ramseshk
c1da0cbe65
Replaced the placeholder live node with a proper NautilusTrader TradingNode that connects to Hyperliquid Testnet using the official adapter. Added: - common/hyperliquid_api.py: direct REST calls to Hyperliquid's info endpoint for funding rates, predicted fundings, and asset contexts - backtests/run_backtest.py: CLI runner for strategy backtests - Updated funding_rate_arb.py to fetch real funding rates instead of using a hardcoded placeholder - Added requests to requirements.txt
115 lines
4.2 KiB
Python
115 lines
4.2 KiB
Python
"""
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Funding Rate Arbitrage strategy.
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Hyperliquid pays funding every 8 hours. When the rate is positive,
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longs pay shorts. This strategy:
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1. Goes LONG spot (no funding payments)
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2. Goes SHORT perp (collects funding)
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3. Maintains delta neutrality
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The profit comes from funding, not price direction. The strategy
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fetches real funding rates from Hyperliquid's API every bar
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and enters/exits based on the rate crossing configurable thresholds.
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"""
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from nautilus_trader.trading.strategy import Strategy
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from nautilus_trader.config import StrategyConfig
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from common.hyperliquid_api import get_funding_rate, get_predicted_funding
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class FundingRateArbConfig(StrategyConfig, frozen=True):
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spot_instrument: str
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perp_instrument: str
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min_funding_rate: float = 0.0001 # 0.01% annualized ~ 10.95% APR
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rebalance_threshold: float = 0.05 # 5% PnL deviation triggers rebalance
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position_size: float = 0.01 # BTC
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use_predicted: bool = True # Use predicted funding rate
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testnet: bool = True
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class FundingRateArb(Strategy):
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"""
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Delta-neutral funding rate carry trade.
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Key concept: the funding rate IS the edge.
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Direction doesn't matter — neutrality does.
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Entry: when funding rate > min_funding_rate AND no position
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Exit: when funding rate drops below half the entry threshold
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"""
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def __init__(self, config: FundingRateArbConfig) -> None:
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super().__init__(config)
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self.config = config
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self.position_open = False
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self.bars_elapsed = 0
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def on_start(self) -> None:
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bar_type = f"{self.config.perp_instrument}-1-MINUTE-LAST-INTERNAL"
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self.subscribe_bars(bar_type)
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self.log.info(
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f"Funding arb started: "
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f"{self.config.spot_instrument} / {self.config.perp_instrument} "
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f"(min_rate={self.config.min_funding_rate:.4%}, "
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f"size={self.config.position_size})"
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)
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def on_bar(self, bar) -> None:
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# Check funding every 5 bars to avoid hammering the API
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self.bars_elapsed += 1
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if self.bars_elapsed % 5 != 0:
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return
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# Fetch real funding rate from Hyperliquid
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asset = self._extract_asset(self.config.perp_instrument)
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if self.config.use_predicted:
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funding_rate = get_predicted_funding(asset, testnet=self.config.testnet)
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else:
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funding_rate = get_funding_rate(asset, testnet=self.config.testnet)
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if funding_rate is None:
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return # API call failed, skip this bar
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spot_pos = float(self.portfolio.net_position(self.config.spot_instrument))
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# Entry condition: funding rate is attractive and we have no position
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if funding_rate > self.config.min_funding_rate and spot_pos == 0:
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self.log.info(
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f"Entering funding arb: rate={funding_rate:.6f} "
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f"(>{self.config.min_funding_rate:.6f})"
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)
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self._open_arb()
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self.position_open = True
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# Exit condition: funding rate no longer worth the risk
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elif funding_rate < self.config.min_funding_rate / 2 and self.position_open:
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self.log.info(
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f"Closing funding arb: rate={funding_rate:.6f} "
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f"(<{self.config.min_funding_rate / 2:.6f})"
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)
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self._close_arb()
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self.position_open = False
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def _extract_asset(self, instrument: str) -> str:
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"""Extract asset name from instrument ID (e.g. BTC-USD-PERP -> BTC)."""
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return instrument.split("-")[0]
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def _open_arb(self) -> None:
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"""Long spot, short perp — delta neutral."""
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self.submit_order(self.order_factory.market(
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instrument_id=self.config.spot_instrument,
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order_side="BUY",
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quantity=self.config.position_size,
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))
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self.submit_order(self.order_factory.market(
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instrument_id=self.config.perp_instrument,
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order_side="SELL",
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quantity=self.config.position_size,
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))
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def _close_arb(self) -> None:
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"""Close both legs."""
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self.close_all_positions(self.config.spot_instrument)
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self.close_all_positions(self.config.perp_instrument)
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