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Merge pull request #12599 from freqtrade/fix/dynamic_funding_fees

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Adjust to dynamic funding fees
This commit is contained in:
Matthias
2025-12-14 17:56:34 +01:00
committed by GitHub
parent 6848f9197e 2e3d276304
commit 8af0631ff0
33 changed files with 452 additions and 114 deletions
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tests/exchange/test_exchange.py
+93 -8
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@@ -2389,6 +2389,7 @@ async def test__async_get_historic_ohlcv(default_conf, mocker, caplog, exchange_
]
]
exchange = get_patched_exchange(mocker, default_conf, exchange=exchange_name)
mocker.patch.object(exchange, "verify_candle_type_support")
# Monkey-patch async function
exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv)
@@ -2439,6 +2440,7 @@ def test_refresh_latest_ohlcv(mocker, default_conf_usdt, caplog, candle_type) ->
caplog.set_level(logging.DEBUG)
exchange = get_patched_exchange(mocker, default_conf_usdt)
mocker.patch.object(exchange, "verify_candle_type_support")
exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv)
pairs = [("IOTA/USDT", "5m", candle_type), ("XRP/USDT", "5m", candle_type)]
@@ -2689,6 +2691,7 @@ def test_refresh_latest_ohlcv_cache(mocker, default_conf, candle_type, time_mach
time_machine.move_to(start + timedelta(hours=99, minutes=30))
exchange = get_patched_exchange(mocker, default_conf)
mocker.patch.object(exchange, "verify_candle_type_support")
exchange._set_startup_candle_count(default_conf)
mocker.patch(f"{EXMS}.ohlcv_candle_limit", return_value=100)
@@ -2837,6 +2840,29 @@ def test_refresh_ohlcv_with_cache(mocker, default_conf, time_machine) -> None:
assert ohlcv_mock.call_args_list[0][0][0] == pairs
def test_refresh_latest_ohlcv_funding_rate(mocker, default_conf_usdt, caplog) -> None:
ohlcv = generate_test_data_raw("1h", 24, "2025-01-02 12:00:00+00:00")
funding_data = [{"timestamp": x[0], "fundingRate": x[1]} for x in ohlcv]
caplog.set_level(logging.DEBUG)
exchange = get_patched_exchange(mocker, default_conf_usdt)
exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv)
exchange._api_async.fetch_funding_rate_history = get_mock_coro(funding_data)
pairs = [
("IOTA/USDT:USDT", "8h", CandleType.FUNDING_RATE),
("XRP/USDT:USDT", "1h", CandleType.FUNDING_RATE),
]
# empty dicts
assert not exchange._klines
res = exchange.refresh_latest_ohlcv(pairs, cache=False)
assert len(res) == len(pairs)
assert log_has_re(r"Wrong funding rate timeframe 8h for pair IOTA/USDT:USDT", caplog)
assert not log_has_re(r"Wrong funding rate timeframe 8h for pair XRP/USDT:USDT", caplog)
assert exchange._api_async.fetch_ohlcv.call_count == 0
@pytest.mark.parametrize("exchange_name", EXCHANGES)
async def test__async_get_candle_history(default_conf, mocker, caplog, exchange_name):
ohlcv = [
@@ -5342,11 +5368,12 @@ def test_combine_funding_and_mark(
df = exchange.combine_funding_and_mark(funding_rates, mark_rates, futures_funding_rate)
if futures_funding_rate is not None:
assert len(df) == 3
assert len(df) == 2
assert df.iloc[0]["open_fund"] == funding_rate
assert df.iloc[1]["open_fund"] == futures_funding_rate
assert df.iloc[2]["open_fund"] == funding_rate
assert df["date"].to_list() == [prior2_date, prior_date, trade_date]
# assert df.iloc[1]["open_fund"] == futures_funding_rate
assert df.iloc[-1]["open_fund"] == funding_rate
# Mid-candle is dropped ...
assert df["date"].to_list() == [prior2_date, trade_date]
else:
assert len(df) == 2
assert df["date"].to_list() == [prior2_date, trade_date]
@@ -5440,8 +5467,13 @@ def test__fetch_and_calculate_funding_fees(
api_mock = MagicMock()
api_mock.fetch_funding_rate_history = get_mock_coro(return_value=funding_rate_history)
api_mock.fetch_ohlcv = get_mock_coro(return_value=mark_ohlcv)
type(api_mock).has = PropertyMock(return_value={"fetchOHLCV": True})
type(api_mock).has = PropertyMock(return_value={"fetchFundingRateHistory": True})
type(api_mock).has = PropertyMock(
return_value={
"fetchFundingRateHistory": True,
"fetchMarkOHLCV": True,
"fetchOHLCV": True,
}
)
ex = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange)
mocker.patch(f"{EXMS}.timeframes", PropertyMock(return_value=["1h", "4h", "8h"]))
@@ -5485,8 +5517,13 @@ def test__fetch_and_calculate_funding_fees_datetime_called(
api_mock.fetch_funding_rate_history = get_mock_coro(
return_value=funding_rate_history_octohourly
)
type(api_mock).has = PropertyMock(return_value={"fetchOHLCV": True})
type(api_mock).has = PropertyMock(return_value={"fetchFundingRateHistory": True})
type(api_mock).has = PropertyMock(
return_value={
"fetchFundingRateHistory": True,
"fetchMarkOHLCV": True,
"fetchOHLCV": True,
}
)
mocker.patch(f"{EXMS}.timeframes", PropertyMock(return_value=["4h", "8h"]))
exchange = get_patched_exchange(mocker, default_conf, api_mock, exchange=exchange)
d1 = datetime.strptime("2021-08-31 23:00:01 +0000", "%Y-%m-%d %H:%M:%S %z")
@@ -6573,3 +6610,51 @@ def test_fetch_funding_rate(default_conf, mocker, exchange_name):
with pytest.raises(DependencyException, match=r"Pair XRP/ETH not available"):
exchange.fetch_funding_rate(pair="XRP/ETH")
def test_verify_candle_type_support(default_conf, mocker):
api_mock = MagicMock()
type(api_mock).has = PropertyMock(
return_value={
"fetchFundingRateHistory": True,
"fetchIndexOHLCV": True,
"fetchMarkOHLCV": True,
"fetchPremiumIndexOHLCV": False,
}
)
exchange = get_patched_exchange(mocker, default_conf, api_mock)
# Should pass
exchange.verify_candle_type_support("futures")
exchange.verify_candle_type_support(CandleType.FUTURES)
exchange.verify_candle_type_support(CandleType.FUNDING_RATE)
exchange.verify_candle_type_support(CandleType.SPOT)
exchange.verify_candle_type_support(CandleType.MARK)
# Should fail:
with pytest.raises(
OperationalException,
match=r"Exchange .* does not support fetching premiumindex candles\.",
):
exchange.verify_candle_type_support(CandleType.PREMIUMINDEX)
type(api_mock).has = PropertyMock(
return_value={
"fetchFundingRateHistory": False,
"fetchIndexOHLCV": False,
"fetchMarkOHLCV": False,
"fetchPremiumIndexOHLCV": True,
}
)
for candle_type in [
CandleType.FUNDING_RATE,
CandleType.INDEX,
CandleType.MARK,
]:
with pytest.raises(
OperationalException,
match=rf"Exchange .* does not support fetching {candle_type.value} candles\.",
):
exchange.verify_candle_type_support(candle_type)
exchange.verify_candle_type_support(CandleType.PREMIUMINDEX)