cumulative-futures-funding-rate.md

Cumulative Futures Funding Rate

Definition

The cumulative funding rate is the total funding rate that would be accumulated by contract holders over a specified time period.

Name	MetricID	Category	Subcategory	Type	Unit	Interval
Funding rate, cumulative, futures, USD-margined, 1 day	futures_cumulative_funding_rate_usd_margin_1d	Market	Futures	Percentage	Dimensionless	1 hour
Funding rate, cumulative, futures, USD-margined, 7 days	futures_cumulative_funding_rate_usd_margin_7d	Market	Futures	Percentage	Dimensionless	1 hour
Funding rate, cumulative, futures, USD-margined, 30 days	futures_cumulative_funding_rate_usd_margin_30d	Market	Futures	Percentage	Dimensionless	1 hour
Funding rate, cumulative, futures, coin-margined, 1 day	futures_cumulative_funding_rate_coin_margin_1d	Market	Futures	Percentage	Dimensionless	1 hour
Funding rate, cumulative, futures, coin-margined, 7 days	futures_cumulative_funding_rate_coin_margin_7d	Market	Futures	Percentage	Dimensionless	1 hour
Funding rate, cumulative, futures, coin-margined, 30 days	futures_cumulative_funding_rate_coin_margin_30d	Market	Futures	Percentage	Dimensionless	1 hour
Funding rate, cumulative, futures, all-margined, 1 day	futures_cumulative_funding_rate_all_margin_1d	Market	Futures	Percentage	Dimensionless	1 hour
Funding rate, cumulative, futures, all-margined, 7 days	futures_cumulative_funding_rate_all_margin_7d	Market	Futures	Percentage	Dimensionless	1 hour
Funding rate, cumulative, futures, all-margined, 30 days	futures_cumulative_funding_rate_all_margin_30d	Market	Futures	Percentage	Dimensionless	1 hour

Details

The futures_cumulative_funding_rate_usd_margin_* metrics represent the cumulative average funding rate weighted by open interest from futures markets where the margin asset is U.S. dollars or stablecoins over the previous specified time period.

The futures_cumulative_funding_rate_coin_margin_* metrics represent the cumulative average funding rate weighted by open interest from futures markets where the margin asset is equivalent to the underlying base asset over the previous specified time period.

The futures_cumulative_funding_rate_all_margin_* metrics represent the cumulative average funding rate weighted by open interest from all futures markets, regardless of the margin asset, over the previous specified time period.

These metrics have a publication frequency of once per hour and represent the cumulative realized funding rate over the previous 1 day, 7 day, and 30 day time periods.

For example, at the market level, the cumulative funding rate for binance-BTCUSDT-future over the course of one day would be the cumulative product of the three 8-hour funding settlement rates reported that day. For these metrics, with the CFR being calculated for assets, we leverage our Aggregate Futures Funding Rate to perform this calculation across all relevant markets.

To accumulate the rates hour-over-hour, we first convert the AFR to an hourly rate, multiply the rates together, then convert the product back to the desired rate.

$$ CFR_{L}=\prod_{i=1}^{L} (1 + AFR_{1h,i}) - 1 $$

$$ AFR_{1h,i} = \frac{AFR_{8h,i}}{8} $$

where $$AFR_{i}$$ is the Aggregate Funding Rate at timestamp $$i$$. The increments $$i$$ are hourly, as $$AFR$$ is published hourly. Thus, futures_cumulative_funding_rate_usd_margin_1dis the accumulation of funding rates over the last 24 hours, futures_cumulative_funding_rate_usd_margin_7d is the accumulation of funding rates over the last 168 hours, etc.

Example

{
  "data" : [ {
    "asset" : "btc",
    "time" : "2023-09-18T19:00:00.000000000Z",
    "futures_cumulative_funding_rate_coin_margin_1d" : "0.0000748325509789538"
  }, {
    "asset" : "btc",
    "time" : "2023-09-18T20:00:00.000000000Z",
    "futures_cumulative_funding_rate_coin_margin_1d" : "0.0000725858255383738"
  }, {
    "asset" : "btc",
    "time" : "2023-09-18T21:00:00.000000000Z",
    "futures_cumulative_funding_rate_coin_margin_1d" : "0.0000703397006305284"
  }, {
    "asset" : "btc",
    "time" : "2023-09-18T22:00:00.000000000Z",
    "futures_cumulative_funding_rate_coin_margin_1d" : "0.0000678449650222124"
  }, {
    "asset" : "btc",
    "time" : "2023-09-18T23:00:00.000000000Z",
    "futures_cumulative_funding_rate_coin_margin_1d" : "0.0000653489780522154"
  } ]
}

• asset: The id of the asset.\

• time: The exchange-reported time in ISO 8601 date-time format. Always with nanoseconds precision.\

• futures_cumulative_funding_rate_coin_margin_1d: The cumulative funding rate.

Release History

• Released on September 19, 2023

Availability for Assets

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