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New method for combining all funding fees within a time period

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This commit is contained in:
Sam Germain
2021-11-13 04:45:23 -06:00
parent 6b40792f80
commit 3c509a1f9b
13 changed files with 93 additions and 213 deletions
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193
tests/exchange/test_exchange.py
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@@ -3318,124 +3318,6 @@ def test__get_funding_fee(
assert kraken._get_funding_fee(size, funding_rate, mark_price, time_in_ratio) == kraken_fee
@pytest.mark.parametrize('exchange,d1,d2,funding_times', [
(
'binance',
"2021-09-01 00:00:00",
"2021-09-01 08:00:00",
["2021-09-01 00", "2021-09-01 08"]
),
('binance', "2021-09-01 00:00:15", "2021-09-01 08:00:00", ["2021-09-01 00", "2021-09-01 08"]),
('binance', "2021-09-01 00:00:16", "2021-09-01 08:00:00", ["2021-09-01 08"]),
('binance', "2021-09-01 01:00:14", "2021-09-01 08:00:00", ["2021-09-01 08"]),
('binance', "2021-09-01 00:00:00", "2021-09-01 07:59:59", ["2021-09-01 00"]),
('binance', "2021-09-01 00:00:00", "2021-09-01 12:00:00", ["2021-09-01 00", "2021-09-01 08"]),
(
'binance',
"2021-09-01 00:00:01",
"2021-09-01 08:00:00",
["2021-09-01 00", "2021-09-01 08"]
),
(
'kraken',
"2021-09-01 00:00:00",
"2021-09-01 08:00:00",
["2021-09-01 00", "2021-09-01 04", "2021-09-01 08"]
),
(
'kraken',
"2021-09-01 00:00:15",
"2021-09-01 08:00:00",
["2021-09-01 04", "2021-09-01 08"]
),
(
'kraken',
"2021-09-01 01:00:14",
"2021-09-01 08:00:00",
["2021-09-01 04", "2021-09-01 08"]
),
(
'kraken',
"2021-09-01 00:00:00",
"2021-09-01 07:59:59",
["2021-09-01 00", "2021-09-01 04"]
),
(
'kraken',
"2021-09-01 00:00:00",
"2021-09-01 12:00:00",
["2021-09-01 00", "2021-09-01 04", "2021-09-01 08", "2021-09-01 12"]
),
(
'kraken',
"2021-09-01 00:00:01",
"2021-09-01 08:00:00",
["2021-09-01 04", "2021-09-01 08"]
),
(
'ftx',
"2021-09-01 00:00:00",
"2021-09-01 08:00:00",
[
"2021-09-01 00",
"2021-09-01 01",
"2021-09-01 02",
"2021-09-01 03",
"2021-09-01 04",
"2021-09-01 05",
"2021-09-01 06",
"2021-09-01 07",
"2021-09-01 08"
]
),
(
'ftx',
"2021-09-01 00:00:00",
"2021-09-01 12:00:00",
[
"2021-09-01 00",
"2021-09-01 01",
"2021-09-01 02",
"2021-09-01 03",
"2021-09-01 04",
"2021-09-01 05",
"2021-09-01 06",
"2021-09-01 07",
"2021-09-01 08",
"2021-09-01 09",
"2021-09-01 10",
"2021-09-01 11",
"2021-09-01 12"
]
),
(
'ftx',
"2021-09-01 00:00:01",
"2021-09-01 08:00:00",
[
"2021-09-01 01",
"2021-09-01 02",
"2021-09-01 03",
"2021-09-01 04",
"2021-09-01 05",
"2021-09-01 06",
"2021-09-01 07",
"2021-09-01 08"
]
),
('gateio', "2021-09-01 00:00:00", "2021-09-01 08:00:00", ["2021-09-01 00", "2021-09-01 08"]),
('gateio', "2021-09-01 00:00:00", "2021-09-01 12:00:00", ["2021-09-01 00", "2021-09-01 08"]),
('gateio', "2021-09-01 00:00:01", "2021-09-01 08:00:00", ["2021-09-01 08"]),
])
def test__get_funding_fee_dates(mocker, default_conf, exchange, d1, d2, funding_times):
expected_result = [datetime.strptime(f"{d} +0000", '%Y-%m-%d %H %z') for d in funding_times]
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')
exchange = get_patched_exchange(mocker, default_conf, id=exchange)
result = exchange._get_funding_fee_dates(d1, d2)
assert result == expected_result
def test__get_mark_price_history(mocker, default_conf, mark_ohlcv):
api_mock = MagicMock()
api_mock.fetch_ohlcv = MagicMock(return_value=mark_ohlcv)
@@ -3473,9 +3355,9 @@ def test__get_mark_price_history(mocker, default_conf, mark_ohlcv):
)
def test_get_funding_rate_history(mocker, default_conf, funding_rate_history):
def test_get_funding_rate_history(mocker, default_conf, funding_rate_history_hourly):
api_mock = MagicMock()
api_mock.fetch_funding_rate_history = MagicMock(return_value=funding_rate_history)
api_mock.fetch_funding_rate_history = MagicMock(return_value=funding_rate_history_hourly)
type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True})
# mocker.patch('freqtrade.exchange.Exchange.get_funding_fees', lambda pair, since: y)
@@ -3511,14 +3393,14 @@ def test_get_funding_rate_history(mocker, default_conf, funding_rate_history):
)
@pytest.mark.parametrize('exchange,d1,d2,amount,expected_fees', [
('binance', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
('binance', "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
('binance', "2021-09-01 00:00:16", "2021-09-01 08:00:00", 30.0, -0.0002493),
('binance', "2021-09-01 01:00:14", "2021-09-01 08:00:00", 30.0, -0.0002493),
('binance', "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.0006647999999999999),
('binance', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999999999999),
('binance', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
@pytest.mark.parametrize('exchange,rate_start,rate_end,d1,d2,amount,expected_fees', [
('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
('binance', 0, 2, "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
('binance', 1, 2, "2021-09-01 01:00:14", "2021-09-01 08:00:00", 30.0, -0.0002493),
('binance', 1, 2, "2021-09-01 00:00:16", "2021-09-01 08:00:00", 30.0, -0.0002493),
('binance', 0, 1, "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.0006647999999999999),
('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999999999999),
('binance', 0, 2, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
# 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", 30.0, -0.0014937),
# ('kraken', "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0008289),
@@ -3526,21 +3408,24 @@ def test_get_funding_rate_history(mocker, default_conf, funding_rate_history):
# ('kraken', "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.0012443999999999999),
# ('kraken', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, 0.0045759),
# ('kraken', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0008289),
('ftx', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, 0.0010008000000000003),
('ftx', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, 0.0146691),
('ftx', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, 0.0016656000000000002),
('gateio', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
('gateio', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999999999999),
('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