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Added tests for funding_fee_dry_run

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This commit is contained in:
Sam Germain 2021-10-31 04:40:23 -06:00
parent f6924aca40
commit 5c52b21346
2 changed files with 157 additions and 18 deletions
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13
freqtrade/exchange/exchange.py
View File

@ -1739,7 +1739,7 @@ class Exchange:
def _get_mark_price_history(
self,
pair: str,
start: int
since: int
) -> Dict:
"""
Get's the mark price history for a pair
@ -1749,7 +1749,7 @@ class Exchange:
candles = self._api.fetch_ohlcv(
pair,
timeframe="1h",
since=start,
since=since,
params={
'price': self._ft_has["mark_ohlcv_price"]
}
@ -1813,12 +1813,11 @@ class Exchange:
def get_funding_rate_history(
self,
pair: str,
start: int,
end: Optional[int] = None
since: int,
) -> Dict:
'''
:param pair: quote/base currency pair
:param start: timestamp in ms of the beginning time
:param since: timestamp in ms of the beginning time
:param end: timestamp in ms of the end time
'''
if not self.exchange_has("fetchFundingRateHistory"):
@ -1827,13 +1826,13 @@ class Exchange:
f"therefore, dry-run/backtesting for {self.name} is currently unavailable"
)
# TODO-lev: Gateio has a max limit into the past of 333 days
try:
funding_history: Dict = {}
response = self._api.fetch_funding_rate_history(
pair,
limit=1000,
start=start,
end=end
since=since
)
for fund in response:
funding_history[fund['timestamp']] = fund['fundingRate']

162
tests/exchange/test_exchange.py
View File

@ -3290,21 +3290,161 @@ def test_get_max_leverage(default_conf, mocker, pair, nominal_value, max_lev):
assert exchange.get_max_leverage(pair, nominal_value) == max_lev
def test_get_mark_price():
@pytest.mark.parametrize('contract_size,funding_rate,mark_price,funding_fee', [
(10, 0.0001, 2.0, 0.002),
(10, 0.0002, 2.0, 0.004),
(10, 0.0002, 2.5, 0.005)
])
def test__get_funding_fee(
default_conf,
mocker,
contract_size,
funding_rate,
mark_price,
funding_fee
):
exchange = get_patched_exchange(mocker, default_conf)
assert exchange._get_funding_fee(contract_size, funding_rate, mark_price) == funding_fee
@pytest.mark.parametrize('exchange,d1,d2', [
('binance', "2021-09-01 00:00:00", "2021-09-01 08:00:00"),
('binance', "2021-09-01 00:00:15", "2021-09-01 08:00:00"),
('binance', "2021-09-01 00:00:16", "2021-09-01 08:00:00"),
('binance', "2021-09-01 00:00:00", "2021-09-01 07:59:45"),
('binance', "2021-09-01 00:00:00", "2021-09-01 07:59:44"),
('binance', "2021-09-01 00:00:00", "2021-09-01 12:00:00"),
('kraken', "2021-09-01 00:00:00", "2021-09-01 08:00:00"),
('kraken', "2021-09-01 00:00:15", "2021-09-01 08:00:00"),
('kraken', "2021-09-01 00:00:16", "2021-09-01 08:00:00"),
('kraken', "2021-09-01 00:00:00", "2021-09-01 07:59:45"),
('kraken', "2021-09-01 00:00:00", "2021-09-01 07:59:44"),
('kraken', "2021-09-01 00:00:00", "2021-09-01 12:00:00"),
('ftx', "2021-09-01 00:00:00", "2021-09-01 08:00:00"),
('ftx', "2021-09-01 00:00:15", "2021-09-01 08:00:00"),
('ftx', "2021-09-01 00:00:16", "2021-09-01 08:00:00"),
('ftx', "2021-09-01 00:00:00", "2021-09-01 07:59:45"),
('ftx', "2021-09-01 00:00:00", "2021-09-01 07:59:44"),
('ftx', "2021-09-01 00:00:00", "2021-09-01 12:00:00"),
('gateio', "2021-09-01 00:00:00", "2021-09-01 08:00:00"),
('gateio', "2021-09-01 00:00:15", "2021-09-01 08:00:00"),
('gateio', "2021-09-01 00:00:16", "2021-09-01 08:00:00"),
('gateio', "2021-09-01 00:00:00", "2021-09-01 07:59:45"),
('gateio', "2021-09-01 00:00:00", "2021-09-01 07:59:44"),
('gateio', "2021-09-01 00:00:00", "2021-09-01 12:00:00"),
])
def test__get_funding_fee_dates(exchange, d1, d2):
return
def test_get_funding_fee_dates():
return
def test__get_mark_price_history(mocker, default_conf):
api_mock = MagicMock()
api_mock.fetch_ohlcv = MagicMock(return_value=[
[
1635674520000,
1.954,
1.95435369,
1.9524,
1.95255532,
0
],
[
1635674580000,
1.95255532,
1.95356934,
1.9507,
1.9507,
0
],
[
1635674640000,
1.9505,
1.95240962,
1.9502,
1.9506914,
0
],
[
1635674700000,
1.95067489,
1.95124984,
1.94852208,
1.9486,
0
]
])
type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True})
# mocker.patch('freqtrade.exchange.Exchange.get_funding_fees', lambda pair, since: y)
exchange = get_patched_exchange(mocker, default_conf, api_mock)
mark_prices = exchange._get_mark_price_history("ADA/USDT", 1635674520000)
assert mark_prices == {
1635674520000: 1.954,
1635674580000: 1.95255532,
1635674640000: 1.9505,
1635674700000: 1.95067489,
}
ccxt_exceptionhandlers(
mocker,
default_conf,
api_mock,
"binance",
"_get_mark_price_history",
"fetch_ohlcv",
pair="ADA/USDT",
since=1635674520000
)
def test_get_funding_rate_history(mocker, default_conf):
api_mock = MagicMock()
api_mock.fetch_funding_rate_history = MagicMock(return_value=[
{
"symbol": "ADA/USDT",
"fundingRate": 0.00042396,
"timestamp": 1635580800001
},
{
"symbol": "ADA/USDT",
"fundingRate": 0.00036859,
"timestamp": 1635609600013
},
{
"symbol": "ADA/USDT",
"fundingRate": 0.0005205,
"timestamp": 1635638400008
},
{
"symbol": "ADA/USDT",
"fundingRate": 0.00068396,
"timestamp": 1635667200010
}
])
type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True})
# mocker.patch('freqtrade.exchange.Exchange.get_funding_fees', lambda pair, since: y)
exchange = get_patched_exchange(mocker, default_conf, api_mock)
funding_rates = exchange.get_funding_rate_history('ADA/USDT', 1635580800001)
assert funding_rates == {
1635580800001: 0.00042396,
1635609600013: 0.00036859,
1635638400008: 0.0005205,
1635667200010: 0.00068396,
}
ccxt_exceptionhandlers(
mocker,
default_conf,
api_mock,
"binance",
"get_funding_rate_history",
"fetch_funding_rate_history",
pair="ADA/USDT",
since=1635580800001
)
def test_calculate_funding_fees():
return
def test__get_funding_rate(default_conf, mocker):
return
def test__get_funding_fee():
return