From 2533d3b42064037523a23d041eae88d235ea5651 Mon Sep 17 00:00:00 2001
From: Sam Germain <sam.germain@usask.ca>
Date: Mon, 18 Oct 2021 01:37:42 -0600
Subject: [PATCH] Added get_funding_rate_history method to exchange

---
 freqtrade/exchange/exchange.py    | 46 ++++++++++++++++++++++++++++++-
 freqtrade/exchange/gateio.py      | 12 ++++++++
 freqtrade/optimize/backtesting.py |  6 ++++
 3 files changed, 63 insertions(+), 1 deletion(-)

diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py
index 70ed6f184..2192005b5 100644
--- a/freqtrade/exchange/exchange.py
+++ b/freqtrade/exchange/exchange.py
@@ -75,6 +75,7 @@ class Exchange:
     # funding_fee_times is currently unused, but should ideally be used to properly
     # schedule refresh times
     funding_fee_times: List[int] = []  # hours of the day
+    funding_rate_history: Dict = {}
 
     _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [
         # TradingMode.SPOT always supported and not required in this list
@@ -1636,13 +1637,17 @@ class Exchange:
             raise OperationalException(e) from e
 
     def _get_mark_price(self, pair: str, date: datetime) -> float:
+        """
+            Get's the mark price for a pair at a specific date and time in the past
+        """
+        # TODO-lev: Can maybe use self._api.fetchFundingRate, or get the most recent candlestick
         raise OperationalException(f'_get_mark_price has not been implemented on {self.name}')
 
     def _get_funding_rate(self, pair: str, when: datetime):
         """
             Get's the funding_rate for a pair at a specific date and time in the past
         """
-        # TODO-lev: implement
+        # TODO-lev: Maybe use self._api.fetchFundingRate or fetchFundingRateHistory with length 1
         raise OperationalException(f"get_funding_rate has not been implemented for {self.name}")
 
     def _get_funding_fee(
@@ -1749,6 +1754,45 @@ class Exchange:
 
         return fees
 
+    def get_funding_rate_history(
+        self,
+        start: int,
+        end: int
+    ) -> Dict:
+        '''
+            :param start: timestamp in ms of the beginning time
+            :param end: timestamp in ms of the end time
+        '''
+        if not self.exchange_has("fetchFundingRateHistory"):
+            raise ExchangeError(
+                f"CCXT has not implemented fetchFundingRateHistory for {self.name}; "
+                f"therefore, backtesting for {self.name} is currently unavailable"
+            )
+
+        try:
+            funding_history: Dict = {}
+            for pair, market in self.markets.items():
+                if market['swap']:
+                    response = self._api.fetch_funding_rate_history(
+                        pair,
+                        limit=1000,
+                        since=start,
+                        params={
+                            'endTime': end
+                        }
+                    )
+                    funding_history[pair] = {}
+                    for fund in response:
+                        funding_history[pair][fund['timestamp']] = fund['funding_rate']
+            return funding_history
+        except ccxt.DDoSProtection as e:
+            raise DDosProtection(e) from e
+        except (ccxt.NetworkError, ccxt.ExchangeError) as e:
+            raise TemporaryError(
+                f'Could not set margin mode due to {e.__class__.__name__}. Message: {e}') from e
+        except ccxt.BaseError as e:
+            raise OperationalException(e) from e
+
 
 def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:
     return exchange_name in ccxt_exchanges(ccxt_module)
diff --git a/freqtrade/exchange/gateio.py b/freqtrade/exchange/gateio.py
index 33006d4a5..f025ed4dd 100644
--- a/freqtrade/exchange/gateio.py
+++ b/freqtrade/exchange/gateio.py
@@ -33,3 +33,15 @@ class Gateio(Exchange):
         if any(v == 'market' for k, v in order_types.items()):
             raise OperationalException(
                 f'Exchange {self.name} does not support market orders.')
+
+    def get_funding_rate_history(
+        self,
+        start: int,
+        end: int
+    ) -> Dict:
+        '''
+            :param start: timestamp in ms of the beginning time
+            :param end: timestamp in ms of the end time
+        '''
+        # TODO-lev: Has a max limit into the past of 333 days
+        return super().get_funding_rate_history(start, end)
diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index aaf875a94..a5f63c396 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -3,6 +3,7 @@
 """
 This module contains the backtesting logic
 """
+import ccxt
 import logging
 from collections import defaultdict
 from copy import deepcopy
@@ -125,6 +126,11 @@ class Backtesting:
 
         self.progress = BTProgress()
         self.abort = False
+
+        self.funding_rate_history = getattr(ccxt, self._exchange_name).load_funding_rate_history(
+            self.timerange.startts,
+            self.timerange.stopts
+        )
         self.init_backtest()
 
     def __del__(self):