Finished test_calculate_funding_fees
This commit is contained in:
Sam Germain
parent
765ee5af50
commit
ba95172d07
@ -1711,8 +1711,8 @@ class Exchange:
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def _get_funding_fee_dates(self, d1: datetime, d2: datetime):
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d1_hours = d1.hour + 1 if self.funding_fee_cutoff(d1) else d1.hour
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d1 = datetime(d1.year, d1.month, d1.day, d1_hours)
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d2 = datetime(d2.year, d2.month, d2.day, d2.hour)
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d1 = datetime(d1.year, d1.month, d1.day, d1_hours, tzinfo=timezone.utc)
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d2 = datetime(d2.year, d2.month, d2.day, d2.hour, tzinfo=timezone.utc)
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results = []
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d3 = d1
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@ -1799,15 +1799,15 @@ class Exchange:
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close_date = datetime.now(timezone.utc)
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funding_rate_history = self.get_funding_rate_history(
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pair,
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int(open_date.timestamp())
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int(open_date.timestamp() * 1000)
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)
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mark_price_history = self._get_mark_price_history(
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pair,
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int(open_date.timestamp())
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int(open_date.timestamp() * 1000)
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)
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for date in self._get_funding_fee_dates(open_date, close_date):
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funding_rate = funding_rate_history[date.timestamp]
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mark_price = mark_price_history[date.timestamp]
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funding_rate = funding_rate_history[int(date.timestamp()) * 1000]
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mark_price = mark_price_history[int(date.timestamp()) * 1000]
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fees += self._get_funding_fee(
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contract_size=amount,
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mark_price=mark_price,
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@ -2370,116 +2370,20 @@ def limit_order_open(limit_buy_order_usdt_open, limit_sell_order_usdt_open):
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@pytest.fixture(scope='function')
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def mark_ohlcv():
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return [
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[
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1630454400000,
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2.770211435326142,
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2.7760202570103396,
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2.7347342529855143,
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2.7357522788430635,
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0
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],
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[
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1630458000000,
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2.735269545167237,
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2.7651119207106896,
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2.7248808874275636,
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2.7492972616764053,
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0
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],
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[
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1630461600000,
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2.7491481048915243,
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2.7671609375432853,
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2.745229551784277,
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2.760245773504276,
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0
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],
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[
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1630465200000,
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2.760401812866193,
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2.761749613398891,
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2.742224897842422,
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2.761749613398891,
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0
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],
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[
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1630468800000,
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2.7620775456230717,
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2.775325047797592,
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2.755971115233453,
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2.77160966718816,
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0
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],
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[
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1630472400000,
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2.7728718875620535,
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2.7955600146848196,
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2.7592691116925816,
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2.787961168625268
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],
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[
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1630476000000,
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2.788924005374514,
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2.80182349539391,
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2.774329229105576,
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2.7775662803443466,
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0
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],
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[
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1630479600000,
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2.7813766192350453,
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2.798346488192056,
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2.77645121073195,
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2.7799615628667596,
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0
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],
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[
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1630483200000,
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2.779641041095253,
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2.7925407904097304,
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2.7759817614742652,
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2.780262741297638,
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0
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],
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[
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1630486800000,
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2.77978981220767,
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2.8464871136756833,
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2.7757262968052983,
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2.846220775920381,
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0
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],
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[
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1630490400000,
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2.846414592861413,
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2.8518148465268256,
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2.8155014025617695,
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2.817651577376391
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],
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[
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1630494000000,
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2.8180253150511034,
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2.8343230172207017,
