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Safer keys for funding_rate and mark_price dictionaries, based on rounding down the hour

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This commit is contained in:
Sam Germain 2021-11-06 22:31:38 -06:00
parent 8bfcf4ee09
commit 0c2501e11b
1 changed files with 21 additions and 5 deletions
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26
freqtrade/exchange/exchange.py
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@ -1767,12 +1767,18 @@ class Exchange:
)
history = {}
for candle in candles:
# TODO: Round down to the nearest funding fee time,
# incase a timestamp ever has a delay of > 1s
milliseconds = int(candle[0] / 1000) * 1000
d = datetime.fromtimestamp(int(candle[0] / 1000), timezone.utc)
# Round down to the nearest hour, in case of a delayed timestamp
# The millisecond timestamps can be delayed ~20ms
time = datetime(
d.year,
d.month,
d.day,
d.hour,
tzinfo=timezone.utc
).timestamp() * 1000
opening_mark_price = candle[1]
history[milliseconds] = opening_mark_price
history[time] = opening_mark_price
return history
except ccxt.NotSupported as e:
raise OperationalException(
@ -1855,7 +1861,17 @@ class Exchange:
since=since
)
for fund in response:
funding_history[int(fund['timestamp'] / 1000) * 1000] = fund['fundingRate']
d = datetime.fromtimestamp(int(fund['timestamp'] / 1000), timezone.utc)
# Round down to the nearest hour, in case of a delayed timestamp
# The millisecond timestamps can be delayed ~20ms
time = datetime(
d.year,
d.month,
d.day,
d.hour,
tzinfo=timezone.utc
).timestamp() * 1000
funding_history[time] = fund['fundingRate']
return funding_history
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e