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Added test_update_funding_fees in freqtradebot, test currently fails

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Sam Germain
2021-11-03 22:52:37 -06:00
parent 3de42da29a
commit 8a4236198f
4 changed files with 133 additions and 40 deletions
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4
freqtrade/exchange/exchange.py
View File

@@ -1807,8 +1807,8 @@ class Exchange:
int(open_date.timestamp() * 1000)
)
for date in self._get_funding_fee_dates(open_date, close_date):
funding_rate = funding_rate_history[int(date.timestamp()) * 1000]
mark_price = mark_price_history[int(date.timestamp()) * 1000]
funding_rate = funding_rate_history[int(date.timestamp() * 1000)]
mark_price = mark_price_history[int(date.timestamp() * 1000)]
fees += self._get_funding_fee(
contract_size=amount,
mark_price=mark_price,

3
freqtrade/freqtradebot.py
View File

@@ -268,7 +268,8 @@ class FreqtradeBot(LoggingMixin):
def update_funding_fees(self):
if self.trading_mode == TradingMode.FUTURES:
for trade in Trade.get_open_trades():
trades = Trade.get_open_trades()
for trade in trades:
if self.config['dry_run']:
funding_fees = self.exchange.calculate_funding_fees(
trade.pair,

64
tests/exchange/test_exchange.py
View File

@@ -3536,39 +3536,39 @@ def test_calculate_funding_fees(
expected_fees
):
'''
nominal_value = mark_price * contract_size
funding_fee = nominal_value * funding_rate
contract_size: 30
time: 0, mark_price: 2.77, nominal_value: 83.1, fundingRate: -0.000008, fundingFee: -0.0006647999999999999
time: 1, mark_price: 2.73, nominal_value: 81.9, fundingRate: -0.000004, fundingFee: -0.0003276
time: 2, mark_price: 2.74, nominal_value: 82.2, fundingRate: 0.000012, fundingFee: 0.0009864000000000001
time: 3, mark_price: 2.76, nominal_value: 82.8, fundingRate: -0.000003, fundingFee: -0.0002484
time: 4, mark_price: 2.76, nominal_value: 82.8, fundingRate: -0.000007, fundingFee: -0.0005796
time: 5, mark_price: 2.77, nominal_value: 83.1, fundingRate: 0.000003, fundingFee: 0.0002493
time: 6, mark_price: 2.78, nominal_value: 83.39999999999999, fundingRate: 0.000019, fundingFee: 0.0015846
time: 7, mark_price: 2.78, nominal_value: 83.39999999999999, fundingRate: 0.000003, fundingFee: 0.00025019999999999996
time: 8, mark_price: 2.77, nominal_value: 83.1, fundingRate: -0.000003, fundingFee: -0.0002493
time: 9, mark_price: 2.77, nominal_value: 83.1, fundingRate: 0, fundingFee: 0.0
time: 10, mark_price: 2.84, nominal_value: 85.19999999999999, fundingRate: 0.000013, fundingFee: 0.0011075999999999998
time: 11, mark_price: 2.81, nominal_value: 84.3, fundingRate: 0.000077, fundingFee: 0.0064911
time: 12, mark_price: 2.81, nominal_value: 84.3, fundingRate: 0.000072, fundingFee: 0.0060696
time: 13, mark_price: 2.82, nominal_value: 84.6, fundingRate: 0.000097, fundingFee: 0.008206199999999999
nominal_value = mark_price * contract_size
funding_fee = nominal_value * funding_rate
contract_size: 30
time: 0, mark: 2.77, nominal_value: 83.1, fundRate: -0.000008, fundFee: -0.0006648
time: 1, mark: 2.73, nominal_value: 81.9, fundRate: -0.000004, fundFee: -0.0003276
time: 2, mark: 2.74, nominal_value: 82.2, fundRate: 0.000012, fundFee: 0.0009864
time: 3, mark: 2.76, nominal_value: 82.8, fundRate: -0.000003, fundFee: -0.0002484
time: 4, mark: 2.76, nominal_value: 82.8, fundRate: -0.000007, fundFee: -0.0005796
