name: croc-strategy
description: >-
CROC — Funding rate arbitrage. Scans all assets for extreme funding rates and enters against
the crowd to collect funding payments while positioning for the mean-reversion snap.
Min 20% annualized funding. Trend confirmation optional. DSL High Water Mode (mandatory).
15-minute scan interval. The patient ambush predator.
license: MIT
metadata:
author: jason-goldberg
version: "1.0"
platform: senpi
exchange: aftermath

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.

On Aftermath, initial SL is set inline with the entry order via the slTp field. DSL cron handles trailing updates only.

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.

Aftermath Funding Rate Integration

CRITICAL: Do NOT use estimatedFundingRate from ticker/market endpoints. On Aftermath it is 12.5x inflated versus real settlement.

Use /api/perpetuals/all-markets and compute:

const ratePerPeriod = market.marketState.premiumTwap / market.indexPrice; // per 8h
const annualizedPct = Math.abs(ratePerPeriod) * 3 * 365 * 100;
const dailyFundingIncomeUsd = Math.abs(ratePerPeriod) * positionSizeUsd * 3;

• Entry threshold mapping: 20% annualized means abs(premiumTwap / indexPrice) >= 0.000183 per 8h period
• Funding direction should come from the sign of premiumTwap (or ratePerPeriod), not from estimatedFundingRate

Entry Requirements

DSL Configuration

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

Risk Management

Cron Architecture

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

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

Files

License

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