Dear CoinEx users,
In order to optimize the trading experience and strengthen the stability of the trading system, CoinEx has adjusted the funding rate calculation method in all futures markets on October 16, 2023, as follows:
Fixed interest rate (I) = 0
Premium index (P) = ( (Depth-weighted bid price + Depth-weighted ask price)/2 - Spot index price)/Spot index price
Average premium index (P+) = Arithmetic average of all premium indices in the previous cycle
Funding rate (F) = clamp(Average premium index (P+) + clamp(Interest rate (I) - Average premium index (P+), ±d) , a , b)
*a, b are the upper and lower limits of the funding rate, while d is the added buffer coefficient with a value of 0.03%.
(2) Upper and lower limits
Lower limit a = -0.75 * Minimum initial margin ratio
Upper limit b = 0.75 * Minimum initial margin ratio
(3) Depth-weighted price
Margin impact amount = Max position size openable under minimum maintenance margin ratio * 0.01
Define "p" as the quantity/lot size of the underlying (assume the quantity/lot size of the nth level is pn), and "q" as the price of the quote currency.
For long contracts, depth-weighted price = (p1 * q1 + p2 * q2 + ... + pn * qn) / margin impact amount, where p1 + p2 + ... + pn = margin impact amount (in units of BTC or ETH, etc.)
For short contracts, depth-weighted price = margin impact amount / (p1 / q1 + p2 / q2 + ... + pn / qn), where p1 + p2 + ... + pn = margin impact amount (in lots)
Please adjust your trading strategy reasonably. For specific rules, please refer to the "What’s Futures Funding Fee."
Oct 18, 2023