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Fixed timestamp/datetime issues for mark price, funding rate and _get_funding_fee_dates

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This commit is contained in:
Sam Germain 2021-11-06 20:48:03 -06:00
parent 6e912c1053
commit f795288d90
2 changed files with 29 additions and 26 deletions
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23
freqtrade/exchange/exchange.py
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@ -1712,10 +1712,9 @@ class Exchange:
return d.minute > 0 or d.second > 0 return d.minute > 0 or d.second > 0
def _get_funding_fee_dates(self, d1: datetime, d2: datetime): def _get_funding_fee_dates(self, d1: datetime, d2: datetime):
d1_hours = d1.hour + 1 if self.funding_fee_cutoff(d1) else d1.hour d1 = datetime(d1.year, d1.month, d1.day, d1.hour, tzinfo=timezone.utc)
if d1_hours == 24: if self.funding_fee_cutoff(d1):
d1_hours = 0 d1 += timedelta(hours=1)
d1 = datetime(d1.year, d1.month, d1.day, d1_hours, tzinfo=timezone.utc)
d2 = datetime(d2.year, d2.month, d2.day, d2.hour, tzinfo=timezone.utc) d2 = datetime(d2.year, d2.month, d2.day, d2.hour, tzinfo=timezone.utc)
results = [] results = []
@ -1768,7 +1767,10 @@ class Exchange:
) )
history = {} history = {}
for candle in candles: for candle in candles:
history[candle[0]] = candle[1] # TODO-lev: Round down to the nearest funding fee time, incase a timestamp ever has a delay of > 1s
seconds = int(candle[0] / 1000) # The millisecond timestamps can be delayed ~20ms
opening_mark_price = candle[1]
history[seconds] = opening_mark_price
return history return history
except ccxt.NotSupported as e: except ccxt.NotSupported as e:
raise OperationalException( raise OperationalException(
@ -1804,15 +1806,16 @@ class Exchange:
close_date = datetime.now(timezone.utc) close_date = datetime.now(timezone.utc)
funding_rate_history = self.get_funding_rate_history( funding_rate_history = self.get_funding_rate_history(
pair, pair,
int(open_date.timestamp() * 1000) int(open_date.timestamp())
) )
mark_price_history = self._get_mark_price_history( mark_price_history = self._get_mark_price_history(
pair, pair,
int(open_date.timestamp() * 1000) int(open_date.timestamp())
) )
for date in self._get_funding_fee_dates(open_date, close_date): funding_fee_dates = self._get_funding_fee_dates(open_date, close_date)
funding_rate = funding_rate_history[int(date.timestamp() * 1000)] for date in funding_fee_dates:
mark_price = mark_price_history[int(date.timestamp() * 1000)] funding_rate = funding_rate_history[int(date.timestamp())]
mark_price = mark_price_history[int(date.timestamp())]
fees += self._get_funding_fee( fees += self._get_funding_fee(
size=amount, size=amount,
mark_price=mark_price, mark_price=mark_price,

32
tests/test_freqtradebot.py
View File

@ -4722,39 +4722,39 @@ def test_update_funding_fees(mocker, default_conf, time_machine, fee):
funding_rates = { funding_rates = {
"LTC/BTC": { "LTC/BTC": {
1630454400000: 0.00032583, 1630454400: 0.00032583,
1630483200000: 0.00024472, 1630483200: 0.00024472,
}, },
"ETH/BTC": { "ETH/BTC": {
1630454400000: 0.0001, 1630454400: 0.0001,
1630483200000: 0.0001, 1630483200: 0.0001,
}, },
"ETC/BTC": { "ETC/BTC": {
1630454400000: 0.00031077, 1630454400: 0.00031077,
1630483200000: 0.00022655, 1630483200: 0.00022655,
}, },
"XRP/BTC": { "XRP/BTC": {
1630454400000: 0.00049426, 1630454400: 0.00049426,
1630483200000: 0.00032715, 1630483200: 0.00032715,
} }
} }
mark_prices = { mark_prices = {
"LTC/BTC": { "LTC/BTC": {
1630454400000: 3.3, 1630454400: 3.3,
1630483200000: 3.2, 1630483200: 3.2,
}, },
"ETH/BTC": { "ETH/BTC": {
1630454400000: 2.4, 1630454400: 2.4,
1630483200000: 2.5, 1630483200: 2.5,
}, },
"ETC/BTC": { "ETC/BTC": {
1630454400000: 4.3, 1630454400: 4.3,
1630483200000: 4.1, 1630483200: 4.1,
}, },
"XRP/BTC": { "XRP/BTC": {
1630454400000: 1.2, 1630454400: 1.2,
1630483200000: 1.2, 1630483200: 1.2,
} }
} }