Perpetual Futures contract specifications

To see Fixed Maturity Contract specifications, please visit the other page here.


Perpetual Futures are a special type of Futures contract that have no expiration date and have an auto-rolling feature every four-hours.

Below is a detailed table of characteristics, followed by multiple examples to demonstrate the mechanics of the contract:

 

Perpetual Contract Specifications

  Bitcoin-USD Futures Ether-USD Futures Litecoin-USD Futures BitcoinCash-USD Futures Ripple-USD Futures Ripple-Bitcoin Futures
Contract Symbol PI_XBTUSD PI_ETHUSD PI_LTCUSD PI_BCHUSD PI_XRPUSD PV_XRPXBT
Base currency Bitcoin
(XBT)
Ethereum
(ETH)
Litecoin
(LTC)
Bitcoin Cash
(BCH)
Ripple
(XRP)
Ripple
(XRP)
Quote currency US Dollar US Dollar US Dollar US Dollar US Dollar Bitcoin
Instrument Type Inverse Perpetual Futures Vanilla Perpetual Futures
Auto-Roll Period Every 4-Hours on 12 UTC, 16 UTC, 20 UTC, 24 UTC, 4 UTC, 8 UTC

Rate-setting Calculation Window

Rate for next period is calculated over current 4-hour period (e.g., rate for 12-16 UTC period is calculated in window between 8-12 UTC

Funding Rate

Between start and end of Rate-setting Period the Funding Rate is computed as the time-weighted average premium, and standardized to a per-hour basis.

Permissible range per 1 hours: [-0.05%, +0.05%] (i.e., 40 basis point magnitude for 8-hour realisation period)

Payout Frequency

Continuously based on Funding Rate set at the end of the prior Funding Period.

Positions will immediately and continuously receive or send funding while open in the perpetual contracts.

The funding accumulates as UPL and settles every four hours at end of Funding Period, or when user changes net open position (whichever occurs first).

Funding Rate Multiplier

n = 8

This is the coefficient used in the calculation of the funding rate. A value of 1/n means that, ceteris paribus, it will take n hours to realize the Average Premium.

Example: if the Average Premium is 0.32% for the four hour period, then Funding Rate is equal to 0.04%, meaning that over the course of 8 hours, this 0.32% total will be realised.

Funding Rate Calculation

In a given 4-hour Funding Period, Premium values calculated from minutely perpetual contract prices (240 observations) are recorded versus the Real Time Platform Ticker.

The Average Premium is calculated as the average of the mid 120 observations recorded from above.

Finally, this value is weighted by the Funding Rate Multiplier.

If AveragePremium > 0 then for the 4 hour period, those in Long positions will continuously pay out to Short positions, which pushes the price closer to Index.

If AveragePremium < 0 then for the 4 hour period, those in Short positions will continuously pay out to Long positions, which pushes the price closer to Index.

Contract Size 1 USD 1 USD 1 USD 1 USD 1 USD 1 XRP

Trading Hours

24 hours/day, 7 days/week, 365 days/year (excluding maintenance)

Price Quotation

USD per
1 XBT

USD per
1 ETH

USD per
1 LTC

USD per
1 BCH

USD per
1 XRP

XBT per
1 XRP

Tick Size 0.5 USD 0.05 USD 0.01 USD 0.1 USD 0.0001 USD 0.00000001 BTC
P&L Settlement Method Cash-settled
in XBT
Cash-settled
in ETH
Cash-settled
in LTC
Cash-settled
in BCH
Cash-settled
in XRP
Cash-settled
in XBT

Fee Structure

Taker: 0.075%
Maker: -0.020% (Instant Rebate)

No fees are charged on auto-roll or funding payouts -- these occur strictly between counterparties.

Contract Expiration

The perpetual futures are non-expiring, which means that positions in the contract are never “expired” or “matured”, however there is a settlement process every four hours that applies funding to anchor the spot value to the Index.

See Last Trading for more information.

Settlement time

Every 4 Hours on 12 UTC, 16 UTC, 20 UTC, 24 UTC, 4 UTC, 8 UTC: the accumulated unrealised funding is settled and new rate set based on TWAP premium to index in prior rate period.

Last Trading

This contract remains trading perpetually and would only expire in an emergency situation if Crypto Facilities deems necessary to settle/expire the contract.

This would only occur in exigent circumstances if the Market Risk Committee deemed it necessary to facilitate a fair and orderly market.

