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feat: limit returned columns for merged mark/funding calc to used columns
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@@ -3784,10 +3784,11 @@ class Exchange:
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:param mark_rates: Dataframe containing Mark rates (Type mark_ohlcv_price)
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:param futures_funding_rate: Fake funding rate to use if funding_rates are not available
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"""
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relevant_cols = ["date", "open_mark", "open_fund"]
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if futures_funding_rate is None:
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return mark_rates.merge(
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funding_rates, on="date", how="inner", suffixes=["_mark", "_fund"]
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)
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)[relevant_cols]
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else:
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if len(funding_rates) == 0:
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# No funding rate candles - full fillup with fallback variable
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@@ -3800,7 +3801,7 @@ class Exchange:
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"low": "low_mark",
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"volume": "volume_mark",
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}
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)
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)[relevant_cols]
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else:
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# Fill up missing funding_rate candles with fallback value
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@@ -3808,7 +3809,7 @@ class Exchange:
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funding_rates, on="date", how="left", suffixes=["_mark", "_fund"]
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)
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combined["open_fund"] = combined["open_fund"].fillna(futures_funding_rate)
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return combined
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return combined[relevant_cols]
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def calculate_funding_fees(
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self,
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