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Merge pull request #6043 from freqtrade/funding_fees

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Funding fees
This commit is contained in:
Matthias
2021-12-20 07:15:30 +01:00
committed by GitHub
parent edd80c3006 a557451eee
commit 90c565006b
7 changed files with 168 additions and 279 deletions
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25
freqtrade/data/history/history_utils.py
View File

@@ -283,17 +283,20 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes
# Predefined candletype (and timeframe) depending on exchange
# Downloads what is necessary to backtest based on futures data.
timeframe = exchange._ft_has['mark_ohlcv_timeframe']
candle_type = CandleType.from_string(exchange._ft_has['mark_ohlcv_price'])
# TODO: this could be in most parts to the above.
if erase:
if data_handler.ohlcv_purge(pair, timeframe, candle_type=candle_type):
logger.info(f'Deleting existing data for pair {pair}, interval {timeframe}.')
_download_pair_history(pair=pair, process=process,
datadir=datadir, exchange=exchange,
timerange=timerange, data_handler=data_handler,
timeframe=str(timeframe), new_pairs_days=new_pairs_days,
candle_type=candle_type)
fr_candle_type = CandleType.from_string(exchange._ft_has['mark_ohlcv_price'])
# All exchanges need FundingRate for futures trading.
# The timeframe is aligned to the mark-price timeframe.
for candle_type in (CandleType.FUNDING_RATE, fr_candle_type):
# TODO: this could be in most parts to the above.
if erase:
if data_handler.ohlcv_purge(pair, timeframe, candle_type=candle_type):
logger.info(
f'Deleting existing data for pair {pair}, interval {timeframe}.')
_download_pair_history(pair=pair, process=process,
datadir=datadir, exchange=exchange,
timerange=timerange, data_handler=data_handler,
timeframe=str(timeframe), new_pairs_days=new_pairs_days,
candle_type=candle_type)
return pairs_not_available

