This project identifies arbitrage opportunities between the spot and futures prices of stocks and indices based on the cost-of-carry model. If the spread between the futures market price and the fair value exceeds a threshold, the system provides a Buy Spot / Sell Futures or Sell Spot / Buy Futures signal.

Fair Value (Futures) = Spot Price × [1 + (rf × x / 365)] – d

Where:

• rf: Risk-free interest rate (auto-fetched from RBI or fixed at fallback 8.35%)
• x: Number of days to expiry
• d: Expected dividend

• 📡 Live spot price fetch for stocks and indices via Yahoo Finance (yfinance)
• 📉 Futures price simulated or fetchable via NSE (extendable)
• 🔄 Auto fetches 91-day T-Bill yield from RBI website
• ✅ Streamlit frontend for live trade signals
• 🚀 FastAPI backend API for calculation logic
• 📦 Modular backend utility structure
• 🔔 Live arbitrage signal if spread > threshold

• Backend: FastAPI (Python)
• Frontend: Streamlit
• Data Source: yfinance, RBI site
• Other Tools: BeautifulSoup, Requests, CORS

spot-futures-arbitrage/

├── backend/

├── app.py

├──utils/

├── fair_value.py

├── scraper_rbi.py

└── nse_fetcher.py

├── frontend/

└── streamlit_app.py

├── requirements.txt

git clone https://github.com/yourusername/spot-futures-arbitrage.git
cd spot-futures-arbitrage

pip install -r requirements.txt

uvicorn backend.app:app --reload

streamlit run frontend/streamlit_app.py

✅ Replace dummy futures with live NSE futures (web scraping / APIs)

📊 Add chart of spreads over time

📥 Export signal data to CSV/Excel

☁️ Deploy on Render / Heroku

Patel Dev Dharmesh

LinkedIn • GitHub