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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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2
freqtrade/exchange/bibox.py
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@ -24,5 +24,3 @@ class Bibox(Exchange):
def _ccxt_config(self) -> Dict: def _ccxt_config(self) -> Dict:
# Parameters to add directly to ccxt sync/async initialization. # Parameters to add directly to ccxt sync/async initialization.
return {"has": {"fetchCurrencies": False}} return {"has": {"fetchCurrencies": False}}
funding_fee_times: List[int] = [0, 8, 16] # hours of the day

2
freqtrade/exchange/binance.py
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@ -29,8 +29,6 @@ class Binance(Exchange):
"trades_pagination_arg": "fromId", "trades_pagination_arg": "fromId",
"l2_limit_range": [5, 10, 20, 50, 100, 500, 1000], "l2_limit_range": [5, 10, 20, 50, 100, 500, 1000],
} }
funding_fee_times: List[int] = [0, 8, 16] # hours of the day
# but the schedule won't check within this timeframe
_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [ _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
# TradingMode.SPOT always supported and not required in this list # TradingMode.SPOT always supported and not required in this list

2
freqtrade/exchange/bybit.py
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@ -23,8 +23,6 @@ class Bybit(Exchange):
"ohlcv_candle_limit": 200, "ohlcv_candle_limit": 200,
} }
funding_fee_times: List[int] = [0, 8, 16] # hours of the day
_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [ _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
# TradingMode.SPOT always supported and not required in this list # TradingMode.SPOT always supported and not required in this list
# (TradingMode.FUTURES, Collateral.CROSS), # TODO-lev: Uncomment once supported # (TradingMode.FUTURES, Collateral.CROSS), # TODO-lev: Uncomment once supported

52
freqtrade/exchange/exchange.py
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@ -73,10 +73,6 @@ class Exchange:
} }
_ft_has: Dict = {} _ft_has: Dict = {}
# funding_fee_times is currently unused, but should ideally be used to properly
# schedule refresh times
funding_fee_times: List[int] = [] # hours of the day
_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [ _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
# TradingMode.SPOT always supported and not required in this list # TradingMode.SPOT always supported and not required in this list
] ]
@ -1711,21 +1707,6 @@ class Exchange:
""" """
return open_date.minute > 0 or open_date.second > 0 return open_date.minute > 0 or open_date.second > 0
def _get_funding_fee_dates(self, start: datetime, end: datetime):
if self.funding_fee_cutoff(start):
start += timedelta(hours=1)
start = datetime(start.year, start.month, start.day, start.hour, tzinfo=timezone.utc)
end = datetime(end.year, end.month, end.day, end.hour, tzinfo=timezone.utc)
results = []
iterator = start
while iterator <= end:
if iterator.hour in self.funding_fee_times:
results.append(iterator)
iterator += timedelta(hours=1)
return results
@retrier @retrier
def set_margin_mode(self, pair: str, collateral: Collateral, params: dict = {}): def set_margin_mode(self, pair: str, collateral: Collateral, params: dict = {}):
""" """
@ -1808,6 +1789,16 @@ class Exchange:
:param close_date: The date and time that the trade ended :param close_date: The date and time that the trade ended
""" """
if self.funding_fee_cutoff(open_date):
open_date += timedelta(hours=1)
open_date = datetime(
open_date.year,
open_date.month,
open_date.day,
open_date.hour,
tzinfo=timezone.utc
)
fees: float = 0 fees: float = 0
if not close_date: if not close_date:
close_date = datetime.now(timezone.utc) close_date = datetime.now(timezone.utc)
@ -1821,29 +1812,20 @@ class Exchange:
pair, pair,
open_timestamp open_timestamp
) )
funding_fee_dates = self._get_funding_fee_dates(open_date, close_date) for timestamp in funding_rate_history.keys():
for date in funding_fee_dates: funding_rate = funding_rate_history[timestamp]
timestamp = int(date.timestamp()) * 1000
if timestamp in funding_rate_history:
funding_rate = funding_rate_history[timestamp]
else:
logger.warning(
f"Funding rate for {pair} at {date} not found in funding_rate_history"
f"Funding fee calculation may be incorrect"
)
if timestamp in mark_price_history: if timestamp in mark_price_history:
mark_price = mark_price_history[timestamp] mark_price = mark_price_history[timestamp]
else:
logger.warning(
f"Mark price for {pair} at {date} not found in funding_rate_history"
f"Funding fee calculation may be incorrect"
)
if funding_rate and mark_price:
fees += self._get_funding_fee( fees += self._get_funding_fee(
size=amount, size=amount,
mark_price=mark_price, mark_price=mark_price,
funding_rate=funding_rate funding_rate=funding_rate
) )
else:
logger.warning(
f"Mark price for {pair} at timestamp {timestamp} not found in "
f"funding_rate_history Funding fee calculation may be incorrect"
)
return fees return fees

