Funding Rate Arbitrage Engine

A TypeScript-based cryptocurrency funding rate arbitrage engine that trades across multiple exchanges to capitalize on funding rate differentials.

🚀 Features

• Multi-Exchange Support: Bybit, Bitget, KuCoin, and Hyperliquid
• Production Ready: Configured for live trading with production API endpoints
• Risk Management: Comprehensive risk controls and kill switches
• Real-time Monitoring: Continuous position monitoring and automated risk management
• Delta-Neutral Strategy: Maintains equal long/short positions across exchanges

📋 Prerequisites

• Node.js 18+
• npm or yarn
• Supabase account (for database)
• Exchange API keys for production trading

🔧 Installation

1. Clone the repository:

git clone <repository-url>
cd funding-engine

2. Install dependencies:

npm install

3. Configure environment variables:

cd backend
cp env.example .env

4. Edit .env with your production credentials:

# Database Configuration
SUPABASE_URL=your_supabase_project_url
SUPABASE_ANON_KEY=your_supabase_anon_key
SUPABASE_SERVICE_ROLE_KEY=your_supabase_service_role_key

# Exchange API Keys - PRODUCTION MODE
BYBIT_API_KEY=your_production_bybit_api_key
BYBIT_API_SECRET=your_production_bybit_api_secret
BYBIT_TESTNET=false

BITGET_API_KEY=your_production_bitget_api_key
BITGET_API_SECRET=your_production_bitget_api_secret
BITGET_PASSPHRASE=your_production_bitget_passphrase
BITGET_SANDBOX=false

KUCOIN_API_KEY=your_production_kucoin_api_key
KUCOIN_API_SECRET=your_production_kucoin_api_secret
KUCOIN_PASSPHRASE=your_production_kucoin_passphrase
KUCOIN_SANDBOX=false

HYPERLIQUID_PRIVATE_KEY=your_production_hyperliquid_private_key
HYPERLIQUID_TESTNET=false

5. Set up the database schema:

# Apply the schema to your Supabase database
# Copy the contents of backend/src/database/schema.sql
# and run it in your Supabase SQL editor

🏃‍♂️ Running the Engine

Development Mode

npm run dev

Production Mode

npm run build
npm start

⚙️ Configuration

Arbitrage Parameters

• Minimum Arbitrage BPS: 30 basis points minimum spread
• Funding Rate Threshold: 40% annualized minimum
• Analysis Window: 72 hours historical data analysis
• Max Position Size: $1,000 per position
• Total Capital: $5,000 allocated across 4 exchanges

Risk Management

• Position Size: 20% of capital per position maximum
• Kill Switch Thresholds:
  • 80% proximity to liquidation
  • 10% maximum drawdown
  • Single leg detection (one position closed)
• Concentration Limits: 30% maximum per symbol

🛡️ Safety Features

Kill Switch Conditions

The engine automatically closes positions when:

• One leg of the arbitrage is closed (single leg detection)
• Position is within 80% of liquidation price
• Strategy drawdown exceeds 10%
• Position size violates limits

Production Safeguards

• ✅ All testnet flags set to false by default
• ✅ Production API endpoints configured
• ✅ Comprehensive environment validation
• ✅ Real-time position monitoring
• ✅ Automatic risk assessment

📊 Monitoring

The engine provides:

• Real-time logging with Winston
• Position monitoring every 5 seconds
• Risk metrics updates every minute
• Opportunity analysis every 10 minutes
• Data collection every 5 minutes

🔄 Strategy Flow

1. Data Collection: Collect funding rates from all exchanges
2. Opportunity Analysis: Identify persistent arbitrage opportunities
3. Risk Assessment: Validate trade against risk parameters
4. Execution: Place delta-neutral positions simultaneously
5. Monitoring: Continuous position and risk monitoring
6. Exit: Automatic closure on profit targets or risk triggers

📁 Project Structure

backend/
├── src/
│   ├── config/           # Exchange and strategy configurations
│   ├── database/         # Supabase client and schema
│   ├── exchanges/        # Exchange implementations
│   ├── services/         # Core arbitrage services
│   ├── types/           # TypeScript type definitions
│   ├── utils/           # Helper utilities
│   └── index.ts         # Main application entry point
├── package.json
└── .env                 # Environment configuration

⚠️ Important Notes

Production Trading

• This engine trades with real money on production exchanges
• Ensure your API keys have appropriate permissions
• Start with small position sizes to test
• Monitor logs and positions actively

API Key Permissions Required

• Bybit: Trade, Read positions, Read funding rates
• Bitget: Trade, Read positions, Read funding rates
• KuCoin: Trade, Read positions, Read funding rates
• Hyperliquid: Trade, Read positions

Current Implementation Status

• ✅ Bybit: Fully implemented with CCXT
• 🚧 Bitget: Config ready, implementation needed
• 🚧 KuCoin: Config ready, implementation needed
• 🚧 Hyperliquid: Config ready, implementation needed

🚨 Risk Disclaimer

Trading cryptocurrency involves substantial risk of loss. This software is provided "as is" without warranty. Use at your own risk. The authors are not responsible for any trading losses.

📞 Support

For issues or questions:

1. Check the logs in logs/ directory
2. Review configuration in .env file
3. Ensure database schema is properly applied
4. Verify API key permissions

🔧 Development

Adding New Exchanges

1. Create exchange config in config/exchanges/
2. Implement exchange class extending BaseExchange
3. Add to main engine initialization
4. Update symbol mappings

Testing

npm test

Linting

npm run lint