self.detail_data:
sell_candle_time = sell_row[DATE_IDX].to_pydatetime()
sell_candle_end = sell_candle_time + timedelta(minutes=self.timeframe_min)
detail_data = self.detail_data[trade.pair]
@ -549,7 +589,7 @@ class Backtesting:
return None
if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount):
amount = round(stake_amount / propose_rate, 8)
amount = round((stake_amount / propose_rate) * leverage, 8)
if trade is None:
# Enter trade
has_buy_tag = len(row) >= ENTER_TAG_IDX + 1
@ -558,13 +598,14 @@ class Backtesting:
open_rate=propose_rate,
open_date=current_time,
stake_amount=stake_amount,
amount=round((stake_amount / propose_rate) * leverage, 8),
amount=amount,
fee_open=self.fee,
fee_close=self.fee,
is_open=True,
enter_tag=row[ENTER_TAG_IDX] if has_buy_tag else None,
exchange=self._exchange_name,
is_short=(direction == 'short'),
trading_mode=self.trading_mode,
leverage=leverage,
orders=[]
)

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@ -1372,10 +1372,10 @@ def test_start_list_data(testdatadir, capsys):
start_list_data(pargs)
captured = capsys.readouterr()
assert "Found 3 pair / timeframe combinations." in captured.out
assert "Found 5 pair / timeframe combinations." in captured.out
assert "\n| Pair | Timeframe | Type |\n" in captured.out
assert "\n| XRP/USDT | 1h | futures |\n" in captured.out
assert "\n| XRP/USDT | 1h | mark |\n" in captured.out
assert "\n| XRP/USDT | 1h, 8h | mark |\n" in captured.out
@pytest.mark.usefixtures("init_persistence")

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@ -81,7 +81,7 @@ def test_load_data_7min_timeframe(mocker, caplog, default_conf, testdatadir) ->
assert isinstance(ld, DataFrame)
assert ld.empty
assert log_has(
'No history data for pair: "UNITTEST/BTC", timeframe: 7m. '
'No history for UNITTEST/BTC, spot, 7m found. '
'Use `freqtrade download-data` to download the data', caplog
)
@ -138,8 +138,8 @@ def test_load_data_with_new_pair_1min(ohlcv_history_list, mocker, caplog,
load_pair_history(datadir=tmpdir1, timeframe='1m', pair='MEME/BTC', candle_type=candle_type)
assert not file.is_file()
assert log_has(
'No history data for pair: "MEME/BTC", timeframe: 1m. '
'Use `freqtrade download-data` to download the data', caplog
f"No history for MEME/BTC, {candle_type}, 1m found. "
"Use `freqtrade download-data` to download the data", caplog
)
# download a new pair if refresh_pairs is set
@ -744,6 +744,8 @@ def test_datahandler_ohlcv_get_available_data(testdatadir):
('UNITTEST/USDT', '1h', 'mark'),
('XRP/USDT', '1h', 'futures'),
('XRP/USDT', '1h', 'mark'),
('XRP/USDT', '8h', 'mark'),
('XRP/USDT', '8h', 'funding_rate'),
}
paircombs = JsonGzDataHandler.ohlcv_get_available_data(testdatadir, 'spot')

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@ -280,7 +280,8 @@ class TestCCXTExchange():
pair = EXCHANGES[exchangename].get('futures_pair', EXCHANGES[exchangename]['pair'])
since = datetime.now(timezone.utc) - timedelta(days=5)
funding_fee = exchange._calculate_funding_fees(pair, 20, open_date=since)
funding_fee = exchange._fetch_and_calculate_funding_fees(
pair, 20, is_short=False, open_date=since)
assert isinstance(funding_fee, float)
# assert funding_fee > 0

