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Split funding fee calculation from Download

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This commit is contained in:
Matthias
2022-01-08 11:01:14 +01:00
parent f090dcc597
commit ef3a1ea8f2
3 changed files with 35 additions and 9 deletions
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34
freqtrade/exchange/exchange.py
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@@ -1900,7 +1900,7 @@ class Exchange:
except ccxt.BaseError as e:
raise OperationalException(e) from e
def _calculate_funding_fees(
def _fetch_and_calculate_funding_fees(
self,
pair: str,
amount: float,
@@ -1908,7 +1908,8 @@ class Exchange:
close_date: Optional[datetime] = None
) -> float:
"""
calculates the sum of all funding fees that occurred for a pair during a futures trade
Fetches and calculates the sum of all funding fees that occurred for a pair
during a futures trade.
Only used during dry-run or if the exchange does not provide a funding_rates endpoint.
:param pair: The quote/base pair of the trade
:param amount: The quantity of the trade
@@ -1923,7 +1924,6 @@ class Exchange:
self._ft_has['mark_ohlcv_timeframe'])
open_date = timeframe_to_prev_date(timeframe, open_date)
fees: float = 0
if not close_date:
close_date = datetime.now(timezone.utc)
open_timestamp = int(open_date.timestamp()) * 1000
@@ -1942,6 +1942,32 @@ class Exchange:
funding_rates = candle_histories[funding_comb]
mark_rates = candle_histories[mark_comb]
return self._calculate_funding_fees(
funding_rates=funding_rates,
mark_rates=mark_rates,
amount=amount,
open_date=open_date,
close_date=close_date
)
def _calculate_funding_fees(
self,
funding_rates: DataFrame,
mark_rates: DataFrame,
amount: float,
open_date: datetime,
close_date: Optional[datetime] = None
) -> float:
"""
calculates the sum of all funding fees that occurred for a pair during a futures trade
:param funding_rates: Dataframe containing Funding rates (Type FUNDING_RATE)
:param mark_rates: Dataframe containing Mark rates (Type mark_ohlcv_price)
:param amount: The quantity of the trade
:param open_date: The date and time that the trade started
:param close_date: The date and time that the trade ended
"""
fees: float = 0
df = funding_rates.merge(mark_rates, on='date', how="inner", suffixes=["_fund", "_mark"])
if not df.empty:
df = df[(df['date'] >= open_date) & (df['date'] <= close_date)]
@@ -1959,7 +1985,7 @@ class Exchange:
"""
if self.trading_mode == TradingMode.FUTURES:
if self._config['dry_run']:
funding_fees = self._calculate_funding_fees(pair, amount, open_date)
funding_fees = self._fetch_and_calculate_funding_fees(pair, amount, open_date)
else:
funding_fees = self._get_funding_fees_from_exchange(pair, open_date)
return funding_fees