Add compat tests

freqtrade/exchange/exchange.py

@@ -1609,12 +1609,11 @@ class Exchange:
     def _get_funding_fees_from_exchange(self, pair: str, since: Union[datetime, int]) -> float:
         """
         Returns the sum of all funding fees that were exchanged for a pair within a timeframe
+        Dry-run handling happens as part of _calculate_funding_fees.
         :param pair: (e.g. ADA/USDT)
         :param since: The earliest time of consideration for calculating funding fees,
             in unix time or as a datetime
         """
-        # TODO-lev: Add dry-run handling for this.
-
         if not self.exchange_has("fetchFundingHistory"):
             raise OperationalException(
                 f"fetch_funding_history() is not available using {self.name}"
@@ -1889,13 +1888,8 @@ class Exchange:
                 d = datetime.fromtimestamp(int(fund['timestamp'] / 1000), timezone.utc)
                 # Round down to the nearest hour, in case of a delayed timestamp
                 # The millisecond timestamps can be delayed ~20ms
-                time = datetime(
-                    d.year,
-                    d.month,
-                    d.day,
-                    d.hour,
-                    tzinfo=timezone.utc
-                ).timestamp() * 1000
+                time = int(timeframe_to_prev_date('1h', d).timestamp() * 1000)
+
                 funding_history[time] = fund['fundingRate']
             return funding_history
         except ccxt.DDoSProtection as e:

tests/exchange/test_ccxt_compat.py

@@ -12,7 +12,7 @@ import pytest
 
 from freqtrade.exchange import timeframe_to_minutes, timeframe_to_prev_date
 from freqtrade.resolvers.exchange_resolver import ExchangeResolver
-from tests.conftest import get_default_conf
+from tests.conftest import get_default_conf_usdt
 
 
 # Exchanges that should be tested
@@ -33,9 +33,11 @@ EXCHANGES = {
         'timeframe': '5m',
     },
     'ftx': {
-        'pair': 'BTC/USDT',
+        'pair': 'BTC/USD',
         'hasQuoteVolume': True,
         'timeframe': '5m',
+        'futures_pair': 'BTC-PERP',
+        'futures': True,
     },
     'kucoin': {
         'pair': 'BTC/USDT',
@@ -46,6 +48,7 @@ EXCHANGES = {
         'pair': 'BTC/USDT',
         'hasQuoteVolume': True,
         'timeframe': '5m',
+        'futures': True,
     },
     'okex': {
         'pair': 'BTC/USDT',
@@ -57,7 +60,7 @@ EXCHANGES = {
 
 @pytest.fixture(scope="class")
 def exchange_conf():
-    config = get_default_conf((Path(__file__).parent / "testdata").resolve())
+    config = get_default_conf_usdt((Path(__file__).parent / "testdata").resolve())
     config['exchange']['pair_whitelist'] = []
     config['exchange']['key'] = ''
     config['exchange']['secret'] = ''
@@ -73,6 +76,19 @@ def exchange(request, exchange_conf):
     yield exchange, request.param
 
 
+@pytest.fixture(params=EXCHANGES, scope="class")
+def exchange_futures(request, exchange_conf):
+    if not EXCHANGES[request.param].get('futures') is True:
+        yield None, request.param
+    else:
+        exchange_conf['exchange']['name'] = request.param
+        exchange_conf['trading_mode'] = 'futures'
+        exchange_conf['collateral'] = 'cross'
+        exchange = ExchangeResolver.load_exchange(request.param, exchange_conf, validate=True)
+
+        yield exchange, request.param
+
+
 @pytest.mark.longrun
 class TestCCXTExchange():
 
@@ -149,6 +165,24 @@ class TestCCXTExchange():
         now = datetime.now(timezone.utc) - timedelta(minutes=(timeframe_to_minutes(timeframe) * 2))
         assert exchange.klines(pair_tf).iloc[-1]['date'] >= timeframe_to_prev_date(timeframe, now)
 
+    @pytest.mark.skip("No futures support yet")
+    def test_ccxt_fetch_funding_rate_history(self, exchange_futures):
+        # TODO-lev: enable this test once Futures mode is enabled.
+        exchange, exchangename = exchange_futures
+        if not exchange:
+            # exchange_futures only returns values for supported exchanges
+            return
+
+        pair = EXCHANGES[exchangename].get('futures_pair', EXCHANGES[exchangename]['pair'])
+        since = int((datetime.now(timezone.utc) - timedelta(days=5)).timestamp() * 1000)
+
+        rate = exchange.get_funding_rate_history(pair, since)
+        assert isinstance(rate, dict)
+        this_hour = timeframe_to_prev_date('1h')
+        prev_hour = this_hour - timedelta(hours=1)
+        assert rate[int(this_hour.timestamp() * 1000)] != 0.0
+        assert rate[int(prev_hour.timestamp() * 1000)] != 0.0
+
     # TODO: tests fetch_trades (?)
 
     def test_ccxt_get_fee(self, exchange):