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perp audit batch 1: data sources + hygiene #1037

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Merged
Flotapponnier merged 1 commit into from
Jul 10, 2026
Merged

perp audit batch 1: data sources + hygiene #1037

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14 changes: 1 addition & 13 deletions benchmarks/perp-funding-stability.yml
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Original file line number Diff line number Diff line change
Expand Up @@ -41,6 +41,7 @@ abstract: |
upstream funding scrape (60 second poll, 30 second Prom scrape).

methodology:
- "Young venues read artificially stable at first: a venue whose funding has not moved since listing (Polymarket perps launched 2026-07-08 with a constant default rate) shows a stddev near zero until real funding history accrues. Read the sample count next to the rank."
- "Source. Same upstream as perp-funding: each venue's public funding endpoint polled every 60 seconds, normalized to bps per hour and per 24h hold, sign preserved."
- "Metric. stddev_over_time(perp_funding_hold_24h_bps{asset=\"ETH\"}[24h]) per venue. The 7d window smooths intraday noise but reacts to regime shifts within a week."
- "Sign handling. The underlying series is signed (positive means longs pay). Stability measures the swing, so the ranking uses the unsigned stddev. Average direction and level are the perp-funding bench."
Expand Down Expand Up @@ -212,19 +213,6 @@ providers:
sample_size: count_over_time(perp_venue_funding_24h_bps{venue="coinbase",asset="ETH"}[24h])
series: stddev_over_time(perp_venue_funding_24h_bps{venue="coinbase",asset="ETH"}[24h])

- slug: deribit
name: Deribit
tag: Options-focused CEX, ETH/BTC perpetuals via Mobula aggregator
formula: "stddev_over_time of perp_venue_funding_24h_bps{venue=\"deribit\",asset=\"ETH\"} over a 24h window. Source: Mobula CEFI funding-rate aggregator."
queries:
p50: stddev_over_time(perp_venue_funding_24h_bps{venue="deribit",asset="ETH"}[24h])
p90: stddev_over_time(perp_venue_funding_24h_bps{venue="deribit",asset="BTC"}[24h])
p99: stddev_over_time(perp_venue_funding_24h_bps{venue="deribit",asset="SOL"}[24h])
mean: stddev_over_time(perp_venue_funding_24h_bps{venue="deribit",asset="ETH"}[24h])
success: (perp_venue_last_refresh_unix{venue="deribit"} > bool (time() - 300))
sample_size: count_over_time(perp_venue_funding_24h_bps{venue="deribit",asset="ETH"}[24h])
series: stddev_over_time(perp_venue_funding_24h_bps{venue="deribit",asset="ETH"}[24h])

- slug: gate
name: Gate
tag: CEX, USDT perpetuals via Mobula aggregator, 8h funding
Expand Down
16 changes: 8 additions & 8 deletions benchmarks/perp-funding.yml
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Expand Up @@ -111,7 +111,7 @@ providers:
p99: avg_over_time(perp_funding_hold_24h_bps{venue="hyperliquid",asset="SOL"}[24h])
mean: avg_over_time(perp_funding_annualized_pct{venue="hyperliquid",asset="ETH"}[24h])
success: (perp_funding_venue_ok_unix{venue="hyperliquid"} > bool (time() - 300))
sample_size: count(perp_funding_rate_hourly_bps{venue="hyperliquid"})
sample_size: count_over_time(perp_funding_hold_24h_bps{venue="hyperliquid",asset="ETH"}[24h])
series: avg_over_time(perp_funding_hold_24h_bps{venue="hyperliquid",asset="ETH"}[24h])

- slug: binance
Expand All @@ -124,7 +124,7 @@ providers:
p99: avg_over_time(perp_funding_hold_24h_bps{venue="binance",asset="SOL"}[24h])
mean: avg_over_time(perp_funding_annualized_pct{venue="binance",asset="ETH"}[24h])
success: (perp_funding_venue_ok_unix{venue="binance"} > bool (time() - 300))
sample_size: count(perp_funding_rate_hourly_bps{venue="binance"})
sample_size: count_over_time(perp_funding_hold_24h_bps{venue="binance",asset="ETH"}[24h])
series: avg_over_time(perp_funding_hold_24h_bps{venue="binance",asset="ETH"}[24h])

