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Finished test_calculate_funding_fees

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This commit is contained in:
Sam Germain
2021-11-01 06:28:03 -06:00
parent 765ee5af50
commit ba95172d07
3 changed files with 135 additions and 134 deletions
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129
tests/exchange/test_exchange.py
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@@ -3427,20 +3427,20 @@ def test__get_mark_price_history(mocker, default_conf, mark_ohlcv):
exchange = get_patched_exchange(mocker, default_conf, api_mock)
mark_prices = exchange._get_mark_price_history("ADA/USDT", 1630454400000)
assert mark_prices == {
1630454400000: 2.770211435326142,
1630458000000: 2.735269545167237,
1630461600000: 2.7491481048915243,
1630465200000: 2.760401812866193,
1630468800000: 2.7620775456230717,
1630472400000: 2.7728718875620535,
1630476000000: 2.788924005374514,
1630479600000: 2.7813766192350453,
1630483200000: 2.779641041095253,
1630486800000: 2.77978981220767,
1630490400000: 2.846414592861413,
1630494000000: 2.8180253150511034,
1630497600000: 2.8179208712533828,
1630501200000: 2.829210740051151,
1630454400000: 2.77,
1630458000000: 2.73,
1630461600000: 2.74,
1630465200000: 2.76,
1630468800000: 2.76,
1630472400000: 2.77,
1630476000000: 2.78,
1630479600000: 2.78,
1630483200000: 2.77,
1630486800000: 2.77,
1630490400000: 2.84,
1630494000000: 2.81,
1630497600000: 2.81,
1630501200000: 2.82,
}
ccxt_exceptionhandlers(
@@ -3493,5 +3493,102 @@ def test_get_funding_rate_history(mocker, default_conf, funding_rate_history):
)
def test_calculate_funding_fees():
return
@pytest.mark.parametrize('exchange,d1,d2,amount,expected_fees', [
('binance', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
('binance', "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
('binance', "2021-09-01 00:00:16", "2021-09-01 08:00:00", 30.0, -0.0002493),
('binance', "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.0006647999999999999),
('binance', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999999999999),
('binance', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
('kraken', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0014937),
('kraken', "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0008289),
('kraken', "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.0012443999999999999),
('kraken', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, 0.0045759),
('kraken', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0008289),
('ftx', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, 0.0010008000000000003),
('ftx', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, 0.0146691),
('ftx', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, 0.0016656000000000002),
('gateio', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
('gateio', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999999999999),
('gateio', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0002493),
('binance', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0015235000000000001),
('kraken', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0024895),
('ftx', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, 0.0016680000000000002),
])
def test_calculate_funding_fees(
mocker,
default_conf,
funding_rate_history,
mark_ohlcv,
exchange,
d1,
d2,
amount,
expected_fees
):
'''
nominal_value = mark_price * contract_size
funding_fee = nominal_value * funding_rate
contract_size: 30
time: 0, mark_price: 2.77, nominal_value: 83.1, fundingRate: -0.000008, fundingFee: -0.0006647999999999999
time: 1, mark_price: 2.73, nominal_value: 81.9, fundingRate: -0.000004, fundingFee: -0.0003276
time: 2, mark_price: 2.74, nominal_value: 82.2, fundingRate: 0.000012, fundingFee: 0.0009864000000000001
time: 3, mark_price: 2.76, nominal_value: 82.8, fundingRate: -0.000003, fundingFee: -0.0002484
time: 4, mark_price: 2.76, nominal_value: 82.8, fundingRate: -0.000007, fundingFee: -0.0005796
time: 5, mark_price: 2.77, nominal_value: 83.1, fundingRate: 0.000003, fundingFee: 0.0002493
time: 6, mark_price: 2.78, nominal_value: 83.39999999999999, fundingRate: 0.000019, fundingFee: 0.0015846
time: 7, mark_price: 2.78, nominal_value: 83.39999999999999, fundingRate: 0.000003, fundingFee: 0.00025019999999999996
time: 8, mark_price: 2.77, nominal_value: 83.1, fundingRate: -0.000003, fundingFee: -0.0002493
time: 9, mark_price: 2.77, nominal_value: 83.1, fundingRate: 0, fundingFee: 0.0
time: 10, mark_price: 2.84, nominal_value: 85.19999999999999, fundingRate: 0.000013, fundingFee: 0.0011075999999999998
time: 11, mark_price: 2.81, nominal_value: 84.3, fundingRate: 0.000077, fundingFee: 0.0064911
time: 12, mark_price: 2.81, nominal_value: 84.3, fundingRate: 0.000072, fundingFee: 0.0060696
time: 13, mark_price: 2.82, nominal_value: 84.6, fundingRate: 0.000097, fundingFee: 0.008206199999999999
contract_size: 50
time: 0, mark_price: 2.77, nominal_value: 138.5, fundingRate: -0.000008, fundingFee: -0.001108
time: 1, mark_price: 2.73, nominal_value: 136.5, fundingRate: -0.000004, fundingFee: -0.0005459999999999999
time: 2, mark_price: 2.74, nominal_value: 137.0, fundingRate: 0.000012, fundingFee: 0.001644
time: 3, mark_price: 2.76, nominal_value: 138.0, fundingRate: -0.000003, fundingFee: -0.00041400000000000003
time: 4, mark_price: 2.76, nominal_value: 138.0, fundingRate: -0.000007, fundingFee: -0.000966
time: 5, mark_price: 2.77, nominal_value: 138.5, fundingRate: 0.000003, fundingFee: 0.0004155
time: 6, mark_price: 2.78, nominal_value: 139.0, fundingRate: 0.000019, fundingFee: 0.002641
time: 7, mark_price: 2.78, nominal_value: 139.0, fundingRate: 0.000003, fundingFee: 0.000417
time: 8, mark_price: 2.77, nominal_value: 138.5, fundingRate: -0.000003, fundingFee: -0.0004155
time: 9, mark_price: 2.77, nominal_value: 138.5, fundingRate: 0, fundingFee: 0.0
time: 10, mark_price: 2.84, nominal_value: 142.0, fundingRate: 0.000013, fundingFee: 0.001846
time: 11, mark_price: 2.81, nominal_value: 140.5, fundingRate: 0.000077, fundingFee: 0.0108185
time: 12, mark_price: 2.81, nominal_value: 140.5, fundingRate: 0.000072, fundingFee: 0.010116
time: 13, mark_price: 2.82, nominal_value: 141.0, fundingRate: 0.000097, fundingFee: 0.013677
'''
d1 = datetime.strptime(f"{d1} +0000", '%Y-%m-%d %H:%M:%S %z')
d2 = datetime.strptime(f"{d2} +0000", '%Y-%m-%d %H:%M:%S %z')
api_mock = MagicMock()
api_mock.fetch_funding_rate_history = MagicMock(return_value=funding_rate_history)
api_mock.fetch_ohlcv = MagicMock(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
def test_calculate_funding_fees_datetime_called(
mocker,
default_conf,
funding_rate_history,
mark_ohlcv
):
api_mock = MagicMock()
api_mock.fetch_ohlcv = MagicMock(return_value=mark_ohlcv)
api_mock.fetch_funding_rate_history = MagicMock(return_value=funding_rate_history)
datetime = MagicMock()
datetime.now = MagicMock()
type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True})
type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True})
# TODO-lev: Add datetime MagicMock
exchange = get_patched_exchange(mocker, default_conf, api_mock)
exchange.calculate_funding_fees('ADA/USDT', 30.0, datetime("2021-09-01 00:00:00"))
assert datetime.now.call_count == 1