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2.8101780247041037,
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2.817772761324752,
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0
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],
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[
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1630497600000,
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2.8179208712533828,
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2.849455604187112,
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2.8133565804933927,
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2.8276620505921377,
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0
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],
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[
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1630501200000,
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2.829210740051151,
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2.833768886983365,
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2.811042782941919,
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2.81926481267932,
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0
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],
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[1630454400000, 2.77, 2.77, 2.73, 2.73, 0],
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[1630458000000, 2.73, 2.76, 2.72, 2.74, 0],
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[1630461600000, 2.74, 2.76, 2.74, 2.76, 0],
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[1630465200000, 2.76, 2.76, 2.74, 2.76, 0],
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[1630468800000, 2.76, 2.77, 2.75, 2.77, 0],
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[1630472400000, 2.77, 2.79, 2.75, 2.78, 0],
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[1630476000000, 2.78, 2.80, 2.77, 2.77, 0],
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[1630479600000, 2.78, 2.79, 2.77, 2.77, 0],
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[1630483200000, 2.77, 2.79, 2.77, 2.78, 0],
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[1630486800000, 2.77, 2.84, 2.77, 2.84, 0],
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[1630490400000, 2.84, 2.85, 2.81, 2.81, 0],
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[1630494000000, 2.81, 2.83, 2.81, 2.81, 0],
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[1630497600000, 2.81, 2.84, 2.81, 2.82, 0],
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[1630501200000, 2.82, 2.83, 2.81, 2.81, 0],
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]
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@ -2536,13 +2440,13 @@ def funding_rate_history():
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},
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{
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"symbol": "ADA/USDT",
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"fundingRate": 0,
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"fundingRate": -0.000003,
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"timestamp": 1630483200000,
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"datetime": "2021-09-01T08:00:00.000Z"
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},
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{
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"symbol": "ADA/USDT",
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"fundingRate": -0.000003,
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"fundingRate": 0,
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"timestamp": 1630486800000,
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"datetime": "2021-09-01T09:00:00.000Z"
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},
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@ -3427,20 +3427,20 @@ def test__get_mark_price_history(mocker, default_conf, mark_ohlcv):
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exchange = get_patched_exchange(mocker, default_conf, api_mock)
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mark_prices = exchange._get_mark_price_history("ADA/USDT", 1630454400000)
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assert mark_prices == {
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1630454400000: 2.770211435326142,
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1630458000000: 2.735269545167237,
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1630461600000: 2.7491481048915243,
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1630465200000: 2.760401812866193,
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1630468800000: 2.7620775456230717,
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1630472400000: 2.7728718875620535,
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1630476000000: 2.788924005374514,
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1630479600000: 2.7813766192350453,
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1630483200000: 2.779641041095253,
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1630486800000: 2.77978981220767,
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1630490400000: 2.846414592861413,
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1630494000000: 2.8180253150511034,
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1630497600000: 2.8179208712533828,
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1630501200000: 2.829210740051151,
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1630454400000: 2.77,
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1630458000000: 2.73,
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1630461600000: 2.74,
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1630465200000: 2.76,
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1630468800000: 2.76,
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1630472400000: 2.77,
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1630476000000: 2.78,
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1630479600000: 2.78,
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1630483200000: 2.77,
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1630486800000: 2.77,
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1630490400000: 2.84,
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1630494000000: 2.81,
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1630497600000: 2.81,
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1630501200000: 2.82,
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}
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ccxt_exceptionhandlers(
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@ -3493,5 +3493,102 @@ def test_get_funding_rate_history(mocker, default_conf, funding_rate_history):
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)
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def test_calculate_funding_fees():
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return
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@pytest.mark.parametrize('exchange,d1,d2,amount,expected_fees', [
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('binance', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
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('binance', "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
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('binance', "2021-09-01 00:00:16", "2021-09-01 08:00:00", 30.0, -0.0002493),
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('binance', "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.0006647999999999999),
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('binance', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999999999999),
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('binance', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
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('kraken', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0014937),
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('kraken', "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0008289),
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('kraken', "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.0012443999999999999),
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('kraken', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, 0.0045759),
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('kraken', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0008289),
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('ftx', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, 0.0010008000000000003),
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('ftx', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, 0.0146691),
