Funding carry
Forecasts the next-day average funding rate on each venue and what a position pays or receives.
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Inputs
Settled funding rates per venue over 10 days, settlement interval and next settlement time.
Outputs
Rate forecast, annual rate on the actual interval, position carry per day and at the next settlement, best venue.
How it is reviewed
0.6 × last rate + 0.4 × 3-day mean: MAE 0.51 bp against 0.59 bp for the last rate on 488 venue symbols. A live check runs on each venue's history.
Limits
A short-term forecast, not a trading signal. The rate can jump to the venue cap, and a venue may change its interval.
Versions
- v1.0
First release, using each venue's settlement interval from ArcDelta.