tools-only PRD: Crypto Derivatives Tracker
Summary
One-liner: Track cryptocurrency futures, options, and perpetual swaps with comprehensive market analysis Domain: Cryptocurrency / Derivatives Trading Users: Derivatives Traders, Arbitrage Specialists, Risk Managers
Problem Statement
Crypto derivatives markets generate massive amounts of data across multiple exchanges - funding rates, open interest, liquidations, options flow, and basis spreads. Traders need to:
- Monitor funding rates across 5+ exchanges simultaneously
- Track open interest changes to gauge market positioning
- Identify liquidation clusters and cascade risks
- Analyze options flow for smart money signals
- Find basis trading and funding arbitrage opportunities
Manual monitoring is impractical given the 24/7 nature of crypto markets and the speed at which conditions change. A unified tool that aggregates derivatives data and generates actionable insights is essential.
Target Users
Persona 1: Derivatives Day Trader
- Background: Full-time crypto trader focusing on perpetual swaps
- Goals: Profit from funding rate extremes, OI divergences, and liquidation cascades
- Pain Points: Data fragmented across exchanges, misses funding changes
- Success Criteria: Consistent funding capture, early entry before liquidation cascades
Persona 2: Basis Arbitrageur
- Background: Market-neutral trader running cash-and-carry strategies
- Goals: Lock in risk-free returns via spot-futures basis trades
- Pain Points: Manual basis calculations, timing entry/exit around funding
- Success Criteria: Captures basis premium with minimal directional risk
Persona 3: Options Flow Analyst
- Background: Institutional researcher tracking smart money via options
- Goals: Identify unusual options activity and positioning before moves
- Pain Points: Options data scattered, hard to interpret Greeks at scale
- Success Criteria: Detects smart money positioning ahead of price moves
User Stories
US-1: Funding Rate Monitoring (Critical)
As a derivatives trader I want to see funding rates across all major exchanges in one view So that I can identify arbitrage opportunities and sentiment extremes
Acceptance Criteria:
- Display funding rates for BTC, ETH, SOL across Binance, Bybit, OKX, Deribit
- Show current, 24h average, and 7d average rates
- Calculate annualized funding yield
- Alert when funding exceeds configurable threshold (default: 0.1%)
US-2: Open Interest Analysis (Critical)
As a derivatives trader I want to track open interest changes by exchange and contract type So that I can gauge market positioning and trend strength
Acceptance Criteria:
- Show total OI in USD and BTC/ETH equivalent
- Display 24h, 7d, 30d OI changes
- Compare OI across exchanges (market share)
- Analyze OI vs price divergences
US-3: Liquidation Monitoring (Critical)
As a derivatives trader I want to see liquidation levels and recent liquidation events So that I can avoid cascade zones and position for liquidation-driven moves
Acceptance Criteria:
- Display liquidation heatmap with price levels
- Show recent large liquidations (>$100K)
- Calculate long/short liquidation zones
- Estimate cascade risk at key levels
US-4: Basis Tracking (High)
As a basis arbitrageur I want to see spot-futures basis across all expiries So that I can identify cash-and-carry opportunities
Acceptance Criteria:
- Calculate perpetual-spot basis (real-time)
- Calculate quarterly-spot basis with annualized yield
- Compare basis across exchanges
- Signal when basis exceeds profitability threshold
US-5: Options Flow Analysis (High)
As an options analyst I want to track unusual options activity and positioning So that I can identify smart money moves
Acceptance Criteria:
- Show large options trades (premium > $100K)
- Display put/call ratio by volume and OI
- Calculate max pain for upcoming expiries
- Analyze implied volatility levels and skew
US-6: Multi-Asset Dashboard (Medium)
