Bringing this thread back to life as I think we need to get BTC perps created ASAP. We’ve now had ETH perps running for a few days and observed the markets functioning quite well.
There is, however, an issue with the funding calcuations caused by the fact that Chainlink only updates the ETHUSD price once per hour (or if there’s a price move of more than 0.5% since the last update).
Because the ETH perp market on Vega has a very short funding window of only 30 minutes, we are observing very large and volatile funding rates as the mark price on Vega moves with the underlying market, but the Chainlink oracle used for the index price has ~15-30 minutes of latency. Over a large number of funding windows, the average funding rate approximates a value closer to zero, as the funding rate flips from positive and negative between different funding periods. However, in any given funding window the funding rate has been observed as being upwards of 75bps. With funding paid every 30 minutes this creates a rather undesirable experience for traders holding positions. It will also result in a need for market makers to widen their spreads to avoid being exposed to funding rate abritrage.
With this in mind, I suggest we increase the funding period to 8 hours to bring it inline with popular CEXs (e.g. Bybit and Binance). I suggest also applying a 5bps clamp and 10% annual interest rate.
I suggest we leave the ETH perps as they are for now and observe whether the BTC perps have a lower and less volatile funding rate, as well as tighter spreads. If the BTC config is better, we should then change the ETH perps to be consistent with the BTC perps until we’re able to source more frequent index prices via better oracles than Chainlink.