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Merge pull request #6 from aoki-h-jp/feature/1.1.0/get-divergence-mul…
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Feature/1.1.0/get divergence multi cex
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@aoki-h-jp
aoki-h-jp authored Mar 16, 2023
2 parents 42dd6cf + 30e8b2e commit 1bad19a
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21 changes: 21 additions & 0 deletions README.md
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Original file line number Diff line number Diff line change
Expand Up @@ -53,6 +53,27 @@ TLM/USDT:USDT 0.0252 0.32 -0.2948
JASMY/USDT:USDT 0.0100 0.32 -0.3100
```

### Display large FR divergence between CEX
```python
# 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]
FIL/USDT:USDT -0.008948 -0.0229 -0.334535 -0.0084 -0.0240 -0.737473 0.729073 0.202 0.527073
HNT/USDT:USDT -0.023885 -0.0125 NaN NaN 0.0056 0.304442 0.328327 0.180 0.148327
WAXP/USDT:USDT NaN NaN NaN NaN 0.0100 0.205733 0.195733 0.500 -0.304267
AXS/USDT:USDT -0.021292 -0.0385 -0.205174 -0.0212 -0.0282 -0.215217 0.194017 0.202 -0.007983
OP/USDT:USDT -0.060397 -0.0228 -0.206011 -0.0601 -0.0147 -0.148713 0.191311 0.200 -0.008689

# sorted by revenue.
>>> fr.display_large_divergence_multi_exchange(display_num=5, sorted_by='revenue')
binance bybit okx bitget gate coinex Divergence [%] Commission [%] Revenue [/100 USDT]
FIL/USDT:USDT -0.004703 -0.0232 -0.334535 -0.0047 -0.0245 -0.737473 0.732773 0.202 0.530773
HNT/USDT:USDT -0.030722 -0.0141 NaN NaN 0.0051 0.304442 0.335164 0.180 0.155164
OP/USDT:USDT -0.057856 -0.0235 -0.206011 -0.0589 -0.0162 -0.148713 0.189811 0.200 -0.010189
MKR/USDT:USDT 0.010000 0.0100 -0.056437 0.0104 0.0100 0.075530 0.131967 0.200 -0.068033
TON/USDT:USDT NaN NaN -0.023741 NaN 0.0100 -0.116483 0.126483 0.200 -0.073517
```


## Disclaimer
This project is for educational purposes only. You should not construe any such information or other material as legal,
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13 changes: 13 additions & 0 deletions examples/get_large_divergence_multi_exchange.py
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@@ -0,0 +1,13 @@
"""
An example of getting large divergence between multi exchange.
"""
from frarb import FundingRateArbitrage


if __name__ == '__main__':
fr = FundingRateArbitrage()
# Display Top 5 large funding rate divergence between multi exchange.
print(fr.display_large_divergence_multi_exchange(display_num=5, sorted_by='divergence'))

# Display Top 5 large funding rate divergence between multi exchange sorted by revenue.
print(fr.display_large_divergence_multi_exchange(display_num=5, sorted_by='revenue'))
95 changes: 91 additions & 4 deletions frarb/frarb.py
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Original file line number Diff line number Diff line change
@@ -1,6 +1,10 @@
from logging import getLogger
import ccxt
from ccxt import ExchangeError
import pandas as pd

logger = getLogger(__name__)


class FundingRateArbitrage:
def __init__(self):
Expand All @@ -23,7 +27,13 @@ def fetch_all_funding_rate(exchange: str) -> dict:
ex = getattr(ccxt, exchange)()
info = ex.load_markets()
perp = [p for p in info if info[p]['linear']]
return {p: ex.fetch_funding_rate(p)['fundingRate'] for p in perp}
fr_d = {}
for p in perp:
try:
fr_d[p] = ex.fetch_funding_rate(p)['fundingRate']
except ExchangeError:
logger.exception(f'{p} is not perp.')
return fr_d

def display_large_divergence_single_exchange(self, exchange: str, minus=False, display_num=10) -> pd.DataFrame:
"""
Expand All @@ -39,9 +49,10 @@ def display_large_divergence_single_exchange(self, exchange: str, minus=False, d
fr = self.fetch_all_funding_rate(exchange=exchange)
columns = ['Funding Rate [%]', 'Commission [%]', 'Revenue [/100 USDT]']
sr_fr = pd.Series(list(fr.values())) * 100
# TODO: Check perp or spot or options exists on CEX.
if minus:
cm = self.get_commission(exchange=exchange, trade='futures', taker=self.is_taker, by_token=self.by_token)\
+ self.get_commission(exchange=exchange, trade='options', taker=self.is_taker, by_token=self.by_token)\
cm = self.get_commission(exchange=exchange, trade='futures', taker=self.is_taker, by_token=self.by_token) \
+ self.get_commission(exchange=exchange, trade='options', taker=self.is_taker, by_token=self.by_token) \
+ self.get_commission(exchange=exchange, trade='spot', taker=self.is_taker, by_token=self.by_token)
sr_cm = pd.Series([cm * 2 for i in range(len(sr_fr))])
sr_rv = abs(sr_fr) - sr_cm
Expand All @@ -56,6 +67,76 @@ def display_large_divergence_single_exchange(self, exchange: str, minus=False, d
df.columns = columns
return df.sort_values(by=columns[0], ascending=minus).head(display_num)

def display_large_divergence_multi_exchange(self, display_num=10, sorted_by='revenue') -> pd.DataFrame:
"""
Display large funding rate divergence between multi CEX.
