Merge pull request #13 from aoki-h-jp/feature/1.2.1/fixsetup

Feature/1.2.1/fixsetup
aoki-h-jp · Aug 25, 2023 · 0f1f7cf · 0f1f7cf
2 parents 5c8c0a2 + 7d2188e
commit 0f1f7cf
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Showing 11 changed files with 54 additions and 21 deletions.
diff --git a/README.md b/README.md
@@ -23,14 +23,14 @@ This library can detect perpetual contract with a large divergence in funding ra
 
 
 ```bash
-git clone https://github.com/aoki-h-jp/funding-rate-arbitrage.git
-pip install funding-rate-arbitrage
+pip install git+https://github.com/aoki-h-jp/funding-rate-arbitrage
 ```
 
 ## Usage
 ### Fetch FR & commission
+
 ```python
-from frarb import FundingRateArbitrage
+from funding_rate_arbitrage.frarb import FundingRateArbitrage
 
 fr = FundingRateArbitrage()
 
@@ -42,8 +42,9 @@ cm_binance = fr.get_commission(exchange='binance', trade='futures', taker=False)
 ```
 
 ### Fetch FR history
+
 ```python
-from frarb import FundingRateArbitrage
+from funding_rate_arbitrage.frarb import FundingRateArbitrage
 
 fr = FundingRateArbitrage()
 
@@ -54,7 +55,7 @@ fr.fetch_funding_rate_history(exchange='binance', symbol='BTC/USDT:USDT')
 
 
 ### Display large FR divergence on single CEX
-```python
+```bash
 # display large funding rate divergence on bybit
 >>> fr.display_large_divergence_single_exchange(exchange='bybit', display_num=5)
                  Funding Rate [%]  Commission [%]  Revenue [/100 USDT]
@@ -132,7 +133,7 @@ Commission: 0.38 %
 ```
 
 ### Display large FR divergence between CEX
-```python
+```bash
 # display large funding rate divergence between CEX.
 >>> fr.display_large_divergence_multi_exchange(display_num=5, sorted_by='divergence')
                  binance   bybit       okx  bitget    gate    coinex  Divergence [%]  Commission [%]  Revenue [/100 USDT]

diff --git a/examples/fetch_funding_rate.py b/examples/fetch_funding_rate.py
@@ -1,7 +1,7 @@
 """
 An example of fetching funding rate
 """
-from frarb import FundingRateArbitrage
+from funding_rate_arbitrage.frarb import FundingRateArbitrage
 
 
 if __name__ == '__main__':

diff --git a/examples/fetch_funding_rate_all_exchanges.py b/examples/fetch_funding_rate_all_exchanges.py
@@ -1,7 +1,7 @@
 """
 An example of fetching funding rate
 """
-from frarb import FundingRateArbitrage
+from funding_rate_arbitrage.frarb import FundingRateArbitrage
 
 
 if __name__ == '__main__':

diff --git a/examples/fetch_funding_rate_history.py b/examples/fetch_funding_rate_history.py
@@ -1,11 +1,11 @@
 """
 An example of fetching funding rate history
 """
-from frarb import FundingRateArbitrage
+from funding_rate_arbitrage.frarb import FundingRateArbitrage
 
 
 if __name__ == '__main__':
     # fetch from binance
     fr = FundingRateArbitrage()
     # figure funding rate history
-    fr.fetch_funding_rate_history(exchange='binance', symbol='BTC/USDT:USDT')
+    fr.figure_funding_rate_history(exchange='binance', symbol='BTC/USDT:USDT')
diff --git a/examples/get_commission.py b/examples/get_commission.py
@@ -1,7 +1,7 @@
 """
 An example of getting commission.
 """
-from frarb import FundingRateArbitrage
+from funding_rate_arbitrage.frarb import FundingRateArbitrage
 
 
 if __name__ == '__main__':

diff --git a/examples/get_large_divergence_multi_exchange.py b/examples/get_large_divergence_multi_exchange.py
@@ -1,7 +1,7 @@
 """
 An example of getting large divergence between multi exchange.
 """
-from frarb import FundingRateArbitrage
+from funding_rate_arbitrage.frarb import FundingRateArbitrage
 
 
 if __name__ == '__main__':

