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Merge pull request #9638 from freqtrade/fix/funding_rate_timeframe

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Fix/funding rate timeframe
This commit is contained in:
Matthias
2024-01-06 09:25:17 +01:00
committed by GitHub
parent e7eb1c132d fdc573f2f7
commit c1982ab836
12 changed files with 136 additions and 19 deletions
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4
freqtrade/commands/data_commands.py
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@@ -12,7 +12,7 @@ from freqtrade.enums import RunMode, TradingMode
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import timeframe_to_minutes
from freqtrade.resolvers import ExchangeResolver
from freqtrade.util.binance_mig import migrate_binance_futures_data
from freqtrade.util.migrations import migrate_data
logger = logging.getLogger(__name__)
@@ -78,7 +78,7 @@ def start_convert_data(args: Dict[str, Any], ohlcv: bool = True) -> None:
"""
config = setup_utils_configuration(args, RunMode.UTIL_NO_EXCHANGE)
if ohlcv:
migrate_binance_futures_data(config)
migrate_data(config)
convert_ohlcv_format(config,
convert_from=args['format_from'],
convert_to=args['format_to'],

14
freqtrade/data/history/history_utils.py
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@@ -18,8 +18,8 @@ from freqtrade.exceptions import OperationalException
from freqtrade.exchange import Exchange
from freqtrade.plugins.pairlist.pairlist_helpers import dynamic_expand_pairlist
from freqtrade.util import dt_ts, format_ms_time
from freqtrade.util.binance_mig import migrate_binance_futures_data
from freqtrade.util.datetime_helpers import dt_now
from freqtrade.util.migrations import migrate_data
logger = logging.getLogger(__name__)
@@ -311,15 +311,19 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes
# Predefined candletype (and timeframe) depending on exchange
# Downloads what is necessary to backtest based on futures data.
tf_mark = exchange.get_option('mark_ohlcv_timeframe')
tf_funding_rate = exchange.get_option('funding_fee_timeframe')
fr_candle_type = CandleType.from_string(exchange.get_option('mark_ohlcv_price'))
# All exchanges need FundingRate for futures trading.
# The timeframe is aligned to the mark-price timeframe.
for funding_candle_type in (CandleType.FUNDING_RATE, fr_candle_type):
combs = ((CandleType.FUNDING_RATE, tf_funding_rate), (fr_candle_type, tf_mark))
for candle_type_f, tf in combs:
logger.debug(f'Downloading pair {pair}, {candle_type_f}, interval {tf}.')
_download_pair_history(pair=pair, process=process,
datadir=datadir, exchange=exchange,
timerange=timerange, data_handler=data_handler,
timeframe=str(tf_mark), new_pairs_days=new_pairs_days,
candle_type=funding_candle_type,
timeframe=str(tf), new_pairs_days=new_pairs_days,
candle_type=candle_type_f,
erase=erase, prepend=prepend)
return pairs_not_available
@@ -527,7 +531,7 @@ def download_data_main(config: Config) -> None:
"Please use `--dl-trades` instead for this exchange "
"(will unfortunately take a long time)."
)
migrate_binance_futures_data(config)
migrate_data(config, exchange)
pairs_not_available = refresh_backtest_ohlcv_data(
exchange, pairs=expanded_pairs, timeframes=config['timeframes'],
datadir=config['datadir'], timerange=timerange,

28
freqtrade/data/history/idatahandler.py
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@@ -403,6 +403,34 @@ class IDataHandler(ABC):
return
file_old.rename(file_new)
def fix_funding_fee_timeframe(self, ff_timeframe: str):
"""
Temporary method to migrate data from old funding fee timeframe to the correct timeframe
Applies to bybit and okx, where funding-fee and mark candles have different timeframes.
"""
paircombs = self.ohlcv_get_available_data(self._datadir, TradingMode.FUTURES)
funding_rate_combs = [
f for f in paircombs if f[2] == CandleType.FUNDING_RATE and f[1] != ff_timeframe
]
if funding_rate_combs:
logger.warning(
f'Migrating {len(funding_rate_combs)} funding fees to correct timeframe.')
for pair, timeframe, candletype in funding_rate_combs:
old_name = self._pair_data_filename(self._datadir, pair, timeframe, candletype)
new_name = self._pair_data_filename(self._datadir, pair, ff_timeframe, candletype)
if not Path(old_name).exists():
logger.warning(f'{old_name} does not exist, skipping.')
continue
if Path(new_name).exists():
logger.warning(f'{new_name} already exists, Removing.')
Path(new_name).unlink()
Path(old_name).rename(new_name)
def get_datahandlerclass(datatype: str) -> Type[IDataHandler]:
"""

