Historical Data for Perpetual Futures: What’s Available and How to Get It

You're backtesting a funding rate arbitrage strategy that looks bulletproof on paper. Your model shows consistent profits, capturing the spread between perpetual futures and spot markets. But when you try to validate it with real historical data, you hit a wall: funding rates from six months ago are either missing, inconsistent across exchanges, or buried in proprietary formats that take weeks to parse.

This is the perpetual futures data problem. Unlike spot markets where price is price, perps carry layers of complexity like funding rates, open interest, liquidation cascades, basis differentials, that make historical analysis both more valuable and infinitely more frustrating. The traders making real money in this space aren't just better at reading the tape; they have better tape to read.

The Perpetual Futures Data Stack

Perpetual futures aren't just leveraged spot trading. They're a complex financial instrument with multiple data streams that interact in ways that can make or break your strategy.

Core Data Components

• Price/OHLCV: The basic building blocks, but with leverage-induced volatility
• Funding Rates: The mechanism that keeps perps anchored to spot (usually)
• Open Interest: The total notional value of all open positions
• Liquidation Data: Force-closed positions that create cascading effects
• Basis/Premium: The spread between perp and spot prices
• Volume Profile: How much trading happens at each price level

The Timing Problem

Unlike spot markets that trade continuously, perp data has temporal complexity:

• Funding settlements: Every 8 hours (typically)
• Mark price calculations: Continuous, but updated every second
• Liquidation events: Instant, but with delayed reporting
• Open interest updates: Real-time, but with exchange-specific delays

How Perpetual Futures Stay Anchored to Spot: The Role of Funding Rates

In traditional futures markets, price convergence is guaranteed by a fixed expiry date, contracts settle, and any difference from spot disappears. But in crypto perpetual futures, there’s no expiry. So what keeps the price from drifting endlessly?

The answer: funding rates.

Perpetual futures use a recurring fee mechanism, typically every 8 hours, where one side of the market pays the other. If the perpetual contract is trading above spot, longs pay shorts. If it's below spot, shorts pay longs. This fee creates a financial incentive to arbitrage price gaps, pulling the perpetual back toward the spot price.

“Perps don’t converge on expiry, they stay glued to spot thanks to funding rates. That’s the anchor mechanism.”

Why This Matters for Strategy Design

Many perpetual futures strategies like basis trades, market-neutral arbitrage, liquidation hunting depend on understanding funding rate dynamics. But most exchanges either don't expose historical funding data, or deliver it in fragmented, inconsistent formats.

That’s where CoinAPI helps: with normalized funding rates, open interest, and basis data from 15+ major exchanges, available via REST and WebSocket APIs, with consistent timestamps and schema across venues.

You don’t just theorize about funding rate dislocations; you can backtest them across multiple venues, in clean, timestamp-aligned datasets.

What Quants Get Right About Perpetual Futures

Understanding perpetual futures data isn’t just about fetching funding rate values; it’s about knowing why those numbers matter for strategy design and risk modeling.

At the core of every perpetual contract is a simple but powerful mechanism: funding rates. These periodic payments (usually every 8 hours) are exchanged between longs and shorts, depending on where the perp price is relative to spot. If the perp trades above spot, longs pay shorts. If it trades below, shorts pay longs.

Think of it as a gravity field, not a hard tether, but a subtle force pulling the perpetual price back toward the spot price over time. The bigger the deviation, the stronger the incentive for arbitrageurs to step in.

This funding mechanism creates opportunities. For example, during high-volatility events, funding rates often spike:

1"binance": "-0.0125",
2"bybit": "-0.0134",
3"okx": "-0.0118",
4"dydx": "-0.0156"

These sharply negative funding rates reflect an extreme short bias in the market. Traders holding spot and shorting the perp (a common neutral arbitrage setup) can earn substantial funding income, but only if they have the data to monitor and backtest these conditions reliably.

Why Clean Historical Data Matters

Many platforms offer limited or inconsistent historical coverage. Timestamp misalignment, symbol mismatches, and rate-limit issues can make serious analysis nearly impossible.

