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Overview

  • Borrowing fees are paid only by one side (either longs or shorts) which is decided by current open interest (higher OI pays the fee)
  • Each pair is part of a group, meaning that borrowing fee should be calculated for pair and pair’s group and the higher of two should be charged (never both)
  • Borrowing fee is charged on trader’s position size (collateral * leverage)

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Borrowing fee per block

The formula for borrowing fee per block is: 
feePerBlock * (abs(longOi - shortOi) / maxOi) ** feeExponent

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Example:

Let’s calculate the borrowing fee for ENA/USD pair (pairIndex is 219) against USDC collateral (collateralIndex is 3)

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1) Fetching Open Interest and Fees

Access current open interests and fees for given collateral and pair index via trading-variables endpoint described here.

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2) Calculating Pair Borrowing Fees

To calculate ENA/USD borrowing fees, we use the following object retrieved from Step 1: 
tradingVariables.collaterals[2].borrowingFees.pairs[219] // collaterals[2] because its 0 indexed

{
    "oi": {
        "long": "228761980790000", // 1e10
        "short": "59904000000000", // 1e10
        "max": "8806660000000000" // 1e10
    },
    "feePerBlock": "100236", // 1e10
    "feeExponent": "1",
    "groups": [
        {
            "groupIndex": "2",
            ...
        }
    ],
    ...
}
With these values, we can calculate the pair’s borrowing fee (per block): 
feePerBlock = 0.0000100236
longOi = 22876.198079
shortOi = 5990.4
maxOi = 880666

pairFeePerBlock = 0.0000100236 * Math.abs(22876.198079 - 5990.4) / 880666 ** 1 = 1.9219146149012726e-7

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3) Calculating Group Borrowing Fees

Now we need to do the same for group fee, reading the groupIndex from the same trading-variables response (for this example, groupIndex is 2). The process is the same as for calculating pair fees, using groups values of borrowingFees: 
tradingVariables.collaterals[2].borrowingFees.groups[2]

{
    "oi": {
        "long": "7704464978990000", // 1e10
        "short": "1841270854980000", // 1e10
        "max": "50906510000000000" // 1e10
    },
    "feePerBlock": "16871", // 1e10
    "feeExponent": "1"
    ...
}
Therefore, the group’s borrowing fee (per block) will be: 
feePerBlock = 0.0000016871
longOi = 770446.497899
shortOi = 184127.085498
maxOi = 5090651

groupFeePerBlock = 0.0000016871 * Math.abs(770446.497899 - 184127.085498) / 5090651 ** 1 = 1.9431296324610092e-7
In this example, groupFeePairBlockis greater than pairFeePerBlok (1.9431296324610092e-7 > 1.9219146149012726e-7) so groupFeePairBlock is the effective feePerBlock.

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4) Estimating Borrowing fee per hour

To estimate the hourly paid fee, we need to multiply the number of blocks per hour feePerBlock. 
feePerHour = blocksPerHour * Math.max(pairFeePerBlock, groupFeePerBlock)
For this example, on Arbitrum (12000 blocks per hour), the estimated borrowing fee per hour is: 
feePerHour = 12000 * Math.max(1.9219146149012726e-7, 1.9431296324610092e-7) // 0.002331755558953211% Borrowing (L)
Which corresponds to the Gains UI: