FTX Funding Rates
Indexes updated: 2021-07-27
This study tries to estimate the FTX funding rate using historical data and index definitions provided by FTX. The funding rate calculated is not exactly the same as FTX reports due to underlying limitations in TV.
Limitations
1. TWAP
FTX calculates the index price by TWAP which is average every 5s over the the whole hour. As far as I know, it's not possible to do this in Tradingview.
2. Change in INDEX definition
If a definition of an index changes in FTX, then this script is of course not up-to-date. Also, if a security is added to an index, then the historical funding rate will also change, even though said security wasn't apart of the past funding rate.
3. Supported tickers
The supported tickers are: BTC, ETH, SOL, ALGO, SAND, CLV and AXS
This study tries to estimate the FTX funding rate using historical data and index definitions provided by FTX. The funding rate calculated is not exactly the same as FTX reports due to underlying limitations in TV.
Limitations
1. TWAP
FTX calculates the index price by TWAP which is average every 5s over the the whole hour. As far as I know, it's not possible to do this in Tradingview.
2. Change in INDEX definition
If a definition of an index changes in FTX, then this script is of course not up-to-date. Also, if a security is added to an index, then the historical funding rate will also change, even though said security wasn't apart of the past funding rate.
3. Supported tickers
The supported tickers are: BTC, ETH, SOL, ALGO, SAND, CLV and AXS
版本注释:
Version 0.2
Added more tickers, current supported tickers are: BTC, ETH, SOL, ALGO, SAND, CLV, AXS, THETA, GRT, LINK, SC, LUNA, PERP, FTT, PUNDIX, SUSHI
Added more options for average line
Added more tickers, current supported tickers are: BTC, ETH, SOL, ALGO, SAND, CLV, AXS, THETA, GRT, LINK, SC, LUNA, PERP, FTT, PUNDIX, SUSHI
Added more options for average line
版本注释:
Added almost all the PERPS from FTX.
- Did not add BTC/ETH/USD* pairs
- Some exchanges used in the PERP index by FTX are not available on TV
版本注释:
Removed redundant inputs
版本注释:
Update chart.
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Change plot style and color.
* Green bar = Positive funding and agrees with funding SMA
* Red bar = Negative funding and agrees with funding SMA
* Yellow bar = Goes against the funding SMA
* Green bar = Positive funding and agrees with funding SMA
* Red bar = Negative funding and agrees with funding SMA
* Yellow bar = Goes against the funding SMA
版本注释:
Fixed the Dawn pair calculation.
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Fixed RAY (They dropped the USDT pair from their index)
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Update chart.
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Updated XRP funding calculation.
Please send me a message if there seems to be an issue, FTX index's are constantly changing and I don't have the time to check every single perp for errors :)
FYI!!
Past data for funding is not accurate! I.e, if funding was negative for example on 21. January 2020 it might actually have been positive at that time, it's just that the underlying index has changed, which affects the past calculations as well.
Please send me a message if there seems to be an issue, FTX index's are constantly changing and I don't have the time to check every single perp for errors :)
FYI!!
Past data for funding is not accurate! I.e, if funding was negative for example on 21. January 2020 it might actually have been positive at that time, it's just that the underlying index has changed, which affects the past calculations as well.
版本注释:
Please note!
On the FTX Index site they state that "All elements are capped at 30bp divergence from the median" - I am not doing this step, so there is going to be more variations in this funding indicator vs theirs.
I don't use BITTREX TUSD
- Added newest index data from FTX.
- Added BTC and ETH pairs for funding calculation (Previously only USD pairs where available)
Please note!
On the FTX Index site they state that "All elements are capped at 30bp divergence from the median" - I am not doing this step, so there is going to be more variations in this funding indicator vs theirs.
I don't use BITTREX TUSD
版本注释:
Fix missing values when looking very far back (Will only give approximate values here, FTX hasn't been around long)
版本注释:
Reverted the fix - This will only show funding for the time-range of FTX - Maybe I can create a fix for the future later.
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Remove graphics from chart - This part is annoying..
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Removed Coinbase from index (Some price issues seems to be going on there, showing 19k BTC when FTX is showing 20k)
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- Removed all Coinbase USDC pairs (Coinbase merged all USD and USDC pairs)
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Removed Binance - USDC pairs
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Updated chart