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Okex uses 4h mark candle timeframe

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This commit is contained in:
Matthias 2021-12-19 14:48:59 +01:00
parent ddce28c12d
commit a557451eee
3 changed files with 10 additions and 5 deletions
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4
freqtrade/exchange/exchange.py
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@ -1841,6 +1841,8 @@ class Exchange:
if self.funding_fee_cutoff(open_date): if self.funding_fee_cutoff(open_date):
open_date += timedelta(hours=1) open_date += timedelta(hours=1)
timeframe = self._ft_has['mark_ohlcv_timeframe'] 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) open_date = timeframe_to_prev_date(timeframe, open_date)
fees: float = 0 fees: float = 0
@ -1852,7 +1854,7 @@ class Exchange:
mark_comb: PairWithTimeframe = ( mark_comb: PairWithTimeframe = (
pair, timeframe, CandleType.from_string(self._ft_has["mark_ohlcv_price"])) pair, timeframe, CandleType.from_string(self._ft_has["mark_ohlcv_price"]))
funding_comb: PairWithTimeframe = (pair, timeframe, CandleType.FUNDING_RATE) funding_comb: PairWithTimeframe = (pair, timeframe_ff, CandleType.FUNDING_RATE)
candle_histories = self.refresh_latest_ohlcv( candle_histories = self.refresh_latest_ohlcv(
[mark_comb, funding_comb], [mark_comb, funding_comb],
since_ms=open_timestamp, since_ms=open_timestamp,

2
freqtrade/exchange/okex.py
View File

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

9
tests/exchange/test_ccxt_compat.py
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@ -202,7 +202,9 @@ class TestCCXTExchange():
pair = EXCHANGES[exchangename].get('futures_pair', EXCHANGES[exchangename]['pair']) pair = EXCHANGES[exchangename].get('futures_pair', EXCHANGES[exchangename]['pair'])
since = int((datetime.now(timezone.utc) - timedelta(days=5)).timestamp() * 1000) since = int((datetime.now(timezone.utc) - timedelta(days=5)).timestamp() * 1000)
pair_tf = (pair, '1h', CandleType.FUNDING_RATE) timeframe_ff = exchange._ft_has.get('funding_fee_timeframe',
exchange._ft_has['mark_ohlcv_timeframe'])
pair_tf = (pair, timeframe_ff, CandleType.FUNDING_RATE)
funding_ohlcv = exchange.refresh_latest_ohlcv( funding_ohlcv = exchange.refresh_latest_ohlcv(
[pair_tf], [pair_tf],
@ -212,9 +214,8 @@ class TestCCXTExchange():
assert isinstance(funding_ohlcv, dict) assert isinstance(funding_ohlcv, dict)
rate = funding_ohlcv[pair_tf] rate = funding_ohlcv[pair_tf]
expected_tf = exchange._ft_has['mark_ohlcv_timeframe'] this_hour = timeframe_to_prev_date(timeframe_ff)
this_hour = timeframe_to_prev_date(expected_tf) prev_hour = timeframe_to_prev_date(timeframe_ff, this_hour - timedelta(minutes=1))
prev_hour = timeframe_to_prev_date(expected_tf, this_hour - timedelta(minutes=1))
assert rate[rate['date'] == this_hour].iloc[0]['open'] != 0.0 assert rate[rate['date'] == this_hour].iloc[0]['open'] != 0.0
assert rate[rate['date'] == prev_hour].iloc[0]['open'] != 0.0 assert rate[rate['date'] == prev_hour].iloc[0]['open'] != 0.0