That’s where CoinAPI comes in.

With CoinAPI, you get:

• Normalized funding rates across 15+ exchanges
• Timestamp-aligned, backtestable data
• Flat files and API access for both historical and real-time monitoring
• Supplementary context, like open interest, basis spreads, and liquidation data

You can test how often funding rate divergence opens arbitrage windows. You can model how perp-spot basis shifts under stress. And you can simulate carry trades using real cost-of-holding data, not assumptions.

Funding rates aren’t just a side metric. They’re the heartbeat of the perpetual market. If your strategy depends on them, your data better be clean.

Why Perpetual Futures Became the Standard”

Perpetual contracts have become the default trading instrument for most crypto derivatives traders. Unlike traditional futures, they never expire, allowing positions to be held indefinitely, without the need to roll forward.

They also dominate volume. Exchanges like Binance and Bybit routinely see billions in daily perp volume across BTC, ETH, and altcoin pairs. And thanks to leverage, 24/7 access, and flexible position sizing, perps attract not just institutions, but also a massive cohort of high-frequency traders, arbitrageurs, and directional speculators.

But their popularity also makes them more complex.

Perpetuals introduce mechanics like:

• Funding rates to anchor the contract to the spot
• Liquidation engines that trigger forced exits
• Basis premiums that fluctuate with demand
• Volatility spikes that impact open interest and margin usage

To build robust strategies around these markets—whether it’s funding arbitrage, basis trading, or liquidation tracking—you need more than just price charts. You need complete historical datasets, including:

• Timestamped funding rates
• Open interest over time
• Perp-spot basis spreads
• Liquidation clusters
• Minute-by-minute OHLCV for each contract

That’s where CoinAPI steps in.

Interpreting Funding Rates Like a Trader

Funding rates aren’t just an alignment mechanism between perp and spot; they’re also a real-time sentiment gauge. When funding goes deeply positive, it often signals excessive long positioning. When it turns sharply negative, it reflects overcrowded shorts.

Here’s what traders look for:

• Positive funding = longs are dominant → Can indicate bullish conviction, or market overheating.
• Negative funding = shorts are dominant → Often appears during panic or downtrends, and sometimes reversals.

That’s why funding rate history isn’t just helpful for backtesting execution—it’s useful for building sentiment-aware models. With CoinAPI’s historical funding data, you can:

• Spot periods of extreme market imbalance
• Simulate funding arbitrage yield across time
• Overlay funding shifts with price moves, open interest, and liquidation activity

Even without a chart, a single line of data like this…

1json
2
3"2024-06-15T16:00:00Z": {
4  "binance": "-0.0156"
5}
6

…tells you the market was heavily short, and that conditions may have been ripe for a reversal—or at least, for yield-seeking arbitrage setups.

Why Perpetual Futures Offer More Than Just Leverage

Spot trading lets you buy low and sell high. But in the world of perpetual futures, you’re operating on a richer set of mechanics and more opportunities.

Perpetuals introduce layers like:

• Funding rate asymmetries: Earn or pay yield depending on market skew
• Open interest dynamics: Track positioning and leverage buildup
• Liquidation events: Time entries around forced moves
• Perp-spot basis: Trade price dislocations and mean reversion

This is why many advanced traders, market makers, and quant desks favor perpetuals. There’s more noise, but also more signal, if you know where to look.

With CoinAPI’s historical data platform, you can:

• Backtest funding rate arbitrage strategies across multiple exchanges
• Analyze open interest shifts leading into price spikes
• Monitor how liquidation clusters propagate across volatile ranges
• Study how the perp-spot basis behaves around macro events

These aren’t theoretical ideas—they’re strategies that play out daily. But to build them, validate them, and automate them, you need structured, timestamped, normalized data. CoinAPI gives you that infrastructure, whether you're building a research dashboard or a live algo.

What CoinAPI Offers for Perpetual Futures

CoinAPI provides real-time and historical market data for perpetual futures from dozens of centralized and decentralized exchanges. It delivers this information through a unified schema, making it easy to work with across venues, symbols, and timeframes, without manually stitching APIs.

