New method for combining all funding fees within a time period
This commit is contained in:
Sam Germain
parent
6b40792f80
commit
3c509a1f9b
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@ -24,5 +24,3 @@ class Bibox(Exchange):
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def _ccxt_config(self) -> Dict:
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# Parameters to add directly to ccxt sync/async initialization.
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return {"has": {"fetchCurrencies": False}}
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funding_fee_times: List[int] = [0, 8, 16] # hours of the day
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@ -29,8 +29,6 @@ class Binance(Exchange):
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"trades_pagination_arg": "fromId",
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"l2_limit_range": [5, 10, 20, 50, 100, 500, 1000],
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}
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funding_fee_times: List[int] = [0, 8, 16] # hours of the day
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# but the schedule won't check within this timeframe
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_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
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# TradingMode.SPOT always supported and not required in this list
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@ -23,8 +23,6 @@ class Bybit(Exchange):
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"ohlcv_candle_limit": 200,
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}
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funding_fee_times: List[int] = [0, 8, 16] # hours of the day
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_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
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# TradingMode.SPOT always supported and not required in this list
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# (TradingMode.FUTURES, Collateral.CROSS), # TODO-lev: Uncomment once supported
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@ -73,10 +73,6 @@ class Exchange:
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}
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_ft_has: Dict = {}
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# funding_fee_times is currently unused, but should ideally be used to properly
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# schedule refresh times
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funding_fee_times: List[int] = [] # hours of the day
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_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
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# TradingMode.SPOT always supported and not required in this list
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]
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@ -1711,21 +1707,6 @@ class Exchange:
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"""
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return open_date.minute > 0 or open_date.second > 0
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def _get_funding_fee_dates(self, start: datetime, end: datetime):
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if self.funding_fee_cutoff(start):
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start += timedelta(hours=1)
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start = datetime(start.year, start.month, start.day, start.hour, tzinfo=timezone.utc)
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end = datetime(end.year, end.month, end.day, end.hour, tzinfo=timezone.utc)
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results = []
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iterator = start
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while iterator <= end:
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if iterator.hour in self.funding_fee_times:
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results.append(iterator)
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iterator += timedelta(hours=1)
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return results
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@retrier
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def set_margin_mode(self, pair: str, collateral: Collateral, params: dict = {}):
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"""
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@ -1808,6 +1789,16 @@ class Exchange:
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:param close_date: The date and time that the trade ended
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"""
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if self.funding_fee_cutoff(open_date):
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open_date += timedelta(hours=1)
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open_date = datetime(
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open_date.year,
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open_date.month,
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open_date.day,
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open_date.hour,
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tzinfo=timezone.utc
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)
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fees: float = 0
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if not close_date:
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close_date = datetime.now(timezone.utc)
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@ -1821,29 +1812,20 @@ class Exchange:
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pair,
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open_timestamp
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)
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funding_fee_dates = self._get_funding_fee_dates(open_date, close_date)
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for date in funding_fee_dates:
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timestamp = int(date.timestamp()) * 1000
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if timestamp in funding_rate_history:
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funding_rate = funding_rate_history[timestamp]
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else:
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logger.warning(
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f"Funding rate for {pair} at {date} not found in funding_rate_history"
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f"Funding fee calculation may be incorrect"
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)
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for timestamp in funding_rate_history.keys():
