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Added get_funding_rate_history method to exchange

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This commit is contained in:
Sam Germain 2021-10-18 01:37:42 -06:00
parent f09f8db45e
commit c143210b78
1 changed files with 33 additions and 2 deletions
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35
freqtrade/exchange/exchange.py
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@ -75,6 +75,7 @@ class Exchange:
# funding_fee_times is currently unused, but should ideally be used to properly
# schedule refresh times
funding_fee_times: List[int] = [] # hours of the day
funding_rate_history: Dict = {}
_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
# TradingMode.SPOT always supported and not required in this list
@ -1680,13 +1681,17 @@ class Exchange:
raise OperationalException(e) from e
def _get_mark_price(self, pair: str, date: datetime) -> float:
"""
Get's the mark price for a pair at a specific date and time in the past
"""
# TODO-lev: Can maybe use self._api.fetchFundingRate, or get the most recent candlestick
raise OperationalException(f'_get_mark_price has not been implemented on {self.name}')
def _get_funding_rate(self, pair: str, when: datetime):
"""
Get's the funding_rate for a pair at a specific date and time in the past
"""
# TODO-lev: implement
# TODO-lev: Maybe use self._api.fetchFundingRate or fetchFundingRateHistory with length 1
raise OperationalException(f"get_funding_rate has not been implemented for {self.name}")
def _get_funding_fee(
@ -1709,7 +1714,6 @@ class Exchange:
def fill_leverage_brackets(self):
"""
# TODO-lev: Should maybe be renamed, leverage_brackets might not be accurate for kraken
Assigns property _leverage_brackets to a dictionary of information about the leverage
allowed on each pair
"""
@ -1809,6 +1813,33 @@ class Exchange:
return fees
def get_funding_rate_history(self, pair: str, start: int, end: int):
'''
:param pair: quote/base currency pair
:param start: timestamp in ms of the beginning time
:param end: timestamp in ms of the end time
'''
if not self.exchange_has("fetchFundingRateHistory"):
raise ExchangeError(
f"CCXT has not implemented fetchFundingRateHistory for {self.name}; "
f"therefore, backtesting for {self.name} is currently unavailable"
)
try:
fund_history = self._api.fetch_funding_rate_history(
pair,
since=start,
)
for fund in fund_history:
self.funding_rate_history[pair][fund['timestamp']] = fund['funding_rate']
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not set margin mode due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:
return exchange_name in ccxt_exchanges(ccxt_module)