FMZ '交割合约现货套利策略测试版' (Spot–Delivery Futures Arbitrage, test version) by ianzeng123, faithful port: ADF-gated z-score basis arbitrage, BTCUSDT.BINANCE_SPOT vs Binance USD-M BTC quarterly futures (current + next quarter), 1-minute bars

Faithful translation of ianzeng123's FMZ open-source strategy '交割合约现货套利策略测试版' (credit to the author). The source pairs a SPOT market (exchanges[0], BTC_USDT) with USDT-margined DELIVERY futures (exchanges[1], BTC_USDT.quarter and BTC_USDT.next_quarter; allowedCoins=['BTC']). For each delivery contract it keeps a 1-minute history of spreadRate = (deliveryClose - spotClose)/spotClose (max 5000 points), runs an hourly ADF stationarity test on the last 1000 points, and when the spread is 'stationary enough' and |z| >= 1.0 it opens a hedged pair: z>0 ('positive' / 正套) = BUY spot + SELL the delivery future; z<0 ('negative' / 反套) = SELL spot + BUY the delivery future. It exits when the dollar spread returns into a target band, on a 1.5% combined stop-loss, 1 day before delivery, or after 10 days if profitable. There is no take-profit. PLATFORM MAPPING. Spot leg: BTCUSDT.BINANCE_SPOT (CASH, 0.10%/side taker). Futures leg: Binance USD-M BTCUSDT dated quarterlies (BINANCE venue, MARGIN, 0.05% taker / 0.02% maker), catalog ids BTCUSDT_YYMMDD.BINANCE, 1-MINUTE bars verified present in the catalog for every quarterly from BTCUSDT_210326 to BTCUSDT_261225 (each with ~3-6 months of 1m history before its expiry; BTCUSDT_270326 has only started). Primary instrument = BTCUSDT.BINANCE_SPOT-1-MINUTE-LAST-EXTERNAL; every quarterly is an extra_instrument with its 1-MINUTE bar type. The source discovers pairs once at startup; in a multi-year backtest the port must re-run the discovery whenever a contract expires: at any bar the 'quarter' contract is the listed contract with the nearest delivery date that still has bars, 'next_quarter' the following one; each is paired with spot independently (own price history, ADF cache, fail counter, cooldowns and position record), and a contract is skipped for NEW entries when daysToDelivery < minDaysToDelivery (7). Delivery time is parsed exactly as the source does: the YYMMDD in the symbol at 16:00 UTC (parseDeliveryDateFromString). Bars of a contract after that time are ignored. Futures leg leverage = marginLevel 10 (config leverage 10.0; spot leg is CASH, unlevered). SIZING (source default, kept): orderAmount = 0.05 BTC spot per pair; futures quantity = the same 0.05 BTC (the source's calculateContractAmount floor(spotAmount/ctVal) is a coin-to-contract conversion so the futures notional matches the spot leg; Binance USD-M quarterlies are quoted in base units with 0.001 step, so the hedge is exactly 0.05 BTC). Spot buys require USDT balance >= 0.05*price + minUSDTReserve (10 USDT). With the $100k account this uses ~2-6% of equity per pair — that is the author's sizing and is kept on purpose; per-trade results are judged in % of notional. SPOT SHORTING. The account starts with USDT only, so the source's own checkSpotBalance('sell') fails for a reverse (z<0) entry ('BTC不足', canRetry=false: skip, no cooldown, keep waiting for a positive opportunity). The port keeps that check; coins already committed to the OTHER pair's open positive-arb record are treated as unavailable (otherwise the reverse arb on one contract would sell the hedge of the other — a corruption the source would also suffer, documented as the one deliberate deviation). In practice the strategy therefore runs only the positive (long spot / short quarterly) side unless spot BTC is free. Direction overall: market-neutral (long spot + short future).