145
freqtrade/exchange/exchange.py
View File

@@ -1389,7 +1389,8 @@ class Exchange:
return pair, timeframe, candle_type, data
def refresh_latest_ohlcv(self, pair_list: ListPairsWithTimeframes, *,
since_ms: Optional[int] = None, cache: bool = True
since_ms: Optional[int] = None, cache: bool = True,
drop_incomplete: bool = None
) -> Dict[PairWithTimeframe, DataFrame]:
"""
Refresh in-memory OHLCV asynchronously and set `_klines` with the result
@@ -1398,10 +1399,13 @@ class Exchange:
:param pair_list: List of 2 element tuples containing pair, interval to refresh
:param since_ms: time since when to download, in milliseconds
:param cache: Assign result to _klines. Usefull for one-off downloads like for pairlists
:param drop_incomplete: Control candle dropping.
Specifying None defaults to _ohlcv_partial_candle
:return: Dict of [{(pair, timeframe): Dataframe}]
"""
logger.debug("Refreshing candle (OHLCV) data for %d pairs", len(pair_list))
# TODO-lev: maybe depend this on candle type?
drop_incomplete = self._ohlcv_partial_candle if drop_incomplete is None else drop_incomplete
input_coroutines = []
cached_pairs = []
# Gather coroutines to run
@@ -1447,7 +1451,7 @@ class Exchange:
# keeping parsed dataframe in cache
ohlcv_df = ohlcv_to_dataframe(
ticks, timeframe, pair=pair, fill_missing=True,
drop_incomplete=self._ohlcv_partial_candle)
drop_incomplete=drop_incomplete)
results_df[(pair, timeframe, c_type)] = ohlcv_df
if cache:
self._klines[(pair, timeframe, c_type)] = ohlcv_df
@@ -1494,11 +1498,17 @@ class Exchange:
params = deepcopy(self._ft_has.get('ohlcv_params', {}))
if candle_type != CandleType.SPOT:
params.update({'price': candle_type})
data = await self._api_async.fetch_ohlcv(pair, timeframe=timeframe,
since=since_ms,
limit=self.ohlcv_candle_limit(timeframe),
params=params)
if candle_type != CandleType.FUNDING_RATE:
data = await self._api_async.fetch_ohlcv(
pair, timeframe=timeframe, since=since_ms,
limit=self.ohlcv_candle_limit(timeframe), params=params)
else:
# Funding rate
data = await self._api_async.fetch_funding_rate_history(
pair, since=since_ms,
limit=self.ohlcv_candle_limit(timeframe))
# Convert funding rate to candle pattern
data = [[x['timestamp'], x['fundingRate'], 0, 0, 0, 0] for x in data]
# Some exchanges sort OHLCV in ASC order and others in DESC.
# Ex: Bittrex returns the list of OHLCV in ASC order (oldest first, newest last)
# while GDAX returns the list of OHLCV in DESC order (newest first, oldest last)
@@ -1812,46 +1822,6 @@ class Exchange:
except ccxt.BaseError as e:
raise OperationalException(e) from e
@retrier
def _get_mark_price_history(self, pair: str, since: int) -> Dict:
"""
Get's the mark price history for a pair
:param pair: The quote/base pair of the trade
:param since: The earliest time to start downloading candles, in ms.
"""
try:
candles = self._api.fetch_ohlcv(
pair,
timeframe="1h",
since=since,
params={
'price': self._ft_has["mark_ohlcv_price"]
}
)
history = {}
for candle in candles:
d = datetime.fromtimestamp(int(candle[0] / 1000), timezone.utc)
# Round down to the nearest hour, in case of a delayed timestamp
# The millisecond timestamps can be delayed ~20ms
time = timeframe_to_prev_date('1h', d).timestamp() * 1000
opening_mark_price = candle[1]
history[time] = opening_mark_price
return history
