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fix: compute average price from trades and enrich fees for Kraken Futures

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Kraken Futures' /orders/status returns limitPrice (not fill price) and
/fills omits fee amounts (only fillType). This adds:

- _adjust_krakenfutures_order: fetches trades for closed/filled orders
  with average=None and computes VWAP average price.
- get_trades_for_order override: enriches trades with calculated fees
  from the market's maker/taker fee schedule.

Tests: 7 new tests covering VWAP computation, fee enrichment with
maker/taker rates, and preservation of existing values.
This commit is contained in:
matstedt
2026-02-17 21:03:06 +01:00
committed by Matthias
parent 0dfd7324bd
commit a1e9b6bea8
2 changed files with 242 additions and 3 deletions
Download Patch File Download Diff File Expand all files Collapse all files
freqtrade/exchange/krakenfutures.py
+52 -2
View File
@@ -1,6 +1,7 @@
"""Kraken Futures exchange subclass"""
import logging
from datetime import datetime
from typing import Any
import ccxt
@@ -16,6 +17,7 @@ from freqtrade.exceptions import (
from freqtrade.exchange.common import API_FETCH_ORDER_RETRY_COUNT, retrier
from freqtrade.exchange.exchange import Exchange
from freqtrade.exchange.exchange_types import CcxtBalances, CcxtOrder, FtHas
from freqtrade.util.datetime_helpers import dt_from_ts
logger = logging.getLogger(__name__)
@@ -151,6 +153,53 @@ class Krakenfutures(Exchange):
order["stopPrice"] = trigger
return order
def _adjust_krakenfutures_order(self, order: CcxtOrder) -> CcxtOrder:
"""Fix missing average price on filled orders by fetching trades.
Kraken Futures' /orders/status endpoint does not include execution data,
so CCXT sets price/average to the limitPrice (the order's limit, not the
actual fill price). For closed/filled orders we fetch trades from /fills
and compute the VWAP average.
"""
if (
order.get("average") is None
and order.get("status") in ("canceled", "closed")
and order.get("filled", 0) > 0
):
trades = self.get_trades_for_order(
order["id"], order["symbol"], since=dt_from_ts(order["timestamp"])
)
if trades:
total_amount = sum(t["amount"] for t in trades)
if total_amount:
order["average"] = sum(t["price"] * t["amount"] for t in trades) / total_amount
return order
def get_trades_for_order(
self, order_id: str, pair: str, since: datetime, params: dict | None = None
) -> list:
"""Fetch trades and enrich with calculated fees.
Kraken Futures' /fills endpoint does not include fee amounts — only
fillType (maker/taker). This enriches each trade with a calculated fee
using the market's fee schedule so Freqtrade's fee detection works.
"""
trades = super().get_trades_for_order(order_id, pair, since, params)
for trade in trades:
if trade.get("fee") is None or trade["fee"].get("cost") is None:
taker_or_maker = trade.get("takerOrMaker", "taker")
symbol = trade.get("symbol", pair)
market = self.markets.get(symbol, {})
fee_rate = market.get(taker_or_maker, market.get("taker", 0.0005))
cost = trade.get("cost")
if cost is not None and fee_rate is not None:
trade["fee"] = {
"cost": cost * fee_rate,
"currency": market.get("quote", "USD"),
"rate": fee_rate,
}
return trades
@retrier(retries=API_FETCH_ORDER_RETRY_COUNT)
def fetch_order(
self, order_id: str, pair: str, params: dict[str, Any] | None = None
@@ -164,7 +213,8 @@ class Krakenfutures(Exchange):
try:
order = self._api.fetch_order(order_id, pair, params=status_params)
self._log_exchange_response("fetch_order", order)
return self._order_contracts_to_amount(order)
order = self._order_contracts_to_amount(order)
return self._adjust_krakenfutures_order(order)
except ccxt.OrderNotFound:
# Expected for older Kraken Futures orders not visible in orders/status.
pass
@@ -181,7 +231,7 @@ class Krakenfutures(Exchange):
order = self._fetch_order_fallback(order_id, pair, params)
if order is not None:
return order
return self._adjust_krakenfutures_order(order)
# Order not in status, open, closed, or canceled endpoints - genuinely gone.
# Raise non-retrying InvalidOrderException (Kraken has limited history retention).
tests/exchange/test_krakenfutures.py
+190 -1
View File
@@ -4,7 +4,7 @@ from __future__ import annotations
from copy import deepcopy
from datetime import UTC, datetime
from unittest.mock import MagicMock
from unittest.mock import MagicMock, PropertyMock
import ccxt
import pytest
@@ -21,6 +21,9 @@ from freqtrade.exchange.krakenfutures import Krakenfutures
from tests.conftest import EXMS, get_patched_exchange
ExchangeBase = Krakenfutures.__mro__[1] # freqtrade.exchange.exchange.Exchange
# --- _ft_has and OHLCV tests ---
@@ -124,6 +127,192 @@ def test_krakenfutures_order_contracts_no_trigger_options(mocker, default_conf):
assert result["stopPrice"] is None
# --- _adjust_krakenfutures_order average price tests ---
def test_krakenfutures_adjust_order_computes_average_from_trades(mocker, default_conf):
