/**
* Funding Rate Indicators
* Analyze funding rate momentum, extremes, divergence, mean reversion signals
*/
/**
* Calculate funding rate momentum
*/
function calculateMomentum(fundingData) {
// Calculate 3h, 8h, 24h momentum scores
// Higher score = stronger momentum
const currentRate = fundingData.current;
const rate24h = fundingData.rate24h;
const rate7d = fundingData.rate7d;
// 3h momentum: compare current to rate24h (which is average of last 3 periods)
const momentum3h = Math.abs(currentRate - rate24h) / Math.max(0.0001, Math.abs(rate24h) || 0.0001);
const score3h = Math.min(1, momentum3h * 10); // Scale to 0-1
// 8h momentum: compare rate24h to rate7d
const momentum8h = Math.abs(rate24h - rate7d) / Math.max(0.0001, Math.abs(rate7d) || 0.0001);
const score8h = Math.min(1, momentum8h * 5);
// 24h momentum: overall change from 7d average
const momentum24h = Math.abs(currentRate - rate7d) / Math.max(0.0001, Math.abs(rate7d) || 0.0001);
const score24h = Math.min(1, momentum24h * 3);
// Overall momentum
const overall = (score3h * 0.5 + score8h * 0.3 + score24h * 0.2);
// Determine trend
let trend = 'neutral';
if (currentRate > rate24h * 1.05) {
trend = 'rising';
}
else if (currentRate < rate24h * 0.95) {
trend = 'falling';
}
return {
score3h: isNaN(score3h) ? 0 : score3h,
score8h: isNaN(score8h) ? 0 : score8h,
score24h: isNaN(score24h) ? 0 : score24h,
overall: isNaN(overall) ? 0 : overall,
trend
};
}
/**
* Detect extreme funding rates
*/
function detectExtreme(fundingData) {
const currentRate = fundingData.current;
const isExtreme = Math.abs(currentRate) > 0.001; // >0.1% or <-0.1%
let level = 'normal';
if (currentRate > 0.001) {
level = 'extreme_high';
}
else if (currentRate < -0.001) {
level = 'extreme_low';
}
// Mean reversion signal: extreme funding often reverses
// Strong mean reversion signal if rate is extreme and diverging from 7d average
const reversalSignal = isExtreme && Math.abs(currentRate - fundingData.rate7d) > Math.abs(fundingData.rate7d) * 0.5;
return {
isExtreme,
level,
reversalSignal
};
}
/**
* Calculate funding rate divergence
*/
function calculateDivergence(fundingData, oiChange, // OI change %
priceChange // Price change %
) {
// Divergence vs OI: if funding rising but OI falling = bearish divergence
let vsOI = 0;
if (oiChange !== 0 && !isNaN(oiChange)) {
const fundingChange = fundingData.current - fundingData.rate24h;
// Normalize both to same scale
const normalizedFunding = fundingChange * 10000; // Scale to percentage
const divergenceValue = normalizedFunding - oiChange;
vsOI = Math.max(-1, Math.min(1, divergenceValue / 10)); // Normalize to -1 to 1
}
// Divergence vs Price: if funding rising but price falling = bearish
let vsPrice = 0;
if (priceChange !== 0 && !isNaN(priceChange)) {
const fundingChange = fundingData.current - fundingData.rate24h;
const normalizedFunding = fundingChange * 10000;
const divergenceValue = normalizedFunding - priceChange;
vsPrice = Math.max(-1, Math.min(1, divergenceValue / 10));
}
// Determine signal
let signal = 'neutral';
if (vsOI < -0.3 || vsPrice < -0.3) {
signal = 'bearish'; // Funding diverging negatively
}
else if (vsOI > 0.3 || vsPrice > 0.3) {
signal = 'bullish'; // Funding diverging positively
}
return {
vsOI: isNaN(vsOI) ? 0 : vsOI,
vsPrice: isNaN(vsPrice) ? 0 : vsPrice,
signal
};
}
/**
* Detect mean reversion signal
*/
function detectMeanReversion(fundingData) {
const currentRate = fundingData.current;
const rate7d = fundingData.rate7d;
// Mean reversion signal: current rate is far from 7d average
const deviation = Math.abs(currentRate - rate7d);
const meanRate = Math.abs(rate7d);
// Signal strength: higher deviation = stronger signal
const strength = Math.min(1, deviation / Math.max(0.0001, meanRate || 0.0001));
// Signal: extreme funding tends to revert to mean
const signal = strength > 0.5 && Math.abs(currentRate) > 0.0005; // >0.05%
// Direction: if funding is very positive, expect it to drop (short signal)
// If funding is very negative, expect it to rise (long signal)
let direction = 'neutral';
if (signal) {
if (currentRate > 0.001) {
direction = 'short'; // High funding -> price likely to drop
}
else if (currentRate < -0.001) {
direction = 'long'; // Low funding -> price likely to rise
}
}
return {
signal,
strength: isNaN(strength) ? 0 : strength,
direction
};
}
/**
* Detect funding rate squeeze
*/
function detectSqueeze(fundingData) {
// Squeeze: funding rate is compressed (low volatility) before a big move
// Compare current rate to 7d average range
const rateRange = Math.abs(fundingData.rate7d);
const currentVolatility = Math.abs(fundingData.current - fundingData.rate24h);
// Squeeze detected if current volatility is much lower than average
const squeezed = currentVolatility < rateRange * 0.3;
// Phase: accumulation (low/negative funding) or distribution (high funding)
let phase = 'none';
if (squeezed) {
if (fundingData.current < -0.0003) {
phase = 'accumulation'; // Negative funding = accumulation
}
else if (fundingData.current > 0.0003) {
phase = 'distribution'; // Positive funding = distribution
}
}
return {
detected: squeezed,
phase
};
}
/**
* Calculate funding rate indicators
*/
export function calculateFundingRateIndicators(fundingData, oiChange, priceChange) {
const momentum = calculateMomentum(fundingData);
const extreme = detectExtreme(fundingData);
const divergence = calculateDivergence(fundingData, oiChange || 0, priceChange || 0);
const meanReversion = detectMeanReversion(fundingData);
const squeeze = detectSqueeze(fundingData);
return {
momentum,
extreme,
divergence,
meanReversion,
squeeze
};
}
