New method for combining all funding fees within a time period
This commit is contained in:
Sam Germain
@@ -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),
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('binance', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0015235000000000001),
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('ftx', 0, 9, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, 0.0010008000000000003),
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('ftx', 0, 13, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, 0.0146691),
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('ftx', 1, 9, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, 0.0016656000000000002),
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('gateio', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
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('gateio', 0, 2, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999999999999),
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('gateio', 1, 2, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0002493),
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('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0015235000000000001),
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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", 50.0, -0.0024895),
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('ftx', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, 0.0016680000000000002),
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('ftx', 0, 9, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, 0.0016680000000000002),
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])
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def test__calculate_funding_fees(
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mocker,
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default_conf,
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funding_rate_history,
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funding_rate_history_hourly,
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funding_rate_history_octohourly,
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rate_start,
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rate_end,
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mark_ohlcv,
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exchange,
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d1,
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@@ -3585,6 +3470,11 @@ def test__calculate_funding_fees(
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'''
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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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funding_rate_history = {
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'binance': funding_rate_history_octohourly,
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'ftx': funding_rate_history_hourly,
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'gateio': funding_rate_history_octohourly,
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}[exchange][rate_start:rate_end]
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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_ohlcv = MagicMock(return_value=mark_ohlcv)
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@@ -3596,39 +3486,28 @@ def test__calculate_funding_fees(
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assert funding_fees == expected_fees
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@pytest.mark.parametrize('name,expected_fees_8,expected_fees_10,expected_fees_12', [
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('binance', -0.0009140999999999999, -0.0009140999999999999, -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', -0.0014937, -0.0014937, 0.0045759),
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('ftx', 0.0010008000000000003, 0.0021084, 0.0146691),
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('gateio', -0.0009140999999999999, -0.0009140999999999999, -0.0009140999999999999),
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@ pytest.mark.parametrize('exchange,expected_fees', [
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('binance', -0.0009140999999999999),
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('gateio', -0.0009140999999999999),
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])
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def test__calculate_funding_fees_datetime_called(
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mocker,
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default_conf,
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funding_rate_history,
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funding_rate_history_octohourly,
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mark_ohlcv,
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name,
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exchange,
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time_machine,
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expected_fees_8,
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expected_fees_10,
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expected_fees_12
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expected_fees
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):
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api_mock = MagicMock()
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api_mock.fetch_ohlcv = MagicMock(return_value=mark_ohlcv)
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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_octohourly)
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type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True})
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type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True})
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id=name)
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange)
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d1 = datetime.strptime("2021-09-01 00:00:00 +0000", '%Y-%m-%d %H:%M:%S %z')
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time_machine.move_to("2021-09-01 08:00:00 +00:00")
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funding_fees = exchange._calculate_funding_fees('ADA/USDT', 30.0, d1)
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assert funding_fees == expected_fees_8
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time_machine.move_to("2021-09-01 10:00:00 +00:00")
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funding_fees = exchange._calculate_funding_fees('ADA/USDT', 30.0, d1)
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assert funding_fees == expected_fees_10
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time_machine.move_to("2021-09-01 12:00:00 +00:00")
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funding_fees = exchange._calculate_funding_fees('ADA/USDT', 30.0, d1)
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assert funding_fees == expected_fees_12
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assert funding_fees == expected_fees
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@@ -4761,7 +4761,19 @@ def test_update_funding_fees(
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default_conf['collateral'] = 'isolated'
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default_conf['dry_run'] = True
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funding_rates = {
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funding_rates_midnight = {
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"LTC/BTC": {
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1630454400000: 0.00032583,
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},
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"ETH/BTC": {
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1630454400000: 0.0001,
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},
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"XRP/BTC": {
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1630454400000: 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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1630454400000: 0.00032583,
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1630483200000: 0.00024472,
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@@ -4798,7 +4810,7 @@ def test_update_funding_fees(
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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[pair]
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side_effect=lambda pair, since: funding_rates_midnight[pair]
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)
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mocker.patch.multiple(
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@@ -4827,17 +4839,21 @@ def test_update_funding_fees(
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assert trade.funding_fees == (
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trade.amount *
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mark_prices[trade.pair][1630454400000] *
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funding_rates[trade.pair][1630454400000]
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funding_rates_midnight[trade.pair][1630454400000]
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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][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()
|
||||
])
|
||||
|
||||
Reference in New Issue
Block a user