CROC — Funding Rate Arbitrage

Still waters. Collects funding payments while waiting for the snap.

What CROC Does

Every 15 minutes, CROC scans all assets for extreme funding rates. When funding is deeply positive (crowd is aggressively long), CROC goes short to collect the funding payments. When funding is deeply negative (crowd is aggressively short), CROC goes long. The edge is twofold: collect funding income hourly while positioning for the inevitable mean-reversion snap when the crowd unwinds.

MANDATORY: DSL High Water Mode

CROC MUST use DSL High Water Mode. This is not optional.

Spec: https://github.com/Senpi-ai/senpi-skills/blob/main/dsl-dynamic-stop-loss/dsl-high-water-spec%201.0.md

When creating DSL state files, you MUST include:

{
  "lockMode": "pct_of_high_water",
  "phase2TriggerRoe": 8,
  "tiers": [
    {"triggerPct": 8,  "lockHwPct": 25, "consecutiveBreachesRequired": 3},
    {"triggerPct": 15, "lockHwPct": 45, "consecutiveBreachesRequired": 2},
    {"triggerPct": 25, "lockHwPct": 65, "consecutiveBreachesRequired": 2},
    {"triggerPct": 40, "lockHwPct": 85, "consecutiveBreachesRequired": 1}
  ]
}

FALLBACK: Use tiersLegacyFallback from config until engine supports pct_of_high_water.

IMPORTANT: Do NOT use momentum DSL rules on funding arb trades. Momentum rules (15-min weak peak, 30-min hard timeout) will kill funding trades that need hours to play out. All time exits must be disabled. Funding trades exit on structural invalidation (funding flips) or DSL trailing, not clocks.

Entry Requirements

Signal	Requirement
Funding annualized	≥ 20% (GATOR variant uses 120%)
Min score	4
OI (USD-weighted)	≥ $5M
Trend confirmation	Optional (booster, not required)

DSL Configuration

Setting	Value
Floor base	2% notional
Time exits	All disabled — funding trades need hours
Phase 2 trigger	+8% ROE (slower than momentum)
Stagnation TP	8% ROE stale 60 min

Phase 1 wider than momentum skills because funding arb absorbs larger drawdowns subsidized by yield.

Risk Management

Rule	Value
Max positions	3
Max entries/day	6
Daily loss limit	8%
Max drawdown	20%
Max single loss	5%

Cron Architecture

Cron	Interval	Session	Purpose
Scanner	15 min	isolated	Funding rate scan
DSL v5	3 min	isolated	High Water Mode trailing

Notification Policy

ONLY alert: Position OPENED (asset, direction, funding rate, annualized %), position CLOSED, risk triggered, critical error. NEVER alert: Scanner found nothing, DSL routine, any reasoning. All crons isolated. NO_REPLY for idle cycles.

Bootstrap Gate

Check config/bootstrap-complete.json every session. If missing: verify MCP, create scanner + DSL crons, write completion file, send: "🐊 CROC is online. Scanning for extreme funding. Silence = no extremes."

Optional: Trading Strategy Variant

Strategy	What Changes	When To Consider
GATOR	120% min funding, structural thesis exits (funding flip = exit), no time exits, funding income tracking	When you want only absolute extremes and structural exits instead of any time-based logic

Start with vanilla CROC for broader funding opportunities. GATOR is for maximum patience on maximum extremes.

Files

File	Purpose
`scripts/croc-scanner.py`	Funding rate scanner
`scripts/croc_config.py`	Shared config, MCP helpers
`config/croc-config.json`	All configurable variables

License

MIT — Built by Senpi (https://senpi.ai). Source: https://github.com/Senpi-ai/senpi-skills

croc-strategy