ramseshk
b59dcc3629
Set up the directory structure and wrote placeholder logic for: - Order Book Imbalance: trades on L2 bid/ask skew - Iceberg/TWAP detection: follows whale accumulation patterns - Funding rate arbitrage: delta-neutral carry on perp funding - Pairs trading: BTC/ETH spread mean reversion - Avellaneda-Stoikov market making: optimal bid/ask quoting Also added shared risk manager, portfolio tracker, and a plain-language strategy walkthrough in docs/.
78 lines
2.4 KiB
Python
78 lines
2.4 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.
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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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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
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rebalance_threshold: float = 0.05
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position_size: float = 0.01
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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 idea: funding rate IS the edge. Stay neutral, collect
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the payments.
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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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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: {self.config.spot_instrument} / {self.config.perp_instrument}"
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)
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def on_bar(self, bar) -> None:
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funding_rate = self._get_funding_rate()
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if funding_rate is None:
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return
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spot_pos = self.portfolio.net_position(self.config.spot_instrument)
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if funding_rate > self.config.min_funding_rate and spot_pos == 0:
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self._open()
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self.position_open = True
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elif funding_rate < self.config.min_funding_rate / 2 and self.position_open:
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self._close()
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self.position_open = False
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def _get_funding_rate(self) -> float | None:
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# TODO: fetch from Hyperliquid API
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return 0.0001
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def _open(self) -> None:
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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(self) -> None:
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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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