BitMEX Funding [R1984]

27. Apr. 2018

This indicator attempts to emulate the BitMEX predicted funding rate for the XBTUSD perpetual swaps contract.

Reference
bitmex.com/app/contract/XBTUSD
bitmex.com/app/perpetualContractsGuide

Indicator Key

• Green/Red Area plot: Raw values of the calculated funding rate based on the XBTUSD Premium Index (.XBTUSDPI)
  
• White Line plot: Time-Weighted Average Price (TWAP) of the calculated funding rate
  
• Lime/Fuchsia Line plot: Predicted funding rate
  

29. Apr. 2018

Versionshinweise

This indicator attempts to emulate the BitMEX predicted funding rate for the XBTUSD perpetual swaps contract.

The indicator is most accurate on the 1-minute interval, and it loses accuracy at higher intervals due to smoothing. Not recommended for use

Reference
bitmex.com/app/contract/XBTUSD
bitmex.com/app/perpetualContractsGuide
Funding Rate (F) = Premium Index (P) + clamp(Interest Rate (I) - Premium Index (P), 0.05%, -0.05%)
Positive funding rate means longs pay shorts. Negative funding rate means shorts pay longs.

Indicator Key

• Green/Red area: Raw values of the calculated funding rate based on the XBT/USD Premium Index (.XBTUSDPI)
  
• White line: Time-Weighted Average Price (TWAP) of the calculated funding rate
  
• Lime/Fuchsia thick line: Predicted funding rate
  
• White dotted line: Adjustable EMA of raw funding rate values
  
• Midline value set to interest rate (static 0.01% as of April 21, 2017)
  Interest Rate (I) = (Interest Quote (Q) - Interest Base (B)) / Funding Times Per Day (T)
  --> I = (0.06% - 0.03%) / 3 = 0.01%
  

29. Apr. 2018

Versionshinweise

Minor cosmetic updates.

29. Apr. 2018

Versionshinweise

One more cosmetic update.

30. Apr. 2018

Versionshinweise

This indicator attempts to emulate the BitMEX predicted funding rate for the XBTUSD perpetual swaps contract.

The indicator is most accurate on the 1-minute interval. It can be used on higher intervals but will lose accuracy due to smoothing.

Tip: Right-click the scale and enable the "Indicator Last Value" option.

Change Log

• Tweaked MA algorithm to be more accurate shortly after funding payout
  
• Added 8-hour funding payout markers (can be disabled from Inputs menu)
  
• Added final 8-hour funding rate plot
  
• Added labels to plots for easier identification in Style menu
  

Reference
bitmex.com/app/contract/XBTUSD
bitmex.com/app/perpetualContractsGuide
Funding Rate (F) = Premium Index (P) + clamp(Interest Rate (I) - Premium Index (P), 0.05%, -0.05%)
Positive funding rate means longs pay shorts. Negative funding rate means shorts pay longs.

Indicator Key

• Green/Red area: Raw values of the calculated funding rate based on the XBT/USD Premium Index (.XBTUSDPI)
  
• White line: Time-Weighted Average Price (TWAP) of the calculated funding rate
  
• Lime/Red thick line: Predicted funding rate
  
• White dotted line: Adjustable EMA of raw funding rate values
  
• Aqua/Orange line: Final 8-hour funding rate
  
• Midline value set to interest rate (static 0.01% as of April 21, 2017)
  

30. Apr. 2018

Versionshinweise

One more MA algorithm tweak to improve accuracy shortly after the funding payout.

20. Mai 2018

Versionshinweise

Change Log

• Increased default transparency of funding payout markers.
  
• Moved payout marker symbol ($) to bottom of indicator. Tried to create an input to let the user choose top or bottom, but TV pine script does not allow series of strings.
  

Source code now available here. Fork it if you wanna fork.

20. Mai 2018

Versionshinweise

Better screenshot.

9. Juni 2018

Versionshinweise

Update screenshot

9. Juni 2018

Versionshinweise

Update screenshot

26. März 2019

Versionshinweise

Added funding rate for ETHUSD perpetual quanto swaps market (base on .ETHUSDPI). Use the drop-down menu in the indicators settings to switch.

Also removed the dollar sign payout marker because it looked dumb.

26. Jan. 2020

Versionshinweise

• Ported to Pine Script v4
  
• Cosmetic updates
  
• Add option to choose simple or exponential moving average
  
• Preemptively add funding option for XRPUSD perpetual quanto swaps market. This won't work until BitMEX begins sending premium index data to TradingView. I assume this will start when the trading instrument is listed on Feb 5, 2020 (announcement).
  

5. Feb. 2020

Versionshinweise

• Fixed max/min funding rates for ETHUSD and XRPUSD to ±0.75% (XBTUSD max/min funding rate is ±0.375%)
  
• Added workaround for rare issue where missing (NaN) premium index value caused predicted funding rate calculation to also be NaN
  

1. Mai 2020

Versionshinweise

Increased funding rate cap according to new trial reduction in base maintenance margin requirements.

• XBTUSD: 0.3750% --> 0.4125%
  
• ETHUSD: 0.7500% --> 0.8250%
  
• XRPUSD: 0.7500% (unchanged)
  

Reduction in Base Maintenance Margin – XBT and ETH Series – 17 April 2020


Funding rate caps will increase again on a trial basis on May 5 at 2:00 UTC. I will update the script again at that time.

• XBTUSD: 0.4125% --> 0.4500%
  
• ETHUSD: 0.8250% --> 0.9000%
  
• XRPUSD: 0.7500% (unchanged)
  

Reduction in Base Maintenance Margin – XBT and ETH Series – 5 May 2020

5. Mai 2020

Versionshinweise

Increased funding rate cap according to new trial reduction in base maintenance margin requirements.

• XBTUSD: 0.4125% --> 0.4500%
  
• ETHUSD: 0.8250% --> 0.9000%
  
• XRPUSD: 0.7500% (unchanged)
  

Reduction in Base Maintenance Margin – XBT and ETH Series – 5 May 2020