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historical rates
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diff --git a/exchanges/deribit/deribit_test.go b/exchanges/deribit/deribit_test.go | |
index 619ce7cae..63360cc67 100644 | |
--- a/exchanges/deribit/deribit_test.go | |
+++ b/exchanges/deribit/deribit_test.go | |
@@ -3019,14 +3019,13 @@ func TestGetHistoricalFundingRates(t *testing.T) { | |
Asset: asset.Futures, | |
Pair: cp, | |
PaymentCurrency: currency.USDT, | |
- StartDate: time.Now().Add(-time.Hour * 24 * 7), | |
+ StartDate: time.Now().Add(-time.Hour * 24 * 2), | |
EndDate: time.Now(), | |
} | |
_, err = d.GetHistoricalFundingRates(context.Background(), r) | |
require.NoError(t, err) | |
- r.StartDate = time.Now().Add(-time.Hour * 24 * 20) | |
- | |
- r.RespectHistoryLimits = true | |
+ r.StartDate = time.Now().Add(-time.Hour * 24 * 90) | |
+ r.EndDate = r.StartDate.Add(time.Hour * 24 * 7) | |
result, err := d.GetHistoricalFundingRates(context.Background(), r) | |
require.NoError(t, err) | |
require.NotNil(t, result) | |
diff --git a/exchanges/deribit/deribit_wrapper.go b/exchanges/deribit/deribit_wrapper.go | |
index a90786f26..2c12dce6b 100644 | |
--- a/exchanges/deribit/deribit_wrapper.go | |
+++ b/exchanges/deribit/deribit_wrapper.go | |
@@ -4,6 +4,7 @@ import ( | |
"context" | |
"errors" | |
"fmt" | |
+ "sort" | |
"strconv" | |
"strings" | |
"time" | |
@@ -1557,20 +1558,6 @@ func (d *Deribit) GetHistoricalFundingRates(ctx context.Context, r *fundingrate. | |
if r.Pair.IsEmpty() { | |
return nil, currency.ErrCurrencyPairEmpty | |
} | |
- if d.Features.Supports.FuturesCapabilities.MaximumFundingRateHistory != 0 { | |
- maxLookback := time.Now().Add(-d.Features.Supports.FuturesCapabilities.MaximumFundingRateHistory) | |
- if r.StartDate.Before(maxLookback) { | |
- if r.RespectHistoryLimits { | |
- r.StartDate = maxLookback | |
- } else { | |
- return nil, fmt.Errorf("%w earliest date is %v", fundingrate.ErrFundingRateOutsideLimits, maxLookback) | |
- } | |
- if r.EndDate.Before(maxLookback) { | |
- return nil, futures.ErrGetFundingDataRequired | |
- } | |
- r.StartDate = maxLookback | |
- } | |
- } | |
if !r.StartDate.IsZero() && !r.EndDate.IsZero() { | |
err := common.StartEndTimeCheck(r.StartDate, r.EndDate) | |
if err != nil { | |
@@ -1584,45 +1571,48 @@ func (d *Deribit) GetHistoricalFundingRates(ctx context.Context, r *fundingrate. | |
if err != nil { | |
return nil, err | |
} | |
- startDate := r.StartDate | |
+ ed := r.EndDate | |
- fundingRates := []fundingrate.Rate{} | |
- latestRate := new(fundingrate.Rate) | |
+ var fundingRates []fundingrate.Rate | |
+ mfr := make(map[int64]struct{}) | |
for { | |
- if startDate.Equal(r.EndDate) || startDate.After(r.EndDate) { | |
+ if ed.Equal(r.StartDate) || ed.Before(r.StartDate) { | |
break | |
} | |
var records []FundingRateHistory | |
if d.Websocket.IsConnected() { | |
- records, err = d.WSRetrieveFundingRateHistory(fPair.String(), startDate, r.EndDate) | |
+ records, err = d.WSRetrieveFundingRateHistory(fPair.String(), r.StartDate, ed) | |
} else { | |
- records, err = d.GetFundingRateHistory(ctx, fPair.String(), startDate, r.EndDate) | |
+ records, err = d.GetFundingRateHistory(ctx, fPair.String(), r.StartDate, ed) | |
} | |
if err != nil { | |
return nil, err | |
} | |
- if len(records) == 0 { | |
+ if len(records) == 0 || ed.Equal(records[0].Timestamp.Time()) { | |
break | |
} | |
for i := range records { | |
- if r.EndDate.Before(records[i].Timestamp.Time()) || | |
- r.StartDate.After(records[i].Timestamp.Time()) { | |
+ rt := records[i].Timestamp.Time() | |
+ if rt.Before(r.StartDate) || rt.After(r.EndDate) { | |
continue | |
} | |
- if records[i].Timestamp.Time().Unix() > latestRate.Time.Unix() { | |
- latestRate.Time = records[i].Timestamp.Time() | |
- latestRate.Rate = decimal.NewFromFloat(records[i].Interest1H) | |
+ if _, ok := mfr[rt.UnixMilli()]; ok { | |
+ continue | |
} | |
fundingRates = append(fundingRates, fundingrate.Rate{ | |
Rate: decimal.NewFromFloat(records[i].Interest1H), | |
- Time: records[i].Timestamp.Time(), | |
+ Time: rt, | |
}) | |
+ mfr[rt.UnixMilli()] = struct{}{} | |
} | |
- startDate = latestRate.Time | |
+ ed = records[0].Timestamp.Time() | |
} | |
if len(fundingRates) == 0 { | |
return nil, fundingrate.ErrNoFundingRatesFound | |
} | |
+ sort.Slice(fundingRates, func(i, j int) bool { | |
+ return fundingRates[i].Time.Before(fundingRates[j].Time) | |
+ }) | |
return &fundingrate.HistoricalRates{ | |
Exchange: d.Name, | |
Asset: r.Asset, | |
@@ -1630,7 +1620,7 @@ func (d *Deribit) GetHistoricalFundingRates(ctx context.Context, r *fundingrate. | |
FundingRates: fundingRates, | |
StartDate: fundingRates[0].Time, | |
EndDate: r.EndDate, | |
- LatestRate: *latestRate, | |
+ LatestRate: fundingRates[len(fundingRates)-1], | |
PaymentCurrency: r.PaymentCurrency, | |
}, nil | |
} |
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Its because the API endpoint
GetFundingRateHistory
responds to the end date changes rather than start date. So we go in descending order instead, then sort the results