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Crypto Price Prediction: Perpetual Funding and Order Book Data

Article Quant Q&A · Author: L Maxime
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Summary

The document suggests market data to consider when forecasting a crypto asset, using Bitcoin as an example. For perpetual futures, it points to the contract’s pricing mechanism, including funding rules, funding intervals, and the related spot price. These variables can help describe the relationship between perpetual contracts and the underlying asset, though the text does not explain how to turn them into a forecast.

It also highlights order flow, trade sizes, order book imbalance, and the buying or selling pressure associated with a given price move. Together, these observations frame prediction as an investigation of both derivatives pricing and market microstructure. The answer does not identify free data providers, propose a general feature-selection procedure, or present tests showing predictive value. It therefore offers a short list of candidate inputs rather than a validated forecasting method; availability, quality, and usefulness would need to be assessed for the asset and venue being studied.

Key ideas

  • Perpetual futures funding rules and timing may help explain contract pricing relative to spot.
  • Spot prices provide useful context for analyzing perpetual futures.
  • Order flow, trade sizes, and order book imbalance are candidate market features.
  • Studying the pressure required for a price move may help characterize market impact.
  • The document lists possible data inputs but gives no provider, model, or predictive evidence.

Tags

CryptoPerpetual futuresMarket microstructureMachine learning
Full text
# Data for crypto value prediction


# Data for crypto value prediction












Let's say you want to predict the future values of a crypto asset, what data would u consider? Where to find it (for free)?

We can take Bitcoin as an example. But a general procedure for relevant data inclusion would be appreciated.

## Answer by Edwin (score 2)

https://quant.stackexchange.com/a/83877

For perpetuals, you can look into the underlying factors on how perpetuals are priced e.g. how funding mechanism works, funding periods, spot price.

What does the orderflow look like and it's trade sizes, skew on the orderbook. How much buy/sell pressure did it take for prices to move X%?

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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