davewhiiite

Funding Rate for FTX:BTCPERP (estimated) v0.1

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:
  • 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!
リリースノート: 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.
リリースノート: 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*)
リリースノート: Added a tickbox to select between displaying a 1hr funding plot and/or an 8hr plot.
リリースノート: 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.
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コメント

Dude, this is good stoff.
But can we get funding rates chart for BINANCE/BITMEX/FTX/HUODY in ONE (!) multi-indicator ??? This would be awesome. or is there any already existing??
Regards
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davewhiiite Efremov4D
@Efremov4D, hey this is a very good idea. I bet I could create a drop-down that would allow you to toggle between the different exchanges. Definitely for FTX, Binance, Mex. I don't know about other ones, but ultimately all that is needed is the Trading View tickers for 1. the perp contract (ex: FTX:BTCPERP) and 2. the spot price (ex: FTX:BTCUSD). If you have any of these pair names, paste them here and I'll look to add them to an updated version of the indicator. Cheers
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davewhiiite Efremov4D
@Efremov4D, added the possibility to try other exchange pairs. No promises of accuracy, but maybe you can tune it to get what you want. Cheers!
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Haha apparently I didn't publish this according to the exacting rules of the community--I swear I tried. Doesn't look like you can edit something after publishing?

Upgrades:

- The plot look a little cleaner using linewidth = 1 and a step line. Substitute the following:
plot(funding, "FUNDING", orange, linewidth=1, transp=0, style=stepline)

- Also, since funding is probably calculated each hour, you might want to keep the dropdown option "Resolution for Funding Interval" set to 1h. For a more continuous or dynamic calculation of what the funding should be, select "same as chart" from the dropdown, and use a shorter timeframe.
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