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

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
+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).