Cumulative Futures Funding Rate

Definition

The cumulative funding rate is the total funding rate that would be accumulated by contract holders over a specified time period.

Name	MetricID	Unit	Interval
Funding rate, cumulative, futures, USD-margined, 1 day	futures_cumulative_funding_rate_usd_margin_1d	Dimensionless	1 hour
Funding rate, cumulative, futures, USD-margined, 7 days	futures_cumulative_funding_rate_usd_margin_7d	Dimensionless	1 hour
Funding rate, cumulative, futures, USD-margined, 30 days	futures_cumulative_funding_rate_usd_margin_30d	Dimensionless	1 hour
Funding rate, cumulative, futures, coin-margined, 1 day	futures_cumulative_funding_rate_coin_margin_1d	Dimensionless	1 hour
Funding rate, cumulative, futures, coin-margined, 7 days	futures_cumulative_funding_rate_coin_margin_7d	Dimensionless	1 hour
Funding rate, cumulative, futures, coin-margined, 30 days	futures_cumulative_funding_rate_coin_margin_30d	Dimensionless	1 hour
Funding rate, cumulative, futures, all-margined, 1 day	futures_cumulative_funding_rate_all_margin_1d	Dimensionless	1 hour
Funding rate, cumulative, futures, all-margined, 7 days	futures_cumulative_funding_rate_all_margin_7d	Dimensionless	1 hour
Funding rate, cumulative, futures, all-margined, 30 days	futures_cumulative_funding_rate_all_margin_30d	Dimensionless	1 hour

Details

The futures_cumulative_funding_rate_usd_margin_* metrics represent the cumulative average funding rate weighted by open interest from futures markets where the margin asset is U.S. dollars or stablecoins over the previous specified time period.

The futures_cumulative_funding_rate_coin_margin_* metrics represent the cumulative average funding rate weighted by open interest from futures markets where the margin asset is equivalent to the underlying base asset over the previous specified time period.

The futures_cumulative_funding_rate_all_margin_* metrics represent the cumulative average funding rate weighted by open interest from all futures markets, regardless of the margin asset, over the previous specified time period.

These metrics have a publication frequency of once per hour and represent the cumulative realized funding rate over the previous 1 day, 7 day, and 30 day time periods.

For example, at the market level, the cumulative funding rate for binance-BTCUSDT-future over the course of one day would be the cumulative product of the three 8-hour funding settlement rates reported that day. For these metrics, with the CFR being calculated for assets, we leverage our Aggregate Futures Funding Rate to perform this calculation across all relevant markets.

To accumulate the rates hour-over-hour, we first convert the AFR to an hourly rate, multiply the rates together, then convert the product back to the desired rate.

$$CFR_{L}=\prod_{i=1}^{L} (1 + AFR_{1h,i}) - 1$$

$$AFR_{1h,i} = \frac{AFR_{8h,i}}{8}$$

where $AFR_{i}$ is the Aggregate Funding Rate at timestamp $i$. The increments $i$ are hourly, as $AFR$ is published hourly. Thus, futures_cumulative_funding_rate_usd_margin_1dis the accumulation of funding rates over the last 24 hours, futures_cumulative_funding_rate_usd_margin_7d is the accumulation of funding rates over the last 168 hours, etc.

API Endpoints

Cumulative Futures Funding Rates can be accessed using the timeseries/asset-metrics and timeseries/exchange-asset-metrics endpoints by passing in futures_cumulative_funding_rate_usd_margin_* to the metrics parameter.

Asset metrics

Returns requested metrics for specified assets. Results for block by block metrics (1b frequency) are ordered by tuple (asset, height, block_hash), all other metrics are ordered by tuple (asset, time). You can change the sorting using sort query parameter. Supported output formats are json (default) and csv, use format query parameter to override it. To fetch the next page of results use next_page_url JSON response field or x-next-page-url CSV HTTP header if present. If multiple metrics are requested in the same time the strict policy for partially available metrics among requested ones is applied:

GEThttps://api.coinmetrics.io/v4/timeseries/asset-metrics

Authorization

api_key

Query parameters

Response

200400401403414

Time series of metrics for an asset.

