Cross-venue, market-neutral carry on one coin, DOGE, across two perpetual venues: DOGEUSD.HYPERLIQUID (HyperliquidCollector OHLCV plus hourly funding_history, data/supplementary/hyperliquid/funding_history/DOGE, from 2023-05-12) and DOGEUSDT.BINANCE (USD-M perp, Binance Vision OHLCV plus 8h fundingRate, data/supplementary/fundingRate/DOGEUSDT). The catalog holds 1-DAY bars for both legs (DOGEUSD.HYPERLIQUID-1-DAY-LAST-EXTERNAL and DOGEUSDT.BINANCE-1-DAY-LAST-EXTERNAL), giving about 1,200 overlapping days.
The two venues serve different populations. Hyperliquid is on-chain, retail and leverage-hungry, with hourly funding. Binance is deeper and has more arbitrage capital. Funding on the two venues therefore diverges, and the divergence is persistent, not noise.
Pre-study on local data (daily summed funding; spread = HL minus Binance):
- When the trailing 3-day mean spread exceeded +0.05%/day, the next 10 days' summed spread averaged +1.20% (n=223 signal-days).
- When it was below -0.05%/day, the next 10 days averaged -0.83% (n=92).
- At a 0.08%/day threshold the figures were +1.41% and -1.04%.
- The same persistence holds on SOL, LINK, AVAX, SUI and WIF (+0.6% to +1.5% over 10 days), so this is not a DOGE artefact. DOGE is chosen because it is strongest in both directions.
- HL DOGE funding has 0 conflicting duplicate timestamps; the AAVE pair died on exactly that audit.
Only two instruments on daily bars (~1,200 bars), so no risk of a sandbox timeout. Precompute both funding series as sorted numpy arrays once in __init__ and read them with supp_as_of / bisect only.
Venue choice: a cross-venue, long-short, Hyperliquid-plus-Binance design fills the most under-represented buckets (cross-venue 7.3% vs a 15% target; long-short 16.8%; HL 7.6% vs a 20% target). It avoids BTC entirely.
Not the dead 'Binance-vs-OKX funding differential' (that died no_trades with a 0.35% 3-day threshold): HL-vs-Binance gaps are 3-10x larger and the trigger here fires on ~25% of days. Not L111: no directional price bet is taken. The return is a contractual cash flow that the engine accrues on both legs.