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Merge pull request #6576 from samgermain/funding-tests

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funding_fee tests
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Matthias 2022-03-25 15:11:45 +01:00 committed by GitHub
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4 changed files with 26 additions and 28 deletions
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3
freqtrade/exchange/exchange.py
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@ -2301,11 +2301,10 @@ class Exchange:
timeframe = self._ft_has['mark_ohlcv_timeframe'] timeframe = self._ft_has['mark_ohlcv_timeframe']
timeframe_ff = self._ft_has.get('funding_fee_timeframe', timeframe_ff = self._ft_has.get('funding_fee_timeframe',
self._ft_has['mark_ohlcv_timeframe']) self._ft_has['mark_ohlcv_timeframe'])
open_date = timeframe_to_prev_date(timeframe, open_date)
if not close_date: if not close_date:
close_date = datetime.now(timezone.utc) close_date = datetime.now(timezone.utc)
open_timestamp = int(open_date.timestamp()) * 1000 open_timestamp = int(timeframe_to_prev_date(timeframe, open_date).timestamp()) * 1000
# close_timestamp = int(close_date.timestamp()) * 1000 # close_timestamp = int(close_date.timestamp()) * 1000
mark_comb: PairWithTimeframe = ( mark_comb: PairWithTimeframe = (

4
freqtrade/freqtradebot.py
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@ -273,7 +273,7 @@ class FreqtradeBot(LoggingMixin):
pair=trade.pair, pair=trade.pair,
amount=trade.amount, amount=trade.amount,
is_short=trade.is_short, is_short=trade.is_short,
open_date=trade.open_date open_date=trade.open_date_utc
) )
trade.funding_fees = funding_fees trade.funding_fees = funding_fees
else: else:
@ -1350,7 +1350,7 @@ class FreqtradeBot(LoggingMixin):
pair=trade.pair, pair=trade.pair,
amount=trade.amount, amount=trade.amount,
is_short=trade.is_short, is_short=trade.is_short,
open_date=trade.open_date, open_date=trade.open_date_utc,
) )
exit_type = 'exit' exit_type = 'exit'
if exit_check.exit_type in (ExitType.STOP_LOSS, ExitType.TRAILING_STOP_LOSS): if exit_check.exit_type in (ExitType.STOP_LOSS, ExitType.TRAILING_STOP_LOSS):

25
tests/exchange/test_exchange.py
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@ -3877,13 +3877,14 @@ def test_get_or_calculate_liquidation_price(mocker, default_conf):
@pytest.mark.parametrize('exchange,rate_start,rate_end,d1,d2,amount,expected_fees', [ @pytest.mark.parametrize('exchange,rate_start,rate_end,d1,d2,amount,expected_fees', [
('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999), ('binance', 0, 2, "2021-09-01 01:00:00", "2021-09-01 04:00:00", 30.0, 0.0),
('binance', 0, 2, "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999), ('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.00091409999),
('binance', 0, 2, "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0002493),
('binance', 1, 2, "2021-09-01 01:00:14", "2021-09-01 08:00:00", 30.0, -0.0002493), ('binance', 1, 2, "2021-09-01 01:00:14", "2021-09-01 08:00:00", 30.0, -0.0002493),
('binance', 1, 2, "2021-09-01 00:00:16", "2021-09-01 08:00:00", 30.0, -0.0002493), ('binance', 1, 2, "2021-09-01 00:00:16", "2021-09-01 08:00:00", 30.0, -0.0002493),
('binance', 0, 1, "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.0006647999999999999), ('binance', 0, 1, "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.00066479999),
('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999999999999), ('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.00091409999),
('binance', 0, 2, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999), ('binance', 0, 2, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0002493),
# TODO: Uncoment once _calculate_funding_fees can pas time_in_ratio to exchange._get_funding_fee # TODO: Uncoment once _calculate_funding_fees can pas time_in_ratio to exchange._get_funding_fee
# ('kraken', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0014937), # ('kraken', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0014937),
# ('kraken', "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0008289), # ('kraken', "2021-09-01 00:00:15", "2021-09-01 08:00:00", 30.0, -0.0008289),
@ -3891,16 +3892,18 @@ def test_get_or_calculate_liquidation_price(mocker, default_conf):
# ('kraken', "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.0012443999999999999), # ('kraken', "2021-09-01 00:00:00", "2021-09-01 07:59:59", 30.0, -0.0012443999999999999),
# ('kraken', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, 0.0045759), # ('kraken', "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, 0.0045759),
# ('kraken', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0008289), # ('kraken', "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0008289),
('ftx', 0, 9, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, 0.0010008000000000003), ('ftx', 0, 2, "2021-09-01 00:10:00", "2021-09-01 00:30:00", 30.0, 0.0),
('ftx', 0, 9, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, 0.0010008),
('ftx', 0, 13, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, 0.0146691), ('ftx', 0, 13, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, 0.0146691),
('ftx', 1, 9, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, 0.0016656000000000002), ('ftx', 0, 9, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, 0.001668),
('gateio', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999999999999), ('ftx', 1, 9, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, 0.0019932),
('gateio', 0, 2, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999999999999), ('gateio', 0, 2, "2021-09-01 00:10:00", "2021-09-01 04:00:00", 30.0, 0.0),
('gateio', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 30.0, -0.0009140999),
('gateio', 0, 2, "2021-09-01 00:00:00", "2021-09-01 12:00:00", 30.0, -0.0009140999),
('gateio', 1, 2, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0002493), ('gateio', 1, 2, "2021-09-01 00:00:01", "2021-09-01 08:00:00", 30.0, -0.0002493),
('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0015235000000000001), ('binance', 0, 2, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0015235),
# TODO: Uncoment once _calculate_funding_fees can pas time_in_ratio to exchange._get_funding_fee # TODO: Uncoment once _calculate_funding_fees can pas time_in_ratio to exchange._get_funding_fee
# ('kraken', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0024895), # ('kraken', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0024895),
('ftx', 0, 9, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, 0.0016680000000000002),
]) ])
def test__fetch_and_calculate_funding_fees( def test__fetch_and_calculate_funding_fees(
mocker, mocker,

