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Support funding-fees while running backtest

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This commit is contained in:
Matthias
2022-01-08 15:07:20 +01:00
parent a340d73edc
commit e9e7fd749b
1 changed files with 43 additions and 7 deletions
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50
freqtrade/optimize/backtesting.py
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@@ -154,6 +154,7 @@ class Backtesting:
else:
self.timeframe_detail_min = 0
self.detail_data: Dict[str, DataFrame] = {}
self.futures_data: Dict[CandleType, Dict[str, DataFrame]] = {}
def init_backtest(self):
@@ -233,6 +234,33 @@ class Backtesting:
)
else:
self.detail_data = {}
if self.trading_mode == TradingMode.FUTURES:
# Load additional futures data.
self.futures_data[CandleType.FUNDING_RATE] = history.load_data(
datadir=self.config['datadir'],
pairs=self.pairlists.whitelist,
timeframe=self.exchange._ft_has['mark_ohlcv_timeframe'],
timerange=self.timerange,
startup_candles=0,
fail_without_data=True,
data_format=self.config.get('dataformat_ohlcv', 'json'),
candle_type=CandleType.FUNDING_RATE
)
# For simplicity, assign to CandleType.Mark (might contian index candles!)
self.futures_data[CandleType.MARK] = history.load_data(
datadir=self.config['datadir'],
pairs=self.pairlists.whitelist,
timeframe=self.exchange._ft_has['mark_ohlcv_timeframe'],
timerange=self.timerange,
startup_candles=0,
fail_without_data=True,
data_format=self.config.get('dataformat_ohlcv', 'json'),
candle_type=CandleType.from_string(self.exchange._ft_has["mark_ohlcv_price"])
)
else:
self.futures_data = {}
def prepare_backtest(self, enable_protections):
"""
@@ -399,15 +427,12 @@ class Backtesting:
def _get_sell_trade_entry_for_candle(self, trade: LocalTrade,
sell_row: Tuple) -> Optional[LocalTrade]:
# TODO-lev: add interest / funding fees to trade object ->
# Must be done either here, or one level higher ->
# (if we don't want to do it at "detail" level)
# Check if we need to adjust our current positions
if self.strategy.position_adjustment_enable:
trade = self._get_adjust_trade_entry_for_candle(trade, sell_row)
sell_candle_time = sell_row[DATE_IDX].to_pydatetime()
sell_candle_time: datetime = sell_row[DATE_IDX].to_pydatetime()
enter = sell_row[SHORT_IDX] if trade.is_short else sell_row[LONG_IDX]
exit_ = sell_row[ESHORT_IDX] if trade.is_short else sell_row[ELONG_IDX]
sell = self.strategy.should_exit(
@@ -460,8 +485,18 @@ class Backtesting:
return None
def _get_sell_trade_entry(self, trade: LocalTrade, sell_row: Tuple) -> Optional[LocalTrade]:
sell_candle_time: datetime = sell_row[DATE_IDX].to_pydatetime()
if self.trading_mode == TradingMode.FUTURES:
trade.funding_fees = self.exchange._calculate_funding_fees(
funding_rates=self.futures_data[CandleType.FUNDING_RATE][trade.pair],
mark_rates=self.futures_data[CandleType.MARK][trade.pair],
amount=trade.amount,
open_date=trade.open_date_utc,
close_date=sell_candle_time,
)
if self.timeframe_detail and trade.pair in self.detail_data:
sell_candle_time = sell_row[DATE_IDX].to_pydatetime()
sell_candle_end = sell_candle_time + timedelta(minutes=self.timeframe_min)
detail_data = self.detail_data[trade.pair]
@@ -549,7 +584,7 @@ class Backtesting:
return None
if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount):
amount = round(stake_amount / propose_rate, 8)
amount = round((stake_amount / propose_rate) * leverage, 8)
if trade is None:
# Enter trade
has_buy_tag = len(row) >= ENTER_TAG_IDX + 1
@@ -558,13 +593,14 @@ class Backtesting:
open_rate=propose_rate,
open_date=current_time,
stake_amount=stake_amount,
amount=round((stake_amount / propose_rate) * leverage, 8),
amount=amount,
fee_open=self.fee,
fee_close=self.fee,
is_open=True,
enter_tag=row[ENTER_TAG_IDX] if has_buy_tag else None,
exchange=self._exchange_name,
is_short=(direction == 'short'),
trading_mode=self.trading_mode,
leverage=leverage,
orders=[]
)