Funding arbitrage

• ✓Runs in any market; steadier but smaller returns
• ⚠Spreads and funding can blow out in extreme conditions

Backtest curve is an example on a deterministic simulated price path — not real returns.

"""资金费套利（Funding-rate arbitrage / carry）—— 对冲收永续资金费。

思路：永续资金费为正（多头付费）且超过阈值时，空永续 + 多现货代理腿，净 delta ≈ 0，权益随资金费
结算稳定累积；费率转负则镜像操作（多永续 + 空现货腿）。费率回到阈值内（带迟滞）平掉双腿。这是
市场中性 carry 的标准形态（Hyperliquid 官方文档及各开源框架均有描述；此处为独立重写）。
参数：hedge_ratio（对冲腿比例）、funding_floor（费率阈值）、size（永续腿数量）。

降级行为：feed 未提供配对（现货）行情、或连接器不支持做空时保持空仓——本策略的收益来源是对冲后
的费率，拒绝退化成裸方向敞口。实盘单一 venue 需场馆支持现货腿或由操盘手在外部对冲。
"""
from __future__ import annotations

from ..base import StrategyBase
from ..context import StrategyContext
from ..registry import register


@register("资金费套利")
class FundingArb(StrategyBase):
    description = "费率超阈值时空永续+多现货对冲收资金费；市场中性 carry。"
    params = {"hedge_ratio": 1.0, "funding_floor": 0.00005, "size": 4.0}

    def __init__(self, hedge_ratio: float = 1.0, funding_floor: float = 0.00005, size: float = 4.0) -> None:
        self.hedge_ratio = float(hedge_ratio)
        self.funding_floor = float(funding_floor)
        self.size = float(size)

    async def on_tick(self, ctx: StrategyContext) -> None:
        sym = ctx.conn_symbol()
        pair = ctx.pair_symbol()
        if pair is None or not getattr(ctx.conn, "allow_short", False):
            return  # 无法构成对冲：保持空仓
        rate = await ctx.funding(sym)
        band = self.size * 0.1
        hedge = self.size * self.hedge_ratio
        if rate > self.funding_floor:
            await ctx.target(sym, -self.size, band=band)   # 空永续收正费率
            await ctx.target(pair, hedge, band=band)       # 多现货对冲
        elif rate < -self.funding_floor:
            await ctx.target(sym, self.size, band=band)    # 多永续收负费率
            await ctx.target(pair, -hedge, band=band)
        elif abs(rate) < self.funding_floor * 0.5:         # 迟滞退出，避免阈值附近来回换仓
            await ctx.target(sym, 0.0, band=band)
            await ctx.target(pair, 0.0, band=band)

The full SDK and all strategies are MIT-licensed open source — backtest, paper-trade, or fork them directly.