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Fixed millisecond timestamp issue errors with funding fees

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This commit is contained in:
Sam Germain
2021-11-06 21:45:35 -06:00
parent 48b34c8fd0
commit b88482b2e9
3 changed files with 33 additions and 32 deletions
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17
freqtrade/exchange/exchange.py
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@@ -1768,9 +1768,10 @@ class Exchange:
history = {}
for candle in candles:
# TODO-lev: Round down to the nearest funding fee time, incase a timestamp ever has a delay of > 1s
seconds = int(candle[0] / 1000) # The millisecond timestamps can be delayed ~20ms
# The millisecond timestamps can be delayed ~20ms
milliseconds = int(candle[0] / 1000) * 1000
opening_mark_price = candle[1]
history[seconds] = opening_mark_price
history[milliseconds] = opening_mark_price
return history
except ccxt.NotSupported as e:
raise OperationalException(
@@ -1806,16 +1807,16 @@ class Exchange:
close_date = datetime.now(timezone.utc)
funding_rate_history = self.get_funding_rate_history(
pair,
int(open_date.timestamp())
int(open_date.timestamp()) * 1000
)
mark_price_history = self._get_mark_price_history(
pair,
int(open_date.timestamp())
int(open_date.timestamp()) * 1000
)
funding_fee_dates = self._get_funding_fee_dates(open_date, close_date)
for date in funding_fee_dates:
funding_rate = funding_rate_history[int(date.timestamp())]
mark_price = mark_price_history[int(date.timestamp())]
funding_rate = funding_rate_history[int(date.timestamp()) * 1000]
mark_price = mark_price_history[int(date.timestamp()) * 1000]
fees += self._get_funding_fee(
size=amount,
mark_price=mark_price,
@@ -1841,7 +1842,7 @@ class Exchange:
f"therefore, dry-run/backtesting for {self.name} is currently unavailable"
)
# TODO-lev: Gateio has a max limit into the past of 333 days
# 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(
@@ -1850,7 +1851,7 @@ class Exchange:
since=since
)
for fund in response:
funding_history[fund['timestamp']] = fund['fundingRate']
funding_history[int(fund['timestamp'] / 1000) * 1000] = fund['fundingRate']
return funding_history
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e