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Complete Funding Rate Arb: real API data for live + paper

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New module: strategies/funding_arb.py
  - get_funding_rates(): fetches predicted funding from Hyperliquid
    Uses metaAndAssetCtxs (primary) + predictedFundings (fallback)
  - funding_arb_signal(): generates entry/exit signals
    Entry: |annual_rate| > threshold (3% testnet, 5% mainnet)
    Exit:  rate drops below 2% or flips sign
  - 30s cache to avoid rate-limiting

Live node:
  - Replaced proxy-based funding (20-period return) with real API
  - Calls get_funding_rates(use_testnet=True) every compute_signals()
  - Lowered threshold to 3% APR for testnet (lower liquidity)

Paper trader:
  - Replaced manual funding calc with unified funding_arb_signal()
  - Proper entry/exit logic with position tracking
  - 5% APR threshold for mainnet data

Current rates: BTC +0.87% APR, ETH -0.82% APR
(Arb fires when rates exceed threshold during volatility)
This commit is contained in:
ramseshk
2026-08-05 07:09:29 +00:00
parent 84efb4014a
commit 70d43fefe0
3 changed files with 191 additions and 29 deletions
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live/node.py
+17 -11
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@@ -127,18 +127,24 @@ def compute_signals():
if up>=5: STRATEGIES["Iceberg Detection"]["signals"].append({"time":time.time(),"signal":"BUY","strength":up/10})
elif up<=5: STRATEGIES["Iceberg Detection"]["signals"].append({"time":time.time(),"signal":"SELL","strength":1-up/10})
# Funding Arb: use real funding rate if available, else wider proxy
if len(btc_prices)>=20:
try:
fr = requests.post(TESTNET_API, json={"type":"funding","coin":"BTC"}, timeout=5).json()
if isinstance(fr, list) and fr:
rate = float(fr[0].get("funding_rate", 0))
else:
rate = (btc/btc_prices[-20]-1)/20
except:
# Funding Rate Arb: real API data
try:
from strategies.funding_arb import get_funding_rates
rates = get_funding_rates(use_testnet=True)
annual_rate = rates.get("BTC", 0)
if abs(annual_rate) > 0.03: # >3% APR threshold (testnet: lower liquidity = lower threshold)
sig = "SELL" if annual_rate > 0 else "BUY"
STRATEGIES["Funding Rate Arb"]["signals"].append({
"time":time.time(), "signal":sig,
"strength": min(1.0, abs(annual_rate) * 10),
"reason": f"funding_{annual_rate*100:.1f}pct_apr"
})
except Exception:
# Fallback: use price proxy if module unavailable
if len(btc_prices)>=20:
rate = (btc/btc_prices[-20]-1)/20
if abs(rate)>0.0001:
STRATEGIES["Funding Rate Arb"]["signals"].append({"time":time.time(),"signal":"SELL" if rate>0 else "BUY","strength":abs(rate)*10000})
if abs(rate)>0.0005:
STRATEGIES["Funding Rate Arb"]["signals"].append({"time":time.time(),"signal":"SELL" if rate>0 else "BUY","strength":abs(rate)*10000})
# Pairs: ratio Z-score
if len(btc_prices)>=20 and len(eth_prices)>=20: