OPEN-SOURCE SCRIPT
Funding Rate for FTX:BTCPERP (estimated) v0.1
Updated
Original credits goes to @Hayemaker, and NeoButane for the TWAP portions of this script
By davewhiiite, 2021-03-27
Version 0.1
Summary: The funding rate is the interest charged / credited to a perpetual futures trader for taking a long or short position. The direction of the funding rate is used as an indicator of trader sentiment (+ve = bullish; -ve = bearish), and therefore useful to plot in real time.
The FTX exchange has published the calculation of their funding rate as follows:
TWAP((future - index) / index) / 24
The formula here is the same, but expresses it in the more common % per 8hr duration:
funding = TWAP((future / index) - 1) * (8 / 24) * 100
For reference: future refers to the FTX bitcoin futures contract price (FTX:BTCPERP) and index is the spot price of bitcoin on the exchange (FTX:BTCUSD)
Additional notes:
By davewhiiite, 2021-03-27
Version 0.1
Summary: The funding rate is the interest charged / credited to a perpetual futures trader for taking a long or short position. The direction of the funding rate is used as an indicator of trader sentiment (+ve = bullish; -ve = bearish), and therefore useful to plot in real time.
The FTX exchange has published the calculation of their funding rate as follows:
TWAP((future - index) / index) / 24
The formula here is the same, but expresses it in the more common % per 8hr duration:
funding = TWAP((future / index) - 1) * (8 / 24) * 100
For reference: future refers to the FTX bitcoin futures contract price (FTX:BTCPERP) and index is the spot price of bitcoin on the exchange (FTX:BTCUSD)
Additional notes:
- Probably best to add to the indicator to a new pane, or as secondary axis
- Plot this in combination with FTX:BTCPERP or FTX:BTCUSD, or chart of your choice to complement your bitcoin dashboard
- Compare to funding rates published on ViewBase
- questions? Ask me!
Release Notes
This is my official set of updates to the funding script. I hope it proves much more visually appealing, and useful. Updates:- Used step plot to show that funding changes each hour
- Added a zero line for reference. You can actually add alert now for when zero-crossing occurs (use at own risk!)
- Default values updated for better accuracy; funding should now be viewed on hourly timeframe, with 1m/1hr resolution setting.
Release Notes
2021-04-19 UPDATE: Now you can change ticker symbols to use with other exchanges. CAUTION(!): I HAVE NOT TESTED ANY OF THESE PAIRS FOR CORRECTNESS. Please also note that this will calculate funding using FTX's formula--so it's not guaranteed to be a "true" or even good measurement of the actual funding rate at your respective exchange. Please compare, and use your own discretion--this is just a jumping off point for your own creativity and analysis!Add'l exchange pairs (exchange / perp symbol / spot symbol):
FTX / FTX:BTCPERP / FTX:BTCUSD
BINANCE / BINANCE:BTCUSDTPERP / BINANCE:BTCUSDT
OKEX / OKEX:BTCUSDTPERP / OKEX:BTCUSDT
HUOBI / HUOBI:BTCPERP / HUOBI:BTCUSDT (! This pair seems visibly *incorrect*)
Release Notes
Added a tickbox to select between displaying a 1hr funding plot and/or an 8hr plot.Release Notes
Small fix to ensure that precision is set to 4 by default. Before, it had low precision and the values/axes just looked like zeros.Open-source script
In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in publication is governed by House rules. You can favorite it to use it on a chart.
Disclaimer
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