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@ -3540,7 +3540,7 @@ def test_get_max_leverage(default_conf, mocker, pair, nominal_value, max_lev):
(10, 0.0002, 2.0, 0.01, 0.004, 0.00004),
(10, 0.0002, 2.5, None, 0.005, None),
])
def test__get_funding_fee(
def test_calculate_funding_fees(
default_conf,
mocker,
size,
@ -3552,14 +3552,47 @@ def test__get_funding_fee(
):
exchange = get_patched_exchange(mocker, default_conf)
kraken = get_patched_exchange(mocker, default_conf, id="kraken")
prior_date = timeframe_to_prev_date('1h', datetime.now(timezone.utc) - timedelta(hours=1))
trade_date = timeframe_to_prev_date('1h', datetime.now(timezone.utc))
funding_rates = DataFrame([
{'date': prior_date, 'open': funding_rate}, # Line not used.
{'date': trade_date, 'open': funding_rate},
])
mark_rates = DataFrame([
{'date': prior_date, 'open': mark_price},
{'date': trade_date, 'open': mark_price},
])
df = exchange.combine_funding_and_mark(funding_rates, mark_rates)
assert exchange._get_funding_fee(size, funding_rate, mark_price, time_in_ratio) == funding_fee
assert exchange.calculate_funding_fees(
df,
amount=size,
is_short=True,
open_date=trade_date,
close_date=trade_date,
time_in_ratio=time_in_ratio,
) == funding_fee
if (kraken_fee is None):
with pytest.raises(OperationalException):
kraken._get_funding_fee(size, funding_rate, mark_price, time_in_ratio)
kraken.calculate_funding_fees(
df,
amount=size,
is_short=True,
open_date=trade_date,
close_date=trade_date,
time_in_ratio=time_in_ratio,
)
else:
assert kraken._get_funding_fee(size, funding_rate, mark_price, time_in_ratio) == kraken_fee
assert kraken.calculate_funding_fees(
df,
amount=size,
is_short=True,
open_date=trade_date,
close_date=trade_date,
time_in_ratio=time_in_ratio,
) == kraken_fee
@pytest.mark.parametrize('exchange,rate_start,rate_end,d1,d2,amount,expected_fees', [
@ -3588,7 +3621,7 @@ def test__get_funding_fee(
# ('kraken', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0024895),
('ftx', 0, 9, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, 0.0016680000000000002),
])
def test__calculate_funding_fees(
def test__fetch_and_calculate_funding_fees(
mocker,
default_conf,
funding_rate_history_hourly,
@ -3651,15 +3684,20 @@ def test__calculate_funding_fees(
type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True})
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange)
funding_fees = exchange._calculate_funding_fees('ADA/USDT', amount, d1, d2)
funding_fees = exchange._fetch_and_calculate_funding_fees(
pair='ADA/USDT', amount=amount, is_short=True, open_date=d1, close_date=d2)
assert pytest.approx(funding_fees) == expected_fees
# Fees for Longs are inverted
funding_fees = exchange._fetch_and_calculate_funding_fees(
pair='ADA/USDT', amount=amount, is_short=False, open_date=d1, close_date=d2)
assert pytest.approx(funding_fees) == -expected_fees
@pytest.mark.parametrize('exchange,expected_fees', [
('binance', -0.0009140999999999999),
('gateio', -0.0009140999999999999),
])
def test__calculate_funding_fees_datetime_called(
def test__fetch_and_calculate_funding_fees_datetime_called(
mocker,
default_conf,
funding_rate_history_octohourly,
@ -3679,7 +3717,8 @@ def test__calculate_funding_fees_datetime_called(
d1 = datetime.strptime("2021-09-01 00:00:00 +0000", '%Y-%m-%d %H:%M:%S %z')
time_machine.move_to("2021-09-01 08:00:00 +00:00")
funding_fees = exchange._calculate_funding_fees('ADA/USDT', 30.0, d1)
# TODO-lev: test this for longs
funding_fees = exchange._fetch_and_calculate_funding_fees('ADA/USDT', 30.0, True, d1)
assert funding_fees == expected_fees

