//@version=3
study("Bitmex Funding Bias", shorttitle="Skrrrt", precision=4, max_bars_back=481, overlay=true)


//----- DESCRIPTION

// This indicator emulates BitMEX funding rates with reasonably accurate results.

// BitMEX funding occurs every 8 hours at 4:00 UTC, 12:00 UTC and 20:00 UTC.
// You pay the funding rate if you are in a position at funding time.
// The funding rate is predicted from the minute funding occurs over 480 minutes (8 hours).
// After 8 hours, which is another funding time, the predicted rate is set as the next funding rate, which will be paid 8 hours later at the next funding time.
// For example:
//   It is 4:00 UTC and funding is paid, and there is currently a predicted rate of 0.01.
//   The predicted rate, 0.01, will be set as the next funding rate which will be paid in 8 hours at the next funding time.
//   The predicted rate resets and will become a more accurate prediction each minute.

// Funding Rate Bar: On the bar on which funding is paid (see funding times), a column is rendered with the value of the paid funding rate.
// Next Funding Rate: The rendered circles show the next funding rate, which will be the value of the Funding Rate Bar
// Predicted Funding Rate: The rendered line is the predicted funding rate that resets when funding is paid.

// Daily, Weekly, and Monthly views show the total of fundings within the bar.
// i.e. a daily bar contains 3 funding periods, so if funding were 0.1 each of those times, the daily funding is 0.3.
// There are 21 funding periods in a week, so a week during which the funding was 0.1 on average will have a Weekly bar with a funding value of 2.1

// * A note on emulation accuracy
// Funding rate emulation uses lower time frame data from TradingView which has limited history.
// On my chart at the time of writing this, I am able to access 20 weeks of that data.
// Beyond that point, the funding rate emulation becomes less accurate,
// though it is still reasonably similar for the purpose of trend/sentiment analysis.


//----- PRINTED VALUES

// Predicted Funding Rate | Next Funding Rate | Funding Rate Bar


//----- OPTIONS

// - Contract: Choose the BitMEX perpetual swap contract for which to emulate funding. XBTUSD or ETHUSD
// - Cap Funding: BitMEX funding has a cap. Disable this if you want to see what the value would be without the funding cap.
// - Use Alternate Colors When Accuracy Reduced: Use distinct colors when accuracy is reduced. See note about accuracy in the indicator description.


//----- INPUTS
whenLong = input(title= "Short", type=float, defval= 0.11, step= 0.01)
whenShort = input(title= "Long", type=float, defval= -0.12, step= 0.01)
whichFunding = input("Daily Funding", title="Type of Funding", options=[ "8h Funding", "Daily Funding" ]  )
contract = input("XBTUSD", title="Contract", options=[ "XBTUSD", "ETHUSD" ])
capFunding = true
useAlternateColorsWhenAccuracyReduced = true

CONTRACT_XBTUSD = "XBTUSD"
CONTRACT_ETHUSD = "ETHUSD"


//----- HELPERS

clamp (lowest, highest, subject) => max(lowest, min(highest, subject))

minutesToBars (minutes) =>
    dailyMinutes = 1440
    weeklyMinutes = 10080
    monthlyMinutes = weeklyMinutes * 30
    resolutionBaseMinutes = ismonthly ? monthlyMinutes :
       isweekly ? weeklyMinutes :
       isdaily ? dailyMinutes :
       1
    barMinutes = interval * resolutionBaseMinutes
    minutes / barMinutes

total (src, length) =>
    result = 0.0
    for i = 0 to length - 1
        if (i < 0)
            result := na
            break
        result := result + src[i]
    result

simpleMovingAverage (src, length) => total(src, length) / length

// this seems to be faster than the built-in `barssince ` function, which was contributing to an error for being too slow
barsSince (condition) =>
    bars = 0
    bars := condition ? 0 : bars[1] + 1

twap (resetWhen, src) =>
    bars = barsSince(resetWhen) + 1
    simpleMovingAverage(src, bars)

// Funding occurs every 8 hours at 04:00 UTC, 12:00 UTC and 20:00 UTC.
isBitmexFundingBar = ((hour == 4 or hour == 12 or hour == 20) and (minute == 0)) or isdwm

fundingTwap (src) => twap(isBitmexFundingBar, src)

bitmexInterestRateTwap (asset) =>
    //----- Interest Rate Component

    // Every contract traded on BitMEX consists of two instruments: a Base currency and a Quote currency.
    // For example, on XBTUSD, the Base currency is XBT while the quote currency is USD.
    // The Interest Rate is a function of interest rates between these two currencies:

