Dear CoinFLEX Community
We are excited to announce that following scheduled maintenance on January 31st, the funding rate for perpetual futures will no longer be based on an hourly repo auction. Instead, it will be determined by the following formula:
Premium Rate = TWAP of ((Mark Price – Index price) / Index price)
Funding Rate = (Premium Rate + clamp(-Premium Rate, Max%, Min%)) / 24
Any open positions and orders will remain open. Any pending deliveries will be canceled and need to be re-submitted as regular orders in the repo market as repo will no longer feature hourly auctions.
We understand that the repo auction is something the community has grown accustomed to and we do not take this decision lightly. However, we see value in re-opening the exchange with perpetual futures contracts that are fungible from a pricing & trading perspective, with the prevailing industry standard, and believe that this change in funding mechanism achieves that goal.
This change removes barriers to entry for perp traders who have built systems to trade the dominant crypto derivatives contract (stablecoin margined perps). At the same time, we continue to see the value of implied orders and the need for easy-to-use, two-way conversions between perp positions and spot. Therefore, the repo market will continue to exist and function as an all-to-all “Exchange of Futures for Physical” (EFP) market. Traders will be able to trade basis and take out loans directly in the repo market like they do today.
IMPORTANT
After the scheduled maintenance is complete, open perp positions will start to incur funding payments based on the updated funding rate mechanism.
AMMs redeemed using “Physical Delivery” may pay or earn slippage depending on the repo market orderbook at the time of redemption.
Changes
Delivery
Delivering on screen may be done via a “limit” or “market” delivery. Limit deliveries place GTC orders at 0% in Repo meaning that only positive slippage can be incurred. Market deliveries place an FOK order at the sanity bound and display a slippage estimate in dollar and percentage terms. Deliveries are reported in the order and trade history. It’s also possible to deliver positions by trading in the repo book directly without using the delivery feature.
Algorithmic traders should trade directly in the repo order book to effect deliveries.
Mark Price
The mark price will be used to calculate mark-to-market PnLs, funding rates, and initial and maintenance margins.
Mark Price = Index Price + Premium Moving Average
Premium Moving Average = Moving Average((Bid + Ask) / 2 – Index Price)
Bid-ask spread* = (Ask – Bid) / Index Price
Where Bid and Ask are the best bid and ask prices.
*If the bid-ask spread is greater than 2%, then the market is considered dislocated, and the premium measurements begin to default to 0. If the bid-ask spread remains greater than 2% for two minutes, the mark price will equal the index price.
Funding Rate
Funding payments will continue to occur hourly. The funding rate will no longer be based on a repo auction, instead it will be determined by the following formula.
Premium Rate = TWAP of ((Mark Price – Index price) / Index price)
Funding Rate = (Premium Rate + clamp(-Premium Rate, Max%, Min%)) / 24
Funding Payment = Position Size * Mark Price * Funding Rate
The clamp works as a dampener on the funding rate. In plain English, the funding rate will settle at 0.00% as long as the premium rate is between the max% and the min%. The default min/max values in majors and permissioned altcoins are 0.02%. The default minimum and maximum hourly funding rates are -+0.075%. These values may be changed over time, and exogenous factors such as hard forks.
Repo Tick Size
Repo tick sizes will be increased to 0.001%.
AMM
AMMs with pending deliveries will have their deliveries canceled.
AMMs redeemed using “Physical Delivery” may pay or earn slippage depending on the repo market order book at the time of redemption.
Quarterly Futures
Quarterly futures will continue to convert into perpetual futures positions on expiry. Remaining perpetual futures can either be closed in the perpetual market or converted to spot by trading in the repo market.
API
Deprecated:
- POST /v2.1/delivery/orders
- DELETE /v2.1/delivery/orders/{deliveryOrderId}
- POST /v2/borrow
- POST /v2/repay
- GET /v2/deliver-auction
- GET /v2.1/deliver-auction/{instrumentId}
- GET /v2/funding-rates/{marketCode}
- GET /v3/delivery/working
- GET /v3/funding-rates
- GET /v3/auction
Updated:
- GET /v3/funding/estimates
- Removed the “netDelivered” field
- GET /v3/funding/rates
- Removed the “netDelivered” field
- GET /v3/funding
- Renamed the “markPrice” field to “indexPrice”
- GET /v3/markets
- Added an “indexPrice” field to the following markets:
- Spot
- Perps
- Repo
- Permissionless perps
- Removed the “markPrice” field from the following markets:
- Spot
- Repo
- Added an “indexPrice” field to the following markets:
Published on: January 25, 2023