20 major crypto perpetual futures with 1-hour OHLCV and the 8-hourly premium index. Spot-perpetual basis (the premium index) drives funding payments; this dataset anchors the Ch12 / Ch17 funding-arbitrage case study.

Dataset

Source: Binance USDT-margined futures — public market-data REST endpoints (/fapi/v1/klines, /fapi/v1/premiumIndexKlines).
Coverage: 2021-01-01 → present.
Symbols: 20 perpetuals grouped by theme (majors, DeFi, layer-1).
Size on disk: ~37 MB (perps + premium, hive partitions + consolidated parquets).
Runtime: ~8-12 minutes for a full refresh (1-hour bars for 20 symbols, rate-limited by Binance at 2400 weight/min).
API key: not required (public endpoints; see https://developers.binance.com/docs/derivatives/usds-margined-futures).
License / attribution: Binance public market data is free to use for personal research under the Binance API Terms (https://www.binance.com/en/support/announcement/binance-api-terms-and-conditions-edff9a85aff24eb6afbe15fbe7cc5c47). Redistribution of the raw OHLCV as a product is not permitted; derived analytics are fine.

Symbols

Group	Symbols (20)
Majors	BTCUSDT, ETHUSDT, BNBUSDT, SOLUSDT, XRPUSDT, DOGEUSDT, ADAUSDT, AVAXUSDT, DOTUSDT, MATICUSDT
DeFi	LINKUSDT, UNIUSDT, AAVEUSDT, MKRUSDT, COMPUSDT
Layer-1	ATOMUSDT, NEARUSDT, APTUSDT, SUIUSDT, INJUSDT

Download

uv run python data/crypto/market/download.py              # perps + premium index
uv run python data/crypto/market/download.py --dry-run    # plan only

Output layout under $ML4T_DATA_PATH/crypto/:

perps_1h.parquet                           # consolidated 1-hour OHLCV (loader target)
premium_index_8h.parquet                   # consolidated 8-hour premium index (loader target)
ohlcv_1h/symbol=<SYM>/data.parquet         # hive-partitioned per-symbol 1h OHLCV
premium_index/symbol=<SYM>/data.parquet    # hive-partitioned per-symbol premium index
crypto_dictionary.parquet                  # symbol metadata (base, group, listing date)
perps_1h_profile.json                      # summary statistics
premium_index_8h_profile.json
config.yaml                                # symbol list + date range + API endpoint config

Loading

from data import load_crypto_perps, load_crypto_premium

ohlcv = load_crypto_perps()                                    # all 20, 1-hour bars
ohlcv = load_crypto_perps(symbols=["BTCUSDT", "ETHUSDT"])
ohlcv = load_crypto_perps(start_date="2024-01-01")

premium = load_crypto_premium()                                # all 20, 8-hour premium
premium = load_crypto_premium(symbols=["BTCUSDT"])

Schemas (canonical):

Perpetual OHLCV

Column	Type	Description
`symbol`	String	Perpetual symbol
`timestamp`	Datetime	Bar timestamp (UTC)
`open`	Float	Opening price
`high`	Float	High price
`low`	Float	Low price
`close`	Float	Closing price
`volume`	Float	Trading volume

Premium Index

Column	Type	Description
`symbol`	String	Perpetual symbol
`timestamp`	Datetime	Funding timestamp (UTC)
`premium_index_open`	Float	Premium index at funding open
`premium_index_high`	Float	Premium index high
`premium_index_low`	Float	Premium index low
`premium_index_close`	Float	Premium index at funding close

Consumers

Ch2: 10_crypto_premium_eda.py.
Ch6: 02_crypto_premium_setup.py (strategy definition).
Ch8: 04_fundamentals_macro_calendar.py, 07_event_studies.py.
Ch12: 01_funding_rate_alpha.py.
Ch16: 04_single_asset_ml4t_backtest.py, 09_performance_reporting.py.
case_studies/crypto_perps_funding/: full funding-arbitrage pipeline (01_feasibility_analysis.py → 17_strategy_analysis.py).