/**
* Funding Rate Indicators
* Analyze funding rate momentum, extremes, divergence, mean reversion signals
*/
import { FundingRateData } from '../types/futures-types'
export interface FundingRateIndicator {
momentum: {
score3h: number // 0-1, momentum over 3h
score8h: number // 0-1, momentum over 8h
score24h: number // 0-1, momentum over 24h
overall: number // 0-1, overall momentum score
trend: 'rising' | 'falling' | 'neutral'
}
extreme: {
isExtreme: boolean // True if >0.1% or <-0.1%
level: 'extreme_high' | 'extreme_low' | 'normal'
reversalSignal: boolean // True if extreme and mean reversion likely
}
divergence: {
vsOI: number // Divergence vs open interest (-1 to 1)
vsPrice: number // Divergence vs price (-1 to 1)
signal: 'bullish' | 'bearish' | 'neutral'
}
meanReversion: {
signal: boolean // True if mean reversion signal
strength: number // 0-1, strength of mean reversion signal
direction: 'long' | 'short' | 'neutral'
}
squeeze: {
detected: boolean // True if funding rate squeeze detected
phase: 'accumulation' | 'distribution' | 'none'
}
}
/**
* Calculate funding rate momentum
*/
function calculateMomentum(fundingData: FundingRateData): FundingRateIndicator['momentum'] {
// 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: 'rising' | 'falling' | 'neutral' = '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: FundingRateData): FundingRateIndicator['extreme'] {
const currentRate = fundingData.current
const isExtreme = Math.abs(currentRate) > 0.001 // >0.1% or <-0.1%
let level: 'extreme_high' | 'extreme_low' | 'normal' = '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: FundingRateData,
oiChange: number, // OI change %
priceChange: number // Price change %
): FundingRateIndicator['divergence'] {
// 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: 'bullish' | 'bearish' | 'neutral' = '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: FundingRateData): FundingRateIndicator['meanReversion'] {
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: 'long' | 'short' | 'neutral' = '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: FundingRateData): FundingRateIndicator['squeeze'] {
// 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: 'accumulation' | 'distribution' | 'none' = '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: FundingRateData,
oiChange?: number,
priceChange?: number
): FundingRateIndicator {
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
}
}
