BitMEX Funding [R1984] —由R1984 提供的指标

trendanalysis bitmex funding bitcoin xbtusd margin leverage ethusd ethereum xrpusd

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

Reference

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

版本注释:

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

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%

版本注释:

Minor cosmetic updates.

版本注释:

One more cosmetic update.

版本注释:

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

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)

版本注释:

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

版本注释:

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.

版本注释:

Better screenshot.

版本注释:

Update screenshot

版本注释:

Update screenshot

版本注释:

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.

版本注释:

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).

版本注释:

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

版本注释:

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

版本注释:

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