Perpetual Futures have no expiry or delivery, and anchors the futures price to the spot price by using the "Funding Mechanism".
Perpetual Futures are settled every 8 hours at the end of each period. There are three periods in total, which are 00: 00-8: 00, 8: 00-16: 00, 16: 00-00:00 (+1). The settlement time is 8:00 for the first period, 16:00 for the second period; 00:00 for the third period. The above are GMT+8 time.
Only users who hold positions at the settlement have to pay or receive funding; Users whose positions have been closed before the settlement are not required to pay or receive funding.
At the settlement, whether a user should receive or pay funding depends on the funding rate of the current period and the positions of the user. If the funding rate is positive, users with long positions should pay funding to users with short positions; if the funding rate is negative, users with short positions should pay funding to users with long positions.
Funding is a payment between users. we do not charge any funding from users.
Funding Rate Calculation
The funding rate is composed of interest rate and a premium.
1. Interest Rate:
interest rate = (denominated currency interest rate – underlying currency interest rate) / Funding settlement frequency
- Underlying currency interest rate: The daily lending rate of the underlying currency in the market.
- Denominated currency interest rate: The daily lending rate of the denominated currency in the market.
Currently, the denominated currency interest rate is 0.06% and the underlying currency interest rate is 0.03% for all swaps, and the settlement frequency is 8 hours (3 times per day). Therefore, the current comprehensive interest rate of all perpetual swap is 0.01%.
2. Premium:
a. Premium index
The premium index reflects the current premium situation caused by the combination of funding rate basis rate and the deviation of the depth buy/sell price from the fair price.
Premium Index = [Max(0, Depth-Weighted Bid Price - Index Price) - Max(0, Index Price - Depth-Weighted Ask Price)] / Index Price;
b. Funding Rate Of Next Period
Funding Rate Of Next Period = Premium index + Clamp(Interest Rate - Premium index, -0.05%, 0.05%)
Among them, clamp is an interval-limited function. When the target value exceeds the upper and lower limits, only the boundary value is taken. For example, clamp (a, max, min), the result is max when a > max; the result is a when a < min.
The Margin Impact Amount is the amount of currency that can be traded using a margin of 0.1 BTC ( 0.1 BTC / initial Margin Ratio), which is used to determine the depth of the calculation of the weighted bid/ask price.
symbol | initial margin radio | set margin value | The Margin Impact Amount |
BTC- perpetual futures | 1% | 0.1BTC | 0.1BTC / 0.01=10BTC |
c. Funding rate basis rate
Funding rate basis rate reflects the basis difference generated by the funding in current period.
Funding rate basis rate = Current-period funding rate * (Time interval from current time to current-period settlement time / Settlement cycle)
If the current-period the funding rate of BTC-USDT swaps is 0.01%, the current time is 12:00, and the current-period settlement time is 16:00, meaning there are 4 hours to the settlement, and the settlement cycle is 8 hours (settled every 8 hours), then the current funding rate basis rate = 0.01% * ( 4 / 8 ) = 0.005%.
DigiFinex communities
Telegram Activity Airdrop:https://t.me/DigiFinexAirdrop365
Telegram Official Community:https://t.me/DigiFinexEN
Telegram AMA Community: https://t.me/DigiFinexAMA
Official Twitter: https://twitter.com/digifinex
Official Facebook:https://www.facebook.com/digifinex.global
Official Instagram:https://www.instagram.com/digifinex.global
Official Medium: https://medium.com/@digifinex
Official Reddit: https://www.reddit.com/user/DigiFinex/
Comments
0 comments
Article is closed for comments.