except ccxt.NotSupported as e:
raise OperationalException(
f'Exchange {self._api.name} does not support fetching historical '
f'mark price candle (OHLCV) data. Message: {e}') from e
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(f'Could not fetch historical mark price candle (OHLCV) data '
f'for pair {pair} due to {e.__class__.__name__}. '
f'Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(f'Could not fetch historical mark price candle (OHLCV) data '
f'for pair {pair}. Message: {e}') from e
def _calculate_funding_fees(
self,
pair: str,
@@ -1870,36 +1840,33 @@ class Exchange:
if self.funding_fee_cutoff(open_date):
open_date += timedelta(hours=1)
open_date = timeframe_to_prev_date('1h', open_date)
timeframe = self._ft_has['mark_ohlcv_timeframe']
timeframe_ff = self._ft_has.get('funding_fee_timeframe',
self._ft_has['mark_ohlcv_timeframe'])
open_date = timeframe_to_prev_date(timeframe, open_date)
fees: float = 0
if not close_date:
close_date = datetime.now(timezone.utc)
open_timestamp = int(open_date.timestamp()) * 1000
# close_timestamp = int(close_date.timestamp()) * 1000
funding_rate_history = self.get_funding_rate_history(
pair,
open_timestamp
mark_comb: PairWithTimeframe = (
pair, timeframe, CandleType.from_string(self._ft_has["mark_ohlcv_price"]))
funding_comb: PairWithTimeframe = (pair, timeframe_ff, CandleType.FUNDING_RATE)
candle_histories = self.refresh_latest_ohlcv(
[mark_comb, funding_comb],
since_ms=open_timestamp,
cache=False,
drop_incomplete=False,
)
mark_price_history = self._get_mark_price_history(
pair,
open_timestamp
)
for timestamp in funding_rate_history.keys():
funding_rate = funding_rate_history[timestamp]
if timestamp in mark_price_history:
mark_price = mark_price_history[timestamp]
fees += self._get_funding_fee(
size=amount,
mark_price=mark_price,
funding_rate=funding_rate
)
else:
logger.warning(
f"Mark price for {pair} at timestamp {timestamp} not found in "
f"funding_rate_history Funding fee calculation may be incorrect"
)
funding_rates = candle_histories[funding_comb]
mark_rates = candle_histories[mark_comb]
df = funding_rates.merge(mark_rates, on='date', how="inner", suffixes=["_fund", "_mark"])
df = df[(df['date'] >= open_date) & (df['date'] <= close_date)]
fees = sum(df['open_fund'] * df['open_mark'] * amount)
return fees
@@ -1920,42 +1887,6 @@ class Exchange:
else:
return 0.0
@retrier
def get_funding_rate_history(self, pair: str, since: int) -> Dict:
"""
:param pair: quote/base currency pair
:param since: timestamp in ms of the beginning time
:param end: timestamp in ms of the end time
"""
if not self.exchange_has("fetchFundingRateHistory"):
raise ExchangeError(
f"fetch_funding_rate_history is not available using {self.name}"
)
# TODO-lev: Gateio has a max limit into the past of 333 days, okex has a limit of 3 months
try:
funding_history: Dict = {}
response = self._api.fetch_funding_rate_history(
pair,
limit=1000,
since=since
)
for fund in response:
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 = int(timeframe_to_prev_date('1h', d).timestamp() * 1000)
funding_history[time] = fund['fundingRate']
return funding_history
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not set margin mode due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:
return exchange_name in ccxt_exchanges(ccxt_module)

