Update funding_fee freqtradebot test
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Matthias
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6948414e47
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17bd990053
@ -1851,7 +1851,9 @@ class Exchange:
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mark_comb: PairWithTimeframe = (
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pair, '1h', CandleType.from_string(self._ft_has["mark_ohlcv_price"]))
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# TODO-lev: funding_rate downloading this way is not yet possible.
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# TODO-lev: 1h seems arbitrary and generates a lot of "empty" lines
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# TODO-lev: probably a exchange-adjusted parameter would make more sense
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funding_comb: PairWithTimeframe = (pair, '1h', CandleType.FUNDING_RATE)
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candle_histories = self.refresh_latest_ohlcv(
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[mark_comb, funding_comb],
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@ -1863,7 +1865,7 @@ class Exchange:
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mark_rates = candle_histories[mark_comb]
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df = funding_rates.merge(mark_rates, on='date', how="inner", suffixes=["_fund", "_mark"])
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# TODO-lev: filter for relevant timeperiod?
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df = df[(df['date'] >= open_date) & (df['date'] <= close_date)]
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fees = sum(df['open_fund'] * df['open_mark'] * amount)
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return fees
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@ -3498,7 +3498,7 @@ def test__calculate_funding_fees(
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange)
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funding_fees = exchange._calculate_funding_fees('ADA/USDT', amount, d1, d2)
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assert pytest.approx(funding_fees, expected_fees)
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assert pytest.approx(funding_fees) == expected_fees
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@ pytest.mark.parametrize('exchange,expected_fees', [
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@ -9,6 +9,7 @@ from unittest.mock import ANY, MagicMock, PropertyMock
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import arrow
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import pytest
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from pandas import DataFrame
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from freqtrade.constants import CANCEL_REASON, MATH_CLOSE_PREC, UNLIMITED_STAKE_AMOUNT
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from freqtrade.enums import CandleType, RPCMessageType, RunMode, SellType, SignalDirection, State
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@ -4802,60 +4803,67 @@ def test_update_funding_fees(
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patch_exchange(mocker)
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default_conf['trading_mode'] = 'futures'
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default_conf['collateral'] = 'isolated'
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default_conf['dry_run'] = True
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timestamp_midnight = 1630454400000
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timestamp_eight = 1630483200000
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funding_rates_midnight = {
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"LTC/BTC": {
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timestamp_midnight: 0.00032583,
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},
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"ETH/BTC": {
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timestamp_midnight: 0.0001,
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},
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"XRP/BTC": {
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timestamp_midnight: 0.00049426,
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}
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}
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funding_rates_eight = {
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"LTC/BTC": {
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timestamp_midnight: 0.00032583,
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timestamp_eight: 0.00024472,
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},
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"ETH/BTC": {
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timestamp_midnight: 0.0001,
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timestamp_eight: 0.0001,
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},
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"XRP/BTC": {
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timestamp_midnight: 0.00049426,
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timestamp_eight: 0.00032715,
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}
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date_midnight = arrow.get('2021-09-01 00:00:00')
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date_eight = arrow.get('2021-09-01 08:00:00')
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date_sixteen = arrow.get('2021-09-01 16:00:00')
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columns = ['date', 'open', 'high', 'low', 'close', 'volume']
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# 16:00 entry is actually never used
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# But should be kept in the test to ensure we're filtering correctly.
