Funding Rate Arb
SHADOWCross-exchange funding rate carry. Triangular arbitrage across Binance, Bybit, MEXC. Dynamic sizing, settlement guard, yield curve monitoring.
Key Numbers
At a Glance
3
Exchanges
543
Symbols Tracked
8h
Settlement Cycle
Kelly Criterion
Sizing
Overview
About This Project
A cross-exchange carry strategy that exploits periodic funding rate payments on perpetual futures contracts. The system continuously scans 543 tradable symbols across Binance, Bybit, and MEXC, identifying rate differentials that exceed round-trip transaction costs and risk premium.
When an opportunity is detected, the bot opens delta-neutral positions -- long on the exchange paying funding, short on the exchange receiving it -- capturing the rate differential as pure yield. Dynamic position sizing based on Kelly criterion adjusts exposure for each symbol-exchange pair's historical rate volatility and collection reliability.
A settlement guard module tracks the precise timing of 8-hour funding settlement cycles across all three exchanges, managing position entry and exit around settlement events to maximize the capture rate while minimizing unnecessary exposure between payments.
Features
What It Does
Rate Prediction Engine
Forecasts funding rate direction and magnitude before settlement using historical patterns, open interest changes, and cross-exchange rate divergence signals.
Settlement Guard
Precisely tracks funding settlement timestamps per exchange and manages position lifecycle around settlement events to maximize capture rate.
Symbol Status Filtering
Real-time monitoring of symbol trading status, delistings, and maintenance windows across all venues to avoid entering positions on illiquid or suspended markets.
Dynamic Position Sizing
Kelly-criterion sizing adjusted for per-symbol funding rate volatility and historical collection reliability, with correlation-aware portfolio-level exposure limits.
Architecture
How It Works
Challenges
What Made This Hard
Funding rates can flip direction between settlement periods, turning a carry trade into a cost center. Building robust rate persistence prediction that accounts for market regime shifts was essential. Coordinating delta-neutral positions across three exchanges with different APIs, settlement times, and position denomination conventions (coins vs. contracts) adds significant operational complexity.
Stack