2
freqtrade/exchange/okex.py
View File

@@ -16,6 +16,8 @@ class Okex(Exchange):
_ft_has: Dict = {
"ohlcv_candle_limit": 100,
"mark_ohlcv_timeframe": "4h",
"funding_fee_timeframe": "8h",
}
_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [

2
tests/data/test_history.py
View File

@@ -490,7 +490,7 @@ def test_validate_backtest_data(default_conf, mocker, caplog, testdatadir) -> No
@pytest.mark.parametrize('trademode,callcount', [
('spot', 4),
('margin', 4),
('futures', 6),
('futures', 8), # Called 8 times - 4 normal, 2 funding and 2 mark/index calls
])
def test_refresh_backtest_ohlcv_data(
mocker, default_conf, markets, caplog, testdatadir, trademode, callcount):

56
tests/exchange/test_ccxt_compat.py
View File

@@ -91,7 +91,7 @@ def exchange_futures(request, exchange_conf, class_mocker):
exchange_conf['exchange']['name'] = request.param
exchange_conf['trading_mode'] = 'futures'
exchange_conf['collateral'] = 'cross'
# TODO-lev This mock should no longer be necessary once futures are enabled.
# TODO-lev: This mock should no longer be necessary once futures are enabled.
class_mocker.patch(
'freqtrade.exchange.exchange.Exchange.validate_trading_mode_and_collateral')
class_mocker.patch(
@@ -195,7 +195,6 @@ class TestCCXTExchange():
assert exchange.klines(pair_tf).iloc[-1]['date'] >= timeframe_to_prev_date(timeframe, now)
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
@@ -203,34 +202,59 @@ class TestCCXTExchange():
pair = EXCHANGES[exchangename].get('futures_pair', EXCHANGES[exchangename]['pair'])
since = int((datetime.now(timezone.utc) - timedelta(days=5)).timestamp() * 1000)
timeframe_ff = exchange._ft_has.get('funding_fee_timeframe',
exchange._ft_has['mark_ohlcv_timeframe'])
pair_tf = (pair, timeframe_ff, CandleType.FUNDING_RATE)
rate = exchange.get_funding_rate_history(pair, since)
assert isinstance(rate, dict)
funding_ohlcv = exchange.refresh_latest_ohlcv(
[pair_tf],
since_ms=since,
drop_incomplete=False)
expected_tf = exchange._ft_has['mark_ohlcv_timeframe']
this_hour = timeframe_to_prev_date(expected_tf)
prev_tick = timeframe_to_prev_date(expected_tf, this_hour - timedelta(minutes=1))
assert rate[int(this_hour.timestamp() * 1000)] != 0.0
assert rate[int(prev_tick.timestamp() * 1000)] != 0.0
assert isinstance(funding_ohlcv, dict)
rate = funding_ohlcv[pair_tf]
@pytest.mark.skip("No futures support yet")
def test_fetch_mark_price_history(self, exchange_futures):
this_hour = timeframe_to_prev_date(timeframe_ff)
prev_hour = timeframe_to_prev_date(timeframe_ff, this_hour - timedelta(minutes=1))
assert rate[rate['date'] == this_hour].iloc[0]['open'] != 0.0
assert rate[rate['date'] == prev_hour].iloc[0]['open'] != 0.0
def test_ccxt_fetch_mark_price_history(self, exchange_futures):
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)
pair_tf = (pair, '1h', CandleType.MARK)
mark_candles = exchange._get_mark_price_history(pair, since)
mark_ohlcv = exchange.refresh_latest_ohlcv(
[pair_tf],
since_ms=since,
drop_incomplete=False)
assert isinstance(mark_candles, dict)
assert isinstance(mark_ohlcv, dict)
expected_tf = '1h'
mark_candles = mark_ohlcv[pair_tf]
this_hour = timeframe_to_prev_date(expected_tf)
prev_tick = timeframe_to_prev_date(expected_tf, this_hour - timedelta(minutes=1))
assert mark_candles[int(this_hour.timestamp() * 1000)] != 0.0
assert mark_candles[int(prev_tick.timestamp() * 1000)] != 0.0
prev_hour = timeframe_to_prev_date(expected_tf, this_hour - timedelta(minutes=1))
assert mark_candles[mark_candles['date'] == prev_hour].iloc[0]['open'] != 0.0
assert mark_candles[mark_candles['date'] == this_hour].iloc[0]['open'] != 0.0
def test_ccxt__calculate_funding_fees(self, exchange_futures):
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 = datetime.now(timezone.utc) - timedelta(days=5)
funding_fee = exchange._calculate_funding_fees(pair, 20, open_date=since)
assert isinstance(funding_fee, float)
# assert funding_fee > 0
# TODO: tests fetch_trades (?)

