Funding Rate Arbitrage

Code Structure

The code structure separates concerns: data ingestion, signal generation, risk checks, and order submission. This modularity enables testing and reuse across strategies.

# Example configuration for Funding Rate Arbitrage
strategy:
  name: funding-rate-arbitrage
  timeframe: 5m
  indicators:
    - rsi
    - ema_fast
    - ema_slow
  entry_conditions:
    - rsi_oversold
    - ema_crossover_bullish
  exit_conditions:
    - rsi_overbought
    - stop_loss_hit
  risk:
    max_position_size: 0.02
    stop_loss_pct: 0.015

Performance Metrics

Key metrics include Sharpe ratio, maximum drawdown, win rate, profit factor, and average trade duration. Compare against baseline strategies and adjust parameters based on out-of-sample results.

Common Issues

Common issues with funding rate arbitrage include look-ahead bias in backtesting, overfitting to historical regimes, inadequate handling of exchange downtime, and insufficient logging for debugging.

Testing Approach

Testing funding rate arbitrage includes unit tests for signal logic, integration tests for exchange interaction, and backtests against historical data with realistic slippage modeling.

Production Notes

In production, funding rate arbitrage requires monitoring for API rate limits, database connection pooling, log rotation, alert thresholds, and automated restart procedures. Document runbooks for incident response.