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binance futures apiで過去のfunding rateを取る

2022/12/05に公開

ここでも Funding Rateの履歴は見れるけど
https://www.binance.com/en/futures/funding-history/1

もっと長期の推移を見たかったので、メモ

この通りリクエストすればOK
https://binance-docs.github.io/apidocs/futures/en/#get-funding-rate-history

例としてBTCドミナンスの履歴を取得

#!/usr/bin/perl
use strict;
use warnings;
use feature qw(:5.10);
use utf8;
use HTTP::Tiny;
use JSON;
use Time::Piece;
use Time::Seconds;

my $API_URL = "https://fapi.binance.com/fapi/v1/fundingRate";
my $SYMBOL = "BTCDOMUSDT";

my $start_time = (time() - ONE_YEAR)*1000;

say "unixtime_ms, funding_rate";

while(1){
    my $json = decode_json(get_rate_history($start_time));
    for (@{$json}){
        say "$_->{fundingTime}, $_->{fundingRate}";
    }
    if (@{$json} == 0){
        last;
    }
    $start_time = ${$json}[-1]->{fundingTime} + 1000;
}
sub get_rate_history {
    my $time = shift;
    my $http = HTTP::Tiny->new();
    my $params = $http->www_form_urlencode({ 
            symbol => $SYMBOL,
            startTime => $time,
            limit => 1000,
        });
    my $response = $http->get("$API_URL?$params");
    if ($response->{success}){
        return $response->{content};
    }
    else {
        die "response error";
    }
}

平均と標準偏差はこんな感じ

hist(history$funding_rate,breaks = 100)
summary(history$funding_rate)
sd(history$funding_rate)
> summary(history$funding_rate)
      Min.    1st Qu.     Median       Mean    3rd Qu.       Max. 
-0.0022544  0.0001000  0.0001000  0.0002508  0.0003838  0.0069291 
> sd(history$funding_rate)
[1] 0.0004453912

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