TradingView Indicator

This indicator attempts to emulate the @BitMEX predicted funding rate for the XBTUSD perpetual swaps contract.

The indicator is most accurate on the 1-minute interval. It can be used on higher intervals but will lose accuracy due to smoothing.

Tip: Right-click the scale and enable the "Indicator Last Value" option.

Change Log

• First commit: Fork it if you wanna fork. (GNU GPL v3)
• Increased default transparency of funding payout markers.
• Moved payout marker symbol ($) to bottom of indicator. Tried to create an input to let the user choose top or bottom, but TV pine script does not allow series of strings.

Previous Changes

• Tweaked MA algorithm to be more accurate shortly after funding payout.
• Added 8-hour funding payout markers (can be disabled from Inputs menu).
• Added final 8-hour funding rate plot.
• Added labels to plots for easier identification in Style menu.

Reference

• https://www.bitmex.com/app/contract/XBTUSD
• https://www.bitmex.com/app/perpetualContractsGuide#Funding-Rate-Calculations
• Funding Rate (F) = Premium Index (P) + clamp(Interest Rate (I) - Premium Index (P), 0.05%, -0.05%)
• Positive funding rate means longs pay shorts. Negative funding rate means shorts pay longs.

Indicator Key

• Green/Red area: Raw values of the calculated funding rate based on the XBT/USD Premium Index (.XBTUSDPI)
• White line: Time-Weighted Average Price (TWAP) of the calculated funding rate
• Lime/Red thick line: Predicted funding rate
• White dotted line: Adjustable EMA of raw funding rate values
• Aqua/Orange line: Final 8-hour funding rate
• Midline value set to interest rate (static 0.01% as of April 21, 2017)