Merge pull request #4 from aoki-h-jp/release/1.0.0

Release/1.0.0

LICENSE.md

@@ -0,0 +1,9 @@
+MIT License
+
+Copyright (c) 2023 Hirotaka Aoki
+
+Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the "Software"), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.

README.md

@@ -19,16 +19,29 @@ This library can detect perpetual contract with a large divergence in funding ra
 
 **NOTE: This library does not include the feature to perform automatic funding rate arbitrage.**
 
-[//]: # (## Installation)
+## Installation
 
-[//]: # ()
-[//]: # (```bash)
 
-[//]: # (pip install funding-rate-arbitrage)
+```bash
 
-[//]: # (```)
+git clone https://github.com/aoki-h-jp/funding-rate-arbitrage.git
+pip install funding-rate-arbitrage
+
+```
+
+## Usage
+```python
+from frarb import FundingRateArbitrage
+
+fr = FundingRateArbitrage()
+
+# fetch all perp funding rate on binance
+fr_binance = fr.fetch_all_funding_rate(exchange='binance')
+
+# get commission on binance with futures, maker
+cm_binance = fr.get_commission(exchange='binance', trade='futures', taker=False)
+```
 
-[//]: # (## Example)
 
 ## Disclaimer
 This project is for educational purposes only. You should not construe any such information or other material as legal,

examples/fetch_funding_rate.py

@@ -0,0 +1,10 @@
+"""
+An example of fetching funding rate
+"""
+from frarb import FundingRateArbitrage
+
+
+if __name__ == '__main__':
+    # fetch from binance
+    fr = FundingRateArbitrage()
+    print(fr.fetch_all_funding_rate(exchange='binance'))

examples/fetch_funding_rate_all_exchanges.py

@@ -0,0 +1,12 @@
+"""
+An example of fetching funding rate
+"""
+from frarb import FundingRateArbitrage
+
+
+if __name__ == '__main__':
+    # fetch from all exchanges
+    fr = FundingRateArbitrage()
+    for ex in fr.get_exchanges():
+        print(ex)
+        print(fr.fetch_all_funding_rate(exchange=ex))

examples/get_commission.py

@@ -0,0 +1,19 @@
+"""
+An example of getting commission.
+"""
+from frarb import FundingRateArbitrage
+
+
+if __name__ == '__main__':
+    fr = FundingRateArbitrage()
+    # binance futures maker commission with BNB
+    print('binance futures maker commission with BNB')
+    print(fr.get_commission(exchange='binance', trade='futures', taker=False, by_token=True))
+
+    # bybit spot taker commission
+    print('bybit spot taker commission')
+    print(fr.get_commission(exchange='bybit', trade='spot'))
+
+    # OKX spot maker commission
+    print('OKX spot maker commission')
+    print(fr.get_commission(exchange='okx', trade='spot', taker=False))

frarb/__init__.py

@@ -0,0 +1,3 @@
+from .frarb import FundingRateArbitrage
+
+__all__ = ["FundingRateArbitrage"]

frarb/frarb.py

@@ -0,0 +1,150 @@
+import ccxt
+import pandas as pd
+
+
+class FundingRateArbitrage:
+    def __init__(self):
+        self.exchanges = ['binance', 'bybit', 'okx', 'bitget', 'gate', 'coinex']
+
+    @staticmethod
+    def fetch_all_funding_rate(exchange: str) -> dict:
+        """
+        Fetch funding rates on all perpetual contracts listed on the exchange.
+
+        Args:
+            exchange (str): Name of 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}
+
+    def get_exchanges(self) -> list:
+        """
+        Get a list of exchanges.
+        Returns (list): List of exchanges.
+
+        """
+        return self.exchanges
+
+    def add_exchanges(self, exchange: str) -> list:
+        """
+        Add exchanges.
+        Args:
+            exchange (str): Name of the exchange you want to add.
+
+        Returns (list): List of exchanges.
+
+        """
+        self.exchanges.append(exchange)
+        return self.exchanges
+
+    @staticmethod
+    def get_commission(exchange: str, trade: str, taker=True, by_token=False) -> float:
+        """
+        Get commission.
+        TODO: Get with ccxt or CEX API.
+        Args:
+            exchange (str): Name of exchanges (binance, bybit, ...)
+            trade (str): Spot Trade or Futures Trade
+            taker (bool): is Taker or is Maker
+            by_token (bool): Pay with exchange tokens (BNB, CET, ...)
+
+        Returns (float): Commission.
+
+        """
+        # https://www.binance.com/en/fee/schedule
+        if exchange == 'binance':
+            if trade == 'spot':
+                if by_token:
+                    return 0.075
+                else:
+                    return 0.1
+            elif trade == 'futures':
+                if taker:
+                    if by_token:
+                        return 0.036
+                    else:
+                        return 0.04
+                else:
+                    if by_token:
+                        return 0.018
+                    else:
+                        return 0.02
+            else:
+                raise KeyError
+
+        # https://www.bybit.com/ja-JP/help-center/bybitHC_Article?id=360039261154&language=ja
+        if exchange == 'bybit':
+            if trade == 'spot':
+                return 0.1
+            elif trade == 'futures':
+                if taker:
+                    return 0.06
+                else:
+                    return 0.01
+            else:
+                raise KeyError
+
+        # https://www.okx.com/fees
+        if exchange == 'okx':
+            if trade == 'spot':
+                if taker:
+                    return 0.1
+                else:
+                    return 0.08
+            elif trade == 'futures':
+                if taker:
+                    return 0.05
+                else:
+                    return 0.02
+            else:
+                raise KeyError
+
+        # https://www.bitget.com/ja/rate/
+        if exchange == 'bitget':
+            if trade == 'spot':
+                if by_token:
+                    return 0.08
+                else:
+                    return 0.1
+            elif trade == 'futures':
+                if taker:
+                    return 0.051
+                else:
+                    return 0.017
+            else:
+                raise KeyError
+
+        # https://www.gate.io/ja/fee
+        if exchange == 'gate':
+            if trade == 'spot':
+                if by_token:
+                    return 0.15
+                else:
+                    return 0.2
+            elif trade == 'futures':
+                if taker:
+                    return 0.05
+                else:
+                    return 0.015
+            else:
+                raise KeyError
+
+        # https://www.coinex.zone/fees?type=spot&market=normal
+        if exchange == 'gate':
+            if trade == 'spot':
+                if by_token:
+                    return 0.16
+                else:
+                    return 0.2
+            elif trade == 'futures':
+                if taker:
+                    return 0.05
+                else:
+                    return 0.03
+            else:
+                raise KeyError

requirements.txt

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+ccxt
+pandas

setup.py

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+from setuptools import setup
+
+setup(
+    name='funding-rate-arbitrage',
+    version="1.0.0",
+    description='A framework to help you easily perform funding rate arbitrage on major centralized cryptocurrency '
+                'exchanges.',
+    install_requires=['ccxt', 'pandas'],
+    author='aoki-h-jp',
+    author_email='[email protected]',
+    license='MIT'
+)