Dated Futures Basis

Buy spot, sell a dated future, and hold to expiry: the cash-and-carry trade. The scanner prices every Binance, OKX and Bybit dated contract at the spot ask and the futures bid, charges each venue's taker fees, and ranks rows by fee-adjusted annualized basis, executable rows first.

GET/v1/arbitrage/dated-futures-basis

List dated futures basis rows

While a venue's quotes in the 5-minute dated-quotes snapshot (dataset arbitrage_dated_quotes, written by the arbitrage-boards cron with top-20 book walks and VWAP fills at the default $10,000 notional) are at most 10 minutes old, the board prices that venue from it, so rows can be executable at any minute of the hour; the answer is then dated by the snapshot (dataset_id: "arbitrage_dated_quotes", stale after 10 minutes) and cached up to s-maxage=100, stale-while-revalidate=200. A venue the snapshot lacks, or holds only older quotes for, is served from the hourly term-structure snapshot (written at :03 UTC, stale after 2 hours), its rows indicative. Days to expiry are recomputed from the expiry on every request. When the stored snapshot is past its 2-hour SLA, empty, or holds only reference quotes, the scanner reads the venues live (meta.source: "live") and merges per venue: a venue that answered replaces its stored rows, a venue that failed keeps its stored rows, judged by their own age. A failed data-store read returns 503 (service_unavailable, Retry-After: 30).

Order: rows at least 3 days from expiry first, then nearExpiry rows; within each group executable rows, then rows executable on a live read (indicativeReason: snapshot_quote), then every other indicative row, each by netAprPct, highest first.

Query parameters

Name
coin
Type
string
Description
Optional base coin. Supported launch coins: BTC, ETH, SOL, XRP, DOGE, MNT, XAUT.
Name
exchanges
Type
string
Description
Comma-separated exchanges: Binance, OKX, and Bybit. Deribit has no spot leg, so it appears only in calendar spreads.
Name
minApr
Type
number
Description
Minimum netAprPct in percentage points.
Name
minOiUsd
Type
number
Description
Minimum open interest in USD.
Name
minVolumeUsd
Type
number
Description
Minimum 24h futures volume in USD.
Name
minDepthUsd
Type
number
Description
Minimum executable depth in USD. Rows without depth are filtered out when this is set.
Name
marginType
Type
string
Description
Futures margin filter: linear, inverse, or both.
Name
notional
Type
number
Description
Position notional in USD. Defaults to 10000. A row is executable only when its depth, any reported open interest and its 24h volume are at least this notional; a smaller notional widens the executable set. minDepthUsd filters rows out instead.
Name
limit
Type
integer
Description
Rows per page. Defaults to 100.
Name
cursor
Type
string
Description
Opaque cursor from the previous page.

Request

GET

/v1/arbitrage/dated-futures-basis

curl -G https://www.sharpe.ai/api/v1/arbitrage/dated-futures-basis \
  -H "Authorization: Bearer sk_live_your_key_here" \
  -d coin=BTC \
  -d minApr=4

Response

{
  "data": {
    "rows": [
      {
        "rank": 1,
        "coin": "BTC",
        "spotVenue": "OKX",
        "futuresVenue": "OKX",
        "contract": "BTC-USDT-270326",
        "expiry": "2027-03-26T08:00:00.000Z",
        "days": 179.979167,
        "spotAsk": 100020.001,
        "futureBid": 102889.71,
        "basisUsd": 2869.709,
        "basisPct": 2.869135,
        "annualizedBasisPct": 5.818642,
        "netAprPct": 5.210238,
        "volume24hUsd": 90000000,
        "openInterestUsd": 300000000,
        "oiToVolume": 3.3333,
        "depthUsd": 400000,
        "executionStatus": "indicative",
        "indicativeReason": "snapshot_quote",
        "nearExpiry": false,
        "feesPct": 0.3,
        "marginType": "linear",
        "updatedAt": "2026-09-27T08:03:00.000Z",
        "isStale": false
      }
    ],
    "scannerMeta": {
      "kind": "dated-futures-basis",
      "status": "ok",
      "source": "supabase",
      "freshnessSlaSeconds": 7200,
      "notionalUsd": 10000
    },
    "pagination": { "cursor": null, "has_more": false, "total": 1 }
  },
  "meta": {
    "request_id": "req_abc123def456ghij",
    "timestamp": "2026-09-27T08:30:00.000Z",
    "elapsed_ms": 18
  }
}

Formula

basisPct = (futureBid / spotAsk − 1) × 100 (buy spot at the ask, sell the future at the bid)

annualizedBasisPct = basisPct × 365 / days

feesPct = (2 × spot taker fee + 2 × futures taker fee) × 100, at the venue's standard (VIP 0) rates: 0.30 on Binance and OKX, 0.31 on Bybit. Not annualized.

netAprPct = (basisPct − feesPct) × 365 / days

days is ACT/365 and fractional, recomputed from expiry on every request (a stored snapshot is up to two hours old). OKX USD-quoted contracts (BTC-USD-*, ETH-USD_UM-*) are compared with OKX's USD index rather than the USDT book. depthUsd is the smaller of the spot-ask and futures-bid depth: level 1 from the venue's ticker, or the top 20 levels where level 1 is thinner than $10,000. It is summed book size, not a fill: a notional-sized order still pays the slippage within those levels.

A row is executable only when all of these hold; otherwise it is indicative and indicativeReason names the first check that failed. Every figure is kept either way.

`indicativeReason`	The check that failed
`stale_snapshot`	The row's snapshot is inside the 2-hour term-structure SLA.
`no_depth`	The depth behind the spot ask and futures bid is known.
`depth_below_notional`	That depth is at least `notional`.
`oi_below_notional`	The contract's open interest, when reported, is at least `notional` (unknown open interest does not demote a row).
`no_volume`	The contract's 24h volume is known and at least `notional`.
`backwardation_needs_borrow`	The basis is not negative. A negative basis is the reverse trade (sell spot, buy the future), which needs a spot borrow the board does not price.
`snapshot_quote`	Every other check passes, but the quotes are older than 10 minutes: the row is executable on a live read of the books. Most rows read from the hourly snapshot carry this reason; rows priced from the dated-quotes snapshot usually do not.

Rows under 3 days to expiry are served with nearExpiry: true and ranked after every other row: the round-trip fee annualized over a few days dominates their APR.

aggregate summarizes each coin over the ranked contracts at least 3 days from expiry, weighting netAprPct by open interest; a coin with no qualifying contract has no entry. Basis covers Binance, OKX, and Bybit: Deribit's index is a reference price rather than a tradable spot quote, so Deribit appears only in calendar spreads. Binance COIN-M (dapi) and Bybit inverse delivery contracts are ingested beside the USDT-margined ones (marginType: inverse, since 2026-09-30); a USD-quoted contract's spot leg is the venue's own USD index, with the USDT book converted at the USDT-USD index.