adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Fixed timestamp/datetime issues for mark price, funding rate and _get_funding_fee_dates

Browse Source
This commit is contained in:
Sam Germain
2021-11-06 20:48:03 -06:00
parent 6e912c1053
commit f795288d90
2 changed files with 29 additions and 26 deletions
Download Patch File Download Diff File Expand all files Collapse all files

23
freqtrade/exchange/exchange.py
View File

@@ -1712,10 +1712,9 @@ class Exchange:
return d.minute > 0 or d.second > 0
def _get_funding_fee_dates(self, d1: datetime, d2: datetime):
d1_hours = d1.hour + 1 if self.funding_fee_cutoff(d1) else d1.hour
if d1_hours == 24:
d1_hours = 0
d1 = datetime(d1.year, d1.month, d1.day, d1_hours, tzinfo=timezone.utc)
d1 = datetime(d1.year, d1.month, d1.day, d1.hour, tzinfo=timezone.utc)
if self.funding_fee_cutoff(d1):
d1 += timedelta(hours=1)
d2 = datetime(d2.year, d2.month, d2.day, d2.hour, tzinfo=timezone.utc)
results = []
@@ -1768,7 +1767,10 @@ class Exchange:
)
history = {}
for candle in candles:
history[candle[0]] = candle[1]
# TODO-lev: Round down to the nearest funding fee time, incase a timestamp ever has a delay of > 1s
seconds = int(candle[0] / 1000) # The millisecond timestamps can be delayed ~20ms
opening_mark_price = candle[1]
history[seconds] = opening_mark_price
return history
except ccxt.NotSupported as e:
raise OperationalException(
@@ -1804,15 +1806,16 @@ class Exchange:
close_date = datetime.now(timezone.utc)
funding_rate_history = self.get_funding_rate_history(
pair,
int(open_date.timestamp() * 1000)
int(open_date.timestamp())
)
mark_price_history = self._get_mark_price_history(
pair,
int(open_date.timestamp() * 1000)
int(open_date.timestamp())
)
for date in self._get_funding_fee_dates(open_date, close_date):
funding_rate = funding_rate_history[int(date.timestamp() * 1000)]
mark_price = mark_price_history[int(date.timestamp() * 1000)]
funding_fee_dates = self._get_funding_fee_dates(open_date, close_date)
for date in funding_fee_dates:
funding_rate = funding_rate_history[int(date.timestamp())]
mark_price = mark_price_history[int(date.timestamp())]
fees += self._get_funding_fee(
size=amount,
mark_price=mark_price,