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Move "funding fillup" logic to exchange class

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This commit is contained in:
Matthias 2022-05-21 08:50:39 +02:00
parent 6bd5535d6c
commit 2df42a3035
2 changed files with 26 additions and 26 deletions
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23
freqtrade/exchange/exchange.py
View File

@ -2413,14 +2413,33 @@ class Exchange:
) )
@staticmethod @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 Combine funding-rates and mark-rates dataframes
:param funding_rates: Dataframe containing Funding rates (Type FUNDING_RATE) :param funding_rates: Dataframe containing Funding rates (Type FUNDING_RATE)
:param mark_rates: Dataframe containing Mark rates (Type mark_ohlcv_price) :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( def calculate_funding_fees(
self, self,

29
freqtrade/optimize/backtesting.py
View File

@ -276,30 +276,11 @@ class Backtesting:
unavailable_pairs.append(pair) unavailable_pairs.append(pair)
continue continue
if (pair in mark_rates_dict self.futures_data[pair] = self.exchange.combine_funding_and_mark(
and len(funding_rates_dict[pair]) == 0 funding_rates=funding_rates_dict[pair],
and "futures_funding_rate" in self.config): mark_rates=mark_rates_dict[pair],
mark_rates_dict[pair]["open_fund"] = self.config.get('futures_funding_rate') futures_funding_rate=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]
)
if unavailable_pairs: if unavailable_pairs:
raise OperationalException( raise OperationalException(