Merge pull request #6857 from froggleston/develop

Add support for fudging unavailable funding rates, allowing backtesti…

tests/exchange/test_exchange.py

@@ -3915,6 +3915,70 @@ def test_calculate_funding_fees(
         ) == kraken_fee
 
 
+@pytest.mark.parametrize(
+    'mark_price,funding_rate,futures_funding_rate', [
+        (1000, 0.001, None),
+        (1000, 0.001, 0.01),
+        (1000, 0.001, 0.0),
+        (1000, 0.001, -0.01),
+    ])
+def test_combine_funding_and_mark(
+    default_conf,
+    mocker,
+    funding_rate,
+    mark_price,
+    futures_funding_rate,
+):
+    exchange = get_patched_exchange(mocker, default_conf)
+    prior2_date = timeframe_to_prev_date('1h', datetime.now(timezone.utc) - timedelta(hours=2))
+    prior_date = timeframe_to_prev_date('1h', datetime.now(timezone.utc) - timedelta(hours=1))
+    trade_date = timeframe_to_prev_date('1h', datetime.now(timezone.utc))
+    funding_rates = DataFrame([
+        {'date': prior2_date, 'open': funding_rate},
+        {'date': prior_date, 'open': funding_rate},
+        {'date': trade_date, 'open': funding_rate},
+    ])
+    mark_rates = DataFrame([
+        {'date': prior2_date, 'open': mark_price},
+        {'date': prior_date, 'open': mark_price},
+        {'date': trade_date, 'open': mark_price},
+    ])
+
+    df = exchange.combine_funding_and_mark(funding_rates, mark_rates, futures_funding_rate)
+    assert 'open_mark' in df.columns
+    assert 'open_fund' in df.columns
+    assert len(df) == 3
+
+    funding_rates = DataFrame([
+        {'date': trade_date, 'open': funding_rate},
+    ])
+    mark_rates = DataFrame([
+        {'date': prior2_date, 'open': mark_price},
+        {'date': prior_date, 'open': mark_price},
+        {'date': trade_date, 'open': mark_price},
+    ])
+    df = exchange.combine_funding_and_mark(funding_rates, mark_rates, futures_funding_rate)
+
+    if futures_funding_rate is not None:
+        assert len(df) == 3
+        assert df.iloc[0]['open_fund'] == futures_funding_rate
+        assert df.iloc[1]['open_fund'] == futures_funding_rate
+        assert df.iloc[2]['open_fund'] == funding_rate
+    else:
+        assert len(df) == 1
+
+    # Empty funding rates
+    funding_rates = DataFrame([], columns=['date', 'open'])
+    df = exchange.combine_funding_and_mark(funding_rates, mark_rates, futures_funding_rate)
+    if futures_funding_rate is not None:
+        assert len(df) == 3
+        assert df.iloc[0]['open_fund'] == futures_funding_rate
+        assert df.iloc[1]['open_fund'] == futures_funding_rate
+        assert df.iloc[2]['open_fund'] == futures_funding_rate
+    else:
+        assert len(df) == 0
+
+
 def test_get_or_calculate_liquidation_price(mocker, default_conf):
 
     api_mock = MagicMock()