Introduction to Funding Rate Arbitrage
Funding Rate Arbitrage (FR Arbitrage) is a trading strategy that capitalizes on disparities in funding rates for the same cryptocurrency perpetual contracts across different exchanges. Traders combine long positions with low funding rates from one exchange with short positions from another exchange that offers higher funding rates to generate profits. Funding rates are periodic payments between long and short traders to ensure perpetual contract prices remain aligned with the underlying asset price.
Key Features of This Library
- Multi-Exchange Support: Detects funding rate divergences across major centralized exchanges (CEX) like Binance, Bybit, OKX, Gate.io, CoinEx, and Bitget.
- Manual Execution Only: This library identifies opportunities but does not automate trades.
- Comprehensive Data Fetching: Retrieves real-time funding rates, commission structures, and historical funding rate data.
Supported Exchanges
| Exchange | Perpetual Contracts | Spot Trading |
|---|---|---|
| Binance | ✅ | ✅ |
| Bybit | ✅ | ✅ |
| OKX | ✅ | ✅ |
| Gate.io | ✅ | ✅ |
| CoinEx | ✅ | ✅ |
| Bitget | ✅ | ✅ |
👉 Explore advanced trading strategies to maximize your arbitrage opportunities.
Installation
Install the library directly from GitHub using pip:
pip install git+https://github.com/aoki-h-jp/funding-rate-arbitrageUsage Examples
Fetching Funding Rates and Commissions
from funding_rate_arbitrage.frarb import FundingRateArbitrage
fr = FundingRateArbitrage()
# Fetch all perpetual funding rates on Binance
fr_binance = fr.fetch_all_funding_rate(exchange='binance')
# Get commission for futures trades (maker fee)
cm_binance = fr.get_commission(exchange='binance', trade='futures', taker=False)Analyzing Funding Rate History
# Plot funding rate history for BTC/USDT on Binance
fr.fetch_funding_rate_history(exchange='binance', symbol='BTC/USDT:USDT')Identifying Arbitrage Opportunities
Single Exchange Divergence
# Display top 5 funding rate divergences on Bybit
fr.display_large_divergence_single_exchange(exchange='bybit', display_num=5)Multi-Exchange Divergence
# Compare funding rates across exchanges, sorted by revenue potential
fr.display_large_divergence_multi_exchange(display_num=5, sorted_by='revenue')Revenue Calculation Methodology
Revenue is calculated as:
Revenue = (Funding Rate Divergence %) - (Total Commission %)Example:
- Divergence: 0.73%
- Commission: 0.20%
- Revenue: 0.53% per 100 USDT
👉 Learn how to optimize commission costs for higher arbitrage profits.
FAQs
What is the optimal divergence threshold for profitable arbitrage?
Generally, a minimum divergence of 0.3% is recommended after accounting for commissions and slippage. Smaller divergences may not cover transaction costs.
Why doesn't this library support automated trading?
Automated trading requires additional infrastructure for order execution, risk management, and compliance checks. This library focuses on opportunity identification to support manual trading decisions.
How frequently should I check for new arbitrage opportunities?
Funding rates update every 8 hours on most exchanges. Checking every 4-6 hours ensures you capture new opportunities while avoiding excessive API calls.
Disclaimer
This project is for educational purposes only. Nothing herein constitutes financial, investment, or legal advice. The author disclaims all liability for any trading losses incurred. Always conduct independent research and consult with a qualified financial advisor before engaging in cryptocurrency trading.