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Building a Liquid Altcoin Futures Universe from Exchange Ticker Data

Code Stratmill research code

Summary

This script builds a universe of Binance futures contracts using 24-hour ticker data and exchange metadata. It joins weighted average price and quote volume with contract onboarding date, price tick size, and order quantity constraints. It then excludes symbols beginning with the BTCUSD and ETHUSD prefixes, ranks the remaining contracts by reported quote volume, and retains a fixed-size top group for downstream use.

The script checks that market and standard lot size filters agree, and writes the selected contract metadata to a local JSON file. Its comments caution that a single day's volume can be distorted by a spike and recommend considering average daily volume when choosing a trading universe. It provides no strategy, backtest, or performance evidence; the result is a data preparation example, and the selection method may produce a different universe as volume rankings change.

Key ideas

  • The script combines ticker statistics with exchange rules to describe futures contracts.
  • It ranks eligible non-BTCUSD and non-ETHUSD symbols by reported quote volume.
  • Exchange filters provide tick size and minimum order quantity constraints.
  • A single day's volume can be unusually high, so average volume may be a more stable selection basis.

Tags

CryptoFuturesMarket microstructure

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.