From 2df42a3035902028dfbe50839cd685be78f2e0c9 Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Sat, 21 May 2022 08:50:39 +0200
Subject: [PATCH] Move "funding fillup" logic to exchange class

---
 freqtrade/exchange/exchange.py    | 23 +++++++++++++++++++++--
 freqtrade/optimize/backtesting.py | 29 +++++------------------------
 2 files changed, 26 insertions(+), 26 deletions(-)

diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py
index 65d9909c6..9372c77b7 100644
--- a/freqtrade/exchange/exchange.py
+++ b/freqtrade/exchange/exchange.py
@@ -2413,14 +2413,33 @@ class Exchange:
         )
 
     @staticmethod
-    def combine_funding_and_mark(funding_rates: DataFrame, mark_rates: DataFrame) -> DataFrame:
+    def combine_funding_and_mark(funding_rates: DataFrame, mark_rates: DataFrame,
+                                 futures_funding_rate: Optional[int] = None) -> 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)
+        :param futures_funding_rate: Fake funding rate to use if funding_rates are not available
         """
+        if futures_funding_rate is None:
+            return mark_rates.merge(
+                funding_rates, on='date', how="inner", suffixes=["_mark", "_fund"])
+        else:
+            if len(funding_rates) == 0:
+                # No funding rate candles - full fillup with fallback variable
+                mark_rates['open_fund'] = futures_funding_rate
+                return mark_rates.rename(
+                        columns={'open': 'open_mark',
+                                 'close': 'close_mark',
+                                 'high': 'high_mark',
+                                 'low': 'low_mark',
+                                 'volume': 'volume_mark'})
 
-        return mark_rates.merge(funding_rates, on='date', how="inner", suffixes=["_mark", "_fund"])
+            else:
+                # Fill up missing funding_rate candles with fallback value
+                return mark_rates.merge(
+                    funding_rates, on='date', how="outer", suffixes=["_mark", "_fund"]
+                    )['open_fund'].fillna(futures_funding_rate)
 
     def calculate_funding_fees(
         self,
diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index 3041136a3..2c34e29b0 100755
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -276,30 +276,11 @@ class Backtesting:
                     unavailable_pairs.append(pair)
                     continue
 
-                if (pair in mark_rates_dict
-                        and len(funding_rates_dict[pair]) == 0
-                        and "futures_funding_rate" in self.config):
-                    mark_rates_dict[pair]["open_fund"] = self.config.get('futures_funding_rate')
-                    mark_rates_dict[pair].rename(
-                        columns={'open': 'open_mark',
-                                 'close': 'close_mark',
-                                 'high': 'high_mark',
-                                 'low': 'low_mark',
-                                 'volume': 'volume_mark'},
-                        inplace=True)
-
-                    self.futures_data[pair] = mark_rates_dict[pair]
-                else:
-                    if "futures_funding_rate" in self.config:
-                        self.futures_data[pair] = mark_rates_dict[pair].merge(
-                            funding_rates_dict[pair], on='date',
-                            how="outer", suffixes=["_mark", "_fund"])['open_fund'].fillna(
-                                self.config.get('futures_funding_rate'))
-                    else:
-                        self.futures_data[pair] = self.exchange.combine_funding_and_mark(
-                            funding_rates=funding_rates_dict[pair],
-                            mark_rates=mark_rates_dict[pair]
-                        )
+                self.futures_data[pair] = self.exchange.combine_funding_and_mark(
+                    funding_rates=funding_rates_dict[pair],
+                    mark_rates=mark_rates_dict[pair],
+                    futures_funding_rate=self.config.get('futures_funding_rate'),
+                )
 
             if unavailable_pairs:
                 raise OperationalException(