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feat: don't fill up missing funding-fees after merge

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Matthias
2025-12-02 21:11:28 +01:00
parent 262f4ffa4c
commit 271fc6b585
2 changed files with 15 additions and 6 deletions
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12
freqtrade/exchange/exchange.py
View File

@@ -3808,8 +3808,16 @@ class Exchange:
combined = mark_rates.merge(
funding_rates, on="date", how="left", suffixes=["_mark", "_fund"]
)
combined["open_fund"] = combined["open_fund"].fillna(futures_funding_rate)
return combined[relevant_cols]
# Fill only leading missing funding rates so gaps stay untouched
first_valid_idx = combined["open_fund"].first_valid_index()
if first_valid_idx is None:
combined["open_fund"] = futures_funding_rate
else:
is_leading_na = (combined.index <= first_valid_idx) & combined[
"open_fund"
].isna()
combined.loc[is_leading_na, "open_fund"] = futures_funding_rate
return combined[relevant_cols].dropna()
def calculate_funding_fees(
self,

9
tests/exchange/test_exchange.py
View File

@@ -5350,11 +5350,12 @@ def test_combine_funding_and_mark(
df = exchange.combine_funding_and_mark(funding_rates, mark_rates, futures_funding_rate)
if futures_funding_rate is not None:
assert len(df) == 3
assert len(df) == 2
assert df.iloc[0]["open_fund"] == funding_rate
assert df.iloc[1]["open_fund"] == futures_funding_rate
assert df.iloc[2]["open_fund"] == funding_rate
assert df["date"].to_list() == [prior2_date, prior_date, trade_date]
# assert df.iloc[1]["open_fund"] == futures_funding_rate
assert df.iloc[-1]["open_fund"] == funding_rate
# Mid-candle is dropped ...
assert df["date"].to_list() == [prior2_date, trade_date]
else:
assert len(df) == 2
assert df["date"].to_list() == [prior2_date, trade_date]