Market Data & Web Scraping Intermediate

Scan Crypto Perpetual Futures Funding Rates for Cash-and-Carry Arbitrage in Python

Fetch live Binance perpetual futures funding rates in Python using requests and rank delta-neutral Spot vs Futures cash-and-carry annualized APR yields.

#requests#pandas

Problem Statement

During bullish crypto markets, perpetual futures trade at a premium to spot, paying short-futures holders a funding fee every 8 hours (3x daily). Delta-neutral traders buy Spot and short 1x Perpetual Futures to harvest 15%–40% APR risk-free.

Formula / Core Logic

Annualized_APR_Pct = Latest_8h_Funding_Rate * 3 * 365 * 100

Installation

pip install requests pandas

crypto-funding-rate-perpetual-futures-arbitrage-scanner-python.py

import requests
import pandas as pd

def scan_funding_rate_arbitrage(top_n=15):
    url = 'https://fapi.binance.com/fapi/v1/premiumIndex'
    data = requests.get(url, timeout=10).json()
    rows = []
    for item in data:
        rate = float(item.get('lastFundingRate', 0.0))
        apr = rate * 3 * 365 * 100
        rows.append({
            'Symbol': item['symbol'],
            'Mark_Price': round(float(item.get('markPrice', 0)), 4),
            'Funding_8h_Pct': round(rate * 100, 4),
            'Implied_Annual_APR_Pct': round(apr, 2)
        })
    df = pd.DataFrame(rows).sort_values(by='Implied_Annual_APR_Pct', ascending=False)
    return df.head(top_n)

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Frequently Asked Questions

Q: How is a cash-and-carry trade delta-neutral?

Holding +1 BTC in Spot and -1 BTC in Perpetual Futures means price fluctuations cancel out 1:1 while you collect positive funding payments every 8 hours.