Aggregated Futures Funding Rate

Definition

The average funding rate weighted by open interest from futures markets converted to a specified time period.

NameMetricIDUnitInterval

Funding rate, aggregated, futures, USD-margined, 8 hours

Dimensionless

1 hour

Funding rate, aggregated, futures, USD-margined, 1 day

Dimensionless

1 hour

Funding rate, aggregated, futures, USD-margined, 30 days

Dimensionless

1 hour

Funding rate, aggregated, futures, USD-margined, 1 year

Dimensionless

1 hour

Funding rate, aggregated, futures, coin-margined, 8 hours

Dimensionless

1 hour

Funding rate, aggregated, futures, coin-margined, 1 day

Dimensionless

1 hour

Funding rate, aggregated, futures, coin-margined, 30 days

Dimensionless

1 hour

Funding rate, aggregated, futures, coin-margined, 1 year

Dimensionless

1 hour

Funding rate, aggregated, futures, all-margined, 8 hours

Dimensionless

1 hour

Funding rate, aggregated, futures, all-margined, 1 day

Dimensionless

1 hour

Funding rate, aggregated, futures, all-margined, 30 days

Dimensionless

1 hour

Funding rate, aggregated, futures, all-margined, 1 year

Dimensionless

1 hour

Details

The futures_aggregate_funding_rate_usd_margin_* metrics represent the average funding rate weighted by open interest from perpetual futures markets where the margin asset is U.S. dollars or stablecoins converted to a specified time period.

The futures_aggregate_funding_rate_coin_margin_* metrics represent the average funding rate weighted by open interest from perpetual futures markets where the margin asset is equivalent to the underlying base asset converted to a specified period.

The futures_aggregate_funding_rate_all_margin_* metrics represent the average funding rate weighted by open interest from all perpetual futures markets, regardless of the margin asset, converted to a specified time period.

These metrics have a publication frequency of once per hour and represent the average funding rate converted to 8 hour, 1 day, 30 day, and 1 year time periods.

Most, but not all, exchanges pay out the funding rate every 8 hours. Thus, standardizing the funding rate period is a step needed for each of the calculation of the funding rate metrics. For a funding rate FRFR with an period PP, expressed in hours, the 8-hour funding rate FR8FR_{8} is calculated as follows:

FR8=P8FRFR_{8} = \frac{P}{8} FR

For a list of markets XX, where each market mm has funding rate FRmFR_{m} and open interest OImOI_{m} converted to U.S. dollars, the aggregate funding rate AFRXAFR_{X} is calculated as:

AFRx=mXOImFRm,8mXOImAFR_{x} = \frac{\sum_{m \in X} OI_{m} FR_{m,8}}{\sum_{m \in X} OI_{m}}

API Endpoints

Aggregate Futures Funding Rates can be accessed using the timeseries/asset-metrics and timeseries/exchange-asset-metrics endpoints by passing in futures_aggregate_funding_rate_usd_margin_* to the metrics parameter.

curl --compressed "https://api.coinmetrics.io/v4/timeseries/asset-metrics?assets=btc&metrics=futures_aggregate_funding_rate_usd_margin_8h_period&limit_per_asset=1&api_key=<your_key>"
curl --compressed "https://api.coinmetrics.io/v4/timeseries/exchange-asset-metrics?exchange_assets=binance-btc&metrics=futures_aggregate_funding_rate_usd_margin_8h_period&limit_per_exchange_asset=1&api_key=<your_key>"

Example

{
  "data" : [ {
    "asset" : "btc",
    "time" : "2023-09-19T19:00:00.000000000Z",
    "futures_aggregate_funding_rate_all_margin_8h_period](https://coverage.coinmetrics.io/search-results?query=)" : "0.0000301358130541726"
  }, {
    "asset" : "btc",
    "time" : "2023-09-19T20:00:00.000000000Z",
    "futures_aggregate_funding_rate_all_margin_8h_period](https://coverage.coinmetrics.io/search-results?query=)" : "0.0000305589276681095"
  }, {
    "asset" : "btc",
    "time" : "2023-09-19T21:00:00.000000000Z",
    "futures_aggregate_funding_rate_all_margin_8h_period](https://coverage.coinmetrics.io/search-results?query=)" : "0.0000327674045704149"
  }, {
    "asset" : "btc",
    "time" : "2023-09-19T22:00:00.000000000Z",
    "futures_aggregate_funding_rate_all_margin_8h_period](https://coverage.coinmetrics.io/search-results?query=)" : "0.0000328893535861447"
  }, {
    "asset" : "btc",
    "time" : "2023-09-19T23:00:00.000000000Z",
    "futures_aggregate_funding_rate_all_margin_8h_period](https://coverage.coinmetrics.io/search-results?query=)" : "0.0000328738735624742"
  } ]
}
  • asset: The id of the asset.\

  • time: The exchange-reported time in ISO 8601 date-time format. Always with nanoseconds precision.\

  • futures_aggregate_funding_rate_all_margin_8h_period: The weighted-average funding rate.

Release History

  • Released on September 19, 2023

Availability for Assets

Last updated