wehub-resource-sync
99 lines
4.4 KiB
Markdown
99 lines
4.4 KiB
Markdown
# Crypto Perpetuals & Premium Index (Binance)
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20 major crypto perpetual futures with 1-hour OHLCV and the 8-hourly
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premium index. Spot-perpetual basis (the premium index) drives funding
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payments; this dataset anchors the Ch12 / Ch17 funding-arbitrage case
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study.
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## Dataset
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- **Source**: Binance USDT-margined futures — public market-data REST
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endpoints (`/fapi/v1/klines`, `/fapi/v1/premiumIndexKlines`).
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- **Coverage**: 2021-01-01 → present.
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- **Symbols**: 20 perpetuals grouped by theme (majors, DeFi, layer-1).
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- **Size on disk**: ~37 MB (perps + premium, hive partitions + consolidated
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parquets).
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- **Runtime**: ~8-12 minutes for a full refresh (1-hour bars for 20
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symbols, rate-limited by Binance at 2400 weight/min).
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- **API key**: not required (public endpoints; see
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https://developers.binance.com/docs/derivatives/usds-margined-futures).
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- **License / attribution**: Binance public market data is free to use
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for personal research under the Binance API Terms
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(https://www.binance.com/en/support/announcement/binance-api-terms-and-conditions-edff9a85aff24eb6afbe15fbe7cc5c47).
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Redistribution of the raw OHLCV as a product is not permitted; derived
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analytics are fine.
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## Symbols
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| Group | Symbols (20) |
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| -------- | ---------------------------------------------------------------------------- |
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| Majors | BTCUSDT, ETHUSDT, BNBUSDT, SOLUSDT, XRPUSDT, DOGEUSDT, ADAUSDT, AVAXUSDT, DOTUSDT, MATICUSDT |
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| DeFi | LINKUSDT, UNIUSDT, AAVEUSDT, MKRUSDT, COMPUSDT |
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| Layer-1 | ATOMUSDT, NEARUSDT, APTUSDT, SUIUSDT, INJUSDT |
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## Download
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```bash
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uv run python data/crypto/market/download.py # perps + premium index
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uv run python data/crypto/market/download.py --dry-run # plan only
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```
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Output layout under `$ML4T_DATA_PATH/crypto/`:
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```
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perps_1h.parquet # consolidated 1-hour OHLCV (loader target)
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premium_index_8h.parquet # consolidated 8-hour premium index (loader target)
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ohlcv_1h/symbol=<SYM>/data.parquet # hive-partitioned per-symbol 1h OHLCV
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premium_index/symbol=<SYM>/data.parquet # hive-partitioned per-symbol premium index
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crypto_dictionary.parquet # symbol metadata (base, group, listing date)
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perps_1h_profile.json # summary statistics
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premium_index_8h_profile.json
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config.yaml # symbol list + date range + API endpoint config
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```
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## Loading
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```python
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from data import load_crypto_perps, load_crypto_premium
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ohlcv = load_crypto_perps() # all 20, 1-hour bars
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ohlcv = load_crypto_perps(symbols=["BTCUSDT", "ETHUSDT"])
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ohlcv = load_crypto_perps(start_date="2024-01-01")
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premium = load_crypto_premium() # all 20, 8-hour premium
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premium = load_crypto_premium(symbols=["BTCUSDT"])
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```
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Schemas (canonical):
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### Perpetual OHLCV
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| Column | Type | Description |
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| ----------- | -------- | ----------------------- |
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| `symbol` | String | Perpetual symbol |
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| `timestamp` | Datetime | Bar timestamp (UTC) |
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| `open` | Float | Opening price |
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| `high` | Float | High price |
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| `low` | Float | Low price |
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| `close` | Float | Closing price |
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| `volume` | Float | Trading volume |
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### Premium Index
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| Column | Type | Description |
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| ---------------------- | -------- | ------------------------------- |
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| `symbol` | String | Perpetual symbol |
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| `timestamp` | Datetime | Funding timestamp (UTC) |
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| `premium_index_open` | Float | Premium index at funding open |
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| `premium_index_high` | Float | Premium index high |
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| `premium_index_low` | Float | Premium index low |
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| `premium_index_close` | Float | Premium index at funding close |
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## Consumers
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- **Ch2**: `10_crypto_premium_eda.py`.
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- **Ch6**: `02_crypto_premium_setup.py` (strategy definition).
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- **Ch8**: `04_fundamentals_macro_calendar.py`, `07_event_studies.py`.
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- **Ch12**: `01_funding_rate_alpha.py`.
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- **Ch16**: `04_single_asset_ml4t_backtest.py`, `09_performance_reporting.py`.
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- **`case_studies/crypto_perps_funding/`**: full funding-arbitrage pipeline
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(`01_feasibility_analysis.py` → `17_strategy_analysis.py`).
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