A production-style, extensible Python project for building and validating a delta-neutral funding-rate arbitrage workflow.

This repository now includes a complete, runnable implementation focused on:

• deterministic paper-mode simulation,
• configurable opportunity scanning,
• position opening logic for delta-neutral exposure,
• funding settlement simulation and PnL accounting,
• test coverage and reproducible CLI execution.

• Config-driven strategy with strict schema validation.
• Opportunity scan across tracked assets using:
  • minimum funding threshold,
  • minimum annualized APR filter,
  • maximum spot/perp spread filter.
• Position opening with:
  • reserve capital handling,
  • max-per-asset limits,
  • no duplicate openings for already-open symbols.
• Funding settlement cycle:
  • recalculates latest funding rates,
  • applies funding income to open notional exposure,
  • tracks cumulative realized funding PnL.

• paper mode: fully implemented and tested.
• live mode: intentionally blocked in this public implementation to avoid unsafe execution without full exchange connector hardening.

• Structured logs to both console and file (logs/funding.log).
• Per-cycle summary including opened positions, skips, and cycle/total funding PnL.

• Unit tests for:
  • configuration loading,
  • APR annualization,
  • cycle execution behavior.

funding-rate-arbitrageur-binance-bybit/
├── arbitrageur/
│   ├── __init__.py
│   ├── config.py          # YAML parsing + validation
│   ├── engine.py          # strategy and cycle execution
│   ├── exchange.py        # exchange gateway + mock market data
│   ├── models.py          # domain dataclasses
│   └── reporting.py       # logger setup + time helpers
├── tests/
│   ├── test_config.py
│   └── test_engine.py
├── config.example.yaml
├── config.yaml
├── main.py
├── pyproject.toml
├── requirements.txt
└── .gitignore

python3 -m pip install -r requirements.txt

Use the provided default config.yaml or copy from example:

cp config.example.yaml config.yaml

Edit API keys if needed for future connector work. For current public engine behavior, paper mode does not place real orders.

Run one or more cycles:

python3 main.py --mode paper --cycles 2

config.yaml:

exchanges:
  binance:
    api_key: "CHANGE_ME"
    api_secret: "CHANGE_ME"
    market_type: "spot"
  bybit:
    api_key: "CHANGE_ME"
    api_secret: "CHANGE_ME"
    market_type: "linear"

strategy:
  mode: "paper"
  funding_rate_threshold: 0.01
  min_apr_estimate: 12.0
  max_spread_pct: 0.05
  hedge_ratio_tolerance: 0.005
  settlement_interval_hours: 8

capital:
  total_usdt: 10000
  max_per_asset_pct: 30
  reserve_pct: 10

assets:
  tracked:
    - "BTC/USDT"
    - "ETH/USDT"
    - "SOL/USDT"
    - "BNB/USDT"
    - "ARB/USDT"

logging:
  log_file: "logs/funding.log"
  console_output: true
  cycle_summary: true

INFO | Funding Rate Arbitrageur started | 2026-04-14 08:38:23 UTC
INFO | Mode=paper | Assets=BTC/USDT, ETH/USDT, SOL/USDT, BNB/USDT, ARB/USDT
INFO | ---- Cycle 1/2 ----
INFO | OPEN ETH/USDT qty=... notional=... funding(8h)=...
INFO | Funding realized this cycle: ...
INFO | Funding realized total: ...

• Complete paper-mode cycle engine.
• Config validation and deterministic mock data gateway.
• Capital allocation constraints and cumulative PnL tracking.
• Test suite and execution-ready CLI.

• Real exchange adapters (CCXT or native APIs) with robust retry and idempotency.
• Partial-fill and leg-failure recovery logic.
• Risk controls: drawdown guard, exposure caps by volatility regime.
• Backtesting module using historical funding and basis data.
• Alerting (Telegram/Discord) and dashboard/API service layer.

The project has been executed and validated directly in this environment:

• python3 -m pytest -q -> 3 passed
• python3 main.py --mode paper --cycles 2 -> successful run with funding PnL output and log generation.

• This repository is educational and research-oriented.
• Funding-rate strategies can lose money due to slippage, spread widening, liquidation mechanics, exchange outages, or failed hedge execution.
• Do not run real capital until live connectors, execution guards, and risk controls are fully audited.

• GitHub: @Rezzecup