diff --git a/examples/get_large_divergence_single_exchange.py b/examples/get_large_divergence_single_exchange.py
@@ -1,7 +1,7 @@
 """
 An example of displaying large divergence by single exchange.
 """
-from frarb import FundingRateArbitrage
+from funding_rate_arbitrage.frarb import FundingRateArbitrage
 
 
 if __name__ == '__main__':

diff --git a/frarb/__init__.py b/frarb/__init__.py
diff --git a/funding_rate_arbitrage/__init__.py b/funding_rate_arbitrage/__init__.py
@@ -0,0 +1,4 @@
+"""
+Funding Rate Arbitrage: A trading strategy that takes advantage of the difference in funding rates between perpetual swaps.
+"""
+import funding_rate_arbitrage.frarb
diff --git a/frarb/frarb.py → funding_rate_arbitrage/frarb.py b/frarb/frarb.py → funding_rate_arbitrage/frarb.py
@@ -4,9 +4,11 @@
 import logging
 from datetime import datetime
 import ccxt
+from numpy import ndarray
 from rich import print
 from rich.logging import RichHandler
 from ccxt import ExchangeError
+import numpy as np
 import pandas as pd
 import matplotlib.pyplot as plt
 
@@ -49,21 +51,35 @@ def fetch_all_funding_rate(exchange: str) -> dict:
         return fr_d
 
     @staticmethod
-    def fetch_funding_rate_history(exchange: str, symbol: str) -> None:
+    def fetch_funding_rate_history(exchange: str, symbol: str) -> tuple:
         """
-        Fetch funding rates on all perpetual contracts listed on the exchange.
+        Fetch funding rates on perpetual contracts listed on the exchange.
 
         Args:
             exchange (str): Name of exchange (binance, bybit, ...)
             symbol (str): Symbol (BTC/USDT:USDT, ETH/USDT:USDT, ...).
 
-        Returns (dict): Dict of perpetual contract pair and funding rate.
+        Returns (tuple): settlement time, funding rate.
 
         """
         ex = getattr(ccxt, exchange)()
         funding_history_dict = ex.fetch_funding_rate_history(symbol=symbol)
         funding_time = [datetime.fromtimestamp(d['timestamp'] * 0.001) for d in funding_history_dict]
         funding_rate = [d['fundingRate'] * 100 for d in funding_history_dict]
+        return funding_time, funding_rate
+
+    def figure_funding_rate_history(self, exchange: str, symbol: str) -> None:
+        """
+        Figure funding rates on perpetual contracts listed on the exchange.
+
+        Args:
+            exchange (str): Name of exchange (binance, bybit, ...)
+            symbol (str): Symbol (BTC/USDT:USDT, ETH/USDT:USDT, ...).
+
+        Returns: None
+
+        """
+        funding_time, funding_rate = self.fetch_funding_rate_history(exchange=exchange, symbol=symbol)
         plt.plot(funding_time, funding_rate, label='funding rate')
         plt.hlines(
             xmin=funding_time[0],
@@ -82,6 +98,20 @@ def fetch_funding_rate_history(exchange: str, symbol: str) -> None:
         plt.tight_layout()
         plt.show()
 
+    def get_funding_rate_volatility(self, exchange: str, symbol: str) -> ndarray:
+        """
+        Get funding rate standard deviation volatility on all perpetual contracts listed on the exchange.
+
+        Args:
+            exchange (str): Name of exchange (binance, bybit, ...)
+            symbol (str): Symbol (BTC/USDT:USDT, ETH/USDT:USDT, ...).
+
+        Returns: Funding rate standard deviation volatility.
+
+        """
+        _, funding_rate = self.fetch_funding_rate_history(exchange=exchange, symbol=symbol)
+        return np.std(funding_rate)
+
     def display_large_divergence_single_exchange(self, exchange: str, minus=False, display_num=10) -> pd.DataFrame:
         """
         Display large funding rate divergence on single CEX.

diff --git a/setup.py b/setup.py
@@ -2,10 +2,11 @@
 
 setup(
     name='funding-rate-arbitrage',
-    version="1.0.0",
+    version="1.2.1",
     description='A framework to help you easily perform funding rate arbitrage on major centralized cryptocurrency '
                 'exchanges.',
-    install_requires=['ccxt', 'pandas'],
+    install_requires=['ccxt', 'pandas', 'rich', 'matplotlib'],
+    packages=['funding_rate_arbitrage'],
     author='aoki-h-jp',
     author_email='[email protected]',
     license='MIT'