- slug: bybit
Expand All @@ -137,7 +137,7 @@ providers:
p99: avg_over_time(perp_funding_hold_24h_bps{venue="bybit",asset="SOL"}[24h])
mean: avg_over_time(perp_funding_annualized_pct{venue="bybit",asset="ETH"}[24h])
success: (perp_funding_venue_ok_unix{venue="bybit"} > bool (time() - 300))
sample_size: count(perp_funding_rate_hourly_bps{venue="bybit"})
sample_size: count_over_time(perp_funding_hold_24h_bps{venue="bybit",asset="ETH"}[24h])
series: avg_over_time(perp_funding_hold_24h_bps{venue="bybit",asset="ETH"}[24h])

- slug: okx
Expand All @@ -150,7 +150,7 @@ providers:
p99: avg_over_time(perp_funding_hold_24h_bps{venue="okx",asset="SOL"}[24h])
mean: avg_over_time(perp_funding_annualized_pct{venue="okx",asset="ETH"}[24h])
success: (perp_funding_venue_ok_unix{venue="okx"} > bool (time() - 300))
sample_size: count(perp_funding_rate_hourly_bps{venue="okx"})
sample_size: count_over_time(perp_funding_hold_24h_bps{venue="okx",asset="ETH"}[24h])
series: avg_over_time(perp_funding_hold_24h_bps{venue="okx",asset="ETH"}[24h])

- slug: dydx
Expand All @@ -163,7 +163,7 @@ providers:
p99: avg_over_time(perp_funding_hold_24h_bps{venue="dydx",asset="SOL"}[24h])
mean: avg_over_time(perp_funding_annualized_pct{venue="dydx",asset="ETH"}[24h])
success: (perp_funding_venue_ok_unix{venue="dydx"} > bool (time() - 300))
sample_size: count(perp_funding_rate_hourly_bps{venue="dydx"})
sample_size: count_over_time(perp_funding_hold_24h_bps{venue="dydx",asset="ETH"}[24h])
series: avg_over_time(perp_funding_hold_24h_bps{venue="dydx",asset="ETH"}[24h])

- slug: paradex
Expand All @@ -176,7 +176,7 @@ providers:
p99: avg_over_time(perp_funding_hold_24h_bps{venue="paradex",asset="SOL"}[24h])
mean: avg_over_time(perp_funding_annualized_pct{venue="paradex",asset="ETH"}[24h])
success: (perp_funding_venue_ok_unix{venue="paradex"} > bool (time() - 300))
sample_size: count(perp_funding_rate_hourly_bps{venue="paradex"})
sample_size: count_over_time(perp_funding_hold_24h_bps{venue="paradex",asset="ETH"}[24h])
series: avg_over_time(perp_funding_hold_24h_bps{venue="paradex",asset="ETH"}[24h])

- slug: polymarket
Expand All @@ -189,7 +189,7 @@ providers:
p99: avg_over_time(perp_funding_hold_24h_bps{venue="polymarket",asset="SOL"}[24h])
mean: avg_over_time(perp_funding_annualized_pct{venue="polymarket",asset="ETH"}[24h])
success: (perp_funding_venue_ok_unix{venue="polymarket"} > bool (time() - 300))
sample_size: count(perp_funding_rate_hourly_bps{venue="polymarket"})
sample_size: count_over_time(perp_funding_hold_24h_bps{venue="polymarket",asset="ETH"}[24h])
series: avg_over_time(perp_funding_hold_24h_bps{venue="polymarket",asset="ETH"}[24h])

- slug: aster
Expand All @@ -202,7 +202,7 @@ providers:
p99: avg_over_time(perp_funding_hold_24h_bps{venue="aster",asset="SOL"}[24h])
mean: avg_over_time(perp_funding_annualized_pct{venue="aster",asset="ETH"}[24h])
success: (perp_funding_venue_ok_unix{venue="aster"} > bool (time() - 300))
sample_size: count(perp_funding_rate_hourly_bps{venue="aster"})
sample_size: count_over_time(perp_funding_hold_24h_bps{venue="aster",asset="ETH"}[24h])
series: avg_over_time(perp_funding_hold_24h_bps{venue="aster",asset="ETH"}[24h])

metric_panels:
Expand Down
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