    interestBaseIndex = security("BITMEX:" + asset + "BON", period, close) // The Interest Rate for borrowing the Base currency
    interestQuoteIndex = security("BITMEX:USDBON", period, close) // The Interest Rate for borrowing the Quote currency
    fundingInterval = 3 // (Since funding occurs every 8 hours)
    interestRate = nz((interestQuoteIndex - interestBaseIndex) / fundingInterval, 0.0001)
    fundingTwap(interestRate)

bitmexPremiumIndexTwap (asset) =>
    //----- Premium / Discount Component

    // The perpetual contract may trade at a significant premium or discount to the Mark Price.
    // In those situations, a Premium Index will be used to raise or lower the next Funding Rate to levels consistent with where the contract is trading.
    // Each contract’s Premium Index is available on the specific instrument’s Contract Specifications page and is calculated as follows:
    // Premium Index (P) = (Max(0, Impact Bid Price - Mark Price) - Max(0, Mark Price - Impact Ask Price)) / Spot Price + Fair Basis used in Mark Price

    premiumIndexTwap_fallback = security("BITMEX:" + asset + "USDPI", period, fundingTwap(ohlc4))
    premiumIndexTwap = security("BITMEX:" + asset + "USDPI", "1", fundingTwap(ohlc4))
    [ premiumIndexTwap, premiumIndexTwap_fallback ]

bitmexPredictedFundingRate (asset, capFunding, fundingCapAmount, dampenerAmount, interestRateTwap, premiumIndexTwap) =>
    predictedBaseFundingRateRatio = premiumIndexTwap + clamp(-dampenerAmount, dampenerAmount, interestRateTwap - premiumIndexTwap)
    predictedFundingRateRatio = capFunding ? clamp(-fundingCapAmount, fundingCapAmount, predictedBaseFundingRateRatio) : predictedBaseFundingRateRatio
    predictedFundingRateRatio * 100

bitmexNextFundingRate (predictedFundingRate) =>
    nextFundingRate = 0.01
    nextFundingRate := isBitmexFundingBar ? predictedFundingRate[1] : nextFundingRate[1]

bitmexFundingBarValue (assetTicker, predictedFundingRate) =>
    fundingPeriodMinutes = 480
    fundingPeriodBars = max(1, floor(minutesToBars(fundingPeriodMinutes)))
    fundingOffset = fundingPeriodBars + 1

    dwmIntervalModifier = isdaily ? 3 :
       isweekly ? 3 * 7 :
       ismonthly ? 3 * 30 :
       na
    dwmModifier = interval * dwmIntervalModifier

    intradayFundingBarValue = predictedFundingRate[fundingOffset]
    // any ticker will work fine here, but simply using `ticker` (the current chart) doesn't work on special charts like spread charts that can't access `ticker`
    nonIntradayFundingBarValue = security(assetTicker, "240", intradayFundingBarValue) * dwmModifier
    (not isBitmexFundingBar) ? na : (isintraday ? intradayFundingBarValue : nonIntradayFundingBarValue)


//----- VALUES

asset = contract == CONTRACT_XBTUSD ? "XBT" :
   contract == CONTRACT_ETHUSD ? "ETH" :
   "XBT"

assetTicker = asset + "USD"

[ premiumIndexTwap_ideal, premiumIndexTwap_fallback ] = bitmexPremiumIndexTwap(asset)
premiumIndexTwap = na(premiumIndexTwap_ideal) ? premiumIndexTwap_fallback : premiumIndexTwap_ideal
interestRateTwap = bitmexInterestRateTwap(asset)

predictedFundingRate = bitmexPredictedFundingRate(asset, capFunding, 0.00375, 0.0005, interestRateTwap, premiumIndexTwap)
nextFundingRate = bitmexNextFundingRate(predictedFundingRate)
fundingBarValue = bitmexFundingBarValue(assetTicker, predictedFundingRate)
accuracyReduced = na(premiumIndexTwap_ideal)

theActualUsedFunding = whichFunding == "8h Funding" ? nextFundingRate : predictedFundingRate

//----- RENDER

longsColor = #53B987
shortsColor = #EB4D5C
longsAlternateColor = #247BA0
shortsAlternateColor = orange
useAlternateColors = useAlternateColorsWhenAccuracyReduced and accuracyReduced

FundingColor (rate) => rate < 0 ? (useAlternateColors ? shortsAlternateColor : shortsColor) : (useAlternateColors ? longsAlternateColor : longsColor)

nextFundingColor = FundingColor(nextFundingRate)
fundingBarColor = FundingColor(fundingBarValue)

longsPay= theActualUsedFunding > whenLong
shortsPay= theActualUsedFunding < whenShort


bgcolor(color=(longsPay ? #8b3030 : (shortsPay ? #0F1626 : na)))