What are last traded price, index price, and mark price?
Last traded price is the real-time traded price shown in the order book during trading.
Index price is calculated by selecting the last traded prices from three or more other exchange venues with adequate market liquidity as the weighted index constituents.
Mark price is calculated based on the spot index price and the moving average of basis — the difference between the last traded price/spot price and contract strike price. The 'mark price' is used for the calculation of account earnings and loss and for settlement purposes. It's important to note that forced liquidations take place based on the mark price instead of the last traded price.
Index price
What is a spot index price?
OKX's USDT-margined futures are denominated in the USDT index price, while crypto-margined futures are denominated in the underlying cryptocurrency's USD index price.
To make sure the index prices accurately reflect each token's fair spot price, they're calculated as weighted averages of prices taken from at least three exchange venues with adequate market liquidity. Additional measures are also factored in for exceptional circumstances.
This methodology is followed to make sure the index price fluctuates within a normal range, even if the price becomes extremely volatile on a single exchange.
Spot index price methodology in brief
For each index price, we retrieve the corresponding trading pair's price and volume from the designated exchanges in real time.
Exchanges that underwent system maintenance or didn't update their latest price and volume during a specified time period won't be used in calculations for the latest price updates. The update frequency is different for each index.
For trading pairs quoted in BTC, the prices will be converted to USDT by multiplying the OKX BTC/USDT index.
If there's no valid data from every exchange, then data taken from each exchange will be weighted as explained in the additional protections section below.
For details, please visit OKX price index.
Additional protections
OKX provides additional protections to avoid poor market performance during outages for spot exchanges, or during connectivity problems:
When data from three or more exchanges are available, they'll be weighted equally. If an exchange's price deviates more than 3% from the median price of all exchanges, that exchange's price will be taken at 97% or 103% of the median, depending on whether it's too high or too low.
When data from two exchanges are available, they'll be weighted equally.
If only one exchange has valid data, its last traded price will be used as the index price directly.
Mark price
How to calculate the mark price of expiry futures and perpetual futures
The mark price takes into account both the spot index price and the moving average of the basis. The moving average mechanism reduces the fluctuations in the short-term contract price and reduces unnecessarily forced liquidation caused by abnormal volatility.
The calculations
Mark price = spot index price + basis moving average
Basis moving average = moving average (mid price of contract - spot index price)
Mid price of the contract = (best ask price + best bid price) / 2
Mark price: use cases
Mark price is used to calculate unrealized profit and loss on both crypto-margined and USDT-margined futures:
Crypto-margined futures
PnL of long position = face value * |contracts number| * multiplier * (1 / avg. open price - 1 / avg. mark price)
PnL of short position = face value * |contracts number| * multiplier * (1 / avg. mark price - 1 / avg. open price)
USDT-margined futures
PnL of long position = face value * |contracts number| * multiplier * (avg. mark price - avg. open price)
PnL of short position = face value * |contracts number| * multiplier * (avg. open price - avg. mark price)
What price is used for liquidation and unrealized profit and loss?
The mark price is used for liquidation and unrealized earnings and losses.
