Linear Contract Specifications

Below you can find sections with detailed information on the MTF's linear perpetual derivatives contracts. Note: these contracts are not yet available to all members.

Perpetual Derivatives are a type of Derivatives contract that have no expiration date and an auto-rolling feature every hour.

Perpetual contracts feature a funding rate, a payment between traders designed to keep the contract's price aligned with the underlying asset's spot price. More information on this mechanism can be found under "Perpetual Contract Funding Rate Information" in the next section.

Margin Class and maximum leverage by position size are detailed in the Margin Schedule.

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.
• absolute funding payout = # of contracts * absolute funding rate * time elapsed within funding period without position alteration
• 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'.
• relative funding payout = # of contracts * (relative funding rate*spot price) * time elapsed within funding period without position alteration

Funding Rate Examples

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

1. Assume time is 12 UTC and that the price of BTC is $37,000 (via bitcoin-dollar real-time index) and the Perpetual trades at $37,100 the whole time until 13 UTC. The average premium is computed as 0.27027% for the 1-hour period (100/37,000). This leads to a funding rate of 0.27027 / 24 = 0.01126125% per hour.
   Now assume that you are in a short position of 2 BTC, with 1 BTC perpetual contract valued at $37,100. If you hold this position from 13 to 14 UTC, and the premium in the 13 to 14 UTC period remains as 0.27027%, then you will be paid funding of 8.333325 USD for the one-hour period [(2*37000)*0.0001126125]
2. Assume time is 12 UTC and that price of BTC is $37,000 and the Perpetual trades at $39,700 until 13 UTC. The average premium is computed as 7.297297% for the 1-hour period. This leads to a funding rate of 7.297297 / 24 = 0.30405404% per hour.
   
   The maximum funding rate per hour in any given period is 0.25%. The minimum is -0.25%.
   As a result, this 0.30405404% hourly rate is floored to 0.25% per hour, so that the maximum 24 hour realisation will not exceed 6%.
   
   Note that there is no "dampening" of rates done in this model: if a 1 hour computed rate is near 0, then it will pay out non-0 value even if it is de minimis.
3. Assume time is 13 UTC and that the index spot price of BTCUSD is $37,000, and the relative rate set for the 1 hour period is 0.05% per hour.
   
   Now assume the time is 13:30 UTC and the perpetual trades at $38,000 and you enter a Short position of 4 BTC at this price.
   
   You will immediately begin receiving funding at an absolute rate of 0.05%*$37,000 = 18.5 USD per hour per unit.
   
   In your available balance you will then see this rate applying in your unrealised PnL through continuous funding payout equal to:
   18.5 * 4 BTC = $74 per hour
   $1.233 per minute
   This will pay out continuously until 14 UTC where the relative funding rate will change based on the market activity between 13-14 UTC.
   
   In your 4 BTC short position at the end of the half hour period you will have $36.99 applied in your account log at 14 UTC.
   
   Assume this new relative funding rate is now 0.03% and the real-time spot index is $37,900 for BTCUSD at 14 UTC.
   
   From 14 UTC to 15 UTC a new absolute funding rate will begin applying of 0.03%*$37,900=$11.37 per hour per unit.
4. Assume time is 14 UTC and you enter a position long 2 BTC on BTCUSD at 37,000. Assume that the funding rate for the one-hour period (13-14 UTC) is set as -0.04% per hour.
   
   At 15 UTC, after you have held this position for one full hour, you will have earned $29.6 [(0.0004*2 BTC)*37,000], which credits continuously throughout the hour period you hold it.
   
   However, during this period, the price was at a premium and so the new one-hour rate set for 14 - 15 UTC is 0.04% per hour. After one hour of holding the position, you have paid $29.6 and you close at 16 UTC.
   
