Mark Price in USDⓈ-M futures

Calculation

The calculation of Mark Price is intricately linked to the Funding Rate and vice versa. It is highly recommended to read both sections to get a full picture of how the system works.
As Unrealized PnL is the primary driver of liquidations, and as the Perpetual Contract allows for highly leveraged (up to 125x) positions, it is important to ensure that the Unrealized PnL calculation is accurate to avoid unnecessary liquidations. The underlying contract for the Perpetual Contract is the ‘true’ value of the Contract, and an average of the prices on the major markets constitutes the “Price Index” which is the primary component of Mark Price.
The Price Index is a bucket of prices from the major Spot Market Exchanges, weighted by their relative volume. The Price Index for USDⓈ-M futures contracts derived prices from Huobi, Bittrex, HitBTC, Gate.io, Bitmax, Poloniex, FTX, MXC.
There are additional protections to avoid poor market performance during outages of Spot Exchanges or during connectivity problems. These protections are listed below:
  1. 1.
    Single price source deviation: When the latest price of a certain exchange deviates more than 5% from the median price of all price sources, the exchange weight will be set to zero for weighting purposes.
  2. 2.
    Multi price source deviation: If more than 1 exchange shows greater than 5% deviation, the median price of all price sources will be used as the index value instead of the weighted average.
  3. 3.
    Exchange Connectivity Problem: If we can’t access the data feed for exchange and this exchange has trades updated in the last 10 seconds, we can take price data from the last result and use it for index calculation.
  4. 4.
    If one exchange has no updates for 10 seconds, the weight of this exchange will be zero when calculating the weighted average.
  5. 5.
    Last Price Protected: When it is unable to obtain a stable and reliable source of reference data for "Price Index" and "Mark Price", for those contracts have a single source of Price Index, the Price Index will not be updating. We will use a mechanism called “Last Price Protected" to update the Mark Price until it is back to normal. The “Last Price Protected” is a mechanism that the matching system temporarily switches to the latest transaction price of the contract itself within a certain limit as reference for Mark Price, to calculate unrealized profit and loss and liquidation call level, in order to avoid unnecessary liquidation.
Now that we’ve computed the Price Index, which can be considered as the “Spot Price”, we can move forward in calculating the Mark Price which is used for all Unrealized PnL calculations. Note that Realized PnL is still based on the actual executed market prices.
The Price Index references for each USDⓈ-M futures contracts are as follows:
Price Index References from the Exchanges

BUSD-Margined Futures Contracts

BUSD-Margined Futures Contracts
Binance
bittrex
coinbase
bitstamp
kraken
BTCBUSD
BTC/BUSD
USD-BTC
BTC-USD
btcusd
XBT/USD

