Spike Catcher

Spike Catcher is an event-driven algorithm in Stratum, rated for Advanced users. It sits a bucket's capital aside and lends nothing during normal conditions, then commits the whole slice at a long loan length when the Bitfinex funding rate suddenly jumps. The idea is to skip ordinary rates entirely and only get paid when the market spikes.

In Stratum, a currency strategy is one container whose capital is split into allocation buckets, and each bucket runs a single algorithm on its slice. You would typically use Spike Catcher on a portion of your capital — the reserve you want held back for spikes — alongside other algorithms on the rest. To see where it fits, browse the full lineup on the strategies page.

How it works

Spike Catcher holds its slice idle and emits no offers while the rate is normal. The orchestrator never lends a gated bucket's slice, so that reserve is genuinely held back rather than resting at a low rate.

It wakes up when FRR — Bitfinex's Flash Return Rate, the platform's average funding rate — climbs above the funding book's current mid-rate (the midpoint of the best bid and best ask, which Stratum uses as the recent reference) by more than the jump threshold you set. When that spike fires, it deploys the entire slice as a single offer at a long loan length, aiming to lock in the elevated rate for as long as it tends to persist. The offer is priced at the current FRR at the moment it fires.

When to use it

  • You want to sit out normal rates and only commit capital when the market pays up.
  • You are comfortable holding a reserve that earns nothing between spikes in exchange for catching the peaks.
  • You are pairing it with other algorithms so the rest of your capital stays deployed while this slice waits.

Tradeoffs

  • Reserved cash earns nothing between spikes — that idle time is the cost of waiting.
  • A brief spike may not give offers enough time to fill, so you can miss the move you were waiting for.
  • Its return and liquidity profile is modeled as high return, low liquidity: upside concentrated in spikes, with capital locked long once it commits.

Settings

  • Jump needed to deploy (spikeThreshold, default 0.30) — how big a jump in FRR above the funding book's current mid-rate wakes the bucket up. 0.30 means a +30% jump. Higher waits for bigger spikes; lower deploys more often.
  • Loan length when it fires (targetPeriod, default 120 days) — once a spike triggers it, how many days to lock the money up for. A longer length holds the high rate for more days.

Backtesting and risk

Every Spike Catcher strategy can be backtested against real historical Bitfinex funding data, and the backtest runs the exact same algorithm code that places live offers. Backtest results are modeled, not a guarantee — they assume full-size fills and ignore order-book depth and market impact, so they are optimistic. Past performance does not predict future results.

When you lend on Bitfinex margin funding you are lending to margin traders and bear the credit risk of Bitfinex's collateral system. Stratum does not guarantee returns. Stratum is non-custodial: it places offers through your own scoped Bitfinex API key, which it verifies rejects withdrawals and trading. See the security page for how keys are handled, and the add an API key guide to get started.

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