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funding_rate = funding_rate_history[timestamp]
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if timestamp in mark_price_history:
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mark_price = mark_price_history[timestamp]
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else:
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logger.warning(
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f"Mark price for {pair} at {date} not found in funding_rate_history"
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f"Funding fee calculation may be incorrect"
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)
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if funding_rate and mark_price:
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fees += self._get_funding_fee(
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size=amount,
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mark_price=mark_price,
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funding_rate=funding_rate
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)
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else:
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logger.warning(
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f"Mark price for {pair} at timestamp {timestamp} not found in "
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f"funding_rate_history Funding fee calculation may be incorrect"
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)
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return fees
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@ -22,7 +22,6 @@ class Ftx(Exchange):
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"ohlcv_candle_limit": 1500,
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"mark_ohlcv_price": "index"
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}
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funding_fee_times: List[int] = list(range(0, 24))
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_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
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# TradingMode.SPOT always supported and not required in this list
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@ -26,8 +26,6 @@ class Gateio(Exchange):
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_headers = {'X-Gate-Channel-Id': 'freqtrade'}
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funding_fee_times: List[int] = [0, 8, 16] # hours of the day
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_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
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# TradingMode.SPOT always supported and not required in this list
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# (TradingMode.MARGIN, Collateral.CROSS), # TODO-lev: Uncomment once supported
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@ -21,5 +21,3 @@ class Hitbtc(Exchange):
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"ohlcv_candle_limit": 1000,
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"ohlcv_params": {"sort": "DESC"}
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}
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funding_fee_times: List[int] = [0, 8, 16] # hours of the day
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@ -23,7 +23,6 @@ class Kraken(Exchange):
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"trades_pagination": "id",
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"trades_pagination_arg": "since",
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}
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funding_fee_times: List[int] = [0, 4, 8, 12, 16, 20] # hours of the day
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_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
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# TradingMode.SPOT always supported and not required in this list
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@ -24,5 +24,3 @@ class Kucoin(Exchange):
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"order_time_in_force": ['gtc', 'fok', 'ioc'],
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"time_in_force_parameter": "timeInForce",
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}
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funding_fee_times: List[int] = [4, 12, 20] # hours of the day
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@ -17,7 +17,6 @@ class Okex(Exchange):
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_ft_has: Dict = {
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"ohlcv_candle_limit": 100,
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}
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funding_fee_times: List[int] = [0, 8, 16] # hours of the day
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_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
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# TradingMode.SPOT always supported and not required in this list
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@ -2389,7 +2389,7 @@ def mark_ohlcv():
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@pytest.fixture(scope='function')
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def funding_rate_history():
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def funding_rate_history_hourly():
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return [
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{
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"symbol": "ADA/USDT",
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@ -2476,3 +2476,21 @@ def funding_rate_history():
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"datetime": "2021-09-01T13:00:00.000Z"
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},
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]
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@pytest.fixture(scope='function')
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def funding_rate_history_octohourly():
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return [
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{
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"symbol": "ADA/USDT",
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"fundingRate": -0.000008,
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"timestamp": 1630454400000,
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"datetime": "2021-09-01T00:00:00.000Z"
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},
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{
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"symbol": "ADA/USDT",
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"fundingRate": -0.000003,
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"timestamp": 1630483200000,
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"datetime": "2021-09-01T08:00:00.000Z"
