Implement fee rate calculation

freqtrade/exchange/exchange.py

@@ -22,7 +22,7 @@ from freqtrade.data.converter import ohlcv_to_dataframe
 from freqtrade.exceptions import (DependencyException, InvalidOrderException,
                                   OperationalException, TemporaryError)
 from freqtrade.exchange.common import BAD_EXCHANGES, retrier, retrier_async
-from freqtrade.misc import deep_merge_dicts
+from freqtrade.misc import deep_merge_dicts, safe_value_fallback
 
 
 CcxtModuleType = Any
@@ -1084,8 +1084,33 @@ class Exchange:
                 and order['fee']['cost'] is not None
                 )
 
-    @staticmethod
+    def calculate_fee_rate(self, order: Dict) -> Optional[float]:
-    def extract_cost_curr_rate(order: Dict) -> Tuple[float, str, Optional[float]]:
+        """
+        Calculate fee rate if it's not given by the exchange.
+        :param order: Order or trade (one trade) dict
+        """
+        if order['fee'].get('rate') is not None:
+            return order['fee'].get('rate')
+        fee_curr = order['fee']['currency']
+        # Calculate fee based on order details
+        if fee_curr in self.get_pair_base_currency(order['symbol']):
+            # Base currency - divide by amount
+            return round(order['fee']['cost'] / order['amount'], 8)
+        elif fee_curr in self.get_pair_quote_currency(order['symbol']):
+            # Quote currency - divide by cost
+            return round(order['fee']['cost'] / order['cost'], 8)
+        else:
+            # If Fee currency is a different currency
+            try:
+                comb = self.get_valid_pair_combination(fee_curr, self._config['stake_currency'])
+                tick = self.fetch_ticker(comb)
+
+                fee_to_quote_rate = safe_value_fallback(tick, tick, 'last', 'ask')
+                return round((order['fee']['cost'] * fee_to_quote_rate) / order['cost'], 8)
+            except DependencyException:
+                return None
+
+    def extract_cost_curr_rate(self, order: Dict) -> Tuple[float, str, Optional[float]]:
         """
         Extract tuple of cost, currency, rate.
         Requires order_has_fee to run first!
@@ -1094,7 +1119,7 @@ class Exchange:
         """
         return (order['fee']['cost'],
                 order['fee']['currency'],
-                order['fee'].get('rate', None))
+                self.calculate_fee_rate(order))
         # calculate rate ? (order['fee']['cost'] / (order['amount'] * order['price']))
 
 

tests/exchange/test_exchange.py

@@ -2159,9 +2159,44 @@ def test_order_has_fee(order, expected) -> None:
 
 
 @pytest.mark.parametrize("order,expected", [
-    ({'fee': {'currency': 'ETH/BTC', 'cost': 0.43}}, (0.43, 'ETH/BTC', None)),
+    ({'symbol': 'ETH/BTC', 'fee': {'currency': 'ETH', 'cost': 0.43}},
-    ({'fee': {'currency': 'ETH/USDT', 'cost': 0.01}}, (0.01, 'ETH/USDT', None)),
+        (0.43, 'ETH', 0.01)),
-    ({'fee': {'currency': 'ETH/USDT', 'cost': 0.34, 'rate': 0.01}}, (0.34, 'ETH/USDT', 0.01)),
+    ({'symbol': 'ETH/USDT', 'fee': {'currency': 'USDT', 'cost': 0.01}},
+        (0.01, 'USDT', 0.01)),
+    ({'symbol': 'BTC/USDT', 'fee': {'currency': 'USDT', 'cost': 0.34, 'rate': 0.01}},
+        (0.34, 'USDT', 0.01)),
 ])
-def test_extract_cost_curr_rate(order, expected) -> None:
+def test_extract_cost_curr_rate(mocker, default_conf, order, expected) -> None:
-    assert Exchange.extract_cost_curr_rate(order) == expected
+    mocker.patch('freqtrade.exchange.Exchange.calculate_fee_rate', MagicMock(return_value=0.01))
+    ex = get_patched_exchange(mocker, default_conf)
+    assert ex.extract_cost_curr_rate(order) == expected
+
+
+@pytest.mark.parametrize("order,expected", [
+    # Using base-currency
+    ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.05,
+        'fee': {'currency': 'ETH', 'cost': 0.004, 'rate': None}}, 0.1),
+    ({'symbol': 'ETH/BTC', 'amount': 0.05, 'cost': 0.05,
+        'fee': {'currency': 'ETH', 'cost': 0.004, 'rate': None}}, 0.08),
+    # Using quote currency
+    ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.05,
+        'fee': {'currency': 'BTC', 'cost': 0.005}}, 0.1),
+    ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.05,
+        'fee': {'currency': 'BTC', 'cost': 0.002, 'rate': None}}, 0.04),
+    # Using foreign currency
+    ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.05,
+        'fee': {'currency': 'NEO', 'cost': 0.0012}}, 0.001944),
+    ({'symbol': 'ETH/BTC', 'amount': 2.21, 'cost': 0.02992561,
+        'fee': {'currency': 'NEO', 'cost': 0.00027452}}, 0.00074305),
+    # TODO: More tests here!
+    # Rate included in return - return as is
+    ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.05,
+        'fee': {'currency': 'USDT', 'cost': 0.34, 'rate': 0.01}}, 0.01),
+    ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.05,
+        'fee': {'currency': 'USDT', 'cost': 0.34, 'rate': 0.005}}, 0.005),
+])
+def test_calculate_fee_rate(mocker, default_conf, order, expected) -> None:
+    mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', return_value={'last': 0.081})
+
+    ex = get_patched_exchange(mocker, default_conf)
+    assert ex.calculate_fee_rate(order) == expected