View File

@ -1169,6 +1169,108 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
assert 'STRATEGY SUMMARY' in captured.out
@pytest.mark.filterwarnings("ignore:deprecated")
def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
caplog, testdatadir, capsys):
# Tests detail-data loading
default_conf_usdt.update({
"trading_mode": "futures",
"collateral": "isolated",
"use_sell_signal": True,
"sell_profit_only": False,
"sell_profit_offset": 0.0,
"ignore_roi_if_buy_signal": False,
"strategy": CURRENT_TEST_STRATEGY,
})
patch_exchange(mocker)
result1 = pd.DataFrame({'pair': ['XRP/USDT', 'XRP/USDT'],
'profit_ratio': [0.0, 0.0],
'profit_abs': [0.0, 0.0],
'open_date': pd.to_datetime(['2021-11-18 18:00:00',
'2021-11-18 03:00:00', ], utc=True
),
'close_date': pd.to_datetime(['2021-11-18 20:00:00',
'2021-11-18 05:00:00', ], utc=True),
'trade_duration': [235, 40],
'is_open': [False, False],
'is_short': [False, False],
'stake_amount': [0.01, 0.01],
'open_rate': [0.104445, 0.10302485],
'close_rate': [0.104969, 0.103541],
'sell_reason': [SellType.ROI, SellType.ROI]
})
result2 = pd.DataFrame({'pair': ['XRP/USDT', 'XRP/USDT', 'XRP/USDT'],
'profit_ratio': [0.03, 0.01, 0.1],
'profit_abs': [0.01, 0.02, 0.2],
'open_date': pd.to_datetime(['2021-11-19 18:00:00',
'2021-11-19 03:00:00',
'2021-11-19 05:00:00'], utc=True
),
'close_date': pd.to_datetime(['2021-11-19 20:00:00',
'2021-11-19 05:00:00',
'2021-11-19 08:00:00'], utc=True),
'trade_duration': [47, 40, 20],
'is_open': [False, False, False],
'is_short': [False, False, False],
'stake_amount': [0.01, 0.01, 0.01],
'open_rate': [0.104445, 0.10302485, 0.122541],
'close_rate': [0.104969, 0.103541, 0.123541],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
})
backtestmock = MagicMock(side_effect=[
{
'results': result1,
'config': default_conf_usdt,
'locks': [],
'rejected_signals': 20,
'final_balance': 1000,
},
{
'results': result2,
'config': default_conf_usdt,
'locks': [],
'rejected_signals': 20,
'final_balance': 1000,
}
])
mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['XRP/USDT']))
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
patched_configuration_load_config_file(mocker, default_conf_usdt)
args = [
'backtesting',
'--config', 'config.json',
'--datadir', str(testdatadir),
'--strategy-path', str(Path(__file__).parents[1] / 'strategy/strats'),
'--timeframe', '1h',
]
args = get_args(args)
start_backtesting(args)
# check the logs, that will contain the backtest result
exists = [
'Parameter -i/--timeframe detected ... Using timeframe: 1h ...',
f'Using data directory: {testdatadir} ...',
'Loading data from 2021-11-17 01:00:00 '
'up to 2021-11-21 03:00:00 (4 days).',
'Backtesting with data from 2021-11-17 21:00:00 '
'up to 2021-11-21 03:00:00 (3 days).',
'XRP/USDT, funding_rate, 8h, data starts at 2021-11-18 00:00:00',
'XRP/USDT, mark, 8h, data starts at 2021-11-18 00:00:00',
f'Running backtesting for Strategy {CURRENT_TEST_STRATEGY}',
]
for line in exists:
assert log_has(line, caplog)
captured = capsys.readouterr()
assert 'BACKTESTING REPORT' in captured.out
assert 'SELL REASON STATS' in captured.out
assert 'LEFT OPEN TRADES REPORT' in captured.out
@pytest.mark.filterwarnings("ignore:deprecated")
def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
caplog, testdatadir, capsys):