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}
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]
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@ -3318,124 +3318,6 @@ def test__get_funding_fee(
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assert kraken._get_funding_fee(size, funding_rate, mark_price, time_in_ratio) == kraken_fee
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@pytest.mark.parametrize('exchange,d1,d2,funding_times', [
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(
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'binance',
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"2021-09-01 00:00:00",
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"2021-09-01 08:00:00",
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["2021-09-01 00", "2021-09-01 08"]
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),
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('binance', "2021-09-01 00:00:15", "2021-09-01 08:00:00", ["2021-09-01 00", "2021-09-01 08"]),
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('binance', "2021-09-01 00:00:16", "2021-09-01 08:00:00", ["2021-09-01 08"]),
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('binance', "2021-09-01 01:00:14", "2021-09-01 08:00:00", ["2021-09-01 08"]),
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('binance', "2021-09-01 00:00:00", "2021-09-01 07:59:59", ["2021-09-01 00"]),
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('binance', "2021-09-01 00:00:00", "2021-09-01 12:00:00", ["2021-09-01 00", "2021-09-01 08"]),
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(
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'binance',
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"2021-09-01 00:00:01",
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"2021-09-01 08:00:00",
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["2021-09-01 00", "2021-09-01 08"]
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),
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(
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'kraken',
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"2021-09-01 00:00:00",
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"2021-09-01 08:00:00",
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["2021-09-01 00", "2021-09-01 04", "2021-09-01 08"]
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),
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(
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'kraken',
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"2021-09-01 00:00:15",
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"2021-09-01 08:00:00",
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["2021-09-01 04", "2021-09-01 08"]
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),
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(
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'kraken',
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"2021-09-01 01:00:14",
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"2021-09-01 08:00:00",
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["2021-09-01 04", "2021-09-01 08"]
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),
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(
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'kraken',
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"2021-09-01 00:00:00",
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"2021-09-01 07:59:59",
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["2021-09-01 00", "2021-09-01 04"]
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),
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(
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'kraken',
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"2021-09-01 00:00:00",
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"2021-09-01 12:00:00",
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["2021-09-01 00", "2021-09-01 04", "2021-09-01 08", "2021-09-01 12"]
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),
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(
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'kraken',
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"2021-09-01 00:00:01",
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"2021-09-01 08:00:00",
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["2021-09-01 04", "2021-09-01 08"]
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),
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(
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'ftx',
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"2021-09-01 00:00:00",
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"2021-09-01 08:00:00",
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[
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"2021-09-01 00",
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"2021-09-01 01",
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"2021-09-01 02",
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"2021-09-01 03",
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"2021-09-01 04",
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"2021-09-01 05",
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"2021-09-01 06",
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"2021-09-01 07",
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"2021-09-01 08"
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]
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),
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(
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'ftx',
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"2021-09-01 00:00:00",
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"2021-09-01 12:00:00",
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[
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"2021-09-01 00",
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"2021-09-01 01",
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"2021-09-01 02",
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"2021-09-01 03",
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"2021-09-01 04",
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"2021-09-01 05",
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"2021-09-01 06",
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"2021-09-01 07",
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"2021-09-01 08",
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"2021-09-01 09",
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"2021-09-01 10",
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"2021-09-01 11",
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"2021-09-01 12"
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]
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),
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(
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'ftx',
