Funding Calculation

Funding Fee:
F=−1∗R∗T8 hours∗B∗XF=-1*R*\frac{T}{8 \ hours} * B*XF=−1∗R∗8 hoursT​∗B∗X
F: Amount received/paid
R: 8-hour rate
B: Net position (+, -)
X: On-chain price;
T: Interval time between funding fees (8 hours)
The funding rate is updated every minute and paid on an 8-hour basis.
Funding Rate (R) Calculation:
r=Premium+clamp(IR−Premium,−D,D)r = Premium + clamp(IR-Premium, -D, D)  r=Premium+clamp(IR−Premium,−D,D)
R=clamp(r,−0.75∗Mi,0.75∗Mi)R=clamp(r, -0.75*M_{i}, 0.75*M_{i}) R=clamp(r,−0.75∗Mi​,0.75∗Mi​)
where: 
​ClampClampClamp
: Clamp(x, min, max) represents when X<min, then X=min; if x>max, then X=max; If max≥a≥minmax\ge a \ge minmax≥a≥min
,then return X.
​DDD
: A dampening factor, D=0.05%
​IRIRIR
: Interest Rate = 0.01%
​MiM_{i}Mi​
: maintenance margin rate
​PremiumPremiumPremium
: Premium Rate
Premium Rate Calculation:
We need to calculate the premium first to get the funding rate R. The premium rate is calculated every minute based on the current distribution of price in the order book:
              Premium(mins)=(Max(0, Impact Bid Price–Index Price)−Max(0,Index Price−Impact Ask Price))Index PricePremium(mins)=\frac{(Max(0, \ Impact\ Bid\ Price – Index \ Price) - Max(0, Index\  Price - Impact\ Ask\ Price)) }{Index\ Price} Premium(mins)=Index Price(Max(0, Impact Bid Price–Index Price)−Max(0,Index Price−Impact Ask Price))​
​
At the end of every 8-hour period, we first calculate the premium of each minute(Premium(mins)), and then take the arithmetic mean of the sum of Premium(mins) to get the 8-hour premium(Premium(hours)).
              Premium(hours)=mean(∑premium(mins))Premium(hours) = mean(\sum premium(mins))Premium(hours)=mean(∑premium(mins))
​
where: 
Index Price: Off-chain price, the average of the index prices of major exchanges
Impact Bid Price: Calculated based on Impact notional value (INV) of the bid-side order book
Impact Ask Price: Calculated based on the Impact notional value (INV) and the ask-side order book
Impact Notional Value(INV): A system default effective impact amount. Different trading pairs may have different INV.  Current INV is 3000Maintence Margin Rate\frac{3000}{Maintence \ Margin\  Rate} Maintence Margin Rate3000​
 
Impact Ask Price calculation:
Ask-side order book
Level
Price
Quantity
Notional Quantity
Accumulated Notional Quantity
1
​p1p_{1}p1​
​
​q1q_{1}q1​
​
​p1∗q1p_{1}*q_{1}p1​∗q1​
​
​p1∗q1p_{1}*q_{1}p1​∗q1​
​
2
​p2p_{2}p2​
​
​q2q_{2}q2​
​
​p2∗q2p_{2}*q_{2}p2​∗q2​
​
​p1∗q1+p2∗q2p_{1}*q_{1}+p_{2}*q_{2}p1​∗q1​+p2​∗q2​
​
3
​p3p_{3}p3​
​
​q3q_{3}q3​
​
​p3∗q3p_{3}*q_{3}p3​∗q3​
​
​p1∗q1+p2∗q2+p3∗q3p_{1}*q_{1}+p_{2}*q_{2}+p_{3}*q_{3}p1​∗q1​+p2​∗q2​+p3​∗q3​
​
...
...
...
...
...
n
​pnp_{n}pn​
​
​qnq_{n}qn​
​
​pn∗qnp_{n}*q_{n}pn​∗qn​
​
​∑pn∗qn\sum p_{n}*q_{n}∑pn​∗qn​
​
Find the first X level such that ∑i=1Xpi∗qi<INV<∑i=1X+1pi∗qi\sum_{i=1}^{X} p_{i}*q_{i}<INV<\sum_{i=1}^{X+1} p_{i}*q_{i}∑i=1X​pi​∗qi​<INV<∑i=1X+1​pi​∗qi​
, e.g. If the first level satisfied the condition, then the Impact Ask Price = P1P_{1}P1​
.
​
Impact Ask Price: 
INV∑i=1Xqi+INV−∑i=1Xpi∗qiPx+1\frac{INV}{\sum_{i=1}^{X}q_{i}+\frac{INV-\sum_{i=1}^{X} p_{i}*q_{i}}{P_{x+1}} }
∑i=1X​qi​+Px+1​INV−∑i=1X​pi​∗qi​​INV​
​
Impact Bid Price Calculation:
Similar to the impact ask price calculation.

Level	Price	Quantity	Notional Quantity	Accumulated Notional Quantity
1	$p_{1}$	$q_{1}$	$p_{1}*q_{1}$	$p_{1}*q_{1}$
2	$p_{2}$	$q_{2}$	$p_{2}*q_{2}$	$p_{1}q_{1}+p_{2}q_{2}$
3	$p_{3}$	$q_{3}$	$p_{3}*q_{3}$	$p_{1}q_{1}+p_{2}q_{2}+p_{3}*q_{3}$
...	...	...	...	...
n	$p_{n}$	$q_{n}$	$p_{n}*q_{n}$	$\sum p_{n}*q_{n}$

Last modified 1yr ago

Funding Calculation

Funding Fee:

Funding Rate (R) Calculation:

Impact Ask Price calculation:

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