Launch of Mark Price System for Futures Trading

Published on Jan 8, 2019Updated on Jun 4, 20243 min read

Dear valued customers,

To minimize the scale of clawbacks and increase the cost of market manipulation, the Mark Price system for futures trading will be launched around 07:00 – 08:00 Jan 9, 2018 (CET, UTC +1).

The details are as follows:

A.What is Mark Price

  1. Mark Price provides a reasonable reference price based on spot index price and the moving average of basis.
  2. Mark price will replace the latest trading price for calculating the unrealized profit and loss (UPL) of a user. It can minimize the risk of forced liquidation caused by short-term manipulation of the latest trading price

B.Formula of Mark Price

Mark Price

= Spot index price + moving average (basis)

= Spot index price + moving average [(best buy + best sell) / 2 - spot index price]

Mark Price takes into account the spot index price and the moving average of basis. The moving average mechanism smooths out temporary price spikes, reducing unnecessary liquidation under volatile market conditions.

C.How Mark Price will affect trading

1.Calculation of unrealized profit & loss (UPL)

Without Mark Price:

Long position: Face value * no. of contracts / avg. entry price – face value * no. of contracts / latest trading price

Short position: Face value * no. of contracts / latest trading price – face value * no. of contracts / avg. entry price

With Mark Price:

Long position: Face value * no. of contracts / avg. entry price – face value * no. of contracts / latest Mark Price

Short position: Face value * no. of contracts / latest Mark Price – face value * no. of contracts / avg. entry price

2.Forced liquidation process

Forced liquidation will be triggered when:
Margin ratio <= 10% for 10x leverage;

Margin ratio <= 20% for 20x leverage

The UPL factor used for margin ratio calculation is calculated with the latest Mark Price introduced above.

Fixed-margin mode: Margin ratio = (fixed margin + UPL) / initial margin

Cross-margin mode: (Balance + RPL + UPL) / (position margin + withheld margin for working orders)

3.Clearing

Without Mark Price:

Clearing price = the last trading price at 09:00 every Friday (CET, UTC +1)

With Mark Price:

Clearing price = Mark Price at 09:00 every Friday (CET, UTC +1)

4.API

Users may user V3-WebSocket Mark Price channel to obtain the latest Mark Price.

The Mark Price interface for Rest API will be launched this week. Please stay tuned for the update of our API documentation.

Thank you for your continued support and we assure you our best services at all times.

Regards,
OKX
Jan 8, 2018

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