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"2021-09-01 00:00:01",
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"2021-09-01 08:00:00",
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[
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"2021-09-01 01",
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"2021-09-01 02",
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"2021-09-01 03",
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"2021-09-01 04",
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"2021-09-01 05",
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"2021-09-01 06",
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"2021-09-01 07",
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"2021-09-01 08"
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]
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),
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('gateio', "2021-09-01 00:00:00", "2021-09-01 08:00:00", ["2021-09-01 00", "2021-09-01 08"]),
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('gateio', "2021-09-01 00:00:00", "2021-09-01 12:00:00", ["2021-09-01 00", "2021-09-01 08"]),
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('gateio', "2021-09-01 00:00:01", "2021-09-01 08:00:00", ["2021-09-01 08"]),
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])
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def test__get_funding_fee_dates(mocker, default_conf, exchange, d1, d2, funding_times):
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expected_result = [datetime.strptime(f"{d} +0000", '%Y-%m-%d %H %z') for d in funding_times]
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d1 = datetime.strptime(f"{d1} +0000", '%Y-%m-%d %H:%M:%S %z')
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d2 = datetime.strptime(f"{d2} +0000", '%Y-%m-%d %H:%M:%S %z')
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exchange = get_patched_exchange(mocker, default_conf, id=exchange)
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result = exchange._get_funding_fee_dates(d1, d2)
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assert result == expected_result
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def test__get_mark_price_history(mocker, default_conf, mark_ohlcv):
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api_mock = MagicMock()
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api_mock.fetch_ohlcv = MagicMock(return_value=mark_ohlcv)
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@ -3473,9 +3355,9 @@ def test__get_mark_price_history(mocker, default_conf, mark_ohlcv):
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)
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def test_get_funding_rate_history(mocker, default_conf, funding_rate_history):
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def test_get_funding_rate_history(mocker, default_conf, funding_rate_history_hourly):
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api_mock = MagicMock()
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api_mock.fetch_funding_rate_history = MagicMock(return_value=funding_rate_history)
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api_mock.fetch_funding_rate_history = MagicMock(return_value=funding_rate_history_hourly)
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type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True})
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# mocker.patch('freqtrade.exchange.Exchange.get_funding_fees', lambda pair, since: y)
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@ -3511,14 +3393,14 @@ def test_get_funding_rate_history(mocker, default_conf, funding_rate_history):
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)
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@pytest.mark.parametrize('exchange,d1,d2,amount,expected_fees', [
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('binance', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
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('binance', "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
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('binance', "2021-09-01 00:00:16", "2021-09-01 08:00:00", 30.0, -0.0002493),
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('binance', "2021-09-01 01:00:14", "2021-09-01 08:00:00", 30.0, -0.0002493),
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('binance', "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.0006647999999999999),
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('binance', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999999999999),
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('binance', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
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@pytest.mark.parametrize('exchange,rate_start,rate_end,d1,d2,amount,expected_fees', [
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('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
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('binance', 0, 2, "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
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('binance', 1, 2, "2021-09-01 01:00:14", "2021-09-01 08:00:00", 30.0, -0.0002493),
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('binance', 1, 2, "2021-09-01 00:00:16", "2021-09-01 08:00:00", 30.0, -0.0002493),
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('binance', 0, 1, "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.0006647999999999999),
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('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999999999999),
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('binance', 0, 2, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
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# TODO: Uncoment once _calculate_funding_fees can pas time_in_ratio to exchange._get_funding_fee
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# ('kraken', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0014937),
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# ('kraken', "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0008289),
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@ -3526,21 +3408,24 @@ def test_get_funding_rate_history(mocker, default_conf, funding_rate_history):
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# ('kraken', "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.0012443999999999999),
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# ('kraken', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, 0.0045759),
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# ('kraken', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0008289),
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('ftx', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, 0.0010008000000000003),
