Rollover Fee

Captures underlying market swap/funding/carry costs. On non-crypto pairs, the fee is compounded per block and applied synthetically to the entire position size, then deducted/credited to position PnL. A Gelato automation updates the on-chain rate daily (T+1) from our off-chain pipeline.

How It’s Priced

New model (per-asset):

Long Rollover  = lastPureLong + brokerPremium
Short Rollover = - lastPureLong + brokerPremium

• lastPureLong = “pure market” rate inferred off-chain (term structure or interest rate).

• brokerPremium = platform premium (leverage costs).

UI note (signs & colors): – If the effective rate > 0, the user pays (shown as negative/red on FE). – If the effective rate < 0, the user receives (shown as positive/green), only if negative rollover payouts are enabled (see below).

Negative Rollover Setting

• isNegativeRolloverAllowed = false (default, initial phase) Rates are floored at 0 to users (users don't receive rollover).

  • If effective rate < 0 → users receive 0%, not the negative (credit) amount.

  • If effective rate > 0 → users pay the positive rate.

• isNegativeRolloverAllowed = true (future phase) We mirror the underlying: one side pays, the other might receives.

Example (Crude Oil, CL)

• Underlying market rate (roll yield) = −7% (backwardation → longs receive / shorts pay).

• Broker premium = +1%.

Computed:

• Longs: −7% + 1% = −6% → longs receive 6%.

• Shorts: +7% + 2% = +8% → shorts pay 8%.

With isNegativeRolloverAllowed = false:

• Longs: 0%

• Shorts: +8% pay

How We Compute lastPureLong (Off-chain)

We compute the “pure” market component per asset, then push it on-chain daily.

1) Term Structure (Commodities & FX)

• Idea: Use the futures curve to estimate roll yield (contango/backwardation).

• Inputs: list of [expiry, price] contracts (end-of-market data, T+1).

• Method: compute annualized slope(s) between consecutive contracts and take a Gaussian-weighted average (more weight to nearer expiries).

• Sign logic:

  • Contango (positive slope) → longs pay, shorts receive. (e.g., gold often)

  • Backwardation (negative slope) → longs receive, shorts pay. (e.g., oil often)

The resulting annualized %, after weighting, is the lastPureLong for that asset.

2) Interest Rates (Stocks & Indices)

• Use live SOFR (USD policy rate proxy) to set lastPureLong for equity indices and single-stocks.

Daily Update Workflow

On each weekday:

1. Download settlement data (T+1).

2. For each contract/asset, compute the underlying market rate – Term structure (commodities/FX) or SOFR (stocks/indices).

3. Keepers (Gelato) update rollover fee on Ostium smart contracts.