Merge pull request #7379 from freqtrade/fix/keyerror_fundingfee

Fix keyerror fundingfee update

freqtrade/exchange/exchange.py

@@ -2509,8 +2509,13 @@ class Exchange:
             cache=False,
             drop_incomplete=False,
         )
-        funding_rates = candle_histories[funding_comb]
+        try:
-        mark_rates = candle_histories[mark_comb]
+            # we can't assume we always get histories - for example during exchange downtimes
+            funding_rates = candle_histories[funding_comb]
+            mark_rates = candle_histories[mark_comb]
+        except KeyError:
+            raise ExchangeError("Could not find funding rates.") from None
+
         funding_mark_rates = self.combine_funding_and_mark(
             funding_rates=funding_rates, mark_rates=mark_rates)
 
@@ -2590,6 +2595,8 @@ class Exchange:
         :param is_short: trade direction
         :param amount: Trade amount
         :param open_date: Open date of the trade
+        :return: funding fee since open_date
+        :raies: ExchangeError if something goes wrong.
         """
         if self.trading_mode == TradingMode.FUTURES:
             if self._config['dry_run']:

freqtrade/freqtradebot.py

@@ -281,16 +281,17 @@ class FreqtradeBot(LoggingMixin):
     def update_funding_fees(self):
         if self.trading_mode == TradingMode.FUTURES:
             trades = Trade.get_open_trades()
-            for trade in trades:
+            try:
-                funding_fees = self.exchange.get_funding_fees(
+                for trade in trades:
-                    pair=trade.pair,
+                    funding_fees = self.exchange.get_funding_fees(
-                    amount=trade.amount,
+                        pair=trade.pair,
-                    is_short=trade.is_short,
+                        amount=trade.amount,
-                    open_date=trade.date_last_filled_utc
+                        is_short=trade.is_short,
-                )
+                        open_date=trade.date_last_filled_utc
-                trade.funding_fees = funding_fees
+                    )
-        else:
+                    trade.funding_fees = funding_fees
-            return 0.0
+            except ExchangeError:
+                logger.warning("Could not update funding fees for open trades.")
 
     def startup_backpopulate_precision(self):
 
@@ -671,14 +672,12 @@ class FreqtradeBot(LoggingMixin):
         if not stake_amount:
             return False
 
-        if pos_adjust:
+        msg = (f"Position adjust: about to create a new order for {pair} with stake: "
-            logger.info(f"Position adjust: about to create a new order for {pair} with stake: "
+               f"{stake_amount} for {trade}" if pos_adjust
-                        f"{stake_amount} for {trade}")
+               else
-        else:
+               f"{name} signal found: about create a new trade for {pair} with stake_amount: "
-            logger.info(
+               f"{stake_amount} ...")
-                f"{name} signal found: about create a new trade for {pair} with stake_amount: "
+        logger.info(msg)
-                f"{stake_amount} ...")
-
         amount = (stake_amount / enter_limit_requested) * leverage
         order_type = ordertype or self.strategy.order_types['entry']
 
@@ -741,8 +740,13 @@ class FreqtradeBot(LoggingMixin):
 
         # This is a new trade
         if trade is None:
-            funding_fees = self.exchange.get_funding_fees(
+            funding_fees = 0.0
-                pair=pair, amount=amount, is_short=is_short, open_date=open_date)
+            try:
+                funding_fees = self.exchange.get_funding_fees(
+                    pair=pair, amount=amount, is_short=is_short, open_date=open_date)
+            except ExchangeError:
+                logger.warning("Could not find funding fee.")
+
             trade = Trade(
                 pair=pair,
                 base_currency=base_currency,
@@ -1493,12 +1497,16 @@ class FreqtradeBot(LoggingMixin):
         :param exit_check: CheckTuple with signal and reason
         :return: True if it succeeds False
         """
-        trade.funding_fees = self.exchange.get_funding_fees(
+        try:
-            pair=trade.pair,
+            trade.funding_fees = self.exchange.get_funding_fees(
-            amount=trade.amount,
+                pair=trade.pair,
-            is_short=trade.is_short,
+                amount=trade.amount,
-            open_date=trade.date_last_filled_utc,
+                is_short=trade.is_short,
-        )
+                open_date=trade.date_last_filled_utc,
+            )
+        except ExchangeError:
+            logger.warning("Could not update funding fee.")
+
         exit_type = 'exit'
         exit_reason = exit_tag or exit_check.exit_reason
         if exit_check.exit_type in (

tests/exchange/test_exchange.py

@@ -11,8 +11,9 @@ import pytest
 from pandas import DataFrame
 
 from freqtrade.enums import CandleType, MarginMode, TradingMode
-from freqtrade.exceptions import (DDosProtection, DependencyException, InvalidOrderException,
+from freqtrade.exceptions import (DDosProtection, DependencyException, ExchangeError,
-                                  OperationalException, PricingError, TemporaryError)
+                                  InvalidOrderException, OperationalException, PricingError,
+                                  TemporaryError)
 from freqtrade.exchange import (Binance, Bittrex, Exchange, Kraken, amount_to_precision,
                                 date_minus_candles, market_is_active, price_to_precision,
                                 timeframe_to_minutes, timeframe_to_msecs, timeframe_to_next_date,
@@ -4179,17 +4180,24 @@ def test__fetch_and_calculate_funding_fees(
     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=exchange)
+    ex = get_patched_exchange(mocker, default_conf, api_mock, id=exchange)
     mocker.patch('freqtrade.exchange.Exchange.timeframes', PropertyMock(
         return_value=['1h', '4h', '8h']))
-    funding_fees = exchange._fetch_and_calculate_funding_fees(
+    funding_fees = ex._fetch_and_calculate_funding_fees(
         pair='ADA/USDT', amount=amount, is_short=True, open_date=d1, close_date=d2)
     assert pytest.approx(funding_fees) == expected_fees
     # Fees for Longs are inverted
-    funding_fees = exchange._fetch_and_calculate_funding_fees(
+    funding_fees = ex._fetch_and_calculate_funding_fees(
         pair='ADA/USDT', amount=amount, is_short=False, open_date=d1, close_date=d2)
     assert pytest.approx(funding_fees) == -expected_fees
 
+    # Return empty "refresh_latest"
+    mocker.patch("freqtrade.exchange.Exchange.refresh_latest_ohlcv", return_value={})
+    ex = get_patched_exchange(mocker, default_conf, api_mock, id=exchange)
+    with pytest.raises(ExchangeError, match="Could not find funding rates."):
+        ex._fetch_and_calculate_funding_fees(
+            pair='ADA/USDT', amount=amount, is_short=False, open_date=d1, close_date=d2)
+
 
 @pytest.mark.parametrize('exchange,expected_fees', [
     ('binance', -0.0009140999999999999),

tests/test_freqtradebot.py

@@ -506,7 +506,7 @@ def test_create_trades_multiple_trades(
 
 
 def test_create_trades_preopen(default_conf_usdt, ticker_usdt, fee, mocker,
-                               limit_buy_order_usdt_open) -> None:
+                               limit_buy_order_usdt_open, caplog) -> None:
     patch_RPCManager(mocker)
     patch_exchange(mocker)
     default_conf_usdt['max_open_trades'] = 4
@@ -515,6 +515,7 @@ def test_create_trades_preopen(default_conf_usdt, ticker_usdt, fee, mocker,
         fetch_ticker=ticker_usdt,
         create_order=MagicMock(return_value=limit_buy_order_usdt_open),
         get_fee=fee,
+        get_funding_fees=MagicMock(side_effect=ExchangeError()),
     )
     freqtrade = FreqtradeBot(default_conf_usdt)
     patch_get_signal(freqtrade)
@@ -522,6 +523,7 @@ def test_create_trades_preopen(default_conf_usdt, ticker_usdt, fee, mocker,
     # Create 2 existing trades
     freqtrade.execute_entry('ETH/USDT', default_conf_usdt['stake_amount'])
     freqtrade.execute_entry('NEO/BTC', default_conf_usdt['stake_amount'])
+    assert log_has("Could not find funding fee.", caplog)
 
     assert len(Trade.get_open_trades()) == 2
     # Change order_id for new orders
@@ -3666,7 +3668,7 @@ def test_may_execute_trade_exit_after_stoploss_on_exchange_hit(
         (True, 29.70297029, 2.2, 2.3, -8.63762376, -0.1443212, 'loss'),
     ])
 def test_execute_trade_exit_market_order(
-    default_conf_usdt, ticker_usdt, fee, is_short, current_rate, amount,
+    default_conf_usdt, ticker_usdt, fee, is_short, current_rate, amount, caplog,
     limit, profit_amount, profit_ratio, profit_or_loss, ticker_usdt_sell_up, mocker
 ) -> None:
     """
@@ -3694,6 +3696,7 @@ def test_execute_trade_exit_market_order(
         fetch_ticker=ticker_usdt,
         get_fee=fee,
         _is_dry_limit_order_filled=MagicMock(return_value=True),
+        get_funding_fees=MagicMock(side_effect=ExchangeError()),
     )
     patch_whitelist(mocker, default_conf_usdt)
     freqtrade = FreqtradeBot(default_conf_usdt)
@@ -3719,6 +3722,7 @@ def test_execute_trade_exit_market_order(
         limit=ticker_usdt_sell_up()['ask' if is_short else 'bid'],
         exit_check=ExitCheckTuple(exit_type=ExitType.ROI)
     )
+    assert log_has("Could not update funding fee.", caplog)
 
     assert not trade.is_open
     assert pytest.approx(trade.close_profit) == profit_ratio
@@ -5430,6 +5434,16 @@ def test_update_funding_fees(
         ))
 
 
+def test_update_funding_fees_error(mocker, default_conf, caplog):
+    mocker.patch('freqtrade.exchange.Exchange.get_funding_fees', side_effect=ExchangeError())
+    default_conf['trading_mode'] = 'futures'
+    default_conf['margin_mode'] = 'isolated'
+    freqtrade = get_patched_freqtradebot(mocker, default_conf)
+    freqtrade.update_funding_fees()
+
+    log_has("Could not update funding fees for open trades.", caplog)
+
+
 def test_position_adjust(mocker, default_conf_usdt, fee) -> None:
     patch_RPCManager(mocker)
     patch_exchange(mocker)