Funding and Pricing

funding mark

• ImpactMid = (avgImpactBid(ImpactNotional) + avgImpactAsk(ImpactNotional)) / 2

  • computed every TickInterval

    • set to 5 seconds

  • avgImpactBid, avgImpactAsk are average cost per contract when buying/selling ImpactNotional worth of contracts

    • ImpactNotional is in the base asset (usually USDB)

      • for large pairs set to $10,000 to $100,000

      • for small pairs set to $1,000 to $10,000

• FundingMark = ema(ImpactMids, Weight)

  • computed every TickInterval

  • ema is exponential moving average

    • Weight is the EMA weighting

      • set to 2 / 7

    • ImpactMids is list of previous ImpactMid every TickInterval

funding rate

• Premium = (twap(FundingMarks) - twap(Indexs)) / Index

  • computed every SettleInterval

    • set to 1 hour

  • Index is oracle price

    • stork oracle

    • for prelaunch perpetuals, it is a computed value

  • twap is time weighted average price

    • FundingMarks is list of previous FundingMark over the last SettleInterval

    • Indexs is list of previous Index over the last SettleInterval

  • Premium is considered as an amount per FundingInterval

    • set to 8 hours

• FundingRate = BaseRate + clamp(Premium / (FundingInterval / SettleInterval), -Clamp, Clamp)

  • computed every SettleInterval

  • BaseRate is underlying interest rate of perpetual future per SettleInterval

    • set to 0

  • clamp(a, y, z) clamps a between y and z

    • defined as

      • a if y < a < z

      • y if a ≤ y

      • z if z ≤ a

  • Clamp is maximum magnitude funding can take (before underlying interest) per SettleInterval

    • set to 0.005 = 0.5%

  • FundingRate is considered as an amount per SettleInterval

funding amount

• FundingAmount = FundingRate * Index

  • computed every SettleInterval

  • the FundingAmount is the notional amount longs pay shorts per contract per SettleInterval