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Update funding_fee calculation test

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Matthias 2022-01-08 11:27:04 +01:00
parent c6c97efed3
commit a340d73edc
1 changed files with 36 additions and 4 deletions
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40
tests/exchange/test_exchange.py
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@ -3540,7 +3540,7 @@ def test_get_max_leverage(default_conf, mocker, pair, nominal_value, max_lev):
(10, 0.0002, 2.0, 0.01, 0.004, 0.00004), (10, 0.0002, 2.0, 0.01, 0.004, 0.00004),
(10, 0.0002, 2.5, None, 0.005, None), (10, 0.0002, 2.5, None, 0.005, None),
]) ])
def test__get_funding_fee( def test__calculate_funding_fees(
default_conf, default_conf,
mocker, mocker,
size, size,
@ -3552,14 +3552,46 @@ def test__get_funding_fee(
): ):
exchange = get_patched_exchange(mocker, default_conf) exchange = get_patched_exchange(mocker, default_conf)
kraken = get_patched_exchange(mocker, default_conf, id="kraken") kraken = get_patched_exchange(mocker, default_conf, id="kraken")
prior_date = timeframe_to_prev_date('1h', datetime.now(timezone.utc) - timedelta(hours=1))
trade_date = timeframe_to_prev_date('1h', datetime.now(timezone.utc))
funding_rates = DataFrame([
{'date': prior_date, 'open': funding_rate}, # Line not used.
{'date': trade_date, 'open': funding_rate},
])
mark_rates = DataFrame([
{'date': prior_date, 'open': mark_price},
{'date': trade_date, 'open': mark_price},
])
assert exchange._get_funding_fee(size, funding_rate, mark_price, time_in_ratio) == funding_fee assert exchange._calculate_funding_fees(
funding_rates=funding_rates,
mark_rates=mark_rates,
amount=size,
open_date=trade_date,
close_date=trade_date,
time_in_ratio=time_in_ratio,
) == funding_fee
if (kraken_fee is None): if (kraken_fee is None):
with pytest.raises(OperationalException): with pytest.raises(OperationalException):
kraken._get_funding_fee(size, funding_rate, mark_price, time_in_ratio) kraken._calculate_funding_fees(
funding_rates=funding_rates,
mark_rates=mark_rates,
amount=size,
open_date=trade_date,
close_date=trade_date,
time_in_ratio=time_in_ratio,
)
else: else:
assert kraken._get_funding_fee(size, funding_rate, mark_price, time_in_ratio) == kraken_fee assert kraken._calculate_funding_fees(
funding_rates=funding_rates,
mark_rates=mark_rates,
amount=size,
open_date=trade_date,
close_date=trade_date,
time_in_ratio=time_in_ratio,
) == kraken_fee
@pytest.mark.parametrize('exchange,rate_start,rate_end,d1,d2,amount,expected_fees', [ @pytest.mark.parametrize('exchange,rate_start,rate_end,d1,d2,amount,expected_fees', [