1
freqtrade/exchange/ftx.py
View File

@ -22,7 +22,6 @@ class Ftx(Exchange):
"ohlcv_candle_limit": 1500, "ohlcv_candle_limit": 1500,
"mark_ohlcv_price": "index" "mark_ohlcv_price": "index"
} }
funding_fee_times: List[int] = list(range(0, 24))
_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [ _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
# TradingMode.SPOT always supported and not required in this list # TradingMode.SPOT always supported and not required in this list

2
freqtrade/exchange/gateio.py
View File

@ -26,8 +26,6 @@ class Gateio(Exchange):
_headers = {'X-Gate-Channel-Id': 'freqtrade'} _headers = {'X-Gate-Channel-Id': 'freqtrade'}
funding_fee_times: List[int] = [0, 8, 16] # hours of the day
_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [ _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
# TradingMode.SPOT always supported and not required in this list # TradingMode.SPOT always supported and not required in this list
# (TradingMode.MARGIN, Collateral.CROSS), # TODO-lev: Uncomment once supported # (TradingMode.MARGIN, Collateral.CROSS), # TODO-lev: Uncomment once supported

2
freqtrade/exchange/hitbtc.py
View File

@ -21,5 +21,3 @@ class Hitbtc(Exchange):
"ohlcv_candle_limit": 1000, "ohlcv_candle_limit": 1000,
"ohlcv_params": {"sort": "DESC"} "ohlcv_params": {"sort": "DESC"}
} }
funding_fee_times: List[int] = [0, 8, 16] # hours of the day

1
freqtrade/exchange/kraken.py
View File

@ -23,7 +23,6 @@ class Kraken(Exchange):
"trades_pagination": "id", "trades_pagination": "id",
"trades_pagination_arg": "since", "trades_pagination_arg": "since",
} }
funding_fee_times: List[int] = [0, 4, 8, 12, 16, 20] # hours of the day
_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [ _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
# TradingMode.SPOT always supported and not required in this list # TradingMode.SPOT always supported and not required in this list

2
freqtrade/exchange/kucoin.py
View File

@ -24,5 +24,3 @@ class Kucoin(Exchange):
"order_time_in_force": ['gtc', 'fok', 'ioc'], "order_time_in_force": ['gtc', 'fok', 'ioc'],
"time_in_force_parameter": "timeInForce", "time_in_force_parameter": "timeInForce",
} }
funding_fee_times: List[int] = [4, 12, 20] # hours of the day

1
freqtrade/exchange/okex.py
View File

@ -17,7 +17,6 @@ class Okex(Exchange):
_ft_has: Dict = { _ft_has: Dict = {
"ohlcv_candle_limit": 100, "ohlcv_candle_limit": 100,
} }
funding_fee_times: List[int] = [0, 8, 16] # hours of the day
_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [ _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
# TradingMode.SPOT always supported and not required in this list # TradingMode.SPOT always supported and not required in this list

20
tests/conftest.py
View File

@ -2389,7 +2389,7 @@ def mark_ohlcv():
@pytest.fixture(scope='function') @pytest.fixture(scope='function')
def funding_rate_history(): def funding_rate_history_hourly():
return [ return [
{ {
"symbol": "ADA/USDT", "symbol": "ADA/USDT",
@ -2476,3 +2476,21 @@ def funding_rate_history():
"datetime": "2021-09-01T13:00:00.000Z" "datetime": "2021-09-01T13:00:00.000Z"
}, },
] ]
@pytest.fixture(scope='function')
def funding_rate_history_octohourly():
return [
{
"symbol": "ADA/USDT",
"fundingRate": -0.000008,
"timestamp": 1630454400000,
"datetime": "2021-09-01T00:00:00.000Z"
},
{
"symbol": "ADA/USDT",
"fundingRate": -0.000003,
"timestamp": 1630483200000,
"datetime": "2021-09-01T08:00:00.000Z"
}
]

