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Update _calculate_funding_fees to reuse existing async infrastructure

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Matthias
2021-12-10 19:50:58 +01:00
parent 35f9549e98
commit aabca85a5f
3 changed files with 56 additions and 37 deletions
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53
freqtrade/exchange/exchange.py
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@@ -1498,11 +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)
@@ -1882,28 +1888,23 @@ class Exchange:
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, '1h', CandleType.from_string(self._ft_has["mark_ohlcv_price"]))
# TODO-lev: funding_rate downloading this way is not yet possible.
funding_comb: PairWithTimeframe = (pair, '1h', 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"])
# TODO-lev: filter for relevant timeperiod?
fees = sum(df['open_fund'] * df['open_mark'] * amount)
return fees