About Binance Crypto Future Margin Rate Data
The Binance Crypto Future Margin Rate Data by QuantConnect is for crypto-currency futures margin interest data points. The data covers 348 Cryptocurrency pairs, starts in August 2020, and is delivered on a daily update frequency. This dataset is created by downloading data using Binance API.
This dataset is an important companion to the Binance Crypto Future Price Data dataset because it contains information on margin interest data to model margin costs.
About QuantConnect
QuantConnect was founded in 2012 to serve quants everywhere with the best possible algorithmic trading technology. Seeking to disrupt a notoriously closed-source industry, QuantConnect takes a radically open-source approach to algorithmic trading. Through the QuantConnect web platform, more than 50,000 quants are served every month.
About QuantConnect
QuantConnect was founded in 2012 to serve quants everywhere with the best possible algorithmic trading technology. Seeking to disrupt a notoriously closed-source industry, QuantConnect takes a radically open-source approach to algorithmic trading. Through the QuantConnect web platform, more than 50,000 quants are served every month.
Algorithm Example
from AlgorithmImports import *
class BinanceCryptoFutureDataAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self.set_start_date(2022, 10, 1)
self.set_end_date(2022, 10, 10)
self.set_cash("BUSD", 100000)
self.set_brokerage_model(BrokerageName.BINANCE_FUTURES, AccountType.MARGIN)
crypto_future = self.add_crypto_future("BTCBUSD", Resolution.DAILY)
# perpetual futures does not have a filter function
self.btcbusd = crypto_future.symbol
# Historical data
history = self.history(self.btcbusd, 10, Resolution.DAILY)
self.debug(f"We got {len(history)} from our history request for {self.btcbusd}")
def on_data(self, slice: Slice) -> None:
if self.btcbusd in slice.margin_interest_rates:
interest_rate = slice.margin_interest_rates[self.btcbusd].interest_rate
self.log(f"{self.btcbusd} close at {slice.time}: {interest_rate}")
if not slice.bars.contains_key(self.btcbusd) or not slice.quote_bars.contains_key(self.btcbusd):
return
quote = slice.quote_bars[self.btcbusd]
price = slice.bars[self.btcbusd].price
if price - quote.bid.close > quote.ask.close - price:
self.set_holdings(self.btcbusd, -1)
else:
self.set_holdings(self.btcbusd, 1)
Example Applications
The Binance Crypto Future Margin Rate dataset enables correct margin cost so you can accurately design strategies for Cryptocurrencies with term structure. Examples include the following strategies:
- Horizontal/Diagonal arbitrage with the underlying cryptocurrencies
- Trade Contango/Backwardation predictions
- Hedge for illiquid cryptocurrencies
Pricing
Cloud Access
Free access to Binance Crypto Future margin rate data from Binance via the QuantConnect Cloud platform for your backtesting and research.
Download On Premise
Crypto-futures margin rate archives in LEAN format for on-premise backtesting and research. One file per ticker/day
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