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('ftx', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, 0.0016656000000000002),
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('gateio', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999),
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('gateio', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999999999999),
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('gateio', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0002493),
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('binance', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0015235000000000001),
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('kraken', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0024895),
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('ftx', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, 0.0016680000000000002),
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])
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def test_calculate_funding_fees(
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mocker,
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default_conf,
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funding_rate_history,
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mark_ohlcv,
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exchange,
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d1,
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d2,
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amount,
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expected_fees
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):
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'''
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nominal_value = mark_price * contract_size
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funding_fee = nominal_value * funding_rate
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contract_size: 30
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time: 0, mark_price: 2.77, nominal_value: 83.1, fundingRate: -0.000008, fundingFee: -0.0006647999999999999
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time: 1, mark_price: 2.73, nominal_value: 81.9, fundingRate: -0.000004, fundingFee: -0.0003276
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time: 2, mark_price: 2.74, nominal_value: 82.2, fundingRate: 0.000012, fundingFee: 0.0009864000000000001
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time: 3, mark_price: 2.76, nominal_value: 82.8, fundingRate: -0.000003, fundingFee: -0.0002484
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time: 4, mark_price: 2.76, nominal_value: 82.8, fundingRate: -0.000007, fundingFee: -0.0005796
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time: 5, mark_price: 2.77, nominal_value: 83.1, fundingRate: 0.000003, fundingFee: 0.0002493
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time: 6, mark_price: 2.78, nominal_value: 83.39999999999999, fundingRate: 0.000019, fundingFee: 0.0015846
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time: 7, mark_price: 2.78, nominal_value: 83.39999999999999, fundingRate: 0.000003, fundingFee: 0.00025019999999999996
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time: 8, mark_price: 2.77, nominal_value: 83.1, fundingRate: -0.000003, fundingFee: -0.0002493
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time: 9, mark_price: 2.77, nominal_value: 83.1, fundingRate: 0, fundingFee: 0.0
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time: 10, mark_price: 2.84, nominal_value: 85.19999999999999, fundingRate: 0.000013, fundingFee: 0.0011075999999999998
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time: 11, mark_price: 2.81, nominal_value: 84.3, fundingRate: 0.000077, fundingFee: 0.0064911
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time: 12, mark_price: 2.81, nominal_value: 84.3, fundingRate: 0.000072, fundingFee: 0.0060696
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time: 13, mark_price: 2.82, nominal_value: 84.6, fundingRate: 0.000097, fundingFee: 0.008206199999999999
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contract_size: 50
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time: 0, mark_price: 2.77, nominal_value: 138.5, fundingRate: -0.000008, fundingFee: -0.001108
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time: 1, mark_price: 2.73, nominal_value: 136.5, fundingRate: -0.000004, fundingFee: -0.0005459999999999999
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time: 2, mark_price: 2.74, nominal_value: 137.0, fundingRate: 0.000012, fundingFee: 0.001644
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time: 3, mark_price: 2.76, nominal_value: 138.0, fundingRate: -0.000003, fundingFee: -0.00041400000000000003
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time: 4, mark_price: 2.76, nominal_value: 138.0, fundingRate: -0.000007, fundingFee: -0.000966
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time: 5, mark_price: 2.77, nominal_value: 138.5, fundingRate: 0.000003, fundingFee: 0.0004155
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time: 6, mark_price: 2.78, nominal_value: 139.0, fundingRate: 0.000019, fundingFee: 0.002641
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time: 7, mark_price: 2.78, nominal_value: 139.0, fundingRate: 0.000003, fundingFee: 0.000417
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time: 8, mark_price: 2.77, nominal_value: 138.5, fundingRate: -0.000003, fundingFee: -0.0004155
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time: 9, mark_price: 2.77, nominal_value: 138.5, fundingRate: 0, fundingFee: 0.0
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time: 10, mark_price: 2.84, nominal_value: 142.0, fundingRate: 0.000013, fundingFee: 0.001846
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time: 11, mark_price: 2.81, nominal_value: 140.5, fundingRate: 0.000077, fundingFee: 0.0108185
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time: 12, mark_price: 2.81, nominal_value: 140.5, fundingRate: 0.000072, fundingFee: 0.010116
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time: 13, mark_price: 2.82, nominal_value: 141.0, fundingRate: 0.000097, fundingFee: 0.013677
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'''
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d1 = datetime.strptime(f"{d1} +0000", '%Y-%m-%d %H:%M:%S %z')
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d2 = datetime.strptime(f"{d2} +0000", '%Y-%m-%d %H:%M:%S %z')
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api_mock = MagicMock()
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api_mock.fetch_funding_rate_history = MagicMock(return_value=funding_rate_history)
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api_mock.fetch_ohlcv = MagicMock(return_value=mark_ohlcv)
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type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True})
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type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True})
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange)
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funding_fees = exchange.calculate_funding_fees('ADA/USDT', amount, d1, d2)
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assert funding_fees == expected_fees
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def test_calculate_funding_fees_datetime_called(
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mocker,
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default_conf,
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funding_rate_history,
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mark_ohlcv
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):
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api_mock = MagicMock()
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api_mock.fetch_ohlcv = MagicMock(return_value=mark_ohlcv)
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api_mock.fetch_funding_rate_history = MagicMock(return_value=funding_rate_history)
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datetime = MagicMock()
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datetime.now = MagicMock()
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type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True})
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type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True})
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# TODO-lev: Add datetime MagicMock
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exchange = get_patched_exchange(mocker, default_conf, api_mock)
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exchange.calculate_funding_fees('ADA/USDT', 30.0, datetime("2021-09-01 00:00:00"))
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assert datetime.now.call_count == 1
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