The funding rate formula may be different depending on exchange.
Coinbase Derivatives Exchange
The funding rate is calculated hourly based on the difference between futures and spot prices:
- Premium Calculation: The difference between futures mark price and spot mark price is measured every 3 minutes over an hour (20 data points total)
- Scaling: The average is scaled down by a factor of 24 to represent the hourly premium
- Smoothing: A smoothing factor is applied:
- Current hour's premium: 75% weight
- Previous hour's funding rate: 25% weight
Formula: (Premium × 0.75) + (Previous Funding Rate × 0.25)
Where:
- Premium = TWAP([(Futures mark - Spot mark) / Spot mark / 24], 1 hour, 3min)
- Futures mark = 3m VWAP of futures (with fallbacks to TWAP of midpoint or previous mark + adjustment)
- Spot mark = 3m VWAP of spot (with fallbacks to TWAP of midpoint or previous mark + adjustment)
Please Note
- If the futures market is closed for an entire hour, no funding rate is published for that hour.