Bybit futures data download

freqtrade/exchange/bybit.py

@@ -1,9 +1,10 @@
 """ Bybit exchange subclass """
 import logging
-from typing import Dict, List, Tuple
+from typing import Dict, List, Optional, Tuple
 
 from freqtrade.enums import MarginMode, TradingMode
 from freqtrade.exchange import Exchange
+from freqtrade.exchange.exchange_utils import timeframe_to_msecs
 
 
 logger = logging.getLogger(__name__)
@@ -25,7 +26,9 @@ class Bybit(Exchange):
         "ohlcv_has_history": False,
     }
     _ft_has_futures: Dict = {
+        "ohlcv_candle_limit": 200,
         "ohlcv_has_history": True,
+        "mark_ohlcv_timeframe": "4h",
     }
 
     _supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
@@ -47,3 +50,26 @@ class Bybit(Exchange):
             })
         config.update(super()._ccxt_config)
         return config
+
+    async def _fetch_funding_rate_history(
+        self,
+        pair: str,
+        timeframe: str,
+        limit: int,
+        since_ms: Optional[int] = None,
+    ) -> List[List]:
+        """
+        Fetch funding rate history
+        Necessary workaround until https://github.com/ccxt/ccxt/issues/15990 is fixed.
+        """
+        params = {}
+        if since_ms:
+            until = since_ms + (timeframe_to_msecs(timeframe) * self._ft_has['ohlcv_candle_limit'])
+            params.update({'until': until})
+        # Funding rate
+        data = await self._api_async.fetch_funding_rate_history(
+            pair, since=since_ms,
+            params=params)
+        # Convert funding rate to candle pattern
+        data = [[x['timestamp'], x['fundingRate'], 0, 0, 0, 0] for x in data]
+        return data

tests/exchange/test_bybit.py

@@ -0,0 +1,42 @@
+from unittest.mock import MagicMock
+
+from freqtrade.exchange.exchange_utils import timeframe_to_msecs
+from tests.conftest import get_mock_coro, get_patched_exchange
+
+
+async def test_bybit_fetch_funding_rate(default_conf, mocker):
+    default_conf['trading_mode'] = 'futures'
+    default_conf['margin_mode'] = 'isolated'
+    api_mock = MagicMock()
+    api_mock.fetch_funding_rate_history = get_mock_coro(return_value=[])
+    exchange = get_patched_exchange(mocker, default_conf, id='bybit', api_mock=api_mock)
+    limit = 200
+    # Test fetch_funding_rate_history (current data)
+    await exchange._fetch_funding_rate_history(
+        pair='BTC/USDT:USDT',
+        timeframe='4h',
+        limit=limit,
+        )
+
+    assert api_mock.fetch_funding_rate_history.call_count == 1
+    assert api_mock.fetch_funding_rate_history.call_args_list[0][0][0] == 'BTC/USDT:USDT'
+    kwargs = api_mock.fetch_funding_rate_history.call_args_list[0][1]
+    assert kwargs['params'] == {}
+    assert kwargs['since'] is None
+
+    api_mock.fetch_funding_rate_history.reset_mock()
+    since_ms = 1610000000000
+    since_ms_end = since_ms + (timeframe_to_msecs('4h') * limit)
+    # Test fetch_funding_rate_history (current data)
+    await exchange._fetch_funding_rate_history(
+        pair='BTC/USDT:USDT',
+        timeframe='4h',
+        limit=limit,
+        since_ms=since_ms,
+        )
+
+    assert api_mock.fetch_funding_rate_history.call_count == 1
+    assert api_mock.fetch_funding_rate_history.call_args_list[0][0][0] == 'BTC/USDT:USDT'
+    kwargs = api_mock.fetch_funding_rate_history.call_args_list[0][1]
+    assert kwargs['params'] == {'until': since_ms_end}
+    assert kwargs['since'] == since_ms