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Changed funding fee tracking method, need to get funding_rate and open prices at multiple candles

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Sam Germain
2021-09-06 02:24:15 -06:00
parent 92e630eb69
commit f5248be043
8 changed files with 157 additions and 98 deletions
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126
tests/exchange/test_exchange.py
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@@ -2928,69 +2928,69 @@ def test_calculate_backoff(retrycount, max_retries, expected):
assert calculate_backoff(retrycount, max_retries) == expected
@pytest.mark.parametrize("exchange_name", ['binance', 'ftx'])
def test_get_funding_fees(default_conf, mocker, exchange_name):
api_mock = MagicMock()
api_mock.fetch_funding_history = MagicMock(return_value=[
{
'amount': 0.14542341,
'code': 'USDT',
'datetime': '2021-09-01T08:00:01.000Z',
'id': '485478',
'info': {'asset': 'USDT',
'income': '0.14542341',
'incomeType': 'FUNDING_FEE',
'info': 'FUNDING_FEE',
'symbol': 'XRPUSDT',
'time': '1630512001000',
'tradeId': '',
'tranId': '4854789484855218760'},
'symbol': 'XRP/USDT',
'timestamp': 1630512001000
},
{
'amount': -0.14642341,
'code': 'USDT',
'datetime': '2021-09-01T16:00:01.000Z',
'id': '485479',
'info': {'asset': 'USDT',
'income': '-0.14642341',
'incomeType': 'FUNDING_FEE',
'info': 'FUNDING_FEE',
'symbol': 'XRPUSDT',
'time': '1630512001000',
'tradeId': '',
'tranId': '4854789484855218760'},
'symbol': 'XRP/USDT',
'timestamp': 1630512001000
}
])
type(api_mock).has = PropertyMock(return_value={'fetchFundingHistory': True})
# @pytest.mark.parametrize("exchange_name", ['binance', 'ftx'])
# def test_get_funding_fees(default_conf, mocker, exchange_name):
# api_mock = MagicMock()
# api_mock.fetch_funding_history = MagicMock(return_value=[
# {
# 'amount': 0.14542341,
# 'code': 'USDT',
# 'datetime': '2021-09-01T08:00:01.000Z',
# 'id': '485478',
# 'info': {'asset': 'USDT',
# 'income': '0.14542341',
# 'incomeType': 'FUNDING_FEE',
# 'info': 'FUNDING_FEE',
# 'symbol': 'XRPUSDT',
# 'time': '1630512001000',
# 'tradeId': '',
# 'tranId': '4854789484855218760'},
# 'symbol': 'XRP/USDT',
# 'timestamp': 1630512001000
# },
# {
# 'amount': -0.14642341,
# 'code': 'USDT',
# 'datetime': '2021-09-01T16:00:01.000Z',
# 'id': '485479',
# 'info': {'asset': 'USDT',
# 'income': '-0.14642341',
# 'incomeType': 'FUNDING_FEE',
# 'info': 'FUNDING_FEE',
# 'symbol': 'XRPUSDT',
# 'time': '1630512001000',
# 'tradeId': '',
# 'tranId': '4854789484855218760'},
# 'symbol': 'XRP/USDT',
# 'timestamp': 1630512001000
# }
# ])
# type(api_mock).has = PropertyMock(return_value={'fetchFundingHistory': True})
# mocker.patch('freqtrade.exchange.Exchange.get_funding_fees', lambda pair, since: y)
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
date_time = datetime.strptime("2021-09-01T00:00:01.000Z", '%Y-%m-%dT%H:%M:%S.%fZ')
unix_time = int(date_time.strftime('%s'))
expected_fees = -0.001 # 0.14542341 + -0.14642341
fees_from_datetime = exchange.get_funding_fees(
pair='XRP/USDT',
since=date_time
)
fees_from_unix_time = exchange.get_funding_fees(
pair='XRP/USDT',
since=unix_time
)
# # mocker.patch('freqtrade.exchange.Exchange.get_funding_fees', lambda pair, since: y)
# exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
# date_time = datetime.strptime("2021-09-01T00:00:01.000Z", '%Y-%m-%dT%H:%M:%S.%fZ')
# unix_time = int(date_time.strftime('%s'))
# expected_fees = -0.001 # 0.14542341 + -0.14642341
# fees_from_datetime = exchange.get_funding_fees(
# pair='XRP/USDT',
# since=date_time
# )
# fees_from_unix_time = exchange.get_funding_fees(
# pair='XRP/USDT',
# since=unix_time
# )
assert(isclose(expected_fees, fees_from_datetime))
assert(isclose(expected_fees, fees_from_unix_time))
# assert(isclose(expected_fees, fees_from_datetime))
# assert(isclose(expected_fees, fees_from_unix_time))
ccxt_exceptionhandlers(
mocker,
default_conf,
api_mock,
exchange_name,
"get_funding_fees",
"fetch_funding_history",
pair="XRP/USDT",
since=unix_time
)
# ccxt_exceptionhandlers(
# mocker,
# default_conf,
# api_mock,
# exchange_name,
# "get_funding_fees",
# "fetch_funding_history",
# pair="XRP/USDT",
# since=unix_time
# )