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Add support for fudging unavailable funding rates, allowing backtesting of timeranges where futures candles are available, but rates are not

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This commit is contained in:
froggleston
2022-05-17 22:05:33 +01:00
parent 7b9439f2e4
commit bb758da940
4 changed files with 34 additions and 3 deletions
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7
freqtrade/data/history/history_utils.py
View File

@@ -68,7 +68,8 @@ def load_data(datadir: Path,
startup_candles: int = 0,
fail_without_data: bool = False,
data_format: str = 'json',
candle_type: CandleType = CandleType.SPOT
candle_type: CandleType = CandleType.SPOT,
user_futures_funding_rate = None,
) -> Dict[str, DataFrame]:
"""
Load ohlcv history data for a list of pairs.
@@ -100,6 +101,10 @@ def load_data(datadir: Path,
)
if not hist.empty:
result[pair] = hist
else:
if candle_type is CandleType.FUNDING_RATE and user_futures_funding_rate is not None:
logger.warn(f"{pair} using user specified [{user_futures_funding_rate}]")
result[pair] = DataFrame(columns=["open","close","high","low","volume"])
if fail_without_data and not result:
raise OperationalException("No data found. Terminating.")

23
freqtrade/optimize/backtesting.py
View File

@@ -275,8 +275,27 @@ class Backtesting:
if pair not in self.exchange._leverage_tiers:
unavailable_pairs.append(pair)
continue
self.futures_data[pair] = funding_rates_dict[pair].merge(
mark_rates_dict[pair], on='date', how="inner", suffixes=["_fund", "_mark"])
if (pair in mark_rates_dict
and len(funding_rates_dict[pair]) == 0
and "futures_funding_rate" in self.config):
mark_rates_dict[pair]["open_fund"] = self.config.get('futures_funding_rate')
mark_rates_dict[pair]["close_fund"] = 0.0
mark_rates_dict[pair]["high_fund"] = 0.0
mark_rates_dict[pair]["low_fund"] = 0.0
mark_rates_dict[pair]["volume_fund"] = 0.0
mark_rates_dict[pair].rename(
columns = {'open':'open_mark',
'close':'close_mark',
'high':'high_mark',
'low':'low_mark',
'volume':'volume_mark'},
inplace = True)
self.futures_data[pair] = mark_rates_dict[pair]
else:
self.futures_data[pair] = mark_rates_dict[pair].merge(
funding_rates_dict[pair], on='date', how="inner", suffixes=["_fund", "_mark"])
if unavailable_pairs:
raise OperationalException(