Add test to show behavior reported in #7978

tests/optimize/test_backtesting.py

@@ -935,6 +935,75 @@ def test_backtest_one_detail_futures(
     # assert late_entry > 0
 
 
+@pytest.mark.parametrize('use_detail', [True, False])
+def test_backtest_one_detail_futures_funding_fees(
+        default_conf_usdt, fee, mocker, testdatadir, use_detail) -> None:
+    default_conf_usdt['use_exit_signal'] = False
+    default_conf_usdt['trading_mode'] = 'futures'
+    default_conf_usdt['margin_mode'] = 'isolated'
+    default_conf_usdt['candle_type_def'] = CandleType.FUTURES
+    default_conf_usdt['minimal_roi'] = {'0': 1}
+    default_conf_usdt['dry_run_wallet'] = 100000
+
+    mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
+    mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
+    mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
+    mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
+                 PropertyMock(return_value=['XRP/USDT:USDT']))
+    mocker.patch("freqtrade.exchange.Exchange.get_maintenance_ratio_and_amt",
+                 return_value=(0.01, 0.01))
+    default_conf_usdt['timeframe'] = '1h'
+    if use_detail:
+        default_conf_usdt['timeframe_detail'] = '5m'
+    patch_exchange(mocker)
+
+    def advise_entry(df, *args, **kwargs):
+        # Mock function to force several entries
+        df.loc[:, 'enter_long'] = 1
+        return df
+
+    def adjust_trade_position(trade, current_time, **kwargs):
+        if current_time > datetime(2021, 11, 18, 2, 0, 0, tzinfo=timezone.utc):
+            return None
+        return default_conf_usdt['stake_amount']
+
+    default_conf_usdt['max_open_trades'] = 1
+
+    backtesting = Backtesting(default_conf_usdt)
+    backtesting._set_strategy(backtesting.strategylist[0])
+    backtesting.strategy.populate_entry_trend = advise_entry
+    backtesting.strategy.adjust_trade_position = adjust_trade_position
+    backtesting.strategy.leverage = lambda **kwargs: 1
+    backtesting.strategy.position_adjustment_enable = True
+    pair = 'XRP/USDT:USDT'
+    # Pick a timerange adapted to the pair we use to test
+    timerange = TimeRange.parse_timerange('20211117-20211119')
+    data = history.load_data(datadir=Path(testdatadir), timeframe='1h', pairs=[pair],
+                             timerange=timerange, candle_type=CandleType.FUTURES)
+    backtesting.load_bt_data_detail()
+    processed = backtesting.strategy.advise_all_indicators(data)
+    min_date, max_date = get_timerange(processed)
+
+    result = backtesting.backtest(
+        processed=deepcopy(processed),
+        start_date=min_date,
+        end_date=max_date,
+    )
+    results = result['results']
+    assert not results.empty
+    # Only one result - as we're not selling.
+    assert len(results) == 1
+
+    assert 'orders' in results.columns
+
+    for t in Trade.trades:
+        # At least 4 adjustment orders
+        assert t.nr_of_successful_entries >= 6
+        # Funding fees will vary depending on the number of adjustment orders
+        # That number is a lot higher with detail data.
+        assert -20 < t.funding_fees < -0.1
+
+
 def test_backtest_timedout_entry_orders(default_conf, fee, mocker, testdatadir) -> None:
     # This strategy intentionally places unfillable orders.
     default_conf['strategy'] = 'StrategyTestV3CustomEntryPrice'