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fix(crypto): MANDATORY hedgeability filter — funding edge was partly phantom

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Phase-2 setup (orders command) revealed 0/7 qualifying coins were hedgeable: all perp-only (no
spot leg = cannot build the delta-neutral hedge). Diagnostic: of 191 liquid crypto-native perps,
135 hedgeable / 56 perp-only. HEDGEABLE median funding -0.12bp/day, 0 of 134 clear 5bp (arbed flat
by existing cash-and-carry). PERP-ONLY median +2.59bp/day, all 8 qualifiers live there. The carry
survives ONLY where it can't be hedged. crypto_pit backtest never checked hedgeability -> the
~2-3.6 Sharpe was inflated by un-capturable perp-only funding. Fix: universe() now requires a spot
market (hedgeable only). Current regime: 0/135 hedgeable qualify -> nothing to harvest (deleverage
arbed flat). Real edge = classic basis trade on hedgeable majors: regime-dependent (rich in bull
leverage, ~zero now), more competed, lower true Sharpe than backtest. Phase-2 deploy correctly
BLOCKED by reality, not process. State reset (prior bookings were on un-hedgeable coins).

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
jgrusewski
2026-06-07 11:03:41 +02:00
parent 24ac921cd3
commit 107bcc6648
1 changed files with 47 additions and 1 deletions
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48
scripts/surfer/crypto_funding_paper.py
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@@ -10,6 +10,7 @@ Sharpe ~2-3.6); this tool tracks the no-capital forward record.
python3 crypto_funding_paper.py run daily step: book funding on prior positions, log, persist
python3 crypto_funding_paper.py status current book + cumulative track record
python3 crypto_funding_paper.py gate Phase-1 -> Phase-2 assessment vs backtest
python3 crypto_funding_paper.py orders [USD] Phase-2: current book -> exact delta-neutral orders
python3 crypto_funding_paper.py log [N] last N run-log lines (default 25)
(alias: 'paper' == 'run', for the cron)
"""
@@ -49,11 +50,22 @@ def crypto_native():
return {s["symbol"] for s in info["symbols"] if s.get("underlyingType") == "COIN"}
def spot_symbols():
"""Symbols with a Binance SPOT market — required to build the delta-neutral hedge.
Perp-only coins can't be cash-and-carry harvested (no spot leg); their high funding survives
PRECISELY because the arb is impossible, so they must be excluded."""
return {x["symbol"] for x in get("https://api.binance.com/api/v3/ticker/price")}
def universe():
"""Liquid, crypto-native, HEDGEABLE (spot+perp) USDT perps — the only ones that can be
delta-neutral harvested."""
native = crypto_native()
spot = spot_symbols()
t = get(f"{FAPI}/fapi/v1/ticker/24hr")
return {x["symbol"]: float(x["quoteVolume"]) for x in t
if x["symbol"].endswith("USDT") and x["symbol"] in native and float(x["quoteVolume"]) > LIQ_USD}
if x["symbol"].endswith("USDT") and x["symbol"] in native and x["symbol"] in spot
and float(x["quoteVolume"]) > LIQ_USD}
def funding_hist(sym, limit=90):
@@ -169,6 +181,38 @@ def cmd_gate():
print(" tail is the real -100% risk (un-modeled); current qualifiers may be small/niche coins.")
def cmd_orders(capital):
"""Phase-2 bridge: turn the current paper book into exact delta-neutral orders for `capital`,
and flag coins that are perp-only (no spot leg = can't hedge cleanly on Binance)."""
st = load_state()
book = st.get("positions", {})
if not book:
print("no current book — run 'snapshot'/'run' first."); return
try:
spot_px = {x["symbol"]: float(x["price"]) for x in get("https://api.binance.com/api/v3/ticker/price")}
except Exception:
spot_px = {}
perp_px = {x["symbol"]: float(x["price"]) for x in get(f"{FAPI}/fapi/v1/ticker/price")}
LEV = 2.0 # conservative perp leverage (avoid liquidation)
n = len(book)
X = capital / (n * (1 + 1 / LEV)) # notional per leg per coin
print(f"=== Phase-2 delta-neutral orders for ${capital:.0f} across {n} coins (perp {LEV:.0f}x) ===")
print(f" per coin: ~${X:.0f} notional/leg, ~${X/LEV:.0f} perp margin, ~${X*(1+1/LEV):.0f} capital")
print(f"{'coin':>14} {'hedge':>6} {'SPOT buy (units @ px)':>26} {'PERP short (units @ px)':>26}")
ok = 0
for c in sorted(book):
if c in spot_px and c in perp_px:
print(f"{c:>14} {'YES':>6} {X/spot_px[c]:>14.4f} @ {spot_px[c]:<9.5g} {X/perp_px[c]:>14.4f} @ {perp_px[c]:<9.5g}")
ok += 1
else:
why = "no-spot" if c not in spot_px else "no-perp"
print(f"{c:>14} {'NO':>6} ({why}) cannot delta-neutral hedge on Binance — skip / alt-venue")
print(f"\n {ok}/{n} coins hedgeable on Binance (spot+perp both exist).")
print(" Place SPOT + PERP legs together to stay delta-neutral. Keep perp leverage low; never let the")
print(" perp leg liquidate while holding spot. API keys: ENV ONLY, never commit. Place manually for")
print(" micro-live to validate fills before any automation. DEPLOY ONLY AFTER the Phase-1 gate passes.")
def cmd_log(n=25):
if not os.path.exists(LOG):
print(f"(no log yet at {LOG} — cron writes it nightly; 'run' appends when redirected)"); return
@@ -186,6 +230,8 @@ def main():
cmd_status()
elif cmd == "gate":
cmd_gate()
elif cmd == "orders":
cmd_orders(float(sys.argv[2]) if len(sys.argv) > 2 else 2000.0)
elif cmd == "log":
cmd_log(int(sys.argv[2]) if len(sys.argv) > 2 else 25)
else: