Scanning Perpetual Futures Funding Rates for Cross-Exchange Arbitrage

Summary

This document describes a read-only scanner for comparing perpetual futures funding rates across centralized and on-chain venues. It converts rates with different settlement intervals to annualized values and an equivalent eight-hour spread, then pairs the highest-rate venue for a short with the lowest-rate venue for a long. The estimate subtracts taker fees for opening and closing both legs over an assumed holding period, and reports net annualized spread and estimated break-even days.

The scanner normalizes contract naming differences, checks available prices to avoid comparing apparently different assets, flags unusually large annualized rates, and reports collection failures. It polls repeatedly and uses batch queries where available, with per-symbol queries for some venues. These outputs are estimates rather than realized returns: funding rates can change, extreme rates may be brief, and fees, slippage, liquidity, price mismatch, and leg execution risk can erode the spread. The tool does not place orders, and its results depend on configured venues, fee assumptions, and holding period.

Key ideas

• Funding rates from different settlement schedules must be normalized before comparing venues.
• The proposed trade shorts the venue with the highest rate and longs the venue with the lowest rate.
• Estimated net returns subtract round-trip taker fees for both legs over an assumed holding period.
• Contract name normalization and price checks help prevent false cross-venue matches.
• Funding changes, extreme-rate reversals, execution costs, and unmatched legs can make estimated spreads unrealizable.

Tags

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