View File

@ -4901,17 +4901,17 @@ def test_update_funding_fees(
freqtrade = get_patched_freqtradebot(mocker, default_conf)
# initial funding fees,
freqtrade.execute_entry('ETH/BTC', 123)
freqtrade.execute_entry('LTC/BTC', 2.0)
freqtrade.execute_entry('XRP/BTC', 123)
freqtrade.execute_entry('ETH/BTC', 123, is_short=is_short)
freqtrade.execute_entry('LTC/BTC', 2.0, is_short=is_short)
freqtrade.execute_entry('XRP/BTC', 123, is_short=is_short)
multipl = 1 if is_short else -1
trades = Trade.get_open_trades()
assert len(trades) == 3
for trade in trades:
assert pytest.approx(trade.funding_fees) == (
trade.amount *
mark_prices[trade.pair].iloc[0]['open'] *
funding_rates[trade.pair].iloc[0]['open']
funding_rates[trade.pair].iloc[0]['open'] * multipl
)
mocker.patch('freqtrade.exchange.Exchange.create_order', return_value=open_exit_order)
time_machine.move_to("2021-09-01 08:00:00 +00:00")
@ -4926,7 +4926,7 @@ def test_update_funding_fees(
assert trade.funding_fees == pytest.approx(sum(
trade.amount *
mark_prices[trade.pair].iloc[0:2]['open'] *
funding_rates[trade.pair].iloc[0:2]['open']
funding_rates[trade.pair].iloc[0:2]['open'] * multipl
))
else:
@ -4936,7 +4936,9 @@ def test_update_funding_fees(
for trade in trades:
assert trade.funding_fees == pytest.approx(sum(
trade.amount *
mark_prices[trade.pair].iloc[0:2]['open'] * funding_rates[trade.pair].iloc[0:2]['open']
mark_prices[trade.pair].iloc[0:2]['open'] *
funding_rates[trade.pair].iloc[0:2]['open'] *
multipl
))