First Trading

August 31, 2018

Initial Margin 2-10% (Professional clients), 50% (Retail clients)
Maintenance Margin Half of Initial Margin
Maximum Initial Leverage 10x-50x (Professional clients), 2x (Retail clients)
Position Limits See Margin Schedule

Mark Price

Mid price of Order Book bounded by a range defined by CME CF Bitcoin Real Time Index (BRTI) with anti-manipulation coefficient

Mid price of Order Book bounded by a range defined by CME CF Ether Real Time Index with anti-manipulation coefficient

Mid price of Order Book bounded by a range defined by LTC:USD Spot Rate with anti-manipulation coefficient

Mid price of Order Book bounded by a range defined by BCH:USD Spot Rate with anti-manipulation coefficient

Mid price of Order Book bounded by a range defined by XRP:USD Spot Rate with anti-manipulation coefficient

Mid price of Order Book bounded by a range defined by XRP:XBT Spot Rate with anti-manipulation coefficient

Real Time Platform Ticker IN_XBTUSD IN_ETHUSD IN_LTCUSD IN_BCHUSD IN_XRPUSD IN_XRPXBT
Margin & Settlement Currency XBT ETH LTC BCH XRP XBT

 

Note on Funding Rate

The funding rate for a given perpetual contract is represented in two different ways:

Absolute rate: The amount of funding an account will receive by maintaining a 1 contract unit short position for 1 hour. This is more useful for account log purposes.

Relative rate: The absolute funding rate relative to the spot price at the time of funding rate calculation. This is an intermediate value in the calculation of the absolute funding rate, and is the number we display in the front end (as a %) as the 'funding rate'.

 

Examples

In order to get a complete understanding the rate dynamics of the Perpetual Contract, we present examples to demonstrate the key features:

 

Example Funding Rate 1: (8-hour rate realisation length)

Assume time is 12 UTC and that price of BTC is $7,000 (via realtime index) and the Perpetual trades at $7,010 the whole time until 16 UTC. The average premium is computed as 0.1428% for the 4-hour period ($10/$7,000). This leads to a funding rate of 0.1428 / 8 = 0.01785% per hour.

Now assume that you are in a short position of 100,000 Contracts. If you hold this position from 16 to 24 UTC, and the premium in 16-20 UTC period remains as 0.1428%, then you will earn interest of $142 for the eight-hour period ($100,000*0.001428) in BTC terms, so $142/$7,000 = 0.0204 XBT.

 

Example Funding Rate 2: (Maximum rate)

Assume time is 12 UTC and that price of BTC is $7,000 and the Perpetual trades at $7,100 until 16 UTC. The average premium is computed as 1.428% for the 4-hour period. This leads to a funding rate of 1.428 / 8 = 0.1785% per hour.

The maximum funding rate per hour in any given period is 0.05%. The minimum is -0.05%.

As a result. this 0.1785% hourly rate is floored to 0.05% per hour, so that the maximum 8-hour realisation will not exceed 0.40%.

Note that there is no "dampening" of rates done in this model: if a four-hour computed rate is near 0, then it will stay pay out non-0 value even if it is de minimis.

 

Example Funding Rate 3: (Variable inter-period rate)

Assume time is 14 UTC and you enter a position long 200,000 Contracts on XBTUSD at $7,000. Assume that the funding rate for the four-hour period (12-16 UTC) is set as -0.04% per hour.

At 16 UTC, after you have held this position for two full hours, you will have earned $80 per hour (0.0004*$200,000). This is $80*2=$160 USD equivalent, or $160/$7,000 = 0.0228 XBT, which credits continuously throughout the two hour period you hold it.

However, during this period , the price was at a premium and so the new four-hour rate set for 16 - 20 UTC is 0.04% per hour. After two hours of holding the position, you have paid 0.0228 XBT and you close at 18 UTC, two hours later.

Your funding for the four hour period you held the position is thus 0.0228 XBT for the last two hours of first period then -0.0228 XBT for the first two hours of the second period and your net flows are 0 for this.

 

Example Funding Rate 4: (Fixed intra-period rate)

Assume time is 14 UTC and you enter a position long 500,000 Contracts on XBTUSD with realtime index at $7,000. Assume that the funding rate for the four-hour period (12-16 UTC) is set as 0.033% per hour.

At 16 UTC, after you have held this position for two full hours, you will have paid $165 per hour (500,000*0.00033). For two hours this costs $165*2=$330 USD equivalent, or $330/$7,000 = 0.04714 XBT, which debits from your position continuously throughout the two hour period you hold it, in the form of Unrealised Profit/Loss (UPL).

 

Example Funding Rate 5: (Settlement of unrealised funding)

Assume its 12 UTC you are in a 250,000 Contract long position on XBTUSD with realtime index at $7,000 and the rate in the funding period is -0.05%. This earns you funding of:

  • $125/$7,000=0.01785 XBT per hour
  • 0.0002976 XBT per minute
  • 0.00000496 XBT per second
  • 0.00000000496 XBT per millisecond

This credits and debits every millisecond to every user with an open position. It credits first as "UPL" which is "unrealised" profit and loss, but you have the funds available right away to use in further positions or transfer into you Cash account.

The funding accumulates as UPL and is booked into your account log and realised when one of the following events occur:

  1. You adjust your open position up or down by any amount
  2. You hold until the end of the Funding Period, at which point it is booked (occurs every four hours)