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What you'll build

A script that fetches spot prices from Binance and futures prices from Binance Futures via Kwery, computes the annualized basis, and identifies when the spread is historically wide or narrow.

Prerequisites

  • A Kwery API key (get one here)
  • Python 3.10+
  • requests, pandas, and numpy installed

Outline

  1. Fetch spot price data
  2. Fetch futures price data
  3. Compute the basis spread
  4. Annualize and analyze the spread
  5. Generate signals based on z-score

Step 1 — Fetch spot prices

Pull the current spot price using /v1/binance/spot/{symbol}/ticker.

curl "https://kwery-api.com/v1/binance/spot/BTCUSDT/ticker?api-key=YOUR_KEY"

Section coming soon — will include Python code to collect spot prices over time.

Step 2 — Fetch futures prices

Pull the corresponding futures price using /v1/binance/futures/{symbol}/ticker.

curl "https://kwery-api.com/v1/binance/futures/BTCUSDT/ticker?api-key=YOUR_KEY"

Section coming soon.

Step 3 — Compute the basis

Calculate the raw basis as (futures_price - spot_price) / spot_price.

Section coming soon.

Step 4 — Annualize and analyze

Annualize the basis using days-to-expiry (for dated futures) or a rolling window. Compute a historical distribution.

Section coming soon.

Step 5 — Generate z-score signals

Flag when the annualized basis z-score exceeds a threshold, indicating a mean-reversion opportunity.

Section coming soon.

Next steps

  • Add Hyperliquid futures via /v1/hyperliquid for cross-venue basis comparison
  • Build an automated alert system
  • Extend to multiple pairs for portfolio-level basis monitoring