As a portfolio manager I want to see derivatives metrics for multiple assets So that I can monitor my entire derivatives exposure
Acceptance Criteria:
- Support BTC, ETH, SOL, and major altcoins
- Display comparative funding rates
- Show aggregate OI across assets
- Highlight assets with extreme metrics
Functional Requirements
REQ-1: Multi-Exchange Data Aggregation
- Fetch funding rates from Binance, Bybit, OKX, Deribit, BitMEX
- Aggregate open interest across exchanges
- Support both USDT-margined and coin-margined contracts
REQ-2: Funding Rate Analysis
- Current funding rate with countdown to next payment
- Historical funding (24h, 7d, 30d averages)
- Funding arbitrage opportunities between exchanges
- Annualized funding yield calculation
REQ-3: Open Interest Analytics
- Total OI by asset and exchange
- OI change tracking (1h, 24h, 7d)
- Long/short ratio by exchange
- OI vs price divergence detection
REQ-4: Liquidation Intelligence
- Real-time liquidation tracking
- Liquidation heatmap generation
- Cascade risk estimation
- Historical liquidation analysis
REQ-5: Options Market Data
- Implied volatility by strike and expiry
- Put/call ratio tracking
- Max pain calculation
- Options flow for large trades
REQ-6: Basis Calculations
- Perpetual basis (funding-implied)
- Quarterly futures basis
- Annualized yield calculation
- Basis convergence alerts
API Integrations
| Source | Data Provided | Rate Limits |
|---|---|---|
| Binance Futures | Funding, OI, liquidations | 1200/min |
| Bybit | Funding, OI, positions | 120/min |
| OKX | Funding, OI, options | 60/min |
| Deribit | Options, funding, OI | 10K/day |
| Coinglass | Aggregated derivatives | API key required |
Success Metrics
- Data Freshness: All metrics updated within 5 seconds
- Exchange Coverage: 5+ CEX, 3+ DEX protocols supported
- Alert Accuracy: 90%+ of funding extremes detected
- User Satisfaction: Clear, actionable output format
Non-Goals
- Not executing trades or managing positions
- Not providing financial advice or guaranteed signals
- Not real-time order book depth analysis
- Not custom strategy backtesting
- Not portfolio accounting or tax reporting
Risk Considerations
Market Risks
- Funding rates can flip rapidly during volatility
- Liquidation cascades can gap through levels
- Options pricing models have limitations
Data Risks
- Exchange API outages or rate limits
- Delayed or stale data during high volatility
- Inconsistent data formats between exchanges
User Risks
- Over-reliance on signals without risk management
- Misinterpretation of complex derivatives metrics
- Leverage amplifies both gains and losses
Examples
Example 1: Funding Rate Alert
User: "What's the funding rate for BTC?"
Output:
BTC PERPETUAL FUNDING RATES
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━
Exchange Current 24h Avg 7d Avg Next Payment
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━
Binance +0.0150% +0.0120% +0.0080% 2h 15m
Bybit +0.0180% +0.0140% +0.0100% 2h 15m
OKX +0.0130% +0.0110% +0.0090% 2h 15m
Deribit +0.0200% +0.0150% +0.0120% 2h 15m
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━
Annualized: +15.77% (based on current rates)
Sentiment: Moderately Bullish
Arbitrage: None (rates aligned)
Example 2: Liquidation Analysis
User: "Where are the BTC liquidation levels?"
Output:
BTC LIQUIDATION HEATMAP
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━
Current Price: $67,500
LONG LIQUIDATIONS (below current):
$65,000: $125M at risk (HIGH DENSITY)
$62,500: $85M at risk
$60,000: $210M at risk (CRITICAL CLUSTER)
SHORT LIQUIDATIONS (above current):
$70,000: $95M at risk
$72,500: $145M at risk (HIGH DENSITY)
$75,000: $180M at risk
Last 24h Liquidations:
Longs: $45.2M | Shorts: $32.8M
Largest: $5.2M long at $66,800
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━
Version History
| Version | Date | Author | Changes |
|---|---|---|---|
| 1.0.0 | 2025-01-15 | Jeremy Longshore | Initial PRD |