From ddce28c12db4a6b8ca0b50c564f3578feddcc074 Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Sat, 18 Dec 2021 15:32:02 +0100
Subject: [PATCH] Update data downloading to include funding_fee downloads

---
 freqtrade/data/history/history_utils.py | 25 ++++++++++++++-----------
 freqtrade/exchange/exchange.py          | 10 ++++------
 tests/data/test_history.py              |  2 +-
 3 files changed, 19 insertions(+), 18 deletions(-)

diff --git a/freqtrade/data/history/history_utils.py b/freqtrade/data/history/history_utils.py
index 64297c7e5..57fdc4a14 100644
--- a/freqtrade/data/history/history_utils.py
+++ b/freqtrade/data/history/history_utils.py
@@ -283,17 +283,20 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes
             # Predefined candletype (and timeframe) depending on exchange
             # Downloads what is necessary to backtest based on futures data.
             timeframe = exchange._ft_has['mark_ohlcv_timeframe']
-            candle_type = CandleType.from_string(exchange._ft_has['mark_ohlcv_price'])
-
-            # TODO: this could be in most parts to the above.
-            if erase:
-                if data_handler.ohlcv_purge(pair, timeframe, candle_type=candle_type):
-                    logger.info(f'Deleting existing data for pair {pair}, interval {timeframe}.')
-            _download_pair_history(pair=pair, process=process,
-                                   datadir=datadir, exchange=exchange,
-                                   timerange=timerange, data_handler=data_handler,
-                                   timeframe=str(timeframe), new_pairs_days=new_pairs_days,
-                                   candle_type=candle_type)
+            fr_candle_type = CandleType.from_string(exchange._ft_has['mark_ohlcv_price'])
+            # All exchanges need FundingRate for futures trading.
+            # The timeframe is aligned to the mark-price timeframe.
+            for candle_type in (CandleType.FUNDING_RATE, fr_candle_type):
+                # TODO: this could be in most parts to the above.
+                if erase:
+                    if data_handler.ohlcv_purge(pair, timeframe, candle_type=candle_type):
+                        logger.info(
+                            f'Deleting existing data for pair {pair}, interval {timeframe}.')
+                _download_pair_history(pair=pair, process=process,
+                                       datadir=datadir, exchange=exchange,
+                                       timerange=timerange, data_handler=data_handler,
+                                       timeframe=str(timeframe), new_pairs_days=new_pairs_days,
+                                       candle_type=candle_type)
 
     return pairs_not_available
 
diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py
index f05a0bd52..b6709d0db 100644
--- a/freqtrade/exchange/exchange.py
+++ b/freqtrade/exchange/exchange.py
@@ -1840,8 +1840,8 @@ class Exchange:
 
         if self.funding_fee_cutoff(open_date):
             open_date += timedelta(hours=1)
-
-        open_date = timeframe_to_prev_date('1h', open_date)
+        timeframe = self._ft_has['mark_ohlcv_timeframe']
+        open_date = timeframe_to_prev_date(timeframe, open_date)
 
         fees: float = 0
         if not close_date:
@@ -1850,11 +1850,9 @@ class Exchange:
         # close_timestamp = int(close_date.timestamp()) * 1000
 
         mark_comb: PairWithTimeframe = (
-            pair, '1h', CandleType.from_string(self._ft_has["mark_ohlcv_price"]))
+            pair, timeframe, CandleType.from_string(self._ft_has["mark_ohlcv_price"]))
 
-        # TODO-lev: 1h seems arbitrary and generates a lot of "empty" lines
-        # TODO-lev: probably a exchange-adjusted parameter would make more sense
-        funding_comb: PairWithTimeframe = (pair, '1h', CandleType.FUNDING_RATE)
+        funding_comb: PairWithTimeframe = (pair, timeframe, CandleType.FUNDING_RATE)
         candle_histories = self.refresh_latest_ohlcv(
             [mark_comb, funding_comb],
             since_ms=open_timestamp,
diff --git a/tests/data/test_history.py b/tests/data/test_history.py
index 678a0b31b..d70d69080 100644
--- a/tests/data/test_history.py
+++ b/tests/data/test_history.py
@@ -490,7 +490,7 @@ def test_validate_backtest_data(default_conf, mocker, caplog, testdatadir) -> No
 @pytest.mark.parametrize('trademode,callcount', [
     ('spot', 4),
     ('margin', 4),
-    ('futures', 6),
+    ('futures', 8),  # Called 8 times - 4 normal, 2 funding and 2 mark/index calls
 ])
 def test_refresh_backtest_ohlcv_data(
         mocker, default_conf, markets, caplog, testdatadir, trademode, callcount):