Body

application/jsontext/csv

data*any

next_page_tokenNextPageToken (string)

Token of the next page results for a given request.

next_page_urlNextPageUrl (string)

URL of the next page results for a given request.

Response

200400401403

{
  "next_page_token": "text",
  "next_page_url": "text"
}

Shell

curl --compressed "https://api.coinmetrics.io/v4/timeseries/asset-metrics?assets=btc&metrics=futures_cumulative_funding_rate_usd_margin_1d&limit_per_asset=1&api_key=<your_key>"

Python

import requests
response = requests.get('https://api.coinmetrics.io/v4/timeseries/asset-metrics?assets=btc&metrics=futures_cumulative_funding_rate_usd_margin_1d&limit_per_asset=1&api_key=<your_key>
print(response)

Python Client

from coinmetrics.api_client import CoinMetricsClient

api_key = "<API_KEY>"
client = CoinMetricsClient(api_key)

print(
    client.get_asset_metrics(
        assets=["btc"], metrics=['futures_cumulative_funding_rate_usd_margin_1d'], frequency='1d', limit_per_market=1
    ).to_dataframe()
)

Exchange-asset metrics

Returns metrics for specified exchange-asset. Results are ordered by tuple (exchange_asset, time). To fetch the next page of results use next_page_url JSON response field.

GEThttps://api.coinmetrics.io/v4/timeseries/exchange-asset-metrics

Authorization

api_key

Query parameters

Response

200400401403414

Time series of exchange-asset metrics.

Body

application/json

data*any

next_page_tokenNextPageToken (string)

Token of the next page results for a given request.

next_page_urlNextPageUrl (string)

URL of the next page results for a given request.

Response

200400401403

{
  "next_page_token": "text",
  "next_page_url": "text"
}

Shell

curl --compressed "https://api.coinmetrics.io/v4/timeseries/exchange-asset-metrics?exchange_assets=binance-btc&metrics=futures_cumulative_funding_rate_usd_margin_1d&limit_per_exchange_asset=1&api_key=<your_key>"

Python

import requests
response = requests.get('https://api.coinmetrics.io/v4/timeseries/exchange-asset-metrics?exchange_assets=binance-btc&metrics=futures_cumulative_funding_rate_usd_margin_1d&limit_per_exchange_asset=1&api_key=<your_key>
print(response)

Python Client

from coinmetrics.api_client import CoinMetricsClient

api_key = "<API_KEY>"
client = CoinMetricsClient(api_key)

print(
    client.get_exchange_asset_metrics(
        exchanges=["binance-btc"], metrics=['futures_cumulative_funding_rate_usd_margin_1d'], frequency='1d', limit_per_market=1
    ).to_dataframe()
)

Example

{
  "data" : [ {
    "asset" : "btc",
    "time" : "2023-09-18T19:00:00.000000000Z",
    "futures_cumulative_funding_rate_coin_margin_1d" : "0.0000748325509789538"
  }, {
    "asset" : "btc",
    "time" : "2023-09-18T20:00:00.000000000Z",
    "futures_cumulative_funding_rate_coin_margin_1d" : "0.0000725858255383738"
  }, {
    "asset" : "btc",
    "time" : "2023-09-18T21:00:00.000000000Z",
    "futures_cumulative_funding_rate_coin_margin_1d" : "0.0000703397006305284"
  }, {
    "asset" : "btc",
    "time" : "2023-09-18T22:00:00.000000000Z",
    "futures_cumulative_funding_rate_coin_margin_1d" : "0.0000678449650222124"
  }, {
    "asset" : "btc",
    "time" : "2023-09-18T23:00:00.000000000Z",
    "futures_cumulative_funding_rate_coin_margin_1d" : "0.0000653489780522154"
  } ]
}

• asset: The id of the asset.\

• time: The exchange-reported time in ISO 8601 date-time format. Always with nanoseconds precision.\

• futures_cumulative_funding_rate_coin_margin_1d: The cumulative funding rate.

Release History

• Released on September 19, 2023

Availability for Assets

https://coverage.coinmetrics.io/asset-metrics/futures_cumulative_funding_rate_coin_margin_1dcoverage.coinmetrics.io