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('ftx', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, 0.0146691),
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('ftx', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, 0.0016656000000000002),
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('gateio', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
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('gateio', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999999999999),
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('gateio', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0002493),
|
||||
('binance', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0015235000000000001),
|
||||
('ftx', 0, 9, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, 0.0010008000000000003),
|
||||
('ftx', 0, 13, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, 0.0146691),
|
||||
('ftx', 1, 9, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, 0.0016656000000000002),
|
||||
('gateio', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
|
||||
('gateio', 0, 2, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999999999999),
|
||||
('gateio', 1, 2, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0002493),
|
||||
('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0015235000000000001),
|
||||
# TODO: Uncoment once _calculate_funding_fees can pas time_in_ratio to exchange._get_funding_fee
|
||||
# ('kraken', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0024895),
|
||||
('ftx', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, 0.0016680000000000002),
|
||||
('ftx', 0, 9, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, 0.0016680000000000002),
|
||||
])
|
||||
def test__calculate_funding_fees(
|
||||
mocker,
|
||||
default_conf,
|
||||
funding_rate_history,
|
||||
funding_rate_history_hourly,
|
||||
funding_rate_history_octohourly,
|
||||
rate_start,
|
||||
rate_end,
|
||||
mark_ohlcv,
|
||||
exchange,
|
||||
d1,
|
||||
|
|
@ -3585,6 +3470,11 @@ def test__calculate_funding_fees(
|
|||
'''
|
||||
d1 = datetime.strptime(f"{d1} +0000", '%Y-%m-%d %H:%M:%S %z')
|
||||
d2 = datetime.strptime(f"{d2} +0000", '%Y-%m-%d %H:%M:%S %z')
|
||||
funding_rate_history = {
|
||||
'binance': funding_rate_history_octohourly,
|
||||
'ftx': funding_rate_history_hourly,
|
||||
'gateio': funding_rate_history_octohourly,
|
||||
}[exchange][rate_start:rate_end]
|
||||
api_mock = MagicMock()
|
||||
api_mock.fetch_funding_rate_history = MagicMock(return_value=funding_rate_history)
|
||||
api_mock.fetch_ohlcv = MagicMock(return_value=mark_ohlcv)
|
||||
|
|
@ -3596,39 +3486,28 @@ def test__calculate_funding_fees(
|
|||
assert funding_fees == expected_fees
|
||||
|
||||
|
||||
@pytest.mark.parametrize('name,expected_fees_8,expected_fees_10,expected_fees_12', [
|
||||
('binance', -0.0009140999999999999, -0.0009140999999999999, -0.0009140999999999999),
|
||||
# TODO: Uncoment once _calculate_funding_fees can pas time_in_ratio to exchange._get_funding_fee
|
||||
# ('kraken', -0.0014937, -0.0014937, 0.0045759),
|
||||
('ftx', 0.0010008000000000003, 0.0021084, 0.0146691),
|
||||
('gateio', -0.0009140999999999999, -0.0009140999999999999, -0.0009140999999999999),
|
||||
@ pytest.mark.parametrize('exchange,expected_fees', [
|
||||
('binance', -0.0009140999999999999),
|
||||
('gateio', -0.0009140999999999999),
|
||||
])
|
||||
def test__calculate_funding_fees_datetime_called(
|
||||
mocker,
|
||||
default_conf,
|
||||
funding_rate_history,
|
||||
funding_rate_history_octohourly,
|
||||
mark_ohlcv,
|
||||
name,
|
||||
exchange,
|
||||
time_machine,
|
||||
expected_fees_8,
|
||||
expected_fees_10,
|
||||
expected_fees_12
|
||||
expected_fees
|
||||
):
|
||||
api_mock = MagicMock()
|
||||
api_mock.fetch_ohlcv = MagicMock(return_value=mark_ohlcv)
|
||||
api_mock.fetch_funding_rate_history = MagicMock(return_value=funding_rate_history)
|
||||
api_mock.fetch_funding_rate_history = MagicMock(return_value=funding_rate_history_octohourly)
|
||||
type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True})
|
||||
type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True})
|
||||
|
||||
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=name)
|
||||
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange)
|
||||
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)
|
||||
assert funding_fees == expected_fees_8
|
||||
time_machine.move_to("2021-09-01 10:00:00 +00:00")
|
||||
funding_fees = exchange._calculate_funding_fees('ADA/USDT', 30.0, d1)
|
||||
assert funding_fees == expected_fees_10
|
||||
time_machine.move_to("2021-09-01 12:00:00 +00:00")
|
||||
funding_fees = exchange._calculate_funding_fees('ADA/USDT', 30.0, d1)
|
||||
assert funding_fees == expected_fees_12
|
||||
assert funding_fees == expected_fees
|
||||
|
|
|
|||
|
|
@ -4761,7 +4761,19 @@ def test_update_funding_fees(
|
|||
default_conf['collateral'] = 'isolated'
|
||||
default_conf['dry_run'] = True
|
||||
|
||||
funding_rates = {
|
||||
funding_rates_midnight = {
|
||||
"LTC/BTC": {
|
||||
1630454400000: 0.00032583,
|
||||
},
|
||||
"ETH/BTC": {
|
||||
1630454400000: 0.0001,
|
||||
},
|
||||
"XRP/BTC": {
|
||||
1630454400000: 0.00049426,
|
||||
}
|
||||
}
|
||||
|
||||
funding_rates_eight = {
|
||||
"LTC/BTC": {
|
||||
1630454400000: 0.00032583,
|
||||
1630483200000: 0.00024472,
|
||||
|
|
@ -4798,7 +4810,7 @@ def test_update_funding_fees(
|
|||
|
||||
mocker.patch(
|
||||
'freqtrade.exchange.Exchange.get_funding_rate_history',
|
||||
side_effect=lambda pair, since: funding_rates[pair]
|
||||
side_effect=lambda pair, since: funding_rates_midnight[pair]
|
||||
)
|
||||
|
||||
mocker.patch.multiple(
|
||||
|
|
@ -4827,17 +4839,21 @@ def test_update_funding_fees(
|
|||
assert trade.funding_fees == (
|
||||
trade.amount *
|
||||
mark_prices[trade.pair][1630454400000] *
|
||||
funding_rates[trade.pair][1630454400000]
|
||||
funding_rates_midnight[trade.pair][1630454400000]
|
||||
)
|
||||
mocker.patch('freqtrade.exchange.Exchange.create_order', return_value=open_exit_order)
|
||||
# create_mock_trades(fee, False)
|
||||
time_machine.move_to("2021-09-01 08:00:00 +00:00")
|
||||
mocker.patch(
|
||||
'freqtrade.exchange.Exchange.get_funding_rate_history',
|
||||
side_effect=lambda pair, since: funding_rates_eight[pair]
|
||||
)
|
||||
if schedule_off:
|
||||
for trade in trades:
|
||||
assert trade.funding_fees == (
|
||||
trade.amount *
|
||||
mark_prices[trade.pair][1630454400000] *
|
||||
funding_rates[trade.pair][1630454400000]
|
||||
funding_rates_eight[trade.pair][1630454400000]
|
||||
)
|
||||
freqtrade.execute_trade_exit(
|
||||
trade=trade,
|
||||
|
|
@ -4853,5 +4869,5 @@ def test_update_funding_fees(
|
|||
assert trade.funding_fees == sum([
|
||||
trade.amount *
|
||||
mark_prices[trade.pair][time] *
|
||||
funding_rates[trade.pair][time] for time in mark_prices[trade.pair].keys()
|
||||
funding_rates_eight[trade.pair][time] for time in mark_prices[trade.pair].keys()
|
||||
])
|
||||
|
|
|
|||
Loading…
Reference in New Issue