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.
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.
pip install git+https://github.com/aoki-h-jp/funding-rate-arbitragefrom 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)from funding_rate_arbitrage.frarb import FundingRateArbitrage
fr = FundingRateArbitrage()
# figure funding rate history
fr.fetch_funding_rate_history(exchange='binance', symbol='BTC/USDT:USDT')
# 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 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 %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.
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