OKX to optimize funding rate calculation
To continually improve the trading experience for our traders, OKX will adjust the calculation for average premium index. The update is scheduled for 8:00 am UTC on March 5, 2024 and will not affect other calculation logic or change the outcome during funding rate settlement.
Funding rate formula:
Funding rate = Clamp[Average premium index, Funding cap, Funding floor]
To elaborate further,
Average premium index = MA(Premium index – Interest rate)
Interest rate = 0
Premium index = [(Best bid + Best offer) / 2 – Index price] / Index price
MA refers to the moving average and it is calculated every minute
Before the switch：
Funding rate will be calculated using the premium index of each minute from the start of the period to present.Example (in 24-hour time):
Most recent settlement time | Current time | Timeframe used to calculate funding rate |
16:00 | 16:10 | 16:00 - 16:10 |
16:00 | 17:00 | 16:00 - 17:00 |
16:00 | 23:59 | 16:00 - 23:59 |
00:00 | 01:00 | 00:00 - 01:00 |
After the switch:
Funding rate will be calculated using premium index of each minute over the last N hours till present.
To elaborate further,
“N hours” refers to the number of hours between each settlement period. If funding fees are settled every 8 hours, N = 8.
Most recent settlement time | Current time | Timeframe used to calculate funding rate |
16:00 | 16:10 | 08:11 - 16:10 |
16:00 | 17:00 | 09:01 - 17:00 |
16:00 | 23:59 | 16:00 - 23:59 (Same timeframe is used before and after the switch) |
00:00 | 01:00 | 17:01 - 01:00 |
Impact after the switch:
For perpetual futures that use current-cycle settlement, the current funding rate at 23:59 will be used to settle funding fees at 00:00. There will not be any difference in the outcome before and after the switch during settlement.
For perpetual futures that use cross-cycle settlement, it will only affect the next funding rate calculations and will not affect how the current funding rate is calculated.
API interface
Post-adjustment, the API endpoint (/api/v5/public/funding-rate) and the Websocket channel (funding-rate) will follow the rules mentioned above.
Method | Field |
next_period | nextFundingRate |
current_period | fundingRate |
Thank you for your understanding and support. We’ll be committed to providing you with superior products and services!
OKX team
January 25, 2024