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Merge index and mark rates as part of dataload

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This commit is contained in:
Matthias 2022-01-17 19:41:01 +01:00
parent 82c90c0049
commit f26cd19146
1 changed files with 8 additions and 5 deletions
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13
freqtrade/optimize/backtesting.py
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@ -154,7 +154,7 @@ class Backtesting:
else:
self.timeframe_detail_min = 0
self.detail_data: Dict[str, DataFrame] = {}
self.futures_data: Dict[CandleType, Dict[str, DataFrame]] = {}
self.futures_data: Dict[str, DataFrame] = {}
def init_backtest(self):
@ -236,7 +236,7 @@ class Backtesting:
self.detail_data = {}
if self.trading_mode == TradingMode.FUTURES:
# Load additional futures data.
self.futures_data[CandleType.FUNDING_RATE] = history.load_data(
funding_rates_dict = history.load_data(
datadir=self.config['datadir'],
pairs=self.pairlists.whitelist,
timeframe=self.exchange._ft_has['mark_ohlcv_timeframe'],
@ -248,7 +248,7 @@ class Backtesting:
)
# For simplicity, assign to CandleType.Mark (might contian index candles!)
self.futures_data[CandleType.MARK] = history.load_data(
mark_rates_dict = history.load_data(
datadir=self.config['datadir'],
pairs=self.pairlists.whitelist,
timeframe=self.exchange._ft_has['mark_ohlcv_timeframe'],
@ -258,6 +258,10 @@ class Backtesting:
data_format=self.config.get('dataformat_ohlcv', 'json'),
candle_type=CandleType.from_string(self.exchange._ft_has["mark_ohlcv_price"])
)
# Combine data to avoid combining the data per trade.
for pair in self.pairlists.whitelist:
self.futures_data[pair] = funding_rates_dict[pair].merge(
mark_rates_dict[pair], on='date', how="inner", suffixes=["_fund", "_mark"])
else:
self.futures_data = {}
@ -489,8 +493,7 @@ class Backtesting:
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],
self.futures_data[trade.pair],
amount=trade.amount,
open_date=trade.open_date_utc,
close_date=sell_candle_time,