A Cross-Venue Data Dictionary for Perpetual Futures: Funding-Rate Mechanisms, Pre-Trade Rules, and Measurement Error Across 21 Exchanges
Description
Cross-venue perpetual-futures analysis often treats a funding rate as a directly comparable scalar. We test that premise using official documentation and read-only public interfaces for 21 centralized and on-chain venues. We construct a dated data dictionary covering funding formulas, settlement schedules, caps, field semantics, clock and rate units, open-interest and turnover bases, fees, liquidation backstops, and pre-trade rules. Fifteen venues share a clamped interest-minus-premium core, but three use distinct formula structures and three require separate treatment. Instrument-level intervals invalidate an exchange-wide eight-hour assumption: Gate’s 1,070 rows on 3 November 2026 contain 420 four-hour contracts, while GRVT and Variational also return multiple intervals. A new sample of 1,840 public history rows shows median absolute timestamp offsets from the nearest hour of 36 ms at Hyperliquid, 937 ms at Extended, and 3,680 ms at Pacifica; all 100 edgeX records are exact. Deterministic examples show 100-fold unit errors, twofold annualization errors, and fee differences exceeding one typical funding payment. The results provide a reproducible normalization layer for funding-rate and execution-cost measurement, not evidence of trading profitability.
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liu_2026_cross_venue_data_dictionary.pdf
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- References
- Preprint: 10.5281/zenodo.23868361 (DOI)
- Preprint: 10.5281/zenodo.23897013 (DOI)