USDT-Margined Futures Contracts

USDT-Margined Futures Contracts
binance
binance(cross)
okex
huobi
bittrex
hitbtc
gate.io
bitmax
ftx
mxc
BTCUSDT
BTCUSDT
BTC-USDT
btcusdt
USDT-BTC
BTCUSD
-
BTC/USDT
BTC/USDT
-
ETHUSDT
ETHUSDT
ETH-USDT
ethusdt
USDT-ETH
-
-
ETH/USDT
ETH/USDT
XRPUSDT
XRPUSDT
XRP-USDT
xrpusdt
-
-
-
XRP/USDT
TRXUSDT
TRXUSDT
TRX-USDT
trxusdt
-
-
-
TRX/USDT
BNBUSDT
BNBUSDT
BNBBTC*BTCUSDT
-
-
-
-
-
BNB/USDT
BNB/USDT
EOSUSDT
EOSUSDT
EOS-USDT
eosusdt
-
-
EOS_USDT
EOS/USDT
LINKUSDT
LINKUSDT
LINK-USDT
linkusdt
-
-
-
LINK/USDT
LINK/USDT
ONTUSDT
ONTUSDT
ONT-USDT
ontusdt
-
-
ONT/USDT
ADAUSDT
ADAUSDT
ADA-USDT
adausdt
-
-
BCHUSDT
BCHUSDT
BCHBTC*BTCUSDT
BCH-USDT
bchusdt
-
-
BCH_USDT
BCH/USDT
BCH/USDT
LTCUSDT
LTCUSDT
LTC-USDT
ltcusdt
-
-
LTC_USDT
LTC/USDT
ETCUSDT
ETCUSDT
ETC-USDT
etcusdt
-
-
-
ETC/USDT
XLMUSDT
XLMUSDT
XLM-USDT
xlmusdt
-
-
XMRUSDT
XMRUSDT
XMR-USDT
xmrusdt
-
-
NEOUSDT
NEOUSDT
NEO-USDT
neousdt
-
-
NEO/USDT
ATOMUSDT
ATOMUSDT
ATOM-USDT
atomusdt
-
-
ATOM_USDT
-
ZECUSDT
ZECUSDT
ZEC-USDT
zecusdt
-
-
ZEC_USDT
DASHUSDT
DASHUSDT
DASH-USDT
dashusdt
-
-
DASH/USDT
MATICUSDT
MATICUSDT
MATICBTC*BTCUSDT
-
maticusdt
-
-
-
BATUSDT
BATUSDT
BAT-USDT
batusdt
-
-
BAT/USDT
VETUSDT
VETUSDT
-
vetusdt
-
-
VET/USDT
IOSTUSDT
IOSTUSDT
IOST-USDT
iostusdt
-
-
QTUMUSDT
QTUMUSDT
QTUM-USDT
qtumusdt
-
-
IOTAUSDT
IOTAUSDT
IOTA-USDT
-
-
XTZUSDT
XTZUSDT
XTZ-USDT
xtzusdt
-
-
XTZ/USDT
ZRXUSDT
ZRXUSDT
ZRXBTC*BTCUSDT
ZRX-USDT
zrxusdt
-
-
ZRX/USDT
ICXUSDT
ICXUSDT
ICXBTC*BTCUSDT
-
icxusdt
-
-
-
-
ALGOUSDT
ALGOUSDT
ALGOBTC*BTCUSDT
ALGO-USDT
algousdt
-
-
ALGO_USDT
ALGO/USDT
WAVESUSDT
WAVESUSDT
WAVESBTC*BTCUSDT
WAVES-USDT
wavesusdt
-
-
-
-
ENJUSDT
ENJUSDT
ENJBTC*BTCUSDT
-
-
-
-
-
-
ZILUSDT
ZILUSDT
ZILBTC*BTCUSDT
ZIL-USDT
zilusdt
-
-
-
ZIL/USDT
TOMOUSDT
TOMOUSDT
TOMOBTC*BTCUSDT
-
-
-
-
-
-
KAVAUSDT
KAVAUSDT
KAVABTC*BTCUSDT
-
kavausdt
-
-
-
-
THETAUSDT
THETAUSDT
THETABTC*BTCUSDT
THETA-USDT
thetausdt
-
-
-
-
DOGEUSDT
DOGEUSDT
-
DOGE-USDT
dogeusdt
-
-
DOGE_USDT
DOGE/USDT
CHZUSDT
CHZUSDT
CHZBTC*BTCUSDT
-
chzusdt
-
-
-
-
OMGUSDT
OMGUSDT
OMGBTC*BTCUSDT
OMG-USDT
omgusdt
-
-
OMG_USDT
-
FTMUSDT
FTMUSDT
FTMBTC*BTCUSDT
FTM-USDT
-
-
-
-
-
KNCUSDT
KNCUSDT
KNCBTC*BTCUSDT
KNC-USDT
kncusdt
-
-
-
-
-
BANDUSDT
BANDUSDT
BANDBTC*BTCUSDT
BAND-USDT
bandusdt
-
-
-
-
RENUSDT
RENUSDT
RENBTC*BTCUSDT
REN-USDT
renusdt
-
-
-
-
LRCUSDT
LRCUSDT
LRCBTC*BTCUSDT
LRC-USDT
lrcusdt
-
-
LRC_USDT
-
COMPUSDT
COMPUSDT
COMPBTC*BTCUSDT
COMP-USDT
compusdt
-
-
-
-
-
SOLUSDT
SOLUSDT
SOLBTC*BTCUSDT
SOL-USDT
solusdt
-
-
-
SOL/USDT
SOL/USDT
SOL_USDT
BNTUSDT
BNTUSDT
BNTBTC*BTCUSDT
BNT-USDT
bntusdt
-
-
-
-
SXPUSDT
SXPUSDT
SXPBTC*BTCUSDT
-
-
-
-
-
-
SXP/USDT
SNXUSDT
SNXUSDT
SNXBTC*BTCUSDT
SNX-USDT
snxusdt
-
-
-
-
ANKRUSDT
ANKRUSDT
-
-
ankrusdt
-
-
-
-
ANKR_USDT