"""Compute VWAP average price from trades when CCXT returns None."""
ex = get_patched_exchange(mocker, default_conf, exchange="krakenfutures")
order = {
"id": "abc",
"symbol": "BTC/USD:USD",
"status": "closed",
"filled": 0.0004,
"average": None,
"timestamp": 1771354195241,
}
trades = [
{
"amount": 0.0002,
"price": 67800.0,
"cost": 13.56,
"takerOrMaker": "taker",
"symbol": "BTC/USD:USD",
"fee": None,
},
{
"amount": 0.0002,
"price": 67900.0,
"cost": 13.58,
"takerOrMaker": "taker",
"symbol": "BTC/USD:USD",
"fee": None,
},
]
mocker.patch.object(ex, "get_trades_for_order", return_value=trades)
result = ex._adjust_krakenfutures_order(order)
assert result["average"] == pytest.approx(67850.0)
def test_krakenfutures_adjust_order_skips_open_orders(mocker, default_conf):
"""Don't fetch trades for open orders."""
ex = get_patched_exchange(mocker, default_conf, exchange="krakenfutures")
order = {
"id": "abc",
"symbol": "BTC/USD:USD",
"status": "open",
"filled": 0,
"average": None,
"timestamp": 1771354195241,
}
trades_mock = mocker.patch.object(ex, "get_trades_for_order")
result = ex._adjust_krakenfutures_order(order)
assert result["average"] is None
trades_mock.assert_not_called()
def test_krakenfutures_adjust_order_preserves_existing_average(mocker, default_conf):
"""Don't overwrite average when already present."""
ex = get_patched_exchange(mocker, default_conf, exchange="krakenfutures")
order = {
"id": "abc",
"symbol": "BTC/USD:USD",
"status": "closed",
"filled": 0.0004,
"average": 67843.0,
"timestamp": 1771354195241,
}
trades_mock = mocker.patch.object(ex, "get_trades_for_order")
result = ex._adjust_krakenfutures_order(order)
assert result["average"] == 67843.0
trades_mock.assert_not_called()
def test_krakenfutures_adjust_order_no_trades_found(mocker, default_conf):
"""Leave average as None when no trades are found."""
ex = get_patched_exchange(mocker, default_conf, exchange="krakenfutures")
order = {
"id": "abc",
"symbol": "BTC/USD:USD",
"status": "closed",
"filled": 0.0004,
"average": None,
"timestamp": 1771354195241,
}
mocker.patch.object(ex, "get_trades_for_order", return_value=[])
result = ex._adjust_krakenfutures_order(order)
assert result["average"] is None
# --- get_trades_for_order fee enrichment tests ---
def test_krakenfutures_get_trades_enriches_fees(mocker, default_conf):
"""Calculate fees from market fee schedule when CCXT returns fee: None."""
ex = get_patched_exchange(mocker, default_conf, exchange="krakenfutures")
raw_trades = [
{
"amount": 0.0004,
"price": 67843.0,
"cost": 27.14,
"order": "abc",
"symbol": "BTC/USD:USD",
"takerOrMaker": "taker",
"fee": {"cost": None, "currency": None},
},
]
mocker.patch.object(
ExchangeBase,
"get_trades_for_order",
return_value=raw_trades,
)
# Re-patch markets property with fee rates for BTC/USD:USD
kf_markets = {"BTC/USD:USD": {"taker": 0.0005, "maker": 0.0002, "quote": "USD"}}
mocker.patch.object(type(ex), "markets", PropertyMock(return_value=kf_markets))
result = ex.get_trades_for_order("abc", "BTC/USD:USD", since=MagicMock())
assert len(result) == 1
assert result[0]["fee"]["cost"] == pytest.approx(27.14 * 0.0005)
assert result[0]["fee"]["currency"] == "USD"
assert result[0]["fee"]["rate"] == 0.0005
def test_krakenfutures_get_trades_uses_maker_rate(mocker, default_conf):
"""Use maker fee rate when fillType is maker."""
ex = get_patched_exchange(mocker, default_conf, exchange="krakenfutures")
raw_trades = [
{
"amount": 0.0004,
"price": 67843.0,
"cost": 27.14,
"order": "abc",
"symbol": "BTC/USD:USD",
"takerOrMaker": "maker",
"fee": None,
},
]
mocker.patch.object(
ExchangeBase,
"get_trades_for_order",
return_value=raw_trades,
)
kf_markets = {"BTC/USD:USD": {"taker": 0.0005, "maker": 0.0002, "quote": "USD"}}
mocker.patch.object(type(ex), "markets", PropertyMock(return_value=kf_markets))
result = ex.get_trades_for_order("abc", "BTC/USD:USD", since=MagicMock())
assert result[0]["fee"]["cost"] == pytest.approx(27.14 * 0.0002)
assert result[0]["fee"]["rate"] == 0.0002
def test_krakenfutures_get_trades_preserves_existing_fees(mocker, default_conf):
"""Don't overwrite fees if CCXT already provided them."""
ex = get_patched_exchange(mocker, default_conf, exchange="krakenfutures")
existing_fee = {"cost": 0.01, "currency": "USD", "rate": 0.0005}
raw_trades = [
{
"amount": 0.0004,
"price": 67843.0,
"cost": 27.14,
"order": "abc",
"symbol": "BTC/USD:USD",
"takerOrMaker": "taker",
"fee": existing_fee,
},
]
mocker.patch.object(
ExchangeBase,
"get_trades_for_order",
return_value=raw_trades,
)
kf_markets = {"BTC/USD:USD": {"taker": 0.0005, "maker": 0.0002, "quote": "USD"}}
mocker.patch.object(type(ex), "markets", PropertyMock(return_value=kf_markets))
result = ex.get_trades_for_order("abc", "BTC/USD:USD", since=MagicMock())
# Should keep existing fee, not recalculate
assert result[0]["fee"] == existing_fee
# --- fetch_order fallback tests ---