This strategy is used to obtain and monitor funding rates from multiple futures platforms such as OKCoin, Binance, Bitget, etc. It polls the perpetual contract markets of various exchanges through parallel threads, and obtains funding rate data, while using a delay mechanism to optimize the request frequency.
This article makes some changes to the strategy to support display and funding rate alarm push functions.
Open source address: https://www.fmz.com/strategy/470345
You can adjust the platform list, symbol list and polling interval as needed to meet your specific trading needs.
The script is divided into several main parts:
// Start the funding rate monitoring thread and create a separate thread for each exchange's funding rate data
function startFundingWorker() {
exchanges.forEach((_, pos) => {
__Thread(function (pos) {
let e = exchanges[pos]
let eName = e.GetName()
// Set request delays for different exchanges to prevent frequent requests from causing throttling
let delaySettings = {
'Futures_OKCoin': 20,
'Futures_Binance': 500,
'Futures_MEXC': 100,
}
// Need to traverse the list of exchange names for all markets, these exchanges do not support getting all trading pairs at once
let needInterate = ['Futures_OKCoin', 'Futures_Bitget','Futures_OKX', 'Futures_KuCoin', 'Futures_MEXC']
// Set delay based on exchange name
let delay = function () {
let n = delaySettings[eName]
if (n) {
Sleep(n)
}
}
// Set the update interval to update every two minutes
let epoch = 60000 * 2;
let ts = 0;
let fundings = {}
// Infinite loop, get funding rate at fixed intervals
while (true) {
let now = new Date().getTime()
if (now - ts < epoch) {
// If the update cycle is not reached, pause for 1 second and then continue checking
Sleep(1000)
continue
}
let markets = e.GetMarkets()
if (!markets) {
// If market information cannot be obtained, try again after a delay
Sleep(1000)
continue
}
// If the exchange is in the list that needs to be traversed, request the funding rate for each market
if (needInterate.includes(eName)) {
for (let symbol in markets) {
if (symbol.includes('.swap') && symbol.includes('_USDT')) {
let ret = e.GetFundings(symbol)
if (ret) {
for (let r of ret) {
fundings[r.Symbol] = r
}
}
delay();
}
}
} else {
// For exchanges not in the traversal list, only request the funding rate of USDT.swap
let ret = e.GetFundings('USDT.swap')
if (ret) {
for (let r of ret) {
fundings[r.Symbol] = r
}
}
}
// Update data timestamp
ts = now
// Stores the exchange's funding rate data
__threadSetData(0, eName+"_funding", fundings)
}
}, pos)
})
}
// Get the funding rate data of the specified exchange
function getFundings(eName) {
let efundings = __threadGetData(0, eName+"_funding")
if (!efundings) {
return null
}
return efundings
}
// Update the funding rate table and display it in the log
function UpdateStatus(){
let table = {
type: 'table',
title: 'Funding Rate%',
cols: ['index', 'symbol'], // Initialization column, containing symbol
rows: []
};
let fundingRates = {};
exchanges.forEach((e) => {
let eName = e.GetName();
if (fundings[eName]) {
for (let symbol in fundings[eName]) {
// Parse short symbol names and remove unnecessary prefixes
let short_symbol = symbol.split('_')[0].replace(/^(100|1000|10000|100000|1000000|10000000)|^(100|1000|10000|100000|1000000|10000000)$/g, '');
let rate = fundings[eName][symbol].Rate;
let day = 24 / (fundings[eName][symbol].Interval / 3600000)
// Initialize symbol data structure
if (!fundingRates[short_symbol]) {
fundingRates[short_symbol] = { total: 0, count: 0, day_rate: {}, next_time: {}, last_time:0};
}
// Record and push rates that exceed the threshold
if (Math.abs(rate) > 0.01 && Date.now() - fundingRates[short_symbol].last_time > 30*60*1000) {
Log(e.GetName(), symbol, rate, '@')
fundingRates[short_symbol].last_time = Date.now()
}
fundingRates[short_symbol].total += rate;
fundingRates[short_symbol].count++;
fundingRates[short_symbol].day_rate[eName] = _N(rate * day , 6); // Record rates
fundingRates[short_symbol].next_time[eName] = _N((fundings[eName][symbol].Time - Date.now()) / 3600000 , 1) + 'h'
}
}
});
// Added rate columns and next update time columns for each exchange
for (let e of exchanges) {
table.cols.push(e.GetName()+' Rate');
table.cols.push('Next Time');
}
table.cols.push('Average Rate'); // Add an average rate column
let i = 0;
// Iterate over each symbol and fill in the data
for (let symbol in fundingRates) {
let data = fundingRates[symbol];
if (data.count == 1) {
continue // Symbols containing only a single data point are ignored
}
let averageRate = data.total / data.count; // Calculate average rate
let row = [i++, symbol];
for (let e of exchanges) {
row.push(data.day_rate[e.GetName()] || null); // Filling the fees of various exchanges
row.push(data.next_time[e.GetName()] || null);
}
row.push(_N(averageRate, 6)); // Filling average rate
table.rows.push(row);
}
LogStatus('`' + JSON.stringify(table) + '`');
}
// Main function, start funding rate monitoring and status update
var fundings = {}
function main() {
startFundingWorker() // Start monitoring threads for each exchange
while (true) {
exchanges.forEach((e) => {
let eName = e.GetName()
let eFundings = getFundings(eName)
fundings[eName] = eFundings
})
Sleep(15000) // Update every 15 seconds
UpdateStatus()
}
}