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Release/1.2.0 #10

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Mar 17, 2023
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Release/1.2.0 #10

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227a5d7
Update README.md
aoki-h-jp Mar 16, 2023
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Merge pull request #8 from aoki-h-jp/feature/1.2.0/rich-display
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Add figure funding rate history
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Update README.md
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Merge pull request #9 from aoki-h-jp/feature/1.2.0/figure-fr-history
aoki-h-jp Mar 17, 2023
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111 changes: 111 additions & 0 deletions README.md
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Original file line number Diff line number Diff line change
Expand Up @@ -41,6 +41,18 @@ fr_binance = fr.fetch_all_funding_rate(exchange='binance')
cm_binance = fr.get_commission(exchange='binance', trade='futures', taker=False)
```

### Fetch FR history
```python
from frarb import FundingRateArbitrage

fr = FundingRateArbitrage()

# figure funding rate history
fr.fetch_funding_rate_history(exchange='binance', symbol='BTC/USDT:USDT')
```
!['funding rate history example'](./img/readme_funding_rate_history.png)


### Display large FR divergence on single CEX
```python
# display large funding rate divergence on bybit
Expand All @@ -51,6 +63,72 @@ 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 Top 5 large funding rate divergence on bybit one by one.
>>> fr.display_one_by_one_single_exchange(exchange='bybit', display_num=5)
------------------------------------------------
Revenue: -0.1663 / 100USDT
SELL: CTC/USDT:USDT Perp
BUY: CTC/USDT:USDT Spot
Funding Rate: 0.1537 %
Commission: 0.32 %
------------------------------------------------
Revenue: -0.17200000000000001 / 100USDT
SELL: CREAM/USDT:USDT Perp
BUY: CREAM/USDT:USDT Spot
Funding Rate: 0.1480 %
Commission: 0.32 %
------------------------------------------------
Revenue: -0.2107 / 100USDT
SELL: BOBA/USDT:USDT Perp
BUY: BOBA/USDT:USDT Spot
Funding Rate: 0.1093 %
Commission: 0.32 %
------------------------------------------------
Revenue: -0.2854 / 100USDT
SELL: TLM/USDT:USDT Perp
BUY: TLM/USDT:USDT Spot
Funding Rate: 0.0346 %
Commission: 0.32 %
------------------------------------------------
Revenue: -0.2953 / 100USDT
SELL: TOMO/USDT:USDT Perp
BUY: TOMO/USDT:USDT Spot
Funding Rate: 0.0247 %
Commission: 0.32 %

# display Top 5 large funding rate divergence on bybit one by one (minus FR).
>>> fr.display_one_by_one_single_exchange(exchange='bybit', display_num=5, minus=True)
------------------------------------------------
Revenue: -0.1458 / 100USDT
SELL: ARPA/USDT:USDT Options
BUY: ARPA/USDT:USDT Perp
Funding Rate: -0.2342 %
Commission: 0.38 %
------------------------------------------------
Revenue: -0.2569 / 100USDT
SELL: MASK/USDT:USDT Options
BUY: MASK/USDT:USDT Perp
Funding Rate: -0.1231 %
Commission: 0.38 %
------------------------------------------------
Revenue: -0.3056 / 100USDT
SELL: APE/USD:USDC Options
BUY: APE/USD:USDC Perp
Funding Rate: -0.0744 %
Commission: 0.38 %
------------------------------------------------
Revenue: -0.3158 / 100USDT
SELL: SWEAT/USD:USDC Options
BUY: SWEAT/USD:USDC Perp
Funding Rate: -0.0642 %
Commission: 0.38 %
------------------------------------------------
Revenue: -0.3166 / 100USDT
SELL: APE/USDT:USDT Options
BUY: APE/USDT:USDT Perp
Funding Rate: -0.0634 %
Commission: 0.38 %
```

### Display large FR divergence between CEX
Expand All @@ -72,6 +150,39 @@ HNT/USDT:USDT -0.030722 -0.0141 NaN NaN 0.0051 0.304442 0.335
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

# Display Top 5 large funding rate divergence between multi exchange.
>>> fr.display_one_by_one_multi_exchanges(display_num=5)
------------------------------------------------
Revenue: 0.2184 USDT / 100USDT
SELL: coinex IOTA/USDT:USDT Perp (Funding Rate 0.3478 %)
BUY: okx IOTA/USDT:USDT Perp (Funding Rate -0.0706 %)
Divergence: 0.4184 %
Commission: 0.2000 %
------------------------------------------------
Revenue: 0.1191 USDT / 100USDT
SELL: coinex DASH/USDT:USDT Perp (Funding Rate 0.4267 %)
BUY: okx DASH/USDT:USDT Spot
Divergence: 0.4191 %
Commission: 0.3000 %
------------------------------------------------
Revenue: 0.1080 USDT / 100USDT
SELL: okx TON/USDT:USDT Perp (Funding Rate 0.0482 %)
BUY: coinex TON/USDT:USDT Perp (Funding Rate -0.2598 %)
Divergence: 0.3080 %
Commission: 0.2000 %
------------------------------------------------
Revenue: 0.0842 USDT / 100USDT
SELL: binance GMX/USDT:USDT Perp (Funding Rate 0.0100 %)
BUY: coinex GMX/USDT:USDT Perp (Funding Rate -0.2542 %)
Divergence: 0.2642 %
Commission: 0.1800 %
------------------------------------------------
Revenue: 0.0447 USDT / 100USDT
SELL: okx FIL/USDT:USDT Perp (Funding Rate 0.2416 %)
BUY: gate FIL/USDT:USDT Perp (Funding Rate -0.0031 %)
Divergence: 0.2447 %
Commission: 0.2000 %
```


Expand Down
11 changes: 11 additions & 0 deletions examples/fetch_funding_rate_history.py
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@@ -0,0 +1,11 @@
"""
An example of fetching funding rate history
"""
from frarb import FundingRateArbitrage


if __name__ == '__main__':
# fetch from binance
fr = FundingRateArbitrage()
# figure funding rate history
fr.fetch_funding_rate_history(exchange='binance', symbol='BTC/USDT:USDT')
9 changes: 7 additions & 2 deletions examples/get_large_divergence_multi_exchange.py
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Expand Up @@ -7,7 +7,12 @@
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'))
# print(fr.display_large_divergence_multi_exchange(display_num=5, sorted_by='divergence'))

# TODO:　Errors occur when running consecutively.
# ccxt.base.errors.BadRequest: binance {"code":-1104,"msg":"Not all sent parameters were read; read '0' parameter(s) but was sent '1'."}
# 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'))
# print(fr.display_large_divergence_multi_exchange(display_num=5, sorted_by='revenue'))

# Display Top 5 large funding rate divergence between multi exchange.
fr.display_one_by_one_multi_exchanges(display_num=5)
8 changes: 7 additions & 1 deletion examples/get_large_divergence_single_exchange.py
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Original file line number Diff line number Diff line change
@@ -1,5 +1,5 @@
"""
An example of getting large divergence by single exchange.
An example of displaying large divergence by single exchange.
"""
from frarb import FundingRateArbitrage

Expand All @@ -11,3 +11,9 @@

# 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))

# Display Top 5 large funding rate divergence on binance one by one.
fr.display_one_by_one_single_exchange(exchange='binance', display_num=5)

# Display Top 5 large funding rate divergence on bybit one by one (minus FR).
fr.display_one_by_one_single_exchange(exchange='bybit', display_num=5, minus=True)
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