Merge pull request #7 from aoki-h-jp/release/1.1.0

Release/1.1.0

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 +41,39 @@ 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
+```
+
+### 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,

examples/get_large_divergence_multi_exchange.py

@@ -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'))

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

@@ -1,10 +1,17 @@
+from logging import getLogger
 import ccxt
+from ccxt import ExchangeError
 import pandas as pd
 
+logger = getLogger(__name__)
+
 
 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:
@@ -20,7 +27,115 @@ 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:
+        """
+        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
+        # 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) \
+                 + 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 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:
         """
@@ -74,7 +189,10 @@ 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:
+                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
@@ -86,7 +204,10 @@ 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:
+                logger.error(f'{trade} is not available on {exchange}.')
                 raise KeyError
 
         # https://www.okx.com/fees
@@ -101,7 +222,13 @@ 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:
+                logger.error(f'{trade} is not available on {exchange}.')
                 raise KeyError
 
         # https://www.bitget.com/ja/rate/
@@ -117,6 +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
@@ -132,10 +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
@@ -147,4 +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