1. Index Price Overview
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Utilizes samples from other spot exchanges to construct the spot index for contract exchanges.
- BloFin's USDT-margined futures are denominated in the USDT index price.
2. How to Calculate the Index Price
Index Components
| OKX Spot | Binance Spot | Coinbase Pro Spot |
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Bitfinex Spot
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Bittrex Spot
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Kraken Spot
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We will periodically adjust the index components based on market risk, the reliability of data sources, and the liquidity of trading instruments on corresponding platforms.
Index calculation
A. Retrieve the corresponding trading pair's price and volume from designated exchanges in real-time for each index price. The frequency of data retrieval is determined by the API rate limits set by these exchanges.
B. Exclude exchanges undergoing system maintenance or failing to update their latest price and volume within a specified period from the latest price updates. Update frequencies vary for each index.
C. Weight data from exchanges is as follows:
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When data from 3 or more exchanges are available, use pre-set weighted values. Adjust prices more than 3% away from the median by setting them at 97% or 103% of the median, depending on whether they are too high or too low.
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When data from 2 exchanges are available, weight them equally.
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When data from only 1 exchange is available, consider it as the index price.
In Details
Exchange Weight Calculation: The price calculation weights of each exchange are equal.
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Average Weight = 1/n
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where:
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Average Weight = Weight obtained by equalizing exchanges
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n = Number of effective exchanges
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Price Calculation
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Index Price = aPrice * aWeight + bPrice * bWeight + nPrice * nWeight
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where
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Index Price: Spot index price
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aPrice: Spot price of the symbol on exchange a
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nPrice: Spot price of the symbol on exchange n
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aWeight: aWeight = bWeight = averageWeight, equal weight treatment for exchange weights
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3. Mark Price
What is mark price
The mark price serves as a benchmark derived from the underlying index of a derivative. It is typically computed by averaging the spot prices of an asset from various exchanges. This approach helps prevent price distortions that can occur on a single exchange and aims to offer a more precise valuation of the asset. By incorporating the spot index price along with the basis's moving average, the mark price effectively mitigates irregular price swings and minimizes the risk of involuntary liquidations.
How to calculate mark price
The Mark Price is derived by combining the Spot Index Price with the Exponential Moving Average (EMA) of the basis. Another method involves calculating it as the Spot Index Price along with the EMA of the average between the best bid and ask prices, subtracted from the Spot Index Price. This approach provides traders with a more dependable reference point for their trading decisions compared to the last traded price.
Mark Price Formula:
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Mark Price = spot index price + EMA
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Exponential Moving Average = moving average (mid price of contract - spot index price)
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Mid price of the contract = (Best Ask Price + Best Bid Price)/2