Merge pull request #9522 from freqtrade/bt/improve_futures_speed

Improve funding fee calculation

freqtrade/optimize/backtesting.py

@@ -283,11 +283,13 @@ class Backtesting:
         else:
             self.detail_data = {}
         if self.trading_mode == TradingMode.FUTURES:
+            self.funding_fee_timeframe: str = self.exchange.get_option('mark_ohlcv_timeframe')
+            self.funding_fee_timeframe_secs: int = timeframe_to_seconds(self.funding_fee_timeframe)
             # Load additional futures data.
             funding_rates_dict = history.load_data(
                 datadir=self.config['datadir'],
                 pairs=self.pairlists.whitelist,
-                timeframe=self.exchange.get_option('mark_ohlcv_timeframe'),
+                timeframe=self.funding_fee_timeframe,
                 timerange=self.timerange,
                 startup_candles=0,
                 fail_without_data=True,
@@ -299,7 +301,7 @@ class Backtesting:
             mark_rates_dict = history.load_data(
                 datadir=self.config['datadir'],
                 pairs=self.pairlists.whitelist,
-                timeframe=self.exchange.get_option('mark_ohlcv_timeframe'),
+                timeframe=self.funding_fee_timeframe,
                 timerange=self.timerange,
                 startup_candles=0,
                 fail_without_data=True,
@@ -604,6 +606,8 @@ class Backtesting:
         """
         if order and self._get_order_filled(order.ft_price, row):
             order.close_bt_order(current_date, trade)
+            self._run_funding_fees(trade, current_date, force=True)
+
             if not (order.ft_order_side == trade.exit_side and order.safe_amount == trade.amount):
                 # trade is still open
                 trade.set_liquidation_price(self.exchange.get_liquidation_price(
@@ -725,16 +729,7 @@ class Backtesting:
             self, trade: LocalTrade, row: Tuple, current_time: datetime
     ) -> Optional[LocalTrade]:
 
-        if self.trading_mode == TradingMode.FUTURES:
+        self._run_funding_fees(trade, current_time)
-            trade.set_funding_fees(
-                self.exchange.calculate_funding_fees(
-                    self.futures_data[trade.pair],
-                    amount=trade.amount,
-                    is_short=trade.is_short,
-                    open_date=trade.date_last_filled_utc,
-                    close_date=current_time
-                )
-            )
 
         # Check if we need to adjust our current positions
         if self.strategy.position_adjustment_enable:
@@ -753,6 +748,27 @@ class Backtesting:
                 return t
         return None
 
+    def _run_funding_fees(self, trade: LocalTrade, current_time: datetime, force: bool = False):
+        """
+        Calculate funding fees if necessary and add them to the trade.
+        """
+        if self.trading_mode == TradingMode.FUTURES:
+
+            if (
+                force
+                or (current_time.timestamp() % self.funding_fee_timeframe_secs) == 0
+            ):
+                # Funding fee interval.
+                trade.set_funding_fees(
+                    self.exchange.calculate_funding_fees(
+                        self.futures_data[trade.pair],
+                        amount=trade.amount,
+                        is_short=trade.is_short,
+                        open_date=trade.date_last_filled_utc,
+                        close_date=current_time
+                    )
+                )
+
     def get_valid_price_and_stake(
         self, pair: str, row: Tuple, propose_rate: float, stake_amount: float,
         direction: LongShort, current_time: datetime, entry_tag: Optional[str],

tests/optimize/test_backtesting.py

@@ -549,6 +549,7 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
     default_conf_usdt['exchange']['pair_whitelist'] = ['.*']
     backtesting = Backtesting(default_conf_usdt)
     backtesting._set_strategy(backtesting.strategylist[0])
+    mocker.patch('freqtrade.optimize.backtesting.Backtesting._run_funding_fees')
     pair = 'ETH/USDT:USDT'
     row = [
         pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0),
@@ -852,8 +853,8 @@ def test_backtest_one_detail(default_conf_usdt, fee, mocker, testdatadir, use_de
 
 
 @pytest.mark.parametrize('use_detail,exp_funding_fee, exp_ff_updates', [
-    (True, -0.018054162, 44),
+    (True, -0.018054162, 11),
-    (False, -0.01780296, 8),
+    (False, -0.01780296, 5),
     ])
 def test_backtest_one_detail_futures(
         default_conf_usdt, fee, mocker, testdatadir, use_detail, exp_funding_fee,
@@ -947,12 +948,13 @@ def test_backtest_one_detail_futures(
     # assert late_entry > 0
 
 
-@pytest.mark.parametrize('use_detail,entries,max_stake,expected_ff', [
+@pytest.mark.parametrize('use_detail,entries,max_stake,ff_updates,expected_ff', [
-    (True, 50, 3000, -1.18038144),
+    (True, 50, 3000, 54, -1.18038144),
-    (False, 6, 360, -0.14679994)])
+    (False, 6, 360, 10, -0.14679994),
+])
 def test_backtest_one_detail_futures_funding_fees(
         default_conf_usdt, fee, mocker, testdatadir, use_detail, entries, max_stake,
-        expected_ff,
+        ff_updates, expected_ff,
 ) -> None:
     """
     Funding fees are expected to differ, as the maximum position size differs.
@@ -1015,8 +1017,10 @@ def test_backtest_one_detail_futures_funding_fees(
     assert len(results) == 1
 
     assert 'orders' in results.columns
-    # funding_fees have been calculated for each candle
+    # funding_fees have been calculated for each funding-fee candle
-    assert ff_spy.call_count == (324 if use_detail else 27)
+    # the trade is open for 26 hours - hence we expect the 8h fee to apply 4 times.
+    # Additional counts will happen due each successful entry, which needs to call this, too.
+    assert ff_spy.call_count == ff_updates
 
     for t in Trade.trades:
         # At least 6 adjustment orders

tests/optimize/test_backtesting_adjust_position.py

@@ -104,6 +104,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker, levera
     mocker.patch(f"{EXMS}.get_max_pair_stake_amount", return_value=float('inf'))
     mocker.patch(f"{EXMS}.get_max_leverage", return_value=10)
     mocker.patch(f"{EXMS}.get_maintenance_ratio_and_amt", return_value=(0.1, 0.1))
+    mocker.patch('freqtrade.optimize.backtesting.Backtesting._run_funding_fees')
 
     patch_exchange(mocker)
     default_conf.update({