Update _calculate_funding_fees to reuse existing async infrastructure

freqtrade/exchange/exchange.py

@@ -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,
+            if candle_type != CandleType.FUNDING_RATE:
-                                                     since=since_ms,
+                data = await self._api_async.fetch_ohlcv(
-                                                     limit=self.ohlcv_candle_limit(timeframe),
+                    pair, timeframe=timeframe, since=since_ms,
-                                                     params=params)
+                    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,
+        mark_comb: PairWithTimeframe = (
-            open_timestamp
+            pair, '1h', CandleType.from_string(self._ft_has["mark_ohlcv_price"]))
-        )
+        # TODO-lev: funding_rate downloading this way is not yet possible.
-        mark_price_history = self._get_mark_price_history(
+        funding_comb: PairWithTimeframe = (pair, '1h', CandleType.FUNDING_RATE)
-            pair,
+        candle_histories = self.refresh_latest_ohlcv(
-            open_timestamp
+            [mark_comb, funding_comb],
-        )
+            since_ms=open_timestamp,
-        for timestamp in funding_rate_history.keys():
+            cache=False,
-            funding_rate = funding_rate_history[timestamp]
+            drop_incomplete=False,
-            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
 

tests/exchange/test_ccxt_compat.py

@@ -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
@@ -203,15 +202,21 @@ class TestCCXTExchange():
 
         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.FUNDING_RATE)
 
-        rate = exchange.get_funding_rate_history(pair, since)
+        funding_ohlcv = exchange.refresh_latest_ohlcv(
-        assert isinstance(rate, dict)
+            [pair_tf],
+            since_ms=since,
+            drop_incomplete=False)
+
+        assert isinstance(funding_ohlcv, dict)
+        rate = funding_ohlcv[pair_tf]
 
         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))
+        prev_hour = timeframe_to_prev_date(expected_tf, this_hour - timedelta(minutes=1))
-        assert rate[int(this_hour.timestamp() * 1000)] != 0.0
+        assert rate[rate['date'] == this_hour].iloc[0]['open'] != 0.0
-        assert rate[int(prev_tick.timestamp() * 1000)] != 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
@@ -237,6 +242,19 @@ class TestCCXTExchange():
         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 (?)
 
     def test_ccxt_get_fee(self, exchange):

tests/exchange/test_exchange.py

@@ -3566,14 +3566,14 @@ 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_funding_rate_history = get_mock_coro(return_value=funding_rate_history)
-    api_mock.fetch_ohlcv = MagicMock(return_value=mark_ohlcv)
+    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 +3590,8 @@ def test__calculate_funding_fees_datetime_called(
     expected_fees
 ):
     api_mock = MagicMock()
-    api_mock.fetch_ohlcv = MagicMock(return_value=mark_ohlcv)
+    api_mock.fetch_ohlcv = get_mock_coro(return_value=mark_ohlcv)
-    api_mock.fetch_funding_rate_history = MagicMock(return_value=funding_rate_history_octohourly)
+    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})