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fix(crypto): restrict funding harness to crypto-native perps (match validated universe)

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Live Binance fapi now lists tokenized-stock perps (MSTR/CRCL/INTC/AMD/SOXL, underlyingType=
EQUITY) which dominated the high-funding qualifiers (12 of 19) but were NEVER in the validated
crypto_pit backtest. Filter to exchangeInfo underlyingType==COIN (crypto-native) to keep the
paper-forward test measuring the edge we actually proved. Post-filter: 7 of 212 liquid qualify
(thin = current deleverage regime, filter sitting mostly in cash as designed). Tokenized-stock
funding may be a separate unvalidated carry; not contaminating the Phase-1 gate.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
jgrusewski
2026-06-07 01:41:20 +02:00
parent 902eb1c85f
commit 04e7a61320
1 changed files with 10 additions and 2 deletions
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12
scripts/surfer/crypto_funding_paper.py
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@@ -43,11 +43,19 @@ def get(url, tries=4):
time.sleep(2 * (a + 1))
def crypto_native():
"""Symbols whose underlying is a crypto COIN (excludes EQUITY/KR_EQUITY/COMMODITY/INDEX/
PREMARKET tokenized-stock perps) — matches the universe the edge was validated on."""
info = get(f"{FAPI}/fapi/v1/exchangeInfo")
return {s["symbol"] for s in info["symbols"] if s.get("underlyingType") == "COIN"}
def universe():
"""Liquid USDT perps: symbol -> 24h quote volume (USD)."""
"""Liquid CRYPTO-NATIVE USDT perps: symbol -> 24h quote volume (USD)."""
native = crypto_native()
t = get(f"{FAPI}/fapi/v1/ticker/24hr")
return {x["symbol"]: float(x["quoteVolume"]) for x in t
if x["symbol"].endswith("USDT") and float(x["quoteVolume"]) > LIQ_USD}
if x["symbol"].endswith("USDT") and x["symbol"] in native and float(x["quoteVolume"]) > LIQ_USD}
def funding_hist(sym, limit=90):