86
tests/exchange/test_exchange.py
View File

@@ -3408,81 +3408,6 @@ def test__get_funding_fee(
assert kraken._get_funding_fee(size, funding_rate, mark_price, time_in_ratio) == kraken_fee
def test__get_mark_price_history(mocker, default_conf, mark_ohlcv):
api_mock = MagicMock()
api_mock.fetch_ohlcv = MagicMock(return_value=mark_ohlcv)
type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True})
# mocker.patch('freqtrade.exchange.Exchange.get_funding_fees', lambda pair, since: y)
exchange = get_patched_exchange(mocker, default_conf, api_mock)
mark_prices = exchange._get_mark_price_history("ADA/USDT", 1630454400000)
assert mark_prices == {
1630454400000: 2.77,
1630458000000: 2.73,
1630461600000: 2.74,
1630465200000: 2.76,
1630468800000: 2.76,
1630472400000: 2.77,
1630476000000: 2.78,
1630479600000: 2.78,
1630483200000: 2.77,
1630486800000: 2.77,
1630490400000: 2.84,
1630494000000: 2.81,
1630497600000: 2.81,
1630501200000: 2.82,
}
ccxt_exceptionhandlers(
mocker,
default_conf,
api_mock,
"binance",
"_get_mark_price_history",
"fetch_ohlcv",
pair="ADA/USDT",
since=1635580800001
)
def test_get_funding_rate_history(mocker, default_conf, funding_rate_history_hourly):
api_mock = MagicMock()
api_mock.fetch_funding_rate_history = MagicMock(return_value=funding_rate_history_hourly)
type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True})
# mocker.patch('freqtrade.exchange.Exchange.get_funding_fees', lambda pair, since: y)
exchange = get_patched_exchange(mocker, default_conf, api_mock)
funding_rates = exchange.get_funding_rate_history('ADA/USDT', 1635580800001)
assert funding_rates == {
1630454400000: -0.000008,
1630458000000: -0.000004,
1630461600000: 0.000012,
1630465200000: -0.000003,
1630468800000: -0.000007,
1630472400000: 0.000003,
1630476000000: 0.000019,
1630479600000: 0.000003,
1630483200000: -0.000003,
1630486800000: 0,
1630490400000: 0.000013,
1630494000000: 0.000077,
1630497600000: 0.000072,
1630501200000: 0.000097,
}
ccxt_exceptionhandlers(
mocker,
default_conf,
api_mock,
"binance",
"get_funding_rate_history",
"fetch_funding_rate_history",
pair="ADA/USDT",
since=1630454400000
)
@pytest.mark.parametrize('exchange,rate_start,rate_end,d1,d2,amount,expected_fees', [
('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
('binance', 0, 2, "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
@@ -3566,14 +3491,14 @@ def test__calculate_funding_fees(
'gateio': funding_rate_history_octohourly,
}[exchange][rate_start:rate_end]
api_mock = MagicMock()
api_mock.fetch_funding_rate_history = MagicMock(return_value=funding_rate_history)
api_mock.fetch_ohlcv = MagicMock(return_value=mark_ohlcv)
api_mock.fetch_funding_rate_history = get_mock_coro(return_value=funding_rate_history)
api_mock.fetch_ohlcv = get_mock_coro(return_value=mark_ohlcv)
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)
funding_fees = exchange._calculate_funding_fees('ADA/USDT', amount, d1, d2)
assert funding_fees == expected_fees
assert pytest.approx(funding_fees) == expected_fees
@ pytest.mark.parametrize('exchange,expected_fees', [
@@ -3590,8 +3515,9 @@ def test__calculate_funding_fees_datetime_called(
expected_fees
):
api_mock = MagicMock()
api_mock.fetch_ohlcv = MagicMock(return_value=mark_ohlcv)
api_mock.fetch_funding_rate_history = MagicMock(return_value=funding_rate_history_octohourly)
api_mock.fetch_ohlcv = get_mock_coro(return_value=mark_ohlcv)
api_mock.fetch_funding_rate_history = get_mock_coro(
return_value=funding_rate_history_octohourly)
type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True})
type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True})

