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//! Funding Rate — the current perpetual funding rate.
use crate::derivatives::DerivativesTick;
use crate::traits::Indicator;
/// Funding Rate — the funding rate carried by each derivatives tick.
///
/// The funding rate is the periodic payment exchanged between long and short
/// perpetual-swap holders that tethers the perpetual mark to the spot index. A
/// positive rate means longs pay shorts (the perpetual trades at a premium); a
/// negative rate means shorts pay longs (a discount). This indicator simply
/// surfaces the rate from the [`DerivativesTick`] feed so it can be charted,
/// chained or fed to the rolling funding statistics ([`FundingRateMean`],
/// [`FundingRateZScore`]).
///
/// `Input = DerivativesTick`, `Output = f64`. Stateless; ready after the first
/// tick.
///
/// [`FundingRateMean`]: crate::FundingRateMean
/// [`FundingRateZScore`]: crate::FundingRateZScore
///
/// # Example
///
/// ```
/// use wickra_core::{DerivativesTick, FundingRate, Indicator};
///
/// let mut fr = FundingRate::new();
/// let tick = DerivativesTick::new(
/// 0.0001, 100.0, 100.0, 100.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0,
/// )
/// .unwrap();
/// assert_eq!(fr.update(tick), Some(0.0001));
/// ```
#[derive(Debug, Clone, Default)]
pub struct FundingRate {
has_emitted: bool,
}
impl FundingRate {
/// Construct a new funding-rate indicator.
#[must_use]
pub const fn new() -> Self {
Self { has_emitted: false }
}
}
impl Indicator for FundingRate {
type Input = DerivativesTick;
type Output = f64;
fn update(&mut self, tick: DerivativesTick) -> Option<f64> {
self.has_emitted = true;
Some(tick.funding_rate)
}
fn reset(&mut self) {
self.has_emitted = false;
}
fn warmup_period(&self) -> usize {
1
}
fn is_ready(&self) -> bool {
self.has_emitted
}
fn name(&self) -> &'static str {
"FundingRate"
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::traits::BatchExt;
fn tick(funding_rate: f64) -> DerivativesTick {
DerivativesTick::new_unchecked(
funding_rate,
100.0,
100.0,
100.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0,
)
}
#[test]
fn accessors_and_metadata() {
let fr = FundingRate::new();
assert_eq!(fr.name(), "FundingRate");
assert_eq!(fr.warmup_period(), 1);
assert!(!fr.is_ready());
}
#[test]
fn passes_through_funding_rate() {
let mut fr = FundingRate::new();
assert_eq!(fr.update(tick(0.0001)), Some(0.0001));
assert_eq!(fr.update(tick(-0.0003)), Some(-0.0003));
assert!(fr.is_ready());
}
#[test]
fn batch_equals_streaming() {
let ticks: Vec<DerivativesTick> =
(0..20).map(|i| tick(0.0001 * f64::from(i - 10))).collect();
let mut a = FundingRate::new();
let mut b = FundingRate::new();
assert_eq!(
a.batch(&ticks),
ticks.iter().map(|x| b.update(*x)).collect::<Vec<_>>()
);
}
#[test]
fn reset_clears_state() {
let mut fr = FundingRate::new();
fr.update(tick(0.0001));
assert!(fr.is_ready());
fr.reset();
assert!(!fr.is_ready());
}
}