Funding Spread History & Backtest

How a funding carry actually paid: the historical funding spread of a pair at its legs' real settlement times, and what holding it for 1 to 90 days returned after fees. A pair is a spot-perp carry on one venue (buy spot, short the perp, or the reverse) or a cross-exchange carry (long one perp, short another).

Get a pair's spread history and backtest

curl -G https://www.sharpe.ai/api/v1/arbitrage/funding-spread-history \
  -H "Authorization: Bearer sk_live_your_key_here" \
  -d mode=cross-exchange \
  -d coin=BTC \
  -d longVenue=Hyperliquid \
  -d shortVenue=Binance \
  -d shortContract=BTCUSDT \
  -d days=2

{
  "data": {
    "mode": "cross-exchange",
    "coin": "BTC",
    "direction": null,
    "days": 2,
    "legs": [
      {
        "role": "long",
        "venue": "Hyperliquid",
        "contract": "BTC-USD",
        "contractSource": "resolved",
        "side": "long",
        "intervalHours": 1,
        "settlements": 47,
        "firstSettledAt": "2026-09-28T09:00:00.000Z",
        "lastSettledAt": "2026-09-30T00:00:00.000Z",
        "takerFee": 0.00045
      },
      {
        "role": "short",
        "venue": "Binance",
        "contract": "BTCUSDT",
        "contractSource": "given",
        "side": "short",
        "intervalHours": 8,
        "settlements": 5,
        "firstSettledAt": "2026-09-28T16:00:00.000Z",
        "lastSettledAt": "2026-09-30T00:00:00.000Z",
        "takerFee": 0.0005
      }
    ],
    "spot": null,
    "roundTripFees": 0.0019,
    "requiresBorrow": false,
    "borrowCostIncluded": false,
    "windowEnd": "2026-09-30T00:00:00.000Z",
    "series": [
      {
        "at": "2026-09-28T09:00:00.000Z",
        "spreadApr": -0.022912218,
        "legAprs": [0.094098168, 0.07118595],
        "cashflow": -0.0000107418,
        "cumulativeCarry": -0.0000107418
      },
      {
        "at": "2026-09-30T00:00:00.000Z",
        "spreadApr": 0.024279654,
        "legAprs": [0.060002496, 0.08428215],
        "cashflow": 0.0000701204,
        "cumulativeCarry": -0.0000693462
      }
    ],
    "backtests": [
      {
        "days": 1,
        "start": "2026-09-29T00:00:00.000Z",
        "end": "2026-09-30T00:00:00.000Z",
        "coveredDays": 1,
        "complete": true,
        "coverageRatio": 1,
        "fundingCollected": -0.0000302706,
        "fees": 0.0019,
        "netReturn": -0.0019302706,
        "grossApr": -0.011048769,
        "netApr": -0.704548769,
        "negativeCarryDays": 1,
        "daysObserved": 1,
        "maxDrawdown": 0.0001354009,
        "breakEvenDays": null
      },
      {
        "days": 2,
        "start": "2026-09-28T08:00:00.000Z",
        "end": "2026-09-30T00:00:00.000Z",
        "coveredDays": 1.6666666666666667,
        "complete": false,
        "coverageRatio": 1,
        "fundingCollected": -0.0000693462,
        "fees": 0.0019,
        "netReturn": -0.0019693462,
        "grossApr": -0.0151868178,
        "netApr": -0.4312868178,
        "negativeCarryDays": 1,
        "daysObserved": 1,
        "maxDrawdown": 0.0001394666,
        "breakEvenDays": null
      }
    ]
  },
  "meta": {
    "request_id": "req_abc123def456ghij",
    "timestamp": "2026-09-30T13:30:00.000Z",
    "elapsed_ms": 42
  }
}

Formula

Every figure is a fraction of one leg's notional (multiply by 100 for percent), the convention of the funding boards.

A settlement at time t pays the venue's rate for the interval (t − h, t]. The interval h of each settlement is read from the gap to the contract's previous settlement (1, 2, 4, 8, 12 or 24 hours), else the stored interval; it is never assumed to be 8 hours.

Alignment. The legs are aligned by time, not by index. The series has a point at every settlement of either leg; at each point, a leg is read at the settlement whose interval covers it. A 1-hour leg against an 8-hour leg reads the 8-hour settlement for each of the eight hours it covers, and the spread is null where a leg has no covering settlement (a gap, or an interval that has not settled yet).

spreadApr = Σ ± rate × 8760 / h over the legs: + for a short leg (it receives positive funding), − for a long leg. A spot-perp pair has one leg; spot pays no funding. legAprs are each leg's own rate × 8760 / h with the venue's sign.

cashflow is what the position received at the instant (the settlements that settle then), and cumulativeCarry its running sum.

Backtest. A window of days ends at windowEnd, the earliest of the legs' last settlements (the latest instant both legs are realised), and starts days earlier, or later when a leg's history begins inside the window (complete: false).

• fundingCollected = the sum of the position's settlements in (start, end]. Funding is paid to the position held at the settlement instant, so a settlement counts in full.
• fees = entry plus exit taker fees at each venue's standard rate: 2 × spot + 2 × perp on the venue (spot-perp), 2 × long perp + 2 × short perp (cross-exchange).
• netReturn = fundingCollected − fees; grossApr = fundingCollected × 365 / coveredDays; netApr = netReturn × 365 / coveredDays.
• negativeCarryDays: 24-hour periods counted back from end (not UTC days) whose settlements summed below zero, out of daysObserved.
• maxDrawdown: the largest fall of cumulative funding from its running peak, starting at 0; fees excluded.
• breakEvenDays = fees / (fundingCollected / coveredDays), only when funding was positive.
• coverageRatio: the least-covered leg's Σ h / covered span, at most 1. A missing settlement lowers it and is never read as zero funding; below 0.9 the backtest is not complete.

Not modelled: margin borrow interest on a short-spot leg (requiresBorrow, borrowCostIncluded: false), entry and exit price gaps, and moving collateral between venues.