027d73a504
Backtested the cross-venue funding arb on historical funding (Binance/OKX/Hyperliquid). Gross +21%/yr, spreads persist (capture 0.71), but NAIVE daily rebalance is cost-killed (net Sharpe -4.5, negative every month). HYSTERESIS (hold winners until spread decays, entry>10bp/exit>5bp) flips net to +10-14%/yr market-neutral (Sharpe +11-15, but inflated by ~1% vol + idealized fills; realistic ~3-6 / return ~10-14%). Turnover is the swing factor. First edge of the whole search to survive the net-of-cost horde -- market-neutral, persistent, no spot leg (solves hedgeability), operational not predictive. Caveats: 94d/one period, idealized fills, counterparty. Next: switch live harness to hysteresis, deepen history to full year, micro-live. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
91 lines
3.1 KiB
Python
91 lines
3.1 KiB
Python
#!/usr/bin/env python3
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"""Fetch historical funding (Binance + Bybit) for liquid coins on both, to BACKTEST the cross-venue
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funding arb instead of waiting for live paper-forward. Aggregates 8h settlements to daily per venue.
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Cached. Saves data/surfer/xvenue/panel.json = {coin: {date: [binance_daily, bybit_daily]}}.
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"""
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import datetime
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import json
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import os
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import time
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import urllib.request
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OUT = "data/surfer/xvenue"
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NCOINS = 60
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DAYS = 330
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def get(u, post=None):
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data = json.dumps(post).encode() if post else None
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h = {"User-Agent": "Mozilla/5.0", "Accept": "application/json"}
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for a in range(4):
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try:
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return json.loads(urllib.request.urlopen(urllib.request.Request(u, data=data, headers=h), timeout=25).read())
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except Exception:
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if a == 3:
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return None
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time.sleep(3 * (a + 1))
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return None
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def base(s):
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return s[:-4] if s.endswith("USDT") else s
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def day_of(ms):
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return datetime.datetime.utcfromtimestamp(int(ms) / 1000).strftime("%Y-%m-%d")
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def binance_hist(coin):
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r = get(f"https://fapi.binance.com/fapi/v1/fundingRate?symbol={coin}USDT&limit=1000")
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d = {}
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for x in (r or []):
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d.setdefault(day_of(x["fundingTime"]), 0.0)
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d[day_of(x["fundingTime"])] += float(x["fundingRate"])
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return d
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def bybit_hist(coin):
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out, end = {}, None
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for _ in range(6):
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u = f"https://api.bybit.com/v5/market/funding/history?category=linear&symbol={coin}USDT&limit=200"
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if end:
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u += f"&endTime={end}"
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r = get(u)
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lst = ((r or {}).get("result") or {}).get("list") or []
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if not lst:
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break
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for x in lst:
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t = x["fundingRateTimestamp"]
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out.setdefault(day_of(t), 0.0)
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out[day_of(t)] += float(x["fundingRate"])
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end = int(lst[-1]["fundingRateTimestamp"]) - 1
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time.sleep(0.3)
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return out
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def main():
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os.makedirs(OUT, exist_ok=True)
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binv = {base(x["symbol"]): float(x["quoteVolume"]) for x in get("https://fapi.binance.com/fapi/v1/ticker/24hr") if x["symbol"].endswith("USDT")}
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byr = get("https://api.bybit.com/v5/market/tickers?category=linear")["result"]["list"]
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bybv = {base(x["symbol"]): float(x.get("turnover24h", 0)) for x in byr if x["symbol"].endswith("USDT")}
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coins = sorted([c for c in binv if c in bybv and binv[c] > 10e6 and bybv[c] > 10e6], key=lambda c: -binv[c])[:NCOINS]
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print(f"universe: {len(coins)} coins on both venues >$10M/day")
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panel = {}
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for i, c in enumerate(coins):
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cf = f"{OUT}/{c}.json"
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if os.path.exists(cf):
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panel[c] = json.load(open(cf)); continue
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bn = binance_hist(c); by = bybit_hist(c)
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days = sorted(set(bn) & set(by))
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panel[c] = {d: [bn[d], by[d]] for d in days}
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json.dump(panel[c], open(cf, "w"))
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if i % 10 == 0:
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print(f" {i+1}/{len(coins)} {c}: {len(panel[c])} common days")
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time.sleep(0.4)
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json.dump(panel, open(f"{OUT}/panel.json", "w"))
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print(f"DONE: {len(panel)} coins -> {OUT}/panel.json")
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if __name__ == "__main__":
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main()
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