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Perpetual Funding & Basis Benchmark

Research in progress
RatesFundingBasisCryptoMarket Structure

Is apparent funding carry still there after fees and slippage?

Work in progress on perpetual funding, futures basis, cross-venue dislocations, and whether carry survives execution costs. No backtests or performance figures published yet.

Technical Rates-desk framing for crypto funding and basis: normalize venue prints, state assumptions, and test whether apparent carry survives fees, slippage, collateral, and execution constraints. Planned stack: Python notebooks, cross-venue data, methodology page. Repo and demo not published yet.

Case Study

Problem

Apparent funding and basis carry across crypto venues is often overstated until fees, slippage, collateral, leverage, and regime changes are normalized the way a rates desk would demand.

What I designed and implemented

  • Cross-venue funding-rate methodology (in progress)
  • Historical basis series and rates-analogy framing (in progress)
  • Research publication surface in Trading Lab (published shell)

Architecture

  • Venue funding and mark inputs normalized to a common tenor
  • Published methodology with assumptions and failure modes
  • Future notebook / backtest layer with known-answer checks

Engineering decisions

  • Publish the notes and status labels before inventing results
  • Keep demoUrl and githubUrl null until the first demoable surface exists
  • Connect the project card to /trading/perpetual-funding-basis/

Verification and testing

  • TODO: known-answer checks against venue reference prints
  • TODO: methodology review against rates-desk conventions

Limitations and what is simulated

  • Research in progress. No live data feed, backtest, or performance figures yet.
  • Independent research, not a professional trading track record.

Production differences

  • A production research system would include durable data provenance, audited methodology, and transparent transaction-cost assumptions.