Merge pull request #2 from aoki-h-jp/feature/1.0.0/get-funding-rate

Initial commit

examples/fetch_funding_rate.py

@@ -0,0 +1,11 @@
+"""
+An example of fetching funding rate
+"""
+from frarb import FundingRateArbitrage
+from frarb.utils import Exchange
+
+
+if __name__ == '__main__':
+    # fetch from binance
+    fr = FundingRateArbitrage()
+    fr.fetch_all_funding_rate(Exchange.BINANCE)

frarb/frarb.py

@@ -1,3 +1,23 @@
+import utils
+import ccxt
+import pandas as pd
+
+
 class FundingRateArbitrage:
     def __init__(self):
         pass
+
+    def fetch_all_funding_rate(self, exchange: utils.Exchange) -> dict:
+        """
+        Fetch funding rates on all perpetual contracts listed on the exchange.
+
+        Args:
+            exchange (utils.Exchange): Exchange (binance, bybit, ...)
+
+        Returns (dict): Dict of perpetual contract pair and funding rate
+
+        """
+        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}

frarb/utils.py

@@ -0,0 +1,10 @@
+from enum import Enum
+
+
+class Exchange(Enum):
+    BINANCE = 'binance'
+    BYBIT = 'bybit'
+    OKX = 'okx'
+    BITGET = 'bitget'
+    GATEIO = 'gate'
+    COINEX = 'coinex'

requirements.txt

@@ -0,0 +1,2 @@
+ccxt
+pandas