Why is the Funding Rate important?
-
BloFin perpetual contracts force the convergence of the market price of perpetual contracts to the underlying asset through a funding fee mechanism.
-
The funding fee is charged when the user holds a position. As funding rates are periodic payments, if the position is closed before the fee is charged, no funding fee is payable.
Settlement of Funding Fees
Rules
-
Funding Fees = Nominal Value of Positions * Funding Rate
-
When the funding rate is positive, long pays short;
-
When the funding rate is negative, short pays long;
-
Settlement time
- 00:00 UTC+8, 08:00 UTC+8, 16:00 UTC+8
|
Periodic (hours)
|
Settlement time (UTC) |
| 8 | 0, 8, 16 |
| 4 | 0, 4, 8, 12, 16, 20 |
| 2 | 0, 2, 4, 6, 8, 10, 12, 14, 16, 18, 20, 22 |
| 1 | 0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23 |
Note: The actual fee assessment might span a minute. For example, when a trader opens a position at 00:00:20 UTC+8, the funding fee could still apply to the trader (either collecting or distributing the funding fee) if the fee assessment has yet to end. The funding fee settlement timing may be adjusted in real time according to market conditions.
Calculation of Funding Fees
1) Funding Rate = clamp (Funding Rate (F) , lower, upper)
-
The upper and lower limits are set by the platform according to risk management.
2) Funding Rate (F) = P + Clamp ( I - P, -0.05%, 0.05%)
-
Avg. Premium Index P(N) = (1*P_1 + 2*P_2 + 3*P_3 +···+ n*P_N) / (1 + 2 + 3 +···+N)
-
Interests( I ): The difference is stipulated to be 0.03% per day
-
Premium Index (P) = [Max(0,Impact Bid Price - Index Price) - Max(0,Index Price - Impact Ask Price)] / Index Price
-
P_n = (Max(0, bp_n - ip_n) - Max(0, ip_n - ap_n)) / ip_n
-
|
Sequence
|
Impact Bid Price
|
Impact Ask Price
|
Index Price
|
Premium Index
|
|
1
|
bp_1
|
ap_1
|
ip_1
|
(Max(0, bp_1 - ip_1) - Max(0, ip_1 - ap_1)) / ip_1
|
|
2
|
bp_2
|
ap_2
|
ip_2
|
(Max(0, bp_2 - ip_2) - Max(0, ip_2 - ap_2)) / ip_2
|
|
...
|
...
|
...
|
...
|
...
|
|
n
|
bp_n
|
ap_n
|
ip_n
|
(Max(0, bp_n - ip_n) - Max(0, ip_n - ap_n)) / ip_n
|
-
Impact Bid Price bp : The average fill price to execute the Impact Margin Notional on the Bid Price
-
Impact Ask Price ap : The average fill price to execute the Impact Margin Notional on the Ask Price
For example，how to calculate the impact bid price：
-
Assume the following Bid-side order book:
|
Level
|
Price
|
Base Quantity
|
Quote Notional Quantity
|
Accumulated Quote Notional Quantity
|
|
1
|
p1
|
q1
|
multiplier*p1*q1
|
multiplier*p1*q1
|
|
2
|
p2
|
q2
|
multiplier*p2*q2
|
multiplier*p1*q1+multiplier*p2*q2
|
|
3
|
p3
|
q3
|
multiplier*p3*q3
|
multiplier*p1*q1+multiplier*p2*q2+multiplier*p3*q3
|
|
…
|
…
|
…
|
…
|
…
|
|
n
|
pn
|
qn
|
multiplier*pn*qn
|
multiplier*∑pn*qn
|
-
If multiplier *∑px*qx > IMN in Level x and multiplier * ∑px-1*qx-1 < IMN in Level x-1, then we can find the Impact Bid Price from the Level x order book:
-
Impact bid price = IMN / [(IMN-multiplier *∑p(x-1)*q(x-1))/px + multiplier * ∑q(x-1)]
-
IMN: Impact Margin Notional
-
multiplier * ∑q(x-1) 为:The amount fully filled at the Level X
-
IMN-multiplier *∑p(x-1)*q(x-1))/px 为: The amount partially filled at the Level X
-
-
If multiplier * ∑px-1*qx-1 < IMN in Level x-1, then we can find the Impact Ask Price from the Level x order book, where the order book is insufficient:
-
Impact bid price = multiplier*∑p(x-1)*q(x-1) / ∑q(x-1)
-
multiplier*∑p(x-1)*q(x-1): Actual Turnover
-
∑q(x-1): The amount fully filled at the Level X
-
multiplier is set by the platform according to market conditions
-
-