FundingRateMean

The rolling mean funding rate over a trailing window of ticks. Smoothing the raw rate reveals the persistent carry regime behind the per-interval noise.

Quick reference

Item	Value
Family	Derivatives
Input type	DerivativesTick — a perp / futures market tick
Output type	f64 (rate per funding interval)
Output range	unbounded; may be negative
Default parameters	window
Warmup period	window
Interpretation	Sustained carry regime

Formula

mean = (1 / window) · Σ fundingRate over the last `window` ticks

A simple moving average of the funding field, maintained in O(1) per tick via a running sum over a VecDeque. See crates/wickra-core/src/indicators/funding_rate_mean.rs.

Parameters

Name	Meaning	Constraint
window	number of ticks in the average	>= 1

Construct with FundingRateMean::new(window); window == 0 is rejected.

Inputs / Outputs

Indicator<Input = DerivativesTick, Output = f64>. The bindings expose only the field this indicator reads: update(funding_rate). Python / Node batch accept a single funding_rate array and return a 1-D array (NaN during warmup); WASM is streaming-only.

Warmup

warmup_period() == window; the first mean lands on the window-th tick.

Edge cases

• Negative funding. Averages straight through; a negative mean marks a sustained discount / crowded-short regime.
• Window of one. Degenerates to the raw FundingRate.

Examples

Rust

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

fn tick(rate: f64) -> DerivativesTick {
    DerivativesTick::new(rate, 100.0, 100.0, 100.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0)
        .unwrap()
}

let mut frm = FundingRateMean::new(2).unwrap();
assert_eq!(frm.update(tick(0.001)), None);
assert_eq!(frm.update(tick(0.003)), Some(0.002));

Python

import wickra as ta

frm = ta.FundingRateMean(2)
print(frm.update(0.001))  # None
print(frm.update(0.003))  # 0.002

Node

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

const frm = new FundingRateMean(2);
console.log(frm.update(0.001)); // null
console.log(frm.update(0.003)); // 0.002

Interpretation

The mean strips the per-interval jitter from funding and leaves the regime: a positive mean is a market that has been paying to be long for a while, a negative one a market paying to be short. Pair it with the spot FundingBasis to separate a genuine carry from a stale-funding artefact.

Common pitfalls

• Window vs funding interval. window counts ticks, not hours; size it against your tick cadence to get a meaningful lookback in wall-clock time.
• Warmup is None. No output until the window fills — the bindings emit NaN there.

See also

• FundingRate — the raw rate.
• FundingRateZScore — the normalised extreme.
• Indicators-Overview — the full taxonomy.