perp funding basis analyzer

The problem

Attributing P&L in basis trades is difficult due to the mixing of spot price movement, perpetual mark prices, and realized funding cash flows. Manual reconciliation often fails to distinguish between unrealized mark P&L and actual cash-in-hand funding payments.

What it does

• Normalizes linear spot and perpetual quantities into unified underlying units and quote currencies.
• Separates mark P&L from realized account P&L, including signed funding cash flows and borrowing costs.
• Calculates residual hedge quantities to identify delta leakage in delta-neutral positions.
• Runs basis-only scenarios to model P&L sensitivity to perpetual price shocks relative to fixed spot.
• Identifies missing records and unresolved discrepancies between helper calculations and statement data.

Why this beats prompting it yourself

General-purpose LLMs struggle with the precise arithmetic required for signed funding flows and often hallucinate annualized yields from small samples. This skill enforces a strict normalization workflow and prevents the common mistake of treating quoted rates as realized cash.

Use cases

• Reconciling monthly funding payments against spot/perp basis trade performance.
• Auditing delta-neutral portfolios for residual exposure after quantity adjustments.
• Stress testing basis positions against perpetual mark price deviations.
• Identifying specific fee or borrowing cost drains on a carry trade.

Known limitations

Supports linear contracts only. Inverse and quanto contracts are rejected. No live market feeds or automated execution.