FundingBasis

The perpetual mark's relative premium to the spot index — the spread the funding mechanism continuously pulls toward zero.

Quick reference

Item	Value
Family	Derivatives
Input type	DerivativesTick — a perp / futures market tick
Output type	f64 (fraction; × 10 000 for bps)
Output range	unbounded around zero
Default parameters	none
Warmup period	1
Interpretation	Perp-vs-spot carry

Formula

basis = (markPrice − indexPrice) / indexPrice

A positive basis (perpetual above spot) accompanies positive funding; a negative basis a discount. Stateless and O(1). See crates/wickra-core/src/indicators/funding_basis.rs.

Parameters

None. Construct with FundingBasis::new().

Inputs / Outputs

Indicator<Input = DerivativesTick, Output = f64>. The bindings expose the two fields this indicator reads: update(mark_price, index_price). Python / Node batch accept two equal-length arrays (mark_price, index_price) and return a 1-D array of fractions; WASM is streaming-only.

Warmup

warmup_period() == 1; emits on the first tick.

Edge cases

• At par. Mark equal to index reads exactly 0.
• Index validity. The index price must be finite and strictly positive; the DerivativesTick constructor and the bindings reject a non-positive index.

Examples

Rust

use wickra::{DerivativesTick, FundingBasis, Indicator};

let mut fb = FundingBasis::new();
let tick = DerivativesTick::new(
    0.0, 100.5, 100.0, 100.5, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0,
)
.unwrap();
assert!((fb.update(tick).unwrap() - 0.005).abs() < 1e-12); // 50 bps

Python

import wickra as ta

fb = ta.FundingBasis()
print(fb.update(100.5, 100.0))  # 0.005

Node

const { FundingBasis } = require('wickra');

const fb = new FundingBasis();
console.log(fb.update(100.5, 100.0)); // 0.005

Interpretation

The basis is what funding is chasing: when the perpetual trades over spot the basis is positive and funding turns positive to drag it back. Reading the instantaneous basis alongside FundingRate separates a real premium from a stale-funding artefact and sizes the carry available to a cash-and-carry trade. Multiply by 10 000 for basis points.

Common pitfalls

• Fraction, not bps. The output is a fraction; scale it yourself for a bps reading.
• Perp vs dated future. This is the perpetual's basis. For a dated future's basis use TermStructureBasis.

See also

• TermStructureBasis — dated future vs spot.
• CalendarSpread — dated future vs perpetual.
• FundingRate — the rate the basis drives.
• Indicators-Overview — the full taxonomy.