"multi CEX" refers to self.exchanges.
Args:
display_num (int): Number of display.
sorted_by (str): Sorted by "revenue" or "divergence"
Returns (pd.DataFrame): DataFrame sorted by large funding rate divergence.
"""
if sorted_by == 'revenue':
sorted_by = 'Revenue [/100 USDT]'
elif sorted_by == 'divergence':
sorted_by = 'Divergence [%]'
else:
logger.error(f'{sorted_by} is not available.')
raise KeyError

df = pd.DataFrame()
for ex in self.exchanges:
logger.info(f'fetching {ex}')
fr = self.fetch_all_funding_rate(exchange=ex)
df_ex = pd.DataFrame(fr.values(), index=list(fr.keys()), columns=[ex]).T
df = pd.concat([df, df_ex])
df = df.T * 100

diff_list = []
diff_d = {}
for i, data in df.iterrows():
diff = data.max() - data.min()
diff_d[i] = diff

df_diff = pd.DataFrame(diff_d.values(), index=list(diff_d.keys()), columns=['Divergence [%]']).T
df = pd.concat([df.T, df_diff]).T

comm_list = []
for i in df.index:
max_fr_exchange = df.loc[i][:-1].idxmax()
min_fr_exchange = df.loc[i][:-1].idxmin()
max_fr = df.loc[i][:-1].max()
min_fr = df.loc[i][:-1].min()
# TODO: Check perp or spot or options exists on CEX.
if max_fr >= 0 and min_fr >= 0:
min_commission = self.get_commission(exchange=min_fr_exchange, trade='spot')
max_commission = self.get_commission(exchange=max_fr_exchange, trade='futures')
elif max_fr >= 0 > min_fr:
max_commission = self.get_commission(exchange=max_fr_exchange, trade='futures')
min_commission = self.get_commission(exchange=min_fr_exchange, trade='futures')
else:
try:
max_commission = self.get_commission(exchange=max_fr_exchange, trade='options') + \
self.get_commission(exchange=max_fr_exchange, trade='spot')
min_commission = self.get_commission(exchange=min_fr_exchange, trade='futures')
except KeyError:
max_commission = self.get_commission(exchange=max_fr_exchange, trade='futures')
min_commission = self.get_commission(exchange=min_fr_exchange, trade='futures')
sum_of_commission = 2 * (max_commission + min_commission)
comm_list.append(sum_of_commission)

comm_d = {index: commission for index, commission in zip(df.index, comm_list)}
df_comm = pd.DataFrame(comm_d.values(), index=list(comm_d.keys()), columns=['Commission [%]']).T
df = pd.concat([df.T, df_comm]).T

revenue = [diff_value - comm_value for diff_value, comm_value in zip(diff_d.values(), comm_d.values())]
df_rv = pd.DataFrame(revenue, index=list(comm_d.keys()), columns=['Revenue [/100 USDT]']).T
df = pd.concat([df.T, df_rv]).T

return df.sort_values(by=sorted_by, ascending=False).head(display_num)

def get_exchanges(self) -> list:
"""
Get a list of exchanges.
Expand Down Expand Up @@ -111,6 +192,7 @@ def get_commission(exchange: str, trade: str, taker=True, by_token=False) -> flo
elif trade == 'options':
return 0.02
else:
logger.error(f'{trade} is not available on {exchange}.')
raise KeyError

# https://www.bybit.com/ja-JP/help-center/bybitHC_Article?id=360039261154&language=ja
Expand All @@ -125,6 +207,7 @@ def get_commission(exchange: str, trade: str, taker=True, by_token=False) -> flo
elif trade == 'options':
return 0.03
else:
logger.error(f'{trade} is not available on {exchange}.')
raise KeyError

# https://www.okx.com/fees
Expand All @@ -145,6 +228,7 @@ def get_commission(exchange: str, trade: str, taker=True, by_token=False) -> flo
else:
return 0.02
else:
logger.error(f'{trade} is not available on {exchange}.')
raise KeyError

# https://www.bitget.com/ja/rate/
Expand All @@ -160,6 +244,7 @@ def get_commission(exchange: str, trade: str, taker=True, by_token=False) -> flo
else:
return 0.017
else:
logger.error(f'{trade} is not available on {exchange}.')
raise KeyError

# https://www.gate.io/ja/fee
Expand All @@ -175,10 +260,11 @@ def get_commission(exchange: str, trade: str, taker=True, by_token=False) -> flo
else:
return 0.015
else:
logger.error(f'{trade} is not available on {exchange}.')
raise KeyError

# https://www.coinex.zone/fees?type=spot&market=normal
if exchange == 'gate':
if exchange == 'coinex':
if trade == 'spot':
if by_token:
return 0.16
Expand All @@ -190,4 +276,5 @@ def get_commission(exchange: str, trade: str, taker=True, by_token=False) -> flo
else:
return 0.03
else:
logger.error(f'{trade} is not available on {exchange}.')
raise KeyError

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