RLCUSDT
RLCUSDT
RLCBTC*BTCUSDT
-
-
-
-
-
-
MKRUSDT
MKRUSDT
MKRBTC*BTCUSDT
MKR-USDT
mkrusdt
-
-
MKR_USDT
-
-
STORJUSDT
STORJUSDT
STORJBTC*BTCUSDT
STORJ-USDT
storjusdt
-
-
STORJ_USDT
-
DOTUSDT
DOTUSDT
DOTBTC*BTCUSDT
DOT-USDT
dotusdt
-
-
DOT_USDT
DOT/USDT
-
-
BALUSDT
BALUSDT
BALBTC*BTCUSDT
BAL-USDT
balusdt
-
-
-
-
-
-
CRVUSDT
CRVUSDT
CRVBTC*BTCUSDT
CRV-USDT
crvusdt
-
-
CRV_USDT
-
-
-
SRMUSDT
SRMUSDT
SRMBTC*BTCUSDT
SRM-USDT
-
-
-
SRM_USDT
-
SRM/USDT
-
YFIUSDT
YFIUSDT
YFIBTC*BTCUSDT
YFI-USDT
yfiusdt
-
-
-
-
YFI/USDT
-
BLZUSDT
BLZUSDT
BLZBTC*BTCUSDT
-
blzusdt
-
-
-
-
-
-
TRBUSDT
TRBUSDT
TRBBTC*BTCUSDT
TRB-USDT
trbusdt
-
-
-
-
-
-
RUNEUSDT
RUNEUSDT
RUNEBTC*BTCUSDT
-
-
-
-
-
-
-
-
XEMUSDT
XEMUSDT
XEMBTC*BTCUSDT
XEM-USDT
xemusdt
-
-
-
-
-
RSRUSDT
RSRUSDT
RSRBTC*BTCUSDT
RSR-USDT
rsrusdt
-
-
-
-
-
-
SANDUSDT
SANDUSDT
SANDBTC*BTCUSDT
-
sandusdt
-
-
-
-
-
-
YFIIUSDT
YFIIUSDT
YFIIBTC*BTCUSDT
YFII-USDT
yfiiusdt
-
-
YFII_USDT
-
-
-
SUSHIUSDT
SUSHIUSDT
SUSHIBTC*BTCUSDT
SUSHI-USDT
sushiusdt
-
-
SUSHI_USDT
-
SUSHI/USDT
-
KSMUSDT
KSMUSDT
KSMBTC*BTCUSDT
KSM-USDT
ksmusdt
KSM_USDT
BZRXUSDT
BZRXUSDT
BZRXBTC*BTCUSDT
-
-
EGLDUSDT
EGLDUSDT
EGLDBTC*BTCUSDT
EGLD-USDT
-
-
-
-
-
-
-
OCEANUSDT
OCEANUSDT
OCEANBTC*BTCUSDT
LUNAUSDT
LUNAUSDT
LUNABTC*BTCUSDT
lunausdt
UNIUSDT
UNIUSDT
UNIBTC*BTCUSDT
UNI-USDT
uniusdt
UNI/USDT
BELUSDT
BELUSDT
BELBTC*BTCUSDT
AVAXUSDT
AVAXUSDT
AVAXBTC*BTCUSDT
AVAX-USDT
avaxusdt
HNTUSDT
HNTUSDT
HNTBTC*BTCUSDT
-
FLMUSDT
FLMUSDT
FLMBTC*BTCUSDT
FLM-USDT
NEARUSDT
NEARUSDT
NEARBTC*BTCUSDT
NEAR-USDT
nearusdt
AAVEUSDT
AAVEUSDT
AAVEBTC*BTCUSDT
AAVE-USDT
aaveusdt
-
FILUSDT
FILUSDT
FILBTC*BTCUSDT
FIL-USDT
filusdt
CTKUSDT
CTKUSDT
CTKBTC*BTCUSDT
CVCUSDT
CVCUSDT
CVCBTC*BTCUSDT
CVC-USDT
cvcusdt
ALPHAUSDT
ALPHAUSDT
ALPHABTC*BTCUSDT
AXSUSDT
AXSUSDT
AXSBTC*BTCUSDT
AKROUSDT
AKROUSDT
AKROBTC*BTCUSDT
akrousdt
ZENUSDT
ZENUSDT
ZENBTC*BTCUSDT
ZEN-USDT
zenusdt
UNFIUSDT
UNFIUSDT
UNFIBTC*BTCUSDT
-
SKLUSDT
SKLUSDT
SKLBTC*BTCUSDT
sklusdt
GRTUSDT
GRTUSDT
GRTBTC*BTCUSDT
GRT-USDT
grtusdt
BTSUSDT
BTSUSDT
-
btsusdt
1INCHUSDT
1INCHUSDT
1INCHBTC*BTCUSDT
1INCH-USDT
1inchusdt
REEFUSDT
REEFUSDT
-
reefusdt
LITUSDT
LITUSDT
LITBTC*BTCUSDT
BTCSTUSDT
BTCSTUSDT
BTCSTBTC*BTCUSDT
SFPUSDT
SFPUSDT
SFPBTC*BTCUSDT
DODOUSDT
DODOUSDT
DODOBTC*BTCUSDT
RVNUSDT
RVNUSDT
RVNBTC*BTCUSDT
RVN-USDT
rvnusdt
COTIUSDT
COTIUSDT
COTIBTC*BTCUSDT
CHRUSDT
CHRUSDT
CHRBTC*BTCUSDT
chrusdt
MANAUSDT
MANABTC*BTCUSDT
MANA-USDT
manausdt
ALICEUSDT
ALICEUSDT
ALICEBTC*BTCUSDT
HBARUSDT
HBARUSDT
HBARBTC*BTCUSDT
HBAR-USDT
hbarusdt
ONEUSDT
ONEUSDT
ONEBTC*BTCUSDT
-
oneusdt
LINAUSDT
LINAUSDT
LINABTC*BTCUSDT
linausdt
STMXUSDT
STMXUSDT
-
DENTUSDT
DENTUSDT
DENTETH*ETHUSDT
HOTUSDT
HOTUSDT
HOTETH*ETHUSDT
CELRUSDT
CELRUSDT
CELRBTC*BTCUSDT
CELR_USDT
MTLUSDT
MTLUSDT
MTLBTC*BTCUSDT

