Now that I’ve explained the idea behind this blog, it’s time to explain what I’m actually building.
The goal isn’t another trading bot that predicts price movements.
The goal is to build a high-performance engine that continuously scans cryptocurrency derivatives exchanges for funding rate arbitrage opportunities while minimizing execution costs.
Core Idea
For every opportunity the engine will estimate:
- Current funding rate
- Bid/ask spread
- Expected slippage
- Trading fees
- Net edge after execution costs
The engine should only execute trades when the expected funding income exceeds the total execution cost.
Why Rust?
The bot will be written entirely in Rust for performance, concurrency, memory safety and predictable latency.
Architecture
Each exchange will have its own dedicated worker responsible for:
- Maintaining WebSocket connections
- Updating order books
- Tracking funding rates
- Estimating spreads
- Estimating slippage
- Publishing opportunities
A central coordinator will compare all exchanges and execute cross-venue trades whenever profitable opportunities appear.
Another component will monitor open positions, funding payments and PnL until positions are closed.
Supported Exchanges
Infrastructure
The trading engine will run in the Tokyo region (ap-northeast-1) on AWS or Google Cloud to minimize latency to supported exchanges.
Building in Public
This blog will document architecture decisions, benchmarks, execution quality, funding rate research, optimizations and real trading performance as development progresses.