Add "migrate funding fee timeframe" logic

freqtrade/data/history/history_utils.py

@@ -531,7 +531,7 @@ def download_data_main(config: Config) -> None:
                     "Please use `--dl-trades` instead for this exchange "
                     "(will unfortunately take a long time)."
                     )
-            migrate_data(config)
+            migrate_data(config, exchange)
             pairs_not_available = refresh_backtest_ohlcv_data(
                 exchange, pairs=expanded_pairs, timeframes=config['timeframes'],
                 datadir=config['datadir'], timerange=timerange,

freqtrade/data/history/idatahandler.py

@@ -403,6 +403,30 @@ class IDataHandler(ABC):
             return
         file_old.rename(file_new)
 
+    def fix_funding_fee_timeframe(self, ff_timeframe: str):
+        """
+        Temporary method to migrate data from old funding fee timeframe to the correct timeframe
+        Applies to bybit and okx, where funding-fee and mark candles have different timeframes.
+        """
+        paircombs = self.ohlcv_get_available_data(self._datadir, TradingMode.FUTURES)
+        funding_rate_combs = [
+            f for f in paircombs if f[2] == CandleType.FUNDING_RATE and f[1] != ff_timeframe
+        ]
+
+        for pair, timeframe, candletype in funding_rate_combs:
+            old_name = self._pair_data_filename(self._datadir, pair, timeframe, candletype)
+            new_name = self._pair_data_filename(self._datadir, pair, ff_timeframe, candletype)
+
+            if not Path(old_name).exists():
+                logger.warning(f'{old_name} does not exist, skipping.')
+                continue
+
+            if Path(new_name).exists():
+                logger.warning(f'{new_name} already exists, skipping.')
+                continue
+
+            Path(old_name).rename(new_name)
+
 
 def get_datahandlerclass(datatype: str) -> Type[IDataHandler]:
     """

freqtrade/optimize/backtesting.py

@@ -158,7 +158,7 @@ class Backtesting:
         self._can_short = self.trading_mode != TradingMode.SPOT
         self._position_stacking: bool = self.config.get('position_stacking', False)
         self.enable_protections: bool = self.config.get('enable_protections', False)
-        migrate_data(config)
+        migrate_data(config, self.exchange)
 
         self.init_backtest()
 

freqtrade/util/migrations/__init__.py

@@ -1,6 +1,12 @@
+from typing import Optional
+
+from freqtrade.exchange import Exchange
 from freqtrade.util.migrations.binance_mig import migrate_binance_futures_names  # noqa F401
 from freqtrade.util.migrations.binance_mig import migrate_binance_futures_data
+from freqtrade.util.migrations.funding_fee_mig import migrate_funding_fee_timeframe
 
 
-def migrate_data(config):
+def migrate_data(config, exchange: Optional[Exchange] = None):
     migrate_binance_futures_data(config)
+
+    migrate_funding_fee_timeframe(config, exchange)

freqtrade/util/migrations/funding_fee_mig.py

@@ -0,0 +1,29 @@
+import logging
+from typing import Optional
+
+from freqtrade.constants import Config
+from freqtrade.data.history.idatahandler import get_datahandler
+from freqtrade.enums import TradingMode
+from freqtrade.exchange import Exchange
+
+
+logger = logging.getLogger(__name__)
+
+
+def migrate_funding_fee_timeframe(config: Config, exchange: Optional[Exchange]):
+    if (
+        config.get('trading_mode', TradingMode.SPOT) != TradingMode.FUTURES
+    ):
+        # only act on futures
+        return
+
+    if not exchange:
+        from freqtrade.resolvers import ExchangeResolver
+        exchange = ExchangeResolver.load_exchange(config, validate=False)
+
+    ff_timeframe = exchange.get_option('funding_fee_timeframe')
+
+    logger.warning('Migrating funding fees to correct timeframe.')
+
+    dhc = get_datahandler(config['datadir'], config['dataformat_ohlcv'])
+    dhc.fix_funding_fee_timeframe(ff_timeframe)