COIN-M Futures Contracts

Price Index is an aggregate price extracted from the major spot exchanges, weighted by their relative volume, this is done to prevent price manipulation from a single exchange. The Price Index for coin-margined contracts derived prices from Bitstamp, Coinbase Pro, Kraken, Bittrex, Binance, Okex, Huobi and FTX.
The Price Index references for each COIN-M futures contracts are as follows:
COIN-M Futures Contracts
bitstamp
coinbase.pro
kraken
bittrex
binance
binance_cross
okex_cross
huobi_cross
ftx
BTCUSD
btcusd
BTC-USD
XBT/USD
USD-BTC
BTCBUSD
-
-
-
-
ETHUSD
ethusd
ETH-USD
-
USD-ETH
ETHBUSD
ETHBTC*BTCBUSD
ETH-BTC*index(BTCUSD)
ethbtc*index(BTCUSD)
-
XRPUSD
xrpusd
-
-
USD-XRP
XRPBUSD
XRPBTC*BTCBUSD
XRP-BTC*index(BTCUSD)
xrpbtc*index(BTCUSD)
-
ADAUSD
-
-
ADA/USD
-
ADABUSD
ADABTC*BTCBUSD
ADA-BTC*index(BTCUSD)
adabtc*index(BTCUSD)
-
LINKUSD
-
LINK-USD
LINK/USD
USD-LINK
LINKBUSD
LINKBTC*BTCBUSD
LINK-BTC*index(BTCUSD)
linkbtc*index(BTCUSD)
-
BNBUSD
-
-
-
-
BNBBUSD
BNBBTC*BTCBUSD
-
-
BNB/USD
TRXUSD
-
-
-
-
TRXBUSD
TRXBTC*BTCBUSD
TRX-BTC*index(BTCUSD)
trxbtc*index(BTCUSD)
TRX/USD
DOTUSD
-
-
DOT/USD