Here’s what you can access today through CoinAPI’s Metrics API, Market Data API, and Symbol Reference Data:

1. Funding Rate Data

• Real-time funding rates via DERIVATIVES_FUNDING_RATE_CURRENT
• Historical funding rates via /v1/metrics/symbol/history
• Predicted funding rates via DERIVATIVES_FUNDING_RATE_PREDICTED (where supported)

Use case: Backtesting funding arbitrage, monitoring premium/discount shifts, building funding-based signals.

2. Mark Price and Index Price

• Mark price: DERIVATIVES_MARK_PRICE
• Index price: DERIVATIVES_INDEX_PRICE (when available from the exchange)

Use case: Building liquidation models, tracking fair value, and analyzing price divergence from spot.

3. Open Interest (Supported on Select Exchanges)

While not universally supported, CoinAPI does offer open interest data via the Metrics API for the following exchanges:

• DERIBIT
• BYBIT
• HBDM
• HUOBIFTS
• KRAKENFTS
• EXTENDED

Metric ID: DERIVATIVES_OPEN_INTEREST

Use case: Measuring market conviction, detecting position buildup/unwind, enhancing basis or momentum filters.

4. Liquidation Metrics (Not Liquidity)

CoinAPI provides select liquidation-related metrics, not general liquidity measures like depth or slippage. Supported liquidation metrics include:

• LIQUIDATION_AVERAGE_PRICE
• LIQUIDATION_ORDER_STATUS

Liquidation data availability can vary by exchange and period. Some venues report liquidations irregularly or in batches, so for accurate modeling, always validate timestamps and fill density before relying on it for backtests.

Use case: Mapping liquidation events, visualizing forced unwind areas, and modeling systemic risk during crashes.

Note: CoinAPI does not currently provide liquidity metrics such as full order book depth or order imbalance.

5. OHLCV (Candlestick) Data

• Available for perpetual contracts at 1m, 5m, 1h, 1d granularities
• Includes open, high, low, close, and volume
• You can also retrieve the most recent OHLCV snapshot using: GET /v1/ohlcv/{symbol_id}/latest?period_id=1MIN

This is useful for real-time charting dashboards, current volatility screens, or syncing price/volume feeds with WebSocket data.

Each OHLCV candle also includes traded volume, which is essential for building custom volume profiles, tracking participation, or measuring exhaustion during trend moves.

Use case: Building price charts, running TA indicators, feeding backtests with clean time series.

6. Quote-Level (L1) Market Data

• Real-time best bid/ask quotes via /v1/quotes/current
• Can also be streamed via WebSocket
• Timestamps aligned across venues

Use case: Monitoring spreads, pricing latency-sensitive trades, and tracking market microstructure.

7. Perpetual Contract Metadata

• Full list of supported perp contracts via /v1/symbols
• Includes:
  • Symbol type
  • Base/quote assets
  • Contract unit size
  • Precision
  • Start/end date of available historical data
  • Volume statistics (1h, 1d, 1m)

8. Real-Time Streaming with WebSocket APIs

CoinAPI provides two WebSocket options for streaming perpetual futures data:

Example: Stream real-time bid/ask quotes across perps:

1javascript
2
3wss://ws.coinapi.io/v1/
4subscribe = {
5  "type": "hello",
6  "apikey": "YOUR_API_KEY",
7  "heartbeat": false,
8  "subscribe_data_type": ["quote"],
9  "subscribe_filter_symbol_id": ["BINANCEFTS_PERP_BTC_USDT"]
10}

9. Symbol Discovery by Type or Exchange

Use /v1/symbols With filters to find all perpetual contracts across exchanges.

Example:

1GET /v1/symbols?filter_symbol_id=PERP_BTC

Or:

1GET /v1/symbols?filter_exchange_id=BYBIT&filter_symbol_id=PERP

This helps you dynamically fetch only symbols you can trade or backtest.