131
tests/test_freqtradebot.py
View File

@@ -9,6 +9,7 @@ from unittest.mock import ANY, MagicMock, PropertyMock
import arrow
import pytest
from pandas import DataFrame
from freqtrade.constants import CANCEL_REASON, MATH_CLOSE_PREC, UNLIMITED_STAKE_AMOUNT
from freqtrade.enums import CandleType, RPCMessageType, RunMode, SellType, SignalDirection, State
@@ -4802,60 +4803,67 @@ def test_update_funding_fees(
patch_exchange(mocker)
default_conf['trading_mode'] = 'futures'
default_conf['collateral'] = 'isolated'
default_conf['dry_run'] = True
timestamp_midnight = 1630454400000
timestamp_eight = 1630483200000
funding_rates_midnight = {
"LTC/BTC": {
timestamp_midnight: 0.00032583,
},
"ETH/BTC": {
timestamp_midnight: 0.0001,
},
"XRP/BTC": {
timestamp_midnight: 0.00049426,
}
}
funding_rates_eight = {
"LTC/BTC": {
timestamp_midnight: 0.00032583,
timestamp_eight: 0.00024472,
},
"ETH/BTC": {
timestamp_midnight: 0.0001,
timestamp_eight: 0.0001,
},
"XRP/BTC": {
timestamp_midnight: 0.00049426,
timestamp_eight: 0.00032715,
}
date_midnight = arrow.get('2021-09-01 00:00:00')
date_eight = arrow.get('2021-09-01 08:00:00')
date_sixteen = arrow.get('2021-09-01 16:00:00')
columns = ['date', 'open', 'high', 'low', 'close', 'volume']
# 16:00 entry is actually never used
# But should be kept in the test to ensure we're filtering correctly.
funding_rates = {
"LTC/BTC":
DataFrame([
[date_midnight, 0.00032583, 0, 0, 0, 0],
[date_eight, 0.00024472, 0, 0, 0, 0],
[date_sixteen, 0.00024472, 0, 0, 0, 0],
], columns=columns),
"ETH/BTC":
DataFrame([
[date_midnight, 0.0001, 0, 0, 0, 0],
[date_eight, 0.0001, 0, 0, 0, 0],
[date_sixteen, 0.0001, 0, 0, 0, 0],
], columns=columns),
"XRP/BTC":
DataFrame([
[date_midnight, 0.00049426, 0, 0, 0, 0],
[date_eight, 0.00032715, 0, 0, 0, 0],
[date_sixteen, 0.00032715, 0, 0, 0, 0],
], columns=columns)
}
mark_prices = {
"LTC/BTC": {
timestamp_midnight: 3.3,
timestamp_eight: 3.2,
},
"ETH/BTC": {
timestamp_midnight: 2.4,
timestamp_eight: 2.5,
},
"XRP/BTC": {
timestamp_midnight: 1.2,
timestamp_eight: 1.2,
}
"LTC/BTC":
DataFrame([
[date_midnight, 3.3, 0, 0, 0, 0],
[date_eight, 3.2, 0, 0, 0, 0],
[date_sixteen, 3.2, 0, 0, 0, 0],
], columns=columns),
"ETH/BTC":
DataFrame([
[date_midnight, 2.4, 0, 0, 0, 0],
[date_eight, 2.5, 0, 0, 0, 0],
[date_sixteen, 2.5, 0, 0, 0, 0],
], columns=columns),
"XRP/BTC":
DataFrame([
[date_midnight, 1.2, 0, 0, 0, 0],
[date_eight, 1.2, 0, 0, 0, 0],
[date_sixteen, 1.2, 0, 0, 0, 0],
], columns=columns)
}
mocker.patch(
'freqtrade.exchange.Exchange._get_mark_price_history',
side_effect=lambda pair, since: mark_prices[pair]
)
def refresh_latest_ohlcv_mock(pairlist, **kwargs):
ret = {}
for p, tf, ct in pairlist:
if ct == CandleType.MARK:
ret[(p, tf, ct)] = mark_prices[p]
else:
ret[(p, tf, ct)] = funding_rates[p]
mocker.patch(
'freqtrade.exchange.Exchange.get_funding_rate_history',
side_effect=lambda pair, since: funding_rates_midnight[pair]
)
return ret
mocker.patch('freqtrade.exchange.Exchange.refresh_latest_ohlcv',
side_effect=refresh_latest_ohlcv_mock)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
@@ -4880,38 +4888,33 @@ def test_update_funding_fees(
trades = Trade.get_open_trades()
assert len(trades) == 3
for trade in trades:
assert trade.funding_fees == (
assert pytest.approx(trade.funding_fees) == (
trade.amount *
mark_prices[trade.pair][timestamp_midnight] *
funding_rates_midnight[trade.pair][timestamp_midnight]
mark_prices[trade.pair].iloc[0]['open'] *
funding_rates[trade.pair].iloc[0]['open']
)
mocker.patch('freqtrade.exchange.Exchange.create_order', return_value=open_exit_order)
# create_mock_trades(fee, False)
time_machine.move_to("2021-09-01 08:00:00 +00:00")
mocker.patch(
'freqtrade.exchange.Exchange.get_funding_rate_history',
side_effect=lambda pair, since: funding_rates_eight[pair]
)
if schedule_off:
for trade in trades:
assert trade.funding_fees == (
trade.amount *
mark_prices[trade.pair][timestamp_midnight] *
funding_rates_eight[trade.pair][timestamp_midnight]
)
freqtrade.execute_trade_exit(
trade=trade,
# The values of the next 2 params are irrelevant for this test
limit=ticker_usdt_sell_up()['bid'],
sell_reason=SellCheckTuple(sell_type=SellType.ROI)
)
assert trade.funding_fees == pytest.approx(sum(
trade.amount *
mark_prices[trade.pair].iloc[0:2]['open'] *
funding_rates[trade.pair].iloc[0:2]['open']
))
else:
freqtrade._schedule.run_pending()
# Funding fees for 00:00 and 08:00
for trade in trades:
assert trade.funding_fees == sum([
assert trade.funding_fees == pytest.approx(sum(
trade.amount *
mark_prices[trade.pair][time] *
funding_rates_eight[trade.pair][time] for time in mark_prices[trade.pair].keys()
])
mark_prices[trade.pair].iloc[0:2]['open'] * funding_rates[trade.pair].iloc[0:2]['open']
))