Funding arbitrage scanner across venues

// Funding arbitrage scanner: where do two venues pay very different funding for the same coin? Node 18+, no dependencies.
// Reads the cross-venue spreads (GET /funding/spreads, current and predicted), the funding board per venue (GET /funding,
// Hyperliquid next to Lighter) and prints the widest spreads with the thinner leg's open interest.
//
//   export BLOCKMETRIC_API_KEY=bm_live_...            # optional: without a key the scanner uses keyless public access
//   export BLOCKMETRIC_BASE_URL=https://<domain>/api/v1
//   node scanner.mjs
//
// Options: MIN_SPREAD_APR (0.10 = 10 % a year), MIN_OI_USD (1000000), TOP (10), EVERY_MINUTES (0 = run once).
// A spread between published rates is not an executable return: fees, price moves and different funding times count.

const BASE = (process.env.BLOCKMETRIC_BASE_URL ?? '').replace(/\/+$/, '')
const KEY = process.env.BLOCKMETRIC_API_KEY
if (!BASE) throw new Error('Set BLOCKMETRIC_BASE_URL, e.g. https://<domain>/api/v1')
const MIN_SPREAD_APR = Number(process.env.MIN_SPREAD_APR ?? 0.1)
const MIN_OI_USD = Number(process.env.MIN_OI_USD ?? 1_000_000)
const TOP = Number(process.env.TOP ?? 10)
const EVERY_MINUTES = Number(process.env.EVERY_MINUTES ?? 0)

async function api(path, params = {}) {
  const url = new URL(BASE + path)
  for (const [k, v] of Object.entries(params)) if (v !== undefined && v !== null && v !== '') url.searchParams.set(k, String(v))
  const res = await fetch(url, { headers: KEY ? { Authorization: `Bearer ${KEY}` } : { 'X-Blockmetric-Access': 'public' }, signal: AbortSignal.timeout(30_000) })
  const body = await res.json()
  if (!res.ok) throw new Error(`${res.status} ${body.error?.code}: ${body.error?.message}`)
  return body
}

const pct = (x) => (x === null || x === undefined ? 'rate withheld' : `${(x * 100).toFixed(1)} %`)
const usd = (n) => (n === null || n === undefined ? '-' : n >= 1e9 ? `$${(n / 1e9).toFixed(2)}B` : `$${(n / 1e6).toFixed(1)}M`)
const NAME = { hyperliquid: 'Hyperliquid', lighter: 'Lighter', binance: 'Binance', bybit: 'Bybit', okx: 'OKX' }
const venue = (v) => NAME[v] ?? v

/** Spreads computed from the funding board: every pair of venues that both publish a rate for the coin. */
export function boardSpreads(rows) {
  const out = []
  for (const r of rows) {
    const legs = Object.entries(r.byVenue).filter(([, c]) => typeof c?.fundingApr === 'number')
    if (legs.length < 2) continue
    legs.sort((a, b) => b[1].fundingApr - a[1].fundingApr)
    const [hi, lo] = [legs[0], legs[legs.length - 1]]
    out.push({ coin: r.coin, high: hi[0], highApr: hi[1].fundingApr, low: lo[0], lowApr: lo[1].fundingApr, spreadApr: hi[1].fundingApr - lo[1].fundingApr, minOi: Math.min(hi[1].openInterestUsd ?? 0, lo[1].openInterestUsd ?? 0) })
  }
  return out.sort((a, b) => b.spreadApr - a.spreadApr)
}

async function scan() {
  const [current, predicted, board] = await Promise.all([api('/funding/spreads', { basis: 'current', limit: 100 }), api('/funding/spreads', { basis: 'predicted', limit: 100 }), api('/funding', { limit: 500 })])
  const big = (s) => s.spreadApr >= MIN_SPREAD_APR && (s.minOpenInterestUsd === null || s.minOpenInterestUsd >= MIN_OI_USD)

  console.log(`Widest funding spreads now (at least ${pct(MIN_SPREAD_APR)} a year, thinner leg at least ${usd(MIN_OI_USD)} open interest)`)
  for (const s of current.data.filter(big).slice(0, TOP))
    console.log(`  ${s.coin.padEnd(10)} ${pct(s.spreadApr).padStart(9)} a year  (${(s.spreadDaily * 100).toFixed(3)} % a day)  short on ${venue(s.high.venue)} (${pct(s.high.fundingApr)}), long on ${venue(s.low.venue)} (${pct(s.low.fundingApr)}), OI ${usd(s.minOpenInterestUsd)}`)

  console.log('\nNext funding (predicted): the same view on the rates venues expect to charge next')
  for (const s of predicted.data.filter(big).slice(0, TOP)) console.log(`  ${s.coin.padEnd(10)} ${pct(s.spreadApr).padStart(9)} a year  ${venue(s.high.venue)} over ${venue(s.low.venue)}`)

  const dex = boardSpreads(board.data).filter((s) => s.spreadApr >= MIN_SPREAD_APR && s.minOi >= MIN_OI_USD)
  console.log(`\nDEX pairs from the funding board (${board.meta.sources.map(venue).join(', ')})`)
  if (!dex.length) console.log('  no coin with two published venue rates above the thresholds right now')
  for (const s of dex.slice(0, TOP)) console.log(`  ${s.coin.padEnd(10)} ${pct(s.spreadApr).padStart(9)} a year  short on ${venue(s.high)} (${pct(s.highApr)}), long on ${venue(s.low)} (${pct(s.lowApr)}), OI ${usd(s.minOi)}`)

  if (current.meta.restricted?.length) console.log(`\nRates of ${current.meta.restricted.map(venue).join(' and ')} are withheld during a licence review: their legs show the venue, not the rate.`)
  console.log(`${current.meta.attribution.text} · ${current.meta.updatedAt}`)
}

for (;;) {
  await scan()
  if (!EVERY_MINUTES) break
  await new Promise((r) => setTimeout(r, EVERY_MINUTES * 60_000))
  console.log('')
}