Funding cost is the series of funding debits and credits actually settled while a position is eligible for payment. The funding-rate canonical explains the contract mechanism; this page explains how those cash flows enter net performance, research, and account records.
In plain terms — Price P&L is only part of a perpetual position's result. Every funding credit adds to it and every funding debit reduces it, using the amount and timestamp that the venue actually settled.
From rate to realized cost
For one settlement, a useful general representation is Fᵢ = sᵢ × Nᵢ × rᵢ,
where Nᵢ is the contract notional accepted by the venue, rᵢ is the final
rate for that interval, and sᵢ gives the debit or credit from the account's
perspective. The product specification and the account ledger take precedence
over this representation.
Notional may depend on quantity, multiplier, mark price, and contract type. A position may also change size before a settlement or be ineligible unless it is open at a specified timestamp. The cumulative signed flow is the sum of the individual settlements, not simply the latest displayed rate multiplied by elapsed time.
There is no universal eight-hour interval. Venue documentation includes hourly, eight-hour, and other schedules, and a product can change its method. Predicted rates, current rates, and final settled rates must therefore remain separate fields.
Including funding in net results
A strategy report can express the result as:
net result = price P&L + funding credits − funding debits − commissions − other attributable costs
Keep each component separate before summing it. This prevents funding from being counted twice inside a generic fee field and preserves the difference between trading performance and carry. If the flow settles in another asset, record the original amount and the conversion rate and timestamp used for the reporting currency.
Suppose a long with a constant notional of 10,000 units has three settlements:
it pays 0.01%, receives 0.005%, and pays 0.02%. Its signed funding result is
−1 + 0.5 − 2 = −2.5 units. With price P&L of 40, commissions of 8, and
slippage of 4, the net result is 25.5 units. This example is bookkeeping, not
a forecast: rates, notional, eligibility, and direction can all change.
Realised funding should not be mixed with unrealised mark-to-market P&L. It can still reduce account equity and move a leveraged position closer to liquidation before the trade closes.
Backtests and venue comparisons
A funding-aware backtest uses the rates that were final at each historical settlement, with their actual timestamps. Replacing them with today's rate, an annualised dashboard number, or one average across the whole sample creates a result that was not available at the time.
The research record should retain:
- contract, venue, settlement timestamp, final rate, and sign convention;
- position quantity and notional under the product's historical specification;
- eligibility at the settlement time, including entries, exits, and size changes;
- settlement currency and a point-in-time conversion into the reporting currency;
- missing observations and rule changes, without silently replacing either with zero.
Venue comparisons require the same exposure and horizon. Funding alone is not the total cost: commissions, spread, slippage, collateral, transfers, and platform risk can outweigh an apparently favourable rate. A funding receipt is a variable cash flow, not a risk-free yield.
Professional reconciliation
Professional reconciliation starts from the venue ledger rather than a chart. For every entry, match account, contract, side, quantity, notional, settled rate, settlement time, flow currency, and debit or credit to the strategy and position that generated it. Preserve the venue's transaction identifier and any later correction.
Totals should reconcile at three levels: each settlement, each position or strategy, and the account statement. Differences can come from changing notional, cross-margin allocation, currency conversion, rounding, rebates, or a mistaken sign convention. They should be explained rather than absorbed into an undifferentiated “fees” total.
Research and live reporting must use the same convention. A model that treats credits as positive should not import an exchange export that labels outgoing payments as positive without transforming and documenting the sign.
Sources
- BitMEX — Perpetual Contracts Guide — official product documentation for funding purpose, timing, sign, notional basis, and settlement between sides.
- Coinbase — Funding rates: International Derivatives — official venue documentation for hourly settlement, payment direction, and notional-based calculation.
- Coinbase — US Perpetual-Style Futures Funding Rate Mechanism — an official example of a different schedule and method, showing why one interval cannot be assumed universally.
- Coinbase International Exchange — Risk Disclosures — funding, leverage, liquidation, operational, and venue risks affecting net results.
Links
Digital assets and crypto markets · Perpetual futures · Funding rate · Transaction costs · Commissions · Exchange risk
Gold path — Execution module. Index: Gold path.