Home
Softono
a

aoki-h-jp

Professional software vendor delivering innovative solutions on the Softono platform. Specialized in both open-source and proprietary software development.

Visit Website
Total Products
1

Software by aoki-h-jp

funding-rate-arbitrage
Open Source

funding-rate-arbitrage

# funding-rate-arbitrage [![Python 3.11](https://img.shields.io/badge/python-3.11-blue.svg)](https://www.python.org/downloads/release/python-3110//) ## Python library for funding rate arbitrage A framework to help you easily perform funding rate arbitrage on the following major centralized cryptocurrency exchanges (CEX). - binance - bybit - OKX - gate.io - CoinEx - Bitget This library can detect perpetual contract with a large divergence in funding rates between CEXs. **NOTE: This library does not include the feature to perform automatic funding rate arbitrage.** ## What's FR Arbitrage? Arbitrage of different funding rates among different exchanges is another trading strategy that takes advantage of the disparity in funding rates for the same cryptocurrency perpetual contracts between exchanges. It involves combining long positions with low funding rates from one exchange with short positions from another exchange with higher funding rates to generate profits. Funding rates are periodic payments between long and short traders to ensure that the perpetual contract price remains close to the underlying asset price. ## Installation ```bash pip install git+https://github.com/aoki-h-jp/funding-rate-arbitrage ``` ## Usage ### Fetch FR & commission ```python from funding_rate_arbitrage.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) ``` ### Fetch FR history ```python from funding_rate_arbitrage.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 ```bash # 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 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 ```bash # 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 # 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 % ``` ## Disclaimer This project is for educational purposes only. You should not construe any such information or other material as legal, tax, investment, financial, or other advice. Nothing contained here constitutes a solicitation, recommendation, endorsement, or offer by me or any third party service provider to buy or sell any securities or other financial instruments in this or in any other jurisdiction in which such solicitation or offer would be unlawful under the securities laws of such jurisdiction. Under no circumstances will I be held responsible or liable in any way for any claims, damages, losses, expenses, costs, or liabilities whatsoever, including, without limitation, any direct or indirect damages for loss of profits.

Workflow Automation Crypto & Blockchain
298 Github Stars