Funding-rate dynamics across venues

Perpetual funding rates are the clearest public signal of where leverage sits. Across venues they co-move strongly in calm markets and decouple around liquidations, when the venue with the most leveraged book leads. We measure the dispersion continuously and treat a widening spread as a regime indicator rather than a trade in itself.

Speed

Co-location still matters for market making, but for most strategies that hold longer than a few seconds the binding constraint is queue position and venue microstructure, not the wire. The right investment is in understanding matching-engine behaviour venue by venue.

A signal that passes on one venue is re-validated on every other venue before it is allowed to trade there.

Validation

Every signal we trade has passed the same tests: out-of-sample performance after costs, capacity at realistic sizes, decay over time and behaviour in stressed regimes. Models that fail are written up with the same care as those that pass; the archive of failures is the most-read part of the research wiki.

What this is not

These notes describe our own research process. They are not recommendations, and we do not comment on positions.