Merge pull request #3 from aoki-h-jp/feature/1.0.0/commission

Feature/1.0.0/commission

examples/fetch_funding_rate.py

@@ -2,10 +2,9 @@
 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)
+    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/frarb.py

@@ -1,23 +1,150 @@
-import utils
 import ccxt
 import pandas as pd
 
 
 class FundingRateArbitrage:
     def __init__(self):
-        pass
+        self.exchanges = ['binance', 'bybit', 'okx', 'bitget', 'gate', 'coinex']
 
-    def fetch_all_funding_rate(self, exchange: utils.Exchange) -> dict:
+    @staticmethod
+    def fetch_all_funding_rate(exchange: str) -> dict:
         """
         Fetch funding rates on all perpetual contracts listed on the exchange.
 
         Args:
-            exchange (utils.Exchange): Exchange (binance, bybit, ...)
+            exchange (str): Name of exchange (binance, bybit, ...)
 
-        Returns (dict): Dict of perpetual contract pair and funding rate
+        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