Mark Price

Mark Price Calculation

The mark price is determined by multiple market factors and is calculated as the median of three components: Price 1, Price 2, and the latest transaction price.

Formula: Mark Price = Median(Price 1, Price 2, Latest Transaction Price)

Price 1

Formula: Price 1 = Index Price × (1 + Funding Fee Basis Rate)

• Funding Fee Basis Rate: Funding Fee Basis Rate = Funding Rate × (Time to Next Funding Fee Settlement / Funding Fee Interval)

  • Determined by the current funding rate and the time remaining until the next funding fee settlement.

  • For details, see: [Funding Rate and Funding Fee Calculation].

Price 2

Formula: Price 2 = Spot Index + Moving Average Basis

• Moving Average Basis: Moving Average Basis = SUM(Sampled Basis) / Number of Samples

• Basis: Basis = (Best Bid Price + Best Ask Price) / 2 - Index Price

• Sampling: The sampled basis is typically a collection of basis calculations taken every second over the past 5 minutes. The platform dynamically adjusts the sampling time window based on market volatility to ensure the mark price remains fair and resistant to manipulation.

Fallback Mechanism

• If the spot index components are unreliable and cannot serve as a reference for contract pricing, the platform prioritizes in-house contract quotes as the primary reference for the mark price.

Volatility Protection

• To prevent malicious market manipulation, a mark price instantaneous fluctuation protection mechanism is activated for certain markets.

• If the latest mark price deviates significantly from the average over the past few minutes, updates to the mark price are paused, and the previous mark price is retained.

• Updates resume when:

  • The normally calculated mark price returns to the pre-deviation level, triggering immediate resumption of normal updates, or

  • After a set period, if the mark price remains divergent, it smoothly transitions back to the normally calculated value.

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Mark Price Applications

Unrealized Profit and Loss (PnL) Calculation

• Long Position: Unrealized PnL = Contract Quantity × Contract Multiplier × (Mark Price - Entry Price)

• Short Position: Unrealized PnL = Contract Quantity × Contract Multiplier × (Entry Price - Mark Price)

Position Value Calculation

• USDT-Margined Perpetual Contracts: Position Value = Contract Quantity × Contract Multiplier × Mark Price

• BTC-Margined Perpetual Contracts: Position Value = Contract Quantity × Contract Multiplier / Mark Price