Fetching FTX funding rates

Hi Pi,

Crypto perpetual futures are not handled yet, in general. The only means I see right now to bring funding rates inside QC/LEAN is through custom data and of course the usage of the FTX API, or the usage of the FTX API alone and glue code between your algo and FTX (which then is more work).

Re custom data, I believe you would need to use the “streaming” type. Looks like you code your algos in C# (re the C# FTX API ref). If you go for glue code, you would need to implement a small client to fetch the data with the FTX API and save it inside say CSV files on Dropbox, and then fetch that data with the “remote” type of custom data.

In both cases, you would need to code a class holding the data.

If you find that too confusing, I don't see any other more easy way right now. Sorry.

Fred

Thanks a lot Fred, I am gonna give a go at using custom data with “streaming” type. I will share my progress here.

Hi again Fred,

I am trying to get the funding rate of BTC using custom data (I used this example to help me with the code: https://github.com/QuantConnect/Lean/blob/master/Algorithm.CSharp/CustomDataBitcoinAlgorithm.cs), but I am getting an error saying data wasn't found in the Slice object. Any clue what I am getting wrong in the attached backtest?

Hi Pi..R and Fred

It should be a RemoteFile since it does not use WSS communication, with an UnfoldingDataCollection file type that abstracts multiple data points into a one-liner. The received JSON also required deserialization at its root level. We filter out the “result” attribute for our data point in Reader method. The multiple data points would need to be returned as BaseDataCollection to work properly. Please refer to the attach backtest for details.

Best
Louis

Hi Louis,

Thanks a lot for that, this is awesome! I would very much appreciate your (paid) help to refine the code a bit further and allow storing the funding rate in a symbolData object for a multi-symbol algo. Let me know if interested, (maybe we can arrange a 1h tutoring session, I know QC used to do that) you can shot me an email at 3.1415rx@gmail.com.

Thanks!

Superb Louis!!!

Hi again, I have tried make Louis code multi symbol in the backtest attached, but with my poor coding skills, I am stuck.

I have a list of symbols in “UserVar” and I am storing a bunch of information for each in a dictionary of symbolData objects that is created in the Initialize() method and access every 4H in the OnData() block when data is consolidated.

Problem #1: In the Initialize() block, I also call the “AddData<FundingRate>” method for each symbol in my list. The main issue is that at the moment the “source” in the "FundingRate" class is static and set to BTC “https://ftx.com/api/funding_rates?future=BTC-PERP”; I would need to pass “symbolData.BaseSymbol” to be used instead of “BTC” for each symbol, but I don't know how to do that.

Problem #2: I need to figure out how to retrieve the FundingRate data for each symbol so I can update “symbolData.FundingRate”. Maybe I also have to store the FundingRate objects for each symbol into a dictionary, but it might be there is a more efficient way to do that.

I can probably figure out #2 by myself, but would appreciate any help with #1 (QCC bounty on offer 😊).

Hi Pi.R

1. You can set the symbol string argument in AddData("symbolString") method as the “base currency” variable. Then you can retrieve it in the FundingRate class GetSouce method by calling config.Symbol.Value and pass it into the source URL.
2. Using a dictionary already gives you the easiest and fast implementation.

See the attached backtest as an example.

Best
Louis

Hi Pi..R, for the problem #2 you mentioned, you can probably create a separate function called as update function which would help you to update your values on a regular basis. Or you can also use a map or dictionary and that would suffice. Thanks.

Best,

Manav

Thanks a lot Louis!

I am almost there, I have added line 64 an instruction so each crypto in cryptos is added to the ‘_fundingRates’ dictionary you created line 52, but I can’t figure out how to update each individual funding rate value in the dictionary in the ‘OnData’ block.

I have tried playing around the ‘data.Get<FundingRate>()’ you used in your original foreach loop, but without success. Can you indicate how to do that?

I found a way to store the funding rate for each symbolData object using your foreach loop, maybe not the most efficient way to do, but it works. Sharing here in case it can help others, that trivial:

foreach (var fr in data.Get<FundingRate>().Values)
	{
		if( fr.Symbol == symbolData.BaseSymbol)
        {
        	symbolData.FundingRate = fr.Rate;
        }
    }

Thanks a lot for your help Louis!