Funding

When funding is active, why it can be zero, and how rates are computed.

Funding keeps perpetual prices anchored to their underlier. QFEX supports 24/7 trading, but funding is only active when we can reliably consume underlier prices from primary venues.

At a Glance

• Funding is calculated and settled every 60 minutes.
• Funding is only active during a symbol’s configured market_hours.
• Outside those hours, funding rate is 0 and no funding payment is exchanged.
• The live websocket funding stream shows the current implied final rate if the current window ended now.

Funding Hours (Current)

Asset class	Underlier venue/source	Funding-active hours
Equities	NYSE/NASDAQ	04:00 to 20:00 ET, Monday to Friday
Indices and Commodities	CME	23/5
FX and Precious Metals	Relevant FX venues	24/5

Per-Symbol Funding Hours in Refdata

Always use refdata as the source of truth for symbol-specific funding hours:

• REST: https://api.qfex.com/refdata, docs here

Look at the market_hours object for each symbol.

{
  "symbol": "AAPL-USD",
  "market_hours": {
    "tz": "America/New_York",
    "monday": { "open": "04:00:00", "close": "20:00:00" }
  }
}

Methodology

Our calculation methodology closely follows the industry standard, with simplified parameters for greater transparency and efficiency.

Key Parameters:

• Funding Interval: Every 60 minutes.
• Impact Notional: 10,000 USDC (100,000 USDC for FX pairs).
• Interest Rate: None.
• Clamp: 5 bps.

1. Premium Index

The Premium Index ($P$) represents the premium or discount of the contract relative to the spot price. It is calculated using the Impact Bid and Impact Ask prices from the orderbook.

$$P = \frac{\max(0, \text{Impact Bid} - \text{Index}) - \max(0, \text{Index} - \text{Impact Ask})}{\text{Index}}$$

Where:

• Impact Bid: The average fill price to sell the Impact Notional amount.
• Impact Ask: The average fill price to buy the Impact Notional amount.

2. Funding Rate

The final Funding Rate applied at the end of each 60-minute interval is based on a Time-Weighted Average (TWAP) of the Premium Index over that interval. This method assigns higher weight to more recent premium observations.

Note: In the formula below, $\bar{P}$ and $F_{\text{raw}}$ are expressed in basis points (bps).

$$\text{Average Premium, } \bar{P} = \frac{\sum_{i=0}^{N-1} (i+1) \cdot P_i}{\sum_{i=0}^{N-1} (i+1)} \\ F_{\text{raw}} = \begin{cases} \bar{P} + 5, & \bar{P} < -5 \\ 0, & |\bar{P}| < 5 \\ \bar{P} - 5, & \bar{P} > 5 \end{cases} \\ F_{\text{final}} = \frac{F_{\text{raw}}}{100}$$

Where:

• $P_i$ represents the premium samples.
• The weight $(i+1)$ increases for more recent samples (where $i=N-1$ is the most recent).
• $F_{\text{final}}$ is the funding rate applied for payments and published on the funding stream.

Note: Unlike other exchanges, we do not apply a fixed interest rate component. The rate is purely the market-driven premium.

Why Funding May Be 0

Funding can be zero for normal reasons:

• The symbol is outside its market_hours (market closed, weekend, or holiday).
• The premium stays inside the 5 bps deadband after clamping.

Historical Funding Data

We are actively improving historical data coverage, including funding history by product. For live values, use the websocket funding channel.