Funding Rate Arbitrage (Cash-and-Carry) System Optimization: A High-Frequency Multi-Coin Approach in Perpetual Futures

This study designs and evaluates a market-neutral arbitrage engine based on the Funding Rate mechanism in cryptocurrency Perpetual Futures markets using a multi-coin Cash-and-Carry approach. The proposed system integrates real-time scanning of 300+ USDT perpetual symbols via low-latency WebSocket, basis spread validation (below 0.5%), simultaneous dual-leg execution across Spot and 10x-leveraged Futures positions, and three-layer risk protection: a 9.6% collateral liquidation boundary, an 8-hour blacklist cooldown, and opportunistic rotation based on funding rate ratios. Test results demonstrate the system is capable of generating APR yields of 13–92% depending on active coin selection, with a near-market-neutral risk profile that is structurally insulated from linear underlying asset price movements.