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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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64
tests/exchange/test_exchange.py
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@@ -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')