Perpetuals

Mark Price

The Mark Price consists of the Index and a 30 second exponential moving average of the Premium, which is updated approximately every second. The Premium is the difference between the Index and the bid/ask constrained mid price, which is based on 1 BTC or 20 ETH of perp contracts.

Mid Price is calculated as the average of FairDepthBid and FairDepthAsk, where FairDepthBid and FairDepthAsk are the average price to buy/sell 1 BTC or 20 ETH perpetual contracts.

The EMA30 is a smooth exponential time-based decay, where each additional second contributes 2/31​, so that the center of mass is equal to that of a standard moving average over 30 seconds.

In case of insufficient liquidity, mark price will simply target the index.

Funding Payments

For any interval of T hours, a position of one contract long will pay:

Where the Funding Rate is calculated as:

During the same interval, a position of one contract short will receive this amount of funding. The dampener of 0.025% (2.5 basis points) reduces small premiums to zero and subtracts/adds 2.5 bps of the Index price for premiums outside this range.

For example, assume a constant BTC-Perpetual Mark Price of $50,100, BTC Index of $50,000, and a period of three hours. The premium would be:

This translates to a funding rate of:

Holding one contract long for three hours would result in a funding payment of:

Therefore, holding four contracts long for three hours would result in a funding payment of:

Note that the spread between Index and Mark Price will change continuously. Hence, funding is implemented as an integral over time:

Funding is accumulated approximately every second into Unsettled P&L (See Portfolio Margin). Although funding rates are calculated for 8-hour intervals and exchanged every second, the actual settlement of funding payments occurs every 24 hours. This means that the accumulated funding is booked and settled into your asset balances every morning at 8 AM UTC.