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fix(xsfunding): guard live snapshot against decoupled-basis tickers (LIT-type artifacts)

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Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
jgrusewski
2026-06-19 08:12:51 +02:00
parent dc5b9b5111
commit 31aba36b13
2 changed files with 15 additions and 3 deletions
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10
src/fxhnt/adapters/data/binance_xsfunding_live.py
View File

@@ -14,8 +14,9 @@ _SPOT = "https://api.binance.com"
class BinanceXsFundingLive:
def __init__(self, funding: Any | None = None) -> None:
def __init__(self, funding: Any | None = None, *, max_basis: float = 0.30) -> None:
self._f = funding if funding is not None else BinanceFundingClient()
self._max_basis = max_basis
def _get(self, url: str, tries: int = 4) -> Any:
"""Single live HTTP GET with backoff retry (mirrors BinanceFundingClient._get):
@@ -38,11 +39,14 @@ class BinanceXsFundingLive:
def snapshot(self, prev: dict[str, float]) -> dict[str, tuple[float, float, float, float, float]]:
"""{sym: (trailing_funding, today_funding, perp_price, spot_price, qvol)} over the liquid
universe; coins lacking a spot price (can't model basis) are omitted."""
universe; coins lacking a spot price (can't model basis) are omitted, and coins whose
perp/spot basis exceeds max_basis (decoupled/relisted ticker-reuse artifacts, e.g.
LITUSDT) are dropped — the historical panel applies the same |basis| guard."""
liq, tf30, last24 = self._f.scan(set(prev))
perp, spot = self._perp_prices(), self._spot_prices()
out: dict[str, tuple[float, float, float, float, float]] = {}
for s in liq:
if s in perp and s in spot and perp[s] > 0 and spot[s] > 0:
if s in perp and s in spot and perp[s] > 0 and spot[s] > 0 \
and abs((perp[s] - spot[s]) / spot[s]) <= self._max_basis:
out[s] = (tf30.get(s, 0.0), last24.get(s, 0.0), perp[s], spot[s], liq[s])
return out

8
tests/integration/test_binance_xsfunding_live.py
View File

@@ -45,3 +45,11 @@ def test_live_source_omits_coin_without_spot(monkeypatch):
monkeypatch.setattr(src, "_spot_prices", lambda: {"AAAUSDT": 99.5}) # BBB has no spot
snap = src.snapshot(prev={})
assert set(snap) == {"AAAUSDT"} # BBB omitted (no spot leg -> can't model basis)
def test_live_source_rejects_decoupled_basis(monkeypatch):
src = BinanceXsFundingLive(funding=_FakeFunding()) # AAAUSDT, BBBUSDT
monkeypatch.setattr(src, "_perp_prices", lambda: {"AAAUSDT": 100.0, "BBBUSDT": 1.574})
monkeypatch.setattr(src, "_spot_prices", lambda: {"AAAUSDT": 99.5, "BBBUSDT": 0.743}) # BBB |basis| huge
snap = src.snapshot(prev={})
assert set(snap) == {"AAAUSDT"} # BBB rejected (decoupled ticker-reuse artifact)