time: 5, mark: 2.77, nominal_value: 83.1, fundRate: 0.000003, fundFee: 0.0002493
time: 6, mark: 2.78, nominal_value: 83.4, fundRate: 0.000019, fundFee: 0.0015846
time: 7, mark: 2.78, nominal_value: 83.4, fundRate: 0.000003, fundFee: 0.0002502
time: 8, mark: 2.77, nominal_value: 83.1, fundRate: -0.000003, fundFee: -0.0002493
time: 9, mark: 2.77, nominal_value: 83.1, fundRate: 0, fundFee: 0.0
time: 10, mark: 2.84, nominal_value: 85.2, fundRate: 0.000013, fundFee: 0.0011076
time: 11, mark: 2.81, nominal_value: 84.3, fundRate: 0.000077, fundFee: 0.0064911
time: 12, mark: 2.81, nominal_value: 84.3, fundRate: 0.000072, fundFee: 0.0060696
time: 13, mark: 2.82, nominal_value: 84.6, fundRate: 0.000097, fundFee: 0.0082062
contract_size: 50
time: 0, mark_price: 2.77, nominal_value: 138.5, fundingRate: -0.000008, fundingFee: -0.001108
time: 1, mark_price: 2.73, nominal_value: 136.5, fundingRate: -0.000004, fundingFee: -0.0005459999999999999
time: 2, mark_price: 2.74, nominal_value: 137.0, fundingRate: 0.000012, fundingFee: 0.001644
time: 3, mark_price: 2.76, nominal_value: 138.0, fundingRate: -0.000003, fundingFee: -0.00041400000000000003
time: 4, mark_price: 2.76, nominal_value: 138.0, fundingRate: -0.000007, fundingFee: -0.000966
time: 5, mark_price: 2.77, nominal_value: 138.5, fundingRate: 0.000003, fundingFee: 0.0004155
time: 6, mark_price: 2.78, nominal_value: 139.0, fundingRate: 0.000019, fundingFee: 0.002641
time: 7, mark_price: 2.78, nominal_value: 139.0, fundingRate: 0.000003, fundingFee: 0.000417
time: 8, mark_price: 2.77, nominal_value: 138.5, fundingRate: -0.000003, fundingFee: -0.0004155
time: 9, mark_price: 2.77, nominal_value: 138.5, fundingRate: 0, fundingFee: 0.0
time: 10, mark_price: 2.84, nominal_value: 142.0, fundingRate: 0.000013, fundingFee: 0.001846
time: 11, mark_price: 2.81, nominal_value: 140.5, fundingRate: 0.000077, fundingFee: 0.0108185
time: 12, mark_price: 2.81, nominal_value: 140.5, fundingRate: 0.000072, fundingFee: 0.010116
time: 13, mark_price: 2.82, nominal_value: 141.0, fundingRate: 0.000097, fundingFee: 0.013677
contract_size: 50
time: 0, mark: 2.77, nominal_value: 138.5, fundRate: -0.000008, fundFee: -0.001108
time: 1, mark: 2.73, nominal_value: 136.5, fundRate: -0.000004, fundFee: -0.000546
time: 2, mark: 2.74, nominal_value: 137.0, fundRate: 0.000012, fundFee: 0.001644
time: 3, mark: 2.76, nominal_value: 138.0, fundRate: -0.000003, fundFee: -0.000414
time: 4, mark: 2.76, nominal_value: 138.0, fundRate: -0.000007, fundFee: -0.000966
time: 5, mark: 2.77, nominal_value: 138.5, fundRate: 0.000003, fundFee: 0.0004155
time: 6, mark: 2.78, nominal_value: 139.0, fundRate: 0.000019, fundFee: 0.002641
time: 7, mark: 2.78, nominal_value: 139.0, fundRate: 0.000003, fundFee: 0.000417
time: 8, mark: 2.77, nominal_value: 138.5, fundRate: -0.000003, fundFee: -0.0004155
time: 9, mark: 2.77, nominal_value: 138.5, fundRate: 0, fundFee: 0.0
time: 10, mark: 2.84, nominal_value: 142.0, fundRate: 0.000013, fundFee: 0.001846
time: 11, mark: 2.81, nominal_value: 140.5, fundRate: 0.000077, fundFee: 0.0108185
time: 12, mark: 2.81, nominal_value: 140.5, fundRate: 0.000072, fundFee: 0.010116
time: 13, mark: 2.82, nominal_value: 141.0, fundRate: 0.000097, fundFee: 0.013677
'''
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')

102
tests/test_freqtradebot.py
View File

@@ -20,9 +20,9 @@ from freqtrade.persistence import Order, PairLocks, Trade
from freqtrade.persistence.models import PairLock
from freqtrade.strategy.interface import SellCheckTuple
from freqtrade.worker import Worker
from tests.conftest import (create_mock_trades, get_patched_freqtradebot, get_patched_worker,
log_has, log_has_re, patch_edge, patch_exchange, patch_get_signal,
patch_wallet, patch_whitelist)
from tests.conftest import (create_mock_trades, create_mock_trades_usdt, get_patched_freqtradebot,
get_patched_worker, log_has, log_has_re, patch_edge, patch_exchange,
patch_get_signal, patch_wallet, patch_whitelist)
from tests.conftest_trades import (MOCK_TRADE_COUNT, enter_side, exit_side, mock_order_1,
mock_order_2, mock_order_2_sell, mock_order_3, mock_order_3_sell,
mock_order_4, mock_order_5_stoploss, mock_order_6_sell)
@@ -4682,8 +4682,8 @@ def test_leverage_prep():
('futures', 33, "2021-08-31 23:59:59", "2021-09-01 08:00:07"),
('futures', 33, "2021-08-31 23:59:58", "2021-09-01 08:00:07"),
])
def test_update_funding_fees(mocker, default_conf, trading_mode, calls, time_machine,
t1, t2):
def test_update_funding_fees_schedule(mocker, default_conf, trading_mode, calls, time_machine,
t1, t2):
time_machine.move_to(f"{t1} +00:00")
patch_RPCManager(mocker)
@@ -4698,3 +4698,95 @@ def test_update_funding_fees(mocker, default_conf, trading_mode, calls, time_mac
freqtrade._schedule.run_pending()
assert freqtrade.update_funding_fees.call_count == calls
def test_update_funding_fees(mocker, default_conf, time_machine, fee):
'''
nominal_value = mark_price * contract_size
funding_fee = nominal_value * funding_rate
contract_size = 123
"LTC/BTC"
time: 0, mark: 3.3, fundRate: 0.00032583, nominal_value: 405.9, fundFee: 0.132254397
time: 8, mark: 3.2, fundRate: 0.00024472, nominal_value: 393.6, fundFee: 0.096321792
"ETH/BTC"
time: 0, mark: 2.4, fundRate: 0.0001, nominal_value: 295.2, fundFee: 0.02952
time: 8, mark: 2.5, fundRate: 0.0001, nominal_value: 307.5, fundFee: 0.03075
"ETC/BTC"
time: 0, mark: 4.3, fundRate: 0.00031077, nominal_value: 528.9, fundFee: 0.164366253
time: 8, mark: 4.1, fundRate: 0.00022655, nominal_value: 504.3, fundFee: 0.114249165
"XRP/BTC"
time: 0, mark: 1.2, fundRate: 0.00049426, nominal_value: 147.6, fundFee: 0.072952776
time: 8, mark: 1.2, fundRate: 0.00032715, nominal_value: 147.6, fundFee: 0.04828734
'''
time_machine.move_to("2021-09-01 00:00:00")
funding_rates = {
"LTC/BTC": {
1630454400000: 0.00032583,
1630483200000: 0.00024472,
},
"ETH/BTC": {
1630454400000: 0.0001,
1630483200000: 0.0001,
},
"ETC/BTC": {
1630454400000: 0.00031077,
1630483200000: 0.00022655,
},
"XRP/BTC": {
1630454400000: 0.00049426,
1630483200000: 0.00032715,
}
}
mark_prices = {
"LTC/BTC": {
1630454400000: 3.3,
1630483200000: 3.2,
},
"ETH/BTC": {
1630454400000: 2.4,
1630483200000: 2.5,
},
"ETC/BTC": {
1630454400000: 4.3,
1630483200000: 4.1,
},
"XRP/BTC": {
1630454400000: 1.2,
1630483200000: 1.2,
}
}
mocker.patch(
'freqtrade.exchange.Exchange._get_mark_price_history',
side_effect=[
mark_prices["LTC/BTC"],
mark_prices["ETH/BTC"],
mark_prices["ETC/BTC"],
mark_prices["XRP/BTC"],
]
)
mocker.patch(
'freqtrade.exchange.Exchange.get_funding_rate_history',
side_effect=[
funding_rates["LTC/BTC"],
funding_rates["ETH/BTC"],
funding_rates["ETC/BTC"],
funding_rates["XRP/BTC"],
]
)
patch_RPCManager(mocker)
patch_exchange(mocker)
default_conf['trading_mode'] = 'futures'
default_conf['collateral'] = 'isolated'
default_conf['dry_run'] = True
freqtrade = get_patched_freqtradebot(mocker, default_conf)
create_mock_trades(fee, False)
time_machine.move_to("2021-09-01 08:00:00 +00:00")
freqtrade._schedule.run_pending()
trades = Trade.get_open_trades()
for trade in trades:
assert trade.funding_fees == 123 * mark_prices[trade.pair] * funding_rates[trade.pair]
return