Mark price
For Pro mode (orderbook perpetual contracts)
Last updated
For Pro mode (orderbook perpetual contracts)
Last updated
On , the mark price serves as a reference price to calculate traders' unrealized profit and loss (PnL). It helps reduce unnecessary forced during periods of abnormal market volatility, ensuring fair and accurate pricing of perpetual contracts.
The price index is a weighted average derived from major spot markets such as Binance, Huobi, and Kraken. Markets with higher trading volumes have a greater influence on the index value. This index represents the fair value of the asset's spot price and is used to calculate the mark price, which is crucial for determining unrealized PnL.
The mark price is determined by taking the median of three prices:
Price 1: Price index × (1 + Funding rate × (Time to next funding rate in hours ÷ 8))
Price 2: Price index + 5-minute moving average
Contract Price: The current contract price
The 5-minute moving average is calculated by sampling every minute over a 5-minute interval:
Moving average = Average of ((bid 1 + ask 1) ÷ 2 − Price index)
The mark price is the median of Price 1, Price 2, and the Contract Price. For example, if Price 1 < Price 2 < Contract Price, then Price 2 is selected as the Mark Price.
In cases of significant deviations between price sources or abnormal market conditions causing large differences between the spot price and the mark price, Aster Pro may implement precautionary measures:
Single price source deviation: If the last price from a particular exchange deviates more than 5% from the median price of all sources, that exchange's price weight is set to zero.
Multiple price source deviations: If more than one exchange shows a deviation greater than 5%, the median price of all sources is used as the index value instead of the weighted average.
Exchange connectivity issues: If any exchange fails to update its price feed within 3 seconds, that source is removed from the price index calculation. This prevents outdated prices from influencing the mark price.
Last trade price protection: If the latest trade price deviates more than 5% from the mark price and no new trade occurs within 5 seconds, the contract price is replaced with the current mark price in the mark price calculation. This prevents the system from using stale or potentially manipulated trade prices in liquidation-related processes.