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funding_rates = {
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"LTC/BTC":
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DataFrame([
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[date_midnight, 0.00032583, 0, 0, 0, 0],
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[date_eight, 0.00024472, 0, 0, 0, 0],
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[date_sixteen, 0.00024472, 0, 0, 0, 0],
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], columns=columns),
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"ETH/BTC":
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DataFrame([
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[date_midnight, 0.0001, 0, 0, 0, 0],
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[date_eight, 0.0001, 0, 0, 0, 0],
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[date_sixteen, 0.0001, 0, 0, 0, 0],
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], columns=columns),
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"XRP/BTC":
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DataFrame([
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[date_midnight, 0.00049426, 0, 0, 0, 0],
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[date_eight, 0.00032715, 0, 0, 0, 0],
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[date_sixteen, 0.00032715, 0, 0, 0, 0],
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], columns=columns)
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}
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mark_prices = {
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"LTC/BTC": {
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timestamp_midnight: 3.3,
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timestamp_eight: 3.2,
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},
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"ETH/BTC": {
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timestamp_midnight: 2.4,
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timestamp_eight: 2.5,
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},
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"XRP/BTC": {
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timestamp_midnight: 1.2,
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timestamp_eight: 1.2,
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}
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"LTC/BTC":
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DataFrame([
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[date_midnight, 3.3, 0, 0, 0, 0],
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[date_eight, 3.2, 0, 0, 0, 0],
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[date_sixteen, 3.2, 0, 0, 0, 0],
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], columns=columns),
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"ETH/BTC":
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DataFrame([
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[date_midnight, 2.4, 0, 0, 0, 0],
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[date_eight, 2.5, 0, 0, 0, 0],
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[date_sixteen, 2.5, 0, 0, 0, 0],
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], columns=columns),
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"XRP/BTC":
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DataFrame([
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[date_midnight, 1.2, 0, 0, 0, 0],
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[date_eight, 1.2, 0, 0, 0, 0],
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[date_sixteen, 1.2, 0, 0, 0, 0],
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], columns=columns)
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}
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mocker.patch(
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'freqtrade.exchange.Exchange._get_mark_price_history',
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side_effect=lambda pair, since: mark_prices[pair]
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)
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def refresh_latest_ohlcv_mock(pairlist, **kwargs):
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ret = {}
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for p, tf, ct in pairlist:
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if ct == CandleType.MARK:
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ret[(p, tf, ct)] = mark_prices[p]
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else:
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ret[(p, tf, ct)] = funding_rates[p]
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mocker.patch(
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'freqtrade.exchange.Exchange.get_funding_rate_history',
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side_effect=lambda pair, since: funding_rates_midnight[pair]
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)
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return ret
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mocker.patch('freqtrade.exchange.Exchange.refresh_latest_ohlcv',
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side_effect=refresh_latest_ohlcv_mock)
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mocker.patch.multiple(
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'freqtrade.exchange.Exchange',
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@ -4880,38 +4888,33 @@ def test_update_funding_fees(
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trades = Trade.get_open_trades()
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assert len(trades) == 3
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for trade in trades:
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assert trade.funding_fees == (
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assert pytest.approx(trade.funding_fees) == (
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trade.amount *
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mark_prices[trade.pair][timestamp_midnight] *
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funding_rates_midnight[trade.pair][timestamp_midnight]
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mark_prices[trade.pair].iloc[0]['open'] *
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funding_rates[trade.pair].iloc[0]['open']
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)
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mocker.patch('freqtrade.exchange.Exchange.create_order', return_value=open_exit_order)
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# create_mock_trades(fee, False)
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time_machine.move_to("2021-09-01 08:00:00 +00:00")
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mocker.patch(
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'freqtrade.exchange.Exchange.get_funding_rate_history',
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side_effect=lambda pair, since: funding_rates_eight[pair]
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)
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if schedule_off:
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for trade in trades:
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assert trade.funding_fees == (
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trade.amount *
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mark_prices[trade.pair][timestamp_midnight] *
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funding_rates_eight[trade.pair][timestamp_midnight]
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)
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freqtrade.execute_trade_exit(
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trade=trade,
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# The values of the next 2 params are irrelevant for this test
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limit=ticker_usdt_sell_up()['bid'],
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sell_reason=SellCheckTuple(sell_type=SellType.ROI)
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)
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assert trade.funding_fees == pytest.approx(sum(
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trade.amount *
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mark_prices[trade.pair].iloc[0:2]['open'] *
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funding_rates[trade.pair].iloc[0:2]['open']
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))
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else:
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freqtrade._schedule.run_pending()
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# Funding fees for 00:00 and 08:00
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for trade in trades:
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assert trade.funding_fees == sum([
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assert trade.funding_fees == pytest.approx(sum(
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trade.amount *
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mark_prices[trade.pair][time] *
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funding_rates_eight[trade.pair][time] for time in mark_prices[trade.pair].keys()
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])
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mark_prices[trade.pair].iloc[0:2]['open'] * funding_rates[trade.pair].iloc[0:2]['open']
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))
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