   Your funding for the two hour period you held the position is thus + $29.6 for the first period and then - $29.6 for the first second and your net flows are 0 for this.
5. Assume it's 12 UTC you are in a 5 BTC long position on BTCUSD with spot index at $37,000 and the rate in the funding period is -0.08%. This earns you funding of:ListThis credits and debits every millisecond to every user with an open position. It credits first as unrealised profit and loss, but you have the funds available right away to use in further positions or transfer into your Cash account. The funding 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 at the end of every hour)
6. Assume it's 12 UTC you are in a 3 BTC long position on PF_BTCUSD with spot index at $37,000 and the rate in the funding period is -0.05%. Assume that you have set your profit currency as ETH and you hold this position until the end of the funding period at 13 UTC.
   
   0.0015*37,000*3 = $55.5 per hour
   
   At the end of the period at 13 UTC, assume that the price of ETH is 2,500 (from the ether-dollar real-time index)
   
   The conversion can be calculated using the following:
   = Amount in USD to be converted / (Target currency index * (1 - 0.25%))
   = 55.5 USD / (2,500 ETHUSD * .9975)
   = 0.022 ETH
   
   
   

Fixed Maturity Contract Specifications

*XBT used for API and logs purposes only, all other instances are BTC

Additional Information:

PnL Settlement Method & Collateral Currencies: Linear Derivatives are settled and collateralised in USD.

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

Fee Structure: Derivatives uses a maker-taker fee structure. Fees are calculated as a percentage of the notional order value for a matched trade. Holding a position until settlement will result in a taker fee.

Settlement Index: The settlement rate is calculated using observations of the underlying Real Time Index over the period of 7:30 UTC to 8:00 UTC on Last Trading day. More information available on CF Benchmarks
The methodology is as follows:
- Take a 30 minute observation window of Real Time Index values before 8 UTC
- Split the window into 1 minute partitions
- Compute the average Real Time Index for each minute
- Compute the average of all 1 minute partitions to obtain the Settlement Rate

Settlement time: Within 15 minutes after Last Trading

Last Trading: 08:00 UTC

Week: Every Friday

Month: Last Friday of the month.

Quarter: Last Friday of a month in the March quarterly cycle (March, June, September, December).

Semiannual: Last Friday of a month in the March quarterly cycle (March, June, September, December).

First Trading: 08:00 UTC.

Week: Friday of each week where no contract exists in the following week.

Month: The last Friday of the calendar month where no contract exists in the following calendar month.

Quarter: The last Friday of the calendar month where a contract exists in the following calendar month.

Semiannual: The last Friday of the calendar month where a Month contract and Quarter contract exists.

The fixed maturity listing schedule results in there always being listed simultaneously at four contracts for BTC and ETH: a Week contract, a Month contract, a Quarter contract, and a Semiannual contract. SOL only has a month and a quarter contract. No contract can have the same remaining days to maturity as another currently-listed contract, therefore at maturity, if the days remaining to maturity on one contract correspond to the maturity of a contract with fewer days to maturity, it will roll into that maturity and the new contract with more days to maturity will be listed.

For example, if the monthly contract expires on the 31st of May, then the June quarterly contract will become the June monthly contract, the September quarterly contract will be listed.

Mark Price: Index Price plus the 30 seconds exponential moving average of the order book mid price minus the index price (future's basis).

The premium is capped at 1% for contracts with 1 day to expiry and 20% for contracts with 210 days to expiry and is linearly interpolated in between.

Calculation: Index Price + EMA_30seconds(Impact Mid Price - Index Price)

Note: in the extremely rare circumstance that the Index Price is unavailable for whatever reason, the above caps may not apply and the Mark Price will be equal to the Impact Mid Price.

**Note that if the settlement rate reported by the Index provider is, for any reason, deemed to not adequately represent the underlying market, the Market Risk Committee of Crypto Facilities MTF reserves the right to select its own appropriate fair value settlement rate. If the index provider restates the price, Crypto Facilities MTF will settle to the first value published by the index provider at or after publication time.

Last updated 8 April, 2025