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Fix docs and add outer join support for merging funding rates across full timerange

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froggleston 2022-05-18 12:47:37 +01:00
parent c41d4c4f45
commit 736f9f4972
2 changed files with 10 additions and 4 deletions
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2
docs/configuration.md
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@ -230,7 +230,7 @@ Mandatory parameters are marked as **Required**, which means that they are requi
| `dataformat_trades` | Data format to use to store historical trades data. <br> *Defaults to `jsongz`*. <br> **Datatype:** String | `dataformat_trades` | Data format to use to store historical trades data. <br> *Defaults to `jsongz`*. <br> **Datatype:** String
| `position_adjustment_enable` | Enables the strategy to use position adjustments (additional buys or sells). [More information here](strategy-callbacks.md#adjust-trade-position). <br> [Strategy Override](#parameters-in-the-strategy). <br>*Defaults to `false`.*<br> **Datatype:** Boolean | `position_adjustment_enable` | Enables the strategy to use position adjustments (additional buys or sells). [More information here](strategy-callbacks.md#adjust-trade-position). <br> [Strategy Override](#parameters-in-the-strategy). <br>*Defaults to `false`.*<br> **Datatype:** Boolean
| `max_entry_position_adjustment` | Maximum additional order(s) for each open trade on top of the first entry Order. Set it to `-1` for unlimited additional orders. [More information here](strategy-callbacks.md#adjust-trade-position). <br> [Strategy Override](#parameters-in-the-strategy). <br>*Defaults to `-1`.*<br> **Datatype:** Positive Integer or -1 | `max_entry_position_adjustment` | Maximum additional order(s) for each open trade on top of the first entry Order. Set it to `-1` for unlimited additional orders. [More information here](strategy-callbacks.md#adjust-trade-position). <br> [Strategy Override](#parameters-in-the-strategy). <br>*Defaults to `-1`.*<br> **Datatype:** Positive Integer or -1
| `futures_funding_rate` | User-specified funding rate to be used when historical funding rates are not available from the exchange. This does not overwrite real historical rates. It is recommended that this be set to 0 unless you are testing a specific coin and you understand how the funding rate will affect freqtrade's profit calculations. [More information here](configuration.md) <br>*Defaults to None.*<br> **Datatype:** Float | `futures_funding_rate` | User-specified funding rate to be used when historical funding rates are not available from the exchange. This does not overwrite real historical rates. It is recommended that this be set to 0 unless you are testing a specific coin and you understand how the funding rate will affect freqtrade's profit calculations. [More information here](leverage.md) <br>*Defaults to None.*<br> **Datatype:** Float
### Parameters in the strategy ### Parameters in the strategy

6
freqtrade/optimize/backtesting.py
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@ -293,6 +293,12 @@ class Backtesting:
inplace=True) inplace=True)
self.futures_data[pair] = mark_rates_dict[pair] self.futures_data[pair] = mark_rates_dict[pair]
else:
if "futures_funding_rate" in self.config:
self.futures_data[pair] = mark_rates_dict[pair].merge(
funding_rates_dict[pair], on='date',
how="outer", suffixes=["_fund", "_mark"]).fillna(
self.config.get('futures_funding_rate'))
else: else:
self.futures_data[pair] = mark_rates_dict[pair].merge( self.futures_data[pair] = mark_rates_dict[pair].merge(
funding_rates_dict[pair], on='date', funding_rates_dict[pair], on='date',