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How are funding rates calculated in GRVT?
How are funding rates calculated in GRVT?

Details of GRVT's funding rate calculations.

Updated over a month ago

The following steps are followed to determine funding rate:

  1. Fair Impact Bid/Ask

    • Calculate average fill prices for a set notional amount on both the bid and ask sides.

  2. Fair Price

    • Take the median of:

      1. Average of Fair Impact Bid/Ask

      2. Average of best bid/ask

      3. Last traded price

  3. Index Price

    • A weighted average from several external exchanges.

  4. Premium

    • Computed every second:

      Premium = Fair_Price – Index_Price

  5. Premium Rate

    • The median of (Premium / Index_Price) over the past minute.

    • Updated every minute.

  6. Capping the Rate

    • Limited to ±1% (configurable) to prevent extreme funding swings.

  7. Funding Index

    • Tracks cumulative funding changes, starting at 0.

    • Updated every minute:

      Funding_Index += Capped_Premium_Rate * (Index_Price) / (8 * 60)

  8. Funding Payment

    • Triggered whenever a position changes size (due to trades, transfers, deposits, etc.).

    • If your position size was Last_Position_Size and the Funding Index is F, then:

      Funding_Payment = -1 × (Last_Position_Size) × (F - Funding_Index_Start)

    • Afterward, Funding_Index_Start is updated to the current Funding Index if you still have a position, or reset to 0 if you fully closed it.

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