10
freqtrade/exchange/exchange.py
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@@ -80,6 +80,7 @@ class Exchange:
"l2_limit_range_required": True, # Allow Empty L2 limit (kucoin)
"mark_ohlcv_price": "mark",
"mark_ohlcv_timeframe": "8h",
"funding_fee_timeframe": "8h",
"ccxt_futures_name": "swap",
"needs_trading_fees": False, # use fetch_trading_fees to cache fees
"order_props_in_contracts": ['amount', 'filled', 'remaining'],
@@ -2734,17 +2735,16 @@ class Exchange:
# Only really relevant for trades very close to the full hour
open_date = timeframe_to_prev_date('1h', open_date)
timeframe = self._ft_has['mark_ohlcv_timeframe']
timeframe_ff = self._ft_has.get('funding_fee_timeframe',
self._ft_has['mark_ohlcv_timeframe'])
timeframe_ff = self._ft_has['funding_fee_timeframe']
mark_price_type = CandleType.from_string(self._ft_has["mark_ohlcv_price"])
if not close_date:
close_date = datetime.now(timezone.utc)
since_ms = int(timeframe_to_prev_date(timeframe, open_date).timestamp()) * 1000
mark_comb: PairWithTimeframe = (
pair, timeframe, CandleType.from_string(self._ft_has["mark_ohlcv_price"]))
mark_comb: PairWithTimeframe = (pair, timeframe, mark_price_type)
funding_comb: PairWithTimeframe = (pair, timeframe_ff, CandleType.FUNDING_RATE)
candle_histories = self.refresh_latest_ohlcv(
[mark_comb, funding_comb],
since_ms=since_ms,

2
freqtrade/freqtradebot.py
View File

@@ -38,7 +38,7 @@ from freqtrade.rpc.rpc_types import (ProfitLossStr, RPCCancelMsg, RPCEntryMsg, R
from freqtrade.strategy.interface import IStrategy
from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
from freqtrade.util import FtPrecise
from freqtrade.util.binance_mig import migrate_binance_futures_names
from freqtrade.util.migrations import migrate_binance_futures_names
from freqtrade.wallets import Wallets

10
freqtrade/optimize/backtesting.py
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@@ -40,7 +40,7 @@ from freqtrade.resolvers import ExchangeResolver, StrategyResolver
from freqtrade.strategy.interface import IStrategy
from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
from freqtrade.types import BacktestResultType, get_BacktestResultType_default
from freqtrade.util.binance_mig import migrate_binance_futures_data
from freqtrade.util.migrations import migrate_data
from freqtrade.wallets import Wallets
@@ -158,7 +158,7 @@ class Backtesting:
self._can_short = self.trading_mode != TradingMode.SPOT
self._position_stacking: bool = self.config.get('position_stacking', False)
self.enable_protections: bool = self.config.get('enable_protections', False)
migrate_binance_futures_data(config)
migrate_data(config, self.exchange)
self.init_backtest()
@@ -277,8 +277,10 @@ class Backtesting:
else:
self.detail_data = {}
if self.trading_mode == TradingMode.FUTURES:
self.funding_fee_timeframe: str = self.exchange.get_option('mark_ohlcv_timeframe')
self.funding_fee_timeframe: str = self.exchange.get_option('funding_fee_timeframe')
self.funding_fee_timeframe_secs: int = timeframe_to_seconds(self.funding_fee_timeframe)
mark_timeframe: str = self.exchange.get_option('mark_ohlcv_timeframe')
# Load additional futures data.
funding_rates_dict = history.load_data(
datadir=self.config['datadir'],
@@ -295,7 +297,7 @@ class Backtesting:
mark_rates_dict = history.load_data(
datadir=self.config['datadir'],
pairs=self.pairlists.whitelist,
timeframe=self.funding_fee_timeframe,
timeframe=mark_timeframe,
timerange=self.timerange,
startup_candles=0,
fail_without_data=True,

12
freqtrade/util/migrations/__init__.py Normal file
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@@ -0,0 +1,12 @@
from typing import Optional
from freqtrade.exchange import Exchange
from freqtrade.util.migrations.binance_mig import migrate_binance_futures_names # noqa F401
from freqtrade.util.migrations.binance_mig import migrate_binance_futures_data
from freqtrade.util.migrations.funding_rate_mig import migrate_funding_fee_timeframe
def migrate_data(config, exchange: Optional[Exchange] = None):
migrate_binance_futures_data(config)
migrate_funding_fee_timeframe(config, exchange)

0
freqtrade/util/binance_mig.py → freqtrade/util/migrations/binance_mig.py
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27
freqtrade/util/migrations/funding_rate_mig.py Normal file
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@@ -0,0 +1,27 @@
import logging
from typing import Optional
from freqtrade.constants import Config
from freqtrade.data.history.idatahandler import get_datahandler
from freqtrade.enums import TradingMode
from freqtrade.exchange import Exchange
logger = logging.getLogger(__name__)
def migrate_funding_fee_timeframe(config: Config, exchange: Optional[Exchange]):
if (
config.get('trading_mode', TradingMode.SPOT) != TradingMode.FUTURES
):
# only act on futures
return
if not exchange:
from freqtrade.resolvers import ExchangeResolver
exchange = ExchangeResolver.load_exchange(config, validate=False)
ff_timeframe = exchange.get_option('funding_fee_timeframe')
dhc = get_datahandler(config['datadir'], config['dataformat_ohlcv'])
dhc.fix_funding_fee_timeframe(ff_timeframe)

6
tests/data/test_history.py
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@@ -508,8 +508,9 @@ def test_refresh_backtest_ohlcv_data(
mocker.patch.object(Path, "exists", MagicMock(return_value=True))
mocker.patch.object(Path, "unlink", MagicMock())
default_conf['trading_mode'] = trademode
ex = get_patched_exchange(mocker, default_conf)
ex = get_patched_exchange(mocker, default_conf, id='bybit')
timerange = TimeRange.parse_timerange("20190101-20190102")
refresh_backtest_ohlcv_data(exchange=ex, pairs=["ETH/BTC", "XRP/BTC"],
timeframes=["1m", "5m"], datadir=testdatadir,
@@ -521,6 +522,9 @@ def test_refresh_backtest_ohlcv_data(
assert dl_mock.call_args[1]['timerange'].starttype == 'date'
assert log_has_re(r"Downloading pair ETH/BTC, .* interval 1m\.", caplog)
if trademode == 'futures':
assert log_has_re(r"Downloading pair ETH/BTC, funding_rate, interval 8h\.", caplog)
assert log_has_re(r"Downloading pair ETH/BTC, mark, interval 4h\.", caplog)
def test_download_data_no_markets(mocker, default_conf, caplog, testdatadir):

13
tests/test_binance_mig.py → tests/utils/test_binance_mig.py
View File

@@ -5,7 +5,8 @@ import shutil
import pytest
from freqtrade.persistence import Trade
from freqtrade.util.binance_mig import migrate_binance_futures_data, migrate_binance_futures_names
from freqtrade.util.migrations import (migrate_binance_futures_data, migrate_binance_futures_names,
migrate_data)
from tests.conftest import create_mock_trades_usdt, log_has
@@ -55,3 +56,13 @@ def test_binance_mig_db_conversion(default_conf_usdt, fee, caplog):
default_conf_usdt['trading_mode'] = 'futures'
migrate_binance_futures_names(default_conf_usdt)
assert log_has('Migrating binance futures pairs in database.', caplog)
def test_migration_wrapper(default_conf_usdt, mocker):
default_conf_usdt['trading_mode'] = 'futures'
binmock = mocker.patch('freqtrade.util.migrations.migrate_binance_futures_data')
funding_mock = mocker.patch('freqtrade.util.migrations.migrate_funding_fee_timeframe')
migrate_data(default_conf_usdt)
assert binmock.call_count == 1
assert funding_mock.call_count == 1

29
tests/utils/test_funding_rate_migration.py Normal file
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@@ -0,0 +1,29 @@
from shutil import copytree
from freqtrade.util.migrations import migrate_funding_fee_timeframe
def test_migrate_funding_rate_timeframe(default_conf_usdt, tmp_path, testdatadir):
copytree(testdatadir / 'futures', tmp_path / 'futures')
file_4h = tmp_path / 'futures' / 'XRP_USDT_USDT-4h-funding_rate.feather'
file_8h = tmp_path / 'futures' / 'XRP_USDT_USDT-8h-funding_rate.feather'
file_1h = tmp_path / 'futures' / 'XRP_USDT_USDT-1h-futures.feather'
file_8h.rename(file_4h)
assert file_1h.exists()
assert file_4h.exists()
assert not file_8h.exists()
default_conf_usdt['datadir'] = tmp_path
# Inactive on spot trading ...
migrate_funding_fee_timeframe(default_conf_usdt, None)
default_conf_usdt['trading_mode'] = 'futures'
migrate_funding_fee_timeframe(default_conf_usdt, None)
assert not file_4h.exists()
assert file_8h.exists()
# futures files is untouched.
assert file_1h.exists()