Merge pull request #5 from aoki-h-jp/feature/1.1.0/get-divergence-sin…

…gle-cex

Feature/1.1.0/get divergence single cex

README.md

@@ -23,13 +23,12 @@ 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
-
 ```
 
 ## Usage
+### Fetch FR & commission
 ```python
 from frarb import FundingRateArbitrage
 
@@ -42,6 +41,18 @@ fr_binance = fr.fetch_all_funding_rate(exchange='binance')
 cm_binance = fr.get_commission(exchange='binance', trade='futures', taker=False)
 ```
 
+### Display large FR divergence on single CEX
+```python
+# display large funding rate divergence on bybit
+>>> fr.display_large_divergence_single_exchange(exchange='bybit', display_num=5)
+                 Funding Rate [%]  Commission [%]  Revenue [/100 USDT]
+CTC/USDT:USDT              0.1794            0.32              -0.1406
+CREAM/USDT:USDT            0.0338            0.32              -0.2862
+TWT/USDT:USDT              0.0295            0.32              -0.2905
+TLM/USDT:USDT              0.0252            0.32              -0.2948
+JASMY/USDT:USDT            0.0100            0.32              -0.3100
+```
+
 
 ## Disclaimer
 This project is for educational purposes only. You should not construe any such information or other material as legal,

examples/get_large_divergence_single_exchange.py

@@ -0,0 +1,13 @@
+"""
+An example of getting large divergence by single exchange.
+"""
+from frarb import FundingRateArbitrage
+
+
+if __name__ == '__main__':
+    fr = FundingRateArbitrage()
+    # Display Top 5 large funding rate divergence on binance.
+    print(fr.display_large_divergence_single_exchange(exchange='binance', display_num=5))
+
+    # Display Top 5 large funding rate divergence on bybit (minus FR).
+    print(fr.display_large_divergence_single_exchange(exchange='bybit', display_num=5, minus=True))

frarb/frarb.py

@@ -5,6 +5,9 @@
 class FundingRateArbitrage:
     def __init__(self):
         self.exchanges = ['binance', 'bybit', 'okx', 'bitget', 'gate', 'coinex']
+        # commission
+        self.is_taker = True
+        self.by_token = False
 
     @staticmethod
     def fetch_all_funding_rate(exchange: str) -> dict:
@@ -22,6 +25,37 @@ def fetch_all_funding_rate(exchange: str) -> dict:
         perp = [p for p in info if info[p]['linear']]
         return {p: ex.fetch_funding_rate(p)['fundingRate'] for p in perp}
 
+    def display_large_divergence_single_exchange(self, exchange: str, minus=False, display_num=10) -> pd.DataFrame:
+        """
+        Display large funding rate divergence on single CEX.
+        Args:
+            exchange (str): Name of exchange (binance, bybit, ...)
+            minus (bool): Sorted by minus FR or plus FR.
+            display_num (int): Number of display.
+
+        Returns (pd.DataFrame): DataFrame sorted by large funding rate divergence.
+
+        """
+        fr = self.fetch_all_funding_rate(exchange=exchange)
+        columns = ['Funding Rate [%]', 'Commission [%]', 'Revenue [/100 USDT]']
+        sr_fr = pd.Series(list(fr.values())) * 100
+        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)\
+                 + 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
+        else:
+            cm = self.get_commission(exchange=exchange, trade='futures', 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 = sr_fr - sr_cm
+
+        df = pd.concat([sr_fr, sr_cm, sr_rv], axis=1)
+        df.index = list(fr.keys())
+        df.columns = columns
+        return df.sort_values(by=columns[0], ascending=minus).head(display_num)
+
     def get_exchanges(self) -> list:
         """
         Get a list of exchanges.
@@ -74,6 +108,8 @@ def get_commission(exchange: str, trade: str, taker=True, by_token=False) -> flo
                         return 0.018
                     else:
                         return 0.02
+            elif trade == 'options':
+                return 0.02
             else:
                 raise KeyError
 
@@ -86,6 +122,8 @@ def get_commission(exchange: str, trade: str, taker=True, by_token=False) -> flo
                     return 0.06
                 else:
                     return 0.01
+            elif trade == 'options':
+                return 0.03
             else:
                 raise KeyError
 
@@ -101,6 +139,11 @@ def get_commission(exchange: str, trade: str, taker=True, by_token=False) -> flo
                     return 0.05
                 else:
                     return 0.02
+            elif trade == 'options':
+                if taker:
+                    return 0.03
+                else:
+                    return 0.02
             else:
                 raise KeyError