193
tests/exchange/test_exchange.py
View File

@ -3318,124 +3318,6 @@ def test__get_funding_fee(
assert kraken._get_funding_fee(size, funding_rate, mark_price, time_in_ratio) == kraken_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): def test__get_mark_price_history(mocker, default_conf, mark_ohlcv):
api_mock = MagicMock() api_mock = MagicMock()
api_mock.fetch_ohlcv = MagicMock(return_value=mark_ohlcv) 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 = 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}) type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True})
# mocker.patch('freqtrade.exchange.Exchange.get_funding_fees', lambda pair, since: y) # 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', [ @pytest.mark.parametrize('exchange,rate_start,rate_end,d1,d2,amount,expected_fees', [
('binance', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999), ('binance', 0, 2, "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', 0, 2, "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', 1, 2, "2021-09-01 01:00:14", "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', 1, 2, "2021-09-01 00:00:16", "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', 0, 1, "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', 0, 2, "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), ('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 # 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 00:00:00", "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), # ('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 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 00:00:00", "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), # ('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', 0, 9, "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', 0, 13, "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), ('ftx', 1, 9, "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', 0, 2, "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', 0, 2, "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), ('gateio', 1, 2, "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), ('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 # 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), # ('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( def test__calculate_funding_fees(
mocker, mocker,
default_conf, default_conf,
funding_rate_history, funding_rate_history_hourly,
funding_rate_history_octohourly,
rate_start,
rate_end,
mark_ohlcv, mark_ohlcv,
exchange, exchange,
d1, d1,
@ -3585,6 +3470,11 @@ def test__calculate_funding_fees(
''' '''
d1 = datetime.strptime(f"{d1} +0000", '%Y-%m-%d %H:%M:%S %z') 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') 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 = 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)
api_mock.fetch_ohlcv = MagicMock(return_value=mark_ohlcv) api_mock.fetch_ohlcv = MagicMock(return_value=mark_ohlcv)
@ -3596,39 +3486,28 @@ def test__calculate_funding_fees(
assert funding_fees == expected_fees assert funding_fees == expected_fees
@pytest.mark.parametrize('name,expected_fees_8,expected_fees_10,expected_fees_12', [ @ pytest.mark.parametrize('exchange,expected_fees', [
('binance', -0.0009140999999999999, -0.0009140999999999999, -0.0009140999999999999), ('binance', -0.0009140999999999999),
# TODO: Uncoment once _calculate_funding_fees can pas time_in_ratio to exchange._get_funding_fee ('gateio', -0.0009140999999999999),
# ('kraken', -0.0014937, -0.0014937, 0.0045759),
('ftx', 0.0010008000000000003, 0.0021084, 0.0146691),
('gateio', -0.0009140999999999999, -0.0009140999999999999, -0.0009140999999999999),
]) ])
def test__calculate_funding_fees_datetime_called( def test__calculate_funding_fees_datetime_called(
mocker, mocker,
default_conf, default_conf,
funding_rate_history, funding_rate_history_octohourly,
mark_ohlcv, mark_ohlcv,
name, exchange,
time_machine, time_machine,
expected_fees_8, expected_fees
expected_fees_10,
expected_fees_12
): ):
api_mock = MagicMock() api_mock = MagicMock()
api_mock.fetch_ohlcv = MagicMock(return_value=mark_ohlcv) 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={'fetchOHLCV': True})
type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': 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') 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") time_machine.move_to("2021-09-01 08:00:00 +00:00")
funding_fees = exchange._calculate_funding_fees('ADA/USDT', 30.0, d1) funding_fees = exchange._calculate_funding_fees('ADA/USDT', 30.0, d1)
assert funding_fees == expected_fees_8 assert funding_fees == expected_fees
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

26
tests/test_freqtradebot.py
View File

@ -4761,7 +4761,19 @@ def test_update_funding_fees(
default_conf['collateral'] = 'isolated' default_conf['collateral'] = 'isolated'
default_conf['dry_run'] = True 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": { "LTC/BTC": {
1630454400000: 0.00032583, 1630454400000: 0.00032583,
1630483200000: 0.00024472, 1630483200000: 0.00024472,
@ -4798,7 +4810,7 @@ def test_update_funding_fees(
mocker.patch( mocker.patch(
'freqtrade.exchange.Exchange.get_funding_rate_history', '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( mocker.patch.multiple(
@ -4827,17 +4839,21 @@ def test_update_funding_fees(
assert trade.funding_fees == ( assert trade.funding_fees == (
trade.amount * trade.amount *
mark_prices[trade.pair][1630454400000] * 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) mocker.patch('freqtrade.exchange.Exchange.create_order', return_value=open_exit_order)
# create_mock_trades(fee, False) # create_mock_trades(fee, False)
time_machine.move_to("2021-09-01 08:00:00 +00:00") 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: if schedule_off:
for trade in trades: for trade in trades:
assert trade.funding_fees == ( assert trade.funding_fees == (
trade.amount * trade.amount *
mark_prices[trade.pair][1630454400000] * mark_prices[trade.pair][1630454400000] *
funding_rates[trade.pair][1630454400000] funding_rates_eight[trade.pair][1630454400000]
) )
freqtrade.execute_trade_exit( freqtrade.execute_trade_exit(
trade=trade, trade=trade,
@ -4853,5 +4869,5 @@ def test_update_funding_fees(
assert trade.funding_fees == sum([ assert trade.funding_fees == sum([
trade.amount * trade.amount *
mark_prices[trade.pair][time] * 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()
]) ])