Funding Rate
Rules of deduction:
We will deduct funding rate every 6 hrs
One rate will be calculated for those 6 hrs by averaging smaller intervals
Anyone with a position open during the deduction snapshot will be charged the fee
Users will pay their share as per notional value of their position at the time of funding amount deduction
It will be realized PNL deducted / added to user’s assets
Formula:
funding_amount_per_user_per_position = direction * ob_price(t) * qty * funding_rate
ob_price(t) = (best_bid(t) + best_ask(t))/2
funding_rate = premium_rate + interest_rate
interest_rate = 0.01% (fixed across all markets)
Premium rate for the interval is calculated by calculating minute-wise values and doing a TWAP over the total minutes in the window
premium_rate_minute = (Max(0, impact_bid_price - spot_price) - Max(0, spot_price - impact_ask_price)) / spot_price
impact_bid_price = execution price of SELL market order, 5000 USDC notional value
impact_ask_price = market BUY order
premium_rate = SUM(premium_rate_minute)/(60*8)
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