Index Price is an important reference when you are investing. It's the average market price of cryptocurrencies on major exchanges. It’s also the primary component of the mark price.
Mark Price is the price used for mark-to-market PnL calculation and platform liquidation; Mark price is designed to be fair and manipulation resistant.
Perpetual Futures Index Price Perpetual Futures Index Price = Average Spot Liquidity Mid Price of Major Exchanges. Reference values are provided by the following 5 exchanges: Bitfinex, Binance, Huobi and Coinbase Pro. In order to ensure the stability of the index price, the average value will be calculated after removing the highest and lowest reference values. The reference feeds corresponding to each currency may be different.
* When there are 5 reference values, remove the highest and lowest values, then calculate the average of the remaining 3 values.
Perpetual Futures Mark Price Perpetual Futures Mark Price = (Spot Liquidity Mid Price x 75% + Blockfinity Impact Mid Price x 25%) Spot Liquidity Mid Price = (Bid Price x Ask Size + Ask Price x Bid Size) / (Bid Size + Ask Size) Impact Mid Price = Average (Impact Bid Price, Impact Ask Price) Impact Bid Price: The average buy price of the first 10,000 highest bid orders in the Order Book Impact Ask Price: The average sell price of the first 10,000 lowest ask orders in the Order Book
For example:
In the following order book:
- Impact Bid