20
tests/test_freqtradebot.py
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@ -5047,9 +5047,9 @@ def test_update_funding_fees(
default_conf['trading_mode'] = 'futures' default_conf['trading_mode'] = 'futures'
default_conf['margin_mode'] = 'isolated' default_conf['margin_mode'] = 'isolated'
date_midnight = arrow.get('2021-09-01 00:00:00') date_midnight = arrow.get('2021-09-01 00:00:00').datetime
date_eight = arrow.get('2021-09-01 08:00:00') date_eight = arrow.get('2021-09-01 08:00:00').datetime
date_sixteen = arrow.get('2021-09-01 16:00:00') date_sixteen = arrow.get('2021-09-01 16:00:00').datetime
columns = ['date', 'open', 'high', 'low', 'close', 'volume'] columns = ['date', 'open', 'high', 'low', 'close', 'volume']
# 16:00 entry is actually never used # 16:00 entry is actually never used
# But should be kept in the test to ensure we're filtering correctly. # But should be kept in the test to ensure we're filtering correctly.
@ -5132,11 +5132,7 @@ def test_update_funding_fees(
trades = Trade.get_open_trades() trades = Trade.get_open_trades()
assert len(trades) == 3 assert len(trades) == 3
for trade in trades: for trade in trades:
assert pytest.approx(trade.funding_fees) == ( assert pytest.approx(trade.funding_fees) == 0
trade.amount *
mark_prices[trade.pair].iloc[0]['open'] *
funding_rates[trade.pair].iloc[0]['open'] * multipl
)
mocker.patch('freqtrade.exchange.Exchange.create_order', return_value=open_exit_order) mocker.patch('freqtrade.exchange.Exchange.create_order', return_value=open_exit_order)
time_machine.move_to("2021-09-01 08:00:00 +00:00") time_machine.move_to("2021-09-01 08:00:00 +00:00")
if schedule_off: if schedule_off:
@ -5149,8 +5145,8 @@ def test_update_funding_fees(
) )
assert trade.funding_fees == pytest.approx(sum( assert trade.funding_fees == pytest.approx(sum(
trade.amount * trade.amount *
mark_prices[trade.pair].iloc[0:2]['open'] * mark_prices[trade.pair].iloc[1:2]['open'] *
funding_rates[trade.pair].iloc[0:2]['open'] * multipl funding_rates[trade.pair].iloc[1:2]['open'] * multipl
)) ))
else: else:
@ -5160,8 +5156,8 @@ def test_update_funding_fees(
for trade in trades: for trade in trades:
assert trade.funding_fees == pytest.approx(sum( assert trade.funding_fees == pytest.approx(sum(
trade.amount * trade.amount *
mark_prices[trade.pair].iloc[0:2]['open'] * mark_prices[trade.pair].iloc[1:2]['open'] *
funding_rates[trade.pair].iloc[0:2]['open'] * funding_rates[trade.pair].iloc[1:2]['open'] *
multipl multipl
)) ))