Notice: Understanding Index Price, Mark Price, and Last Price in Futures Trading
September 30, 2025 at 07:43 PMDear Users,
To help you better understand how different prices are used in futures trading, please see the explanations below:
1. Comparison of Three Key Prices
Price | Source | Purpose |
Index Price | Weighted average of prices from multiple major exchanges | Used as the baseline for limit order ranges and fair pricing mechanism. Provides a reference for order placement. |
Mark Price | Weighted average of prices from multiple exchanges, plus a basis (funding, interest, etc.) | Used for margin ratio calculation and liquidation risk control. Helps prevent unfair forced liquidations due to market fluctuations. |
Last Price | Generated based on actual user trades within the exchange | Used for profit & loss calculation (realized PnL) and triggering stop-loss / take-profit orders. Reflects actual market trading activity. |
2. Usage in Different Scenarios
Limit Orders
- Reference: Index Price
- Limit order price ranges are calculated based on the Index Price.
Liquidation & Margin Calculation
- Reference: Mark Price
- Liquidation and margin ratios use the Mark Price to ensure fairness.
Profit & Loss Calculation
- Reference: Last Price for realized PnL, Mark Price for unrealized PnL
Stop-loss / Take-profit Triggers
- Reference: Last Price
- Orders are triggered based on the Last Price.
3. Common Questions
Q1: Why is my liquidation price different from the K-line price?
- A: Liquidation is calculated using the Mark Price, not the K-line or Last Price. Even if the chart shows the price touched a level, liquidation only occurs when the Mark Price reaches it.
Q2: Why didn’t my stop-loss or take-profit trigger?
- A: Stop-loss and take-profit are triggered by the Last Price. If the chart shows a price level touched but no actual trade occurred at that price, the order will not trigger.
Q3: Why is my PnL different from what I expected?
- A: Unrealized PnL uses Mark Price, while realized PnL uses Last Price. Differences are normal due to this calculation method.
Q4: Why do prices differ slightly across exchanges?
- A: Different exchanges use different data sources and weighting methods for Index and Mark Prices. User trading activity also affects the Last Price. Small discrepancies are normal in derivatives markets.
4. Important Notes
- Index Price, Mark Price, and Last Price may vary slightly between exchanges.
- These differences are caused by data sources, weighting methods, and user trading activity.
- Such variations are normal and expected in futures trading.
This notice is intended to help users understand the differences between Index Price, Mark Price, and Last Price, and how they affect order execution, PnL, and risk management.
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