Merge pull request #9522 from freqtrade/bt/improve_futures_speed

Improve funding fee calculation

tests/optimize/test_backtesting.py

@@ -549,6 +549,7 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
     default_conf_usdt['exchange']['pair_whitelist'] = ['.*']
     backtesting = Backtesting(default_conf_usdt)
     backtesting._set_strategy(backtesting.strategylist[0])
+    mocker.patch('freqtrade.optimize.backtesting.Backtesting._run_funding_fees')
     pair = 'ETH/USDT:USDT'
     row = [
         pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0),
@@ -852,8 +853,8 @@ def test_backtest_one_detail(default_conf_usdt, fee, mocker, testdatadir, use_de
 
 
 @pytest.mark.parametrize('use_detail,exp_funding_fee, exp_ff_updates', [
-    (True, -0.018054162, 44),
-    (False, -0.01780296, 8),
+    (True, -0.018054162, 11),
+    (False, -0.01780296, 5),
     ])
 def test_backtest_one_detail_futures(
         default_conf_usdt, fee, mocker, testdatadir, use_detail, exp_funding_fee,
@@ -947,12 +948,13 @@ def test_backtest_one_detail_futures(
     # assert late_entry > 0
 
 
-@pytest.mark.parametrize('use_detail,entries,max_stake,expected_ff', [
-    (True, 50, 3000, -1.18038144),
-    (False, 6, 360, -0.14679994)])
+@pytest.mark.parametrize('use_detail,entries,max_stake,ff_updates,expected_ff', [
+    (True, 50, 3000, 54, -1.18038144),
+    (False, 6, 360, 10, -0.14679994),
+])
 def test_backtest_one_detail_futures_funding_fees(
         default_conf_usdt, fee, mocker, testdatadir, use_detail, entries, max_stake,
-        expected_ff,
+        ff_updates, expected_ff,
 ) -> None:
     """
     Funding fees are expected to differ, as the maximum position size differs.
@@ -1015,8 +1017,10 @@ def test_backtest_one_detail_futures_funding_fees(
     assert len(results) == 1
 
     assert 'orders' in results.columns
-    # funding_fees have been calculated for each candle
-    assert ff_spy.call_count == (324 if use_detail else 27)
+    # funding_fees have been calculated for each funding-fee candle
+    # the trade is open for 26 hours - hence we expect the 8h fee to apply 4 times.
+    # Additional counts will happen due each successful entry, which needs to call this, too.
+    assert ff_spy.call_count == ff_updates
 
     for t in Trade.trades:
         # At least 6 adjustment orders

tests/optimize/test_backtesting_adjust_position.py

@@ -104,6 +104,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker, levera
     mocker.patch(f"{EXMS}.get_max_pair_stake_amount", return_value=float('inf'))
     mocker.patch(f"{EXMS}.get_max_leverage", return_value=10)
     mocker.patch(f"{EXMS}.get_maintenance_ratio_and_amt", return_value=(0.1, 0.1))
+    mocker.patch('freqtrade.optimize.backtesting.Backtesting._run_funding_fees')
 
     patch_exchange(mocker)
     default_conf.update({