View File

@ -0,0 +1 @@
[[1637193600017,0.0001,0.0,0.0,0.0,0.0],[1637222400007,0.0001,0.0,0.0,0.0,0.0],[1637251200011,0.0001,0.0,0.0,0.0,0.0],[1637280000000,0.0001,0.0,0.0,0.0,0.0],[1637308800000,0.0001,0.0,0.0,0.0,0.0],[1637337600005,0.0001,0.0,0.0,0.0,0.0],[1637366400012,0.00013046,0.0,0.0,0.0,0.0],[1637395200000,0.0001,0.0,0.0,0.0,0.0],[1637424000007,0.0001,0.0,0.0,0.0,0.0],[1637452800000,0.00013862,0.0,0.0,0.0,0.0],[1637481600006,0.0001,0.0,0.0,0.0,0.0],[1637510400000,0.00019881,0.0,0.0,0.0,0.0],[1637539200004,0.00013991,0.0,0.0,0.0,0.0],[1637568000000,0.0001,0.0,0.0,0.0,0.0],[1637596800000,0.0001,0.0,0.0,0.0,0.0],[1637625600004,0.0001,0.0,0.0,0.0,0.0],[1637654400010,0.0001,0.0,0.0,0.0,0.0],[1637683200005,0.00017402,0.0,0.0,0.0,0.0],[1637712000001,0.00016775,0.0,0.0,0.0,0.0],[1637740800003,0.00033523,0.0,0.0,0.0,0.0],[1637769600010,0.0001,0.0,0.0,0.0,0.0],[1637798400000,0.00020066,0.0,0.0,0.0,0.0],[1637827200010,0.00034381,0.0,0.0,0.0,0.0],[1637856000000,0.00032096,0.0,0.0,0.0,0.0],[1637884800000,0.00058316,0.0,0.0,0.0,0.0],[1637913600000,0.0001646,0.0,0.0,0.0,0.0],[1637942400016,0.0001,0.0,0.0,0.0,0.0],[1637971200005,0.0001,0.0,0.0,0.0,0.0],[1638000000008,0.0001,0.0,0.0,0.0,0.0],[1638028800007,0.0001,0.0,0.0,0.0,0.0],[1638057600018,0.0001,0.0,0.0,0.0,0.0],[1638086400000,0.0001,0.0,0.0,0.0,0.0],[1638115200004,0.0001,0.0,0.0,0.0,0.0],[1638144000002,0.0001,0.0,0.0,0.0,0.0],[1638172800004,0.0001,0.0,0.0,0.0,0.0],[1638201600000,0.0001,0.0,0.0,0.0,0.0],[1638230400000,0.0001,0.0,0.0,0.0,0.0],[1638259200006,0.0001,0.0,0.0,0.0,0.0],[1638288000000,0.0001,0.0,0.0,0.0,0.0],[1638316800000,0.0001,0.0,0.0,0.0,0.0],[1638345600000,0.0001,0.0,0.0,0.0,0.0],[1638374400001,0.0001,0.0,0.0,0.0,0.0],[1638403200000,0.0001,0.0,0.0,0.0,0.0],[1638432000007,0.0001,0.0,0.0,0.0,0.0],[1638460800008,0.0001,0.0,0.0,0.0,0.0],[1638489600004,0.0001,0.0,0.0,0.0,0.0],[1638518400002,0.0001,0.0,0.0,0.0,0.0],[1638547200006,0.0001,0.0,0.0,0.0,0.0],[1638576000006,0.0001,0.0,0.0,0.0,0.0],[1638604800004,-0.00219334,0.0,0.0,0.0,0.0],[1638633600000,0.0001,0.0,0.0,0.0,0.0],[1638662400003,0.00006147,0.0,0.0,0.0,0.0],[1638691200008,0.0001,0.0,0.0,0.0,0.0],[1638720000007,0.0001,0.0,0.0,0.0,0.0],[1638748800009,0.0001,0.0,0.0,0.0,0.0],[1638777600001,0.0001,0.0,0.0,0.0,0.0],[1638806400000,0.0001,0.0,0.0,0.0,0.0],[1638835200018,0.0001,0.0,0.0,0.0,0.0],[1638864000000,0.0001,0.0,0.0,0.0,0.0],[1638892800000,0.0001,0.0,0.0,0.0,0.0],[1638921600000,0.0001,0.0,0.0,0.0,0.0],[1638950400018,0.0001,0.0,0.0,0.0,0.0],[1638979200010,0.0001,0.0,0.0,0.0,0.0],[1639008000010,0.0001,0.0,0.0,0.0,0.0],[1639036800000,0.0001,0.0,0.0,0.0,0.0],[1639065600000,0.0001,0.0,0.0,0.0,0.0],[1639094400000,0.0001,0.0,0.0,0.0,0.0],[1639123200008,0.0001,0.0,0.0,0.0,0.0],[1639152000012,0.00008995,0.0,0.0,0.0,0.0],[1639180800009,0.0001,0.0,0.0,0.0,0.0],[1639209600008,-0.00002574,0.0,0.0,0.0,0.0],[1639238400000,-0.00002024,0.0,0.0,0.0,0.0],[1639267200001,-0.00008282,0.0,0.0,0.0,0.0],[1639296000015,0.0001,0.0,0.0,0.0,0.0],[1639324800011,0.00008752,0.0,0.0,0.0,0.0],[1639353600006,0.0001,0.0,0.0,0.0,0.0],[1639382400019,0.0001,0.0,0.0,0.0,0.0],[1639411200000,0.0001,0.0,0.0,0.0,0.0],[1639440000004,0.00007825,0.0,0.0,0.0,0.0],[1639468800000,0.00007108,0.0,0.0,0.0,0.0],[1639497600015,0.0001,0.0,0.0,0.0,0.0],[1639526400000,0.0001,0.0,0.0,0.0,0.0],[1639555200008,0.0001,0.0,0.0,0.0,0.0],[1639584000005,0.0001,0.0,0.0,0.0,0.0],[1639612800006,0.0001,0.0,0.0,0.0,0.0],[1639641600009,0.0001,0.0,0.0,0.0,0.0],[1639670400000,0.0001,0.0,0.0,0.0,0.0],[1639699200000,0.0001,0.0,0.0,0.0,0.0],[1639728000005,0.0001,0.0,0.0,0.0,0.0],[1639756800006,0.0001,0.0,0.0,0.0,0.0],[1639785600014,0.0001,0.0,0.0,0.0,0.0]]

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