10. Metric Cheat Sheet: What You Can Query

You can retrieve current or historical values for any of these metric IDs using:

1GET /v1/metrics/symbol/current
2GET /v1/metrics/symbol/history

Supported metric IDs for perpetual futures:

Example query:

1GET /v1/metrics/symbol/history?metric_id=DERIVATIVES_OPEN_INTEREST&symbol_id=BYBIT_PERP_ETH_USDT&period_id=1HRS

11. REST vs WebSocket: Which to Use?

What CoinAPI Does Not Currently Offer for Perpetuals

• Open interest for all exchanges (limited to those listed above)
• Position-level data (e.g., trader-specific margin or leverage)
• Realized funding payments per account
• Margin thresholds, liquidation engine logic
• Liquidity metrics (e.g., market depth snapshots, order book slope)

Summary Table

Practical Use Cases: When Historical Perp Data Matters

Funding Rate Arbitrage

Track funding rates across multiple exchanges—such as Binance, Bybit, and OKX—at the same 8-hour intervals. By comparing these side-by-side, you can identify moments when the spread between the highest and lowest funding rates exceeds a meaningful threshold (e.g., 0.01%). These dislocations often point to arbitrage opportunities for delta-neutral traders looking to capture positive carry.

You can retrieve historical funding rates via the DERIVATIVES_FUNDING_RATE_CURRENT metric using the /v1/metrics/symbol/history endpoint.

Liquidation Level Analysis

Historical liquidation data can help identify price levels where forced selling occurred, often clustering around local highs and lows. By collecting LIQUIDATION_AVERAGE_PRICE data over a period (e.g., 30 days), you can group prices into buckets and quantify where large liquidations were concentrated.

These zones often act as “magnet levels” in future trading behavior, useful for stop placement and sizing.

Basis Trading Strategy

To model the basis (the spread between the perpetual contract and the spot index), you can retrieve both DERIVATIVES_MARK_PRICE and DERIVATIVES_INDEX_PRICE for the same symbol and time period.

Subtract the index price from the mark price to calculate the basis. Then compute how far current values deviate from their historical mean. This allows for mean-reversion signals when the basis deviates significantly, e.g., beyond ±2 standard deviations.

Risk Management with Open Interest

Open interest can signal crowd positioning and leverage buildup. By retrieving DERIVATIVES_OPEN_INTEREST over time and pairing it with mark price data, you can calculate an open interest-to-price ratio.

Periods when this ratio spikes above historical norms may indicate overheated market conditions—useful for de-risking, hedging, or sizing adjustments.

Note: Open interest data is only available on select exchanges via CoinAPI. Check symbol availability with /v1/metrics/symbol/listing.

What You Can Do Tomorrow

For Quant Developers: Download sample perpetual futures data from CoinAPI's historical endpoints. Start with BTC/USDT funding rates across Binance, Bybit, and OKX to validate your normalization logic.

For Systematic Traders: Use the WebSocket API to build a real-time funding rate monitor. Track when rates diverge across exchanges by more than 0.1% - these are your arbitrage entry signals.

For Risk Managers: Implement open interest monitoring across your perpetual positions. Use the historical OI data to establish baseline leverage ratios and set alerts when the market becomes overleveraged.

For Researchers: Access the complete liquidation dataset to study market microstructure. Analyze how liquidation cascades propagate across exchanges and price levels.

Ready to build strategies based on complete, normalized perpetual futures data instead of fighting with exchange APIs? Start with CoinAPI's free tier that includes access to historical funding rates and open interest data, or explore the full documentation to see exactly what's available for your backtesting needs.

The edge isn't in the strategy; it's in having the complete dataset to validate it.

Build Smarter with Perpetual Futures Data

Clean, normalized access to perpetual futures data is essential for serious strategy development, and CoinAPI makes it easy.

• Query historical funding rates, open interest, and mark/index prices
• Stream real-time quotes and metrics via WebSocket
• Skip the headaches of fragmented exchange APIs

→ Explore the full API reference at docs.coinapi.io

Start building with perpetual futures data that’s ready for quant models, dashboards, and real-time systems.