BitMEX Funding Rate Calculation

8 giu 2020

This script implements the full funding rate formulas found on the BitMEX site for XBTUSD, ETHUSD, and XRPUSD. It uses the 1-min premium and interest tickers found here on TradingView to calculate an 8-hour TWAP, then uses base initial and maintenance margins to apply caps on absolute rate and delta from prior value. Caps are applicable only to position sizes below 200 XBT. When chart history exceeds the available history of 1min date on TradingView, the indicator switches to 1hr data to provide estimates.

Outputs:

• Either a check (using 1min data) or a question mark (using 1hr data) upon each new funding period.
  
• Current funding rate, every 8 hours.
  
• Current funding prediction for the next funding period.