mts1b-cryptodata

Crypto-data adapters: Binance, Kraken Futures, Uniswap, DeFi protocols.

Repo: github.com/MTS1B/mts1b-cryptodata Layer: 2 Wave: 2 (months 4-7) Depends on: foundation, platform, httpx, ccxt (selective), web3 Audience: mts1b-datalake, mts1b-research

What it is

Crypto-native data adapters that capture what mts1b-marketdata doesn't: perpetual funding rates, open interest, on-chain DEX trades, DeFi protocol state, derivatives spot-vs-futures basis.

Supported sources

Source	Spot	Perps	Options	OI	Funding	On-chain
binance	✅	✅	✅	✅	✅	❌
kraken_futures	❌	✅	❌	✅	✅	❌
bybit	✅	✅	❌	✅	✅	❌
okx	✅	✅	✅	✅	✅	❌
deribit	❌	✅	✅	✅	❌	❌
uniswap_v3	❌	❌	❌	❌	❌	✅
defillama	❌	❌	❌	❌	❌	TVL + protocol stats

For Coinbase + Kraken spot, use mts1b-marketdata (general adapters with crypto support).

Module layout

mts1b_cryptodata/
├── binance/
│   ├── spot.py
│   ├── perp.py
│   ├── options.py
│   └── websocket.py
├── kraken_futures/
├── bybit/
├── okx/
├── deribit/
├── uniswap_v3/
│   ├── graph.py             # The Graph subgraph queries
│   └── pool.py              # direct on-chain via web3
├── defillama/
│   └── client.py
└── unified/
    ├── funding.py            # cross-venue funding rates
    └── basis.py              # spot-vs-futures basis

API

Funding rates (cross-venue)

from mts1b_cryptodata.unified import funding_rates

rates = await funding_rates(symbol="BTC-USD-PERP", venues=["binance", "kraken_futures", "okx"])
# [
#   FundingRate(venue="binance",        rate=0.0001,  next_at=datetime(...), apr=10.95%),
#   FundingRate(venue="kraken_futures", rate=0.0002,  next_at=datetime(...), apr=21.90%),
#   FundingRate(venue="okx",            rate=0.00015, next_at=datetime(...), apr=16.43%),
# ]

Perp open interest

from mts1b_cryptodata.binance.perp import BinancePerp

async with BinancePerp(api_key=None) as bp:    # public data, no auth needed
    oi = await bp.open_interest("BTCUSDT")
    # OpenInterest(symbol="BTCUSDT", oi_usd=8.2e9, oi_contracts=125_000, asof=...)

    history = await bp.oi_history("BTCUSDT", interval="1h", days=7)
    # pd.Series indexed by ts

Uniswap V3 pools

from mts1b_cryptodata.uniswap_v3 import UniswapV3

async with UniswapV3(chain="ethereum") as uni:
    pools = await uni.top_pools(min_tvl_usd=10_000_000)
    # [Pool(address=..., token0=..., token1=..., tvl_usd=..., fee_tier=0.003)]

    swaps = await uni.recent_swaps(pool="0x...", limit=1000)
    # [Swap(tx_hash=..., amount0=..., amount1=..., price=..., timestamp=...)]

DeFi TVL via DefiLlama

from mts1b_cryptodata.defillama import DefiLlama

async with DefiLlama() as dl:
    protocols = await dl.protocols(category="Lending")
    # [Protocol(name="Aave V3", tvl_usd=..., chains=["Ethereum","Polygon",...])]

    tvl = await dl.protocol_tvl("aave-v3", days=30)
    # pd.DataFrame: ts, chain, tvl_usd

Funding-rate arbitrage example

# Identify cross-venue funding arb opportunities
from mts1b_cryptodata.unified import funding_arb

opportunities = await funding_arb(
    symbol="BTC-USD-PERP",
    venues=["binance", "kraken_futures", "okx", "bybit"],
    min_spread_apr=0.10,        # only spreads > 10% APR
)
# [FundingArb(long_venue="okx", short_venue="binance",
#             spread_apr=0.18, holding_costs_apr=0.03, net_edge_apr=0.15)]

WebSocket streaming

async with BinancePerp() as bp:
    async for tick in bp.stream_trades("BTCUSDT"):
        print(tick.price, tick.volume, tick.side)

Most adapters support WS for trades, book updates, and funding events.

Rate limits + auth

Venue	Public limit	Auth needed for
Binance	1200 req/min	private data + WS
Kraken Futures	60 req/min	private
OKX	20 req/2s	private
Bybit	50 req/sec	private
Deribit	20 req/sec	private
Uniswap V3	TheGraph free tier	none

All adapters use mts1b-platform/ratelimit and respect venue limits.

Build + test

pip install -e ".[dev]"
pytest -m unit
pytest -m live --venue=binance

Roadmap

Version	Items
0.1 (Wave 2)	7 venues, funding + OI + Uniswap V3 + DefiLlama
0.2 (Wave 2)	dYdX, GMX, Perpetual Protocol
0.3 (Wave 3)	More chains: Solana DEXes, BSC, Polygon
1.0 (LTS)	Stable adapter interface

See also

• mts1b-marketdata — for spot Coinbase + Kraken (general)
• mts1b-datalake — ingest pipelines for crypto data
• mts1b-research — crypto factors using funding + basis