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Update merge to "left" to avoid creating non-existing mark candles

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Matthias
2024-02-29 07:31:22 +01:00
parent e988995d71
commit cdfeae9f90
2 changed files with 9 additions and 3 deletions
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2
freqtrade/exchange/exchange.py
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@@ -2887,7 +2887,7 @@ class Exchange:
else: else:
# Fill up missing funding_rate candles with fallback value # Fill up missing funding_rate candles with fallback value
combined = mark_rates.merge( combined = mark_rates.merge(
funding_rates, on='date', how="outer", suffixes=["_mark", "_fund"] funding_rates, on='date', how="left", suffixes=["_mark", "_fund"]
) )
combined['open_fund'] = combined['open_fund'].fillna(futures_funding_rate) combined['open_fund'] = combined['open_fund'].fillna(futures_funding_rate)
return combined return combined

10
tests/exchange/test_exchange.py
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@@ -4314,8 +4314,8 @@ def test_combine_funding_and_mark(
assert len(df) == 1 assert len(df) == 1
# Empty funding rates # Empty funding rates
funding_rates = DataFrame([], columns=['date', 'open']) funding_rates2 = DataFrame([], columns=['date', 'open'])
df = exchange.combine_funding_and_mark(funding_rates, mark_rates, futures_funding_rate) df = exchange.combine_funding_and_mark(funding_rates2, mark_rates, futures_funding_rate)
if futures_funding_rate is not None: if futures_funding_rate is not None:
assert len(df) == 3 assert len(df) == 3
assert df.iloc[0]['open_fund'] == futures_funding_rate assert df.iloc[0]['open_fund'] == futures_funding_rate
@@ -4324,6 +4324,12 @@ def test_combine_funding_and_mark(
else: else:
assert len(df) == 0 assert len(df) == 0
# Empty mark candles
mark_candles = DataFrame([], columns=['date', 'open'])
df = exchange.combine_funding_and_mark(funding_rates, mark_candles, futures_funding_rate)
assert len(df) == 0
@pytest.mark.parametrize('exchange,rate_start,rate_end,d1,d2,amount,expected_fees', [ @pytest.mark.parametrize('exchange,rate_start,rate_end,d1,d2,amount,expected_fees', [
('binance', 0, 2, "2021-09-01 01:00:00", "2021-09-01 04:00:00", 30.0, 0.0), ('binance', 0, 2, "2021-09-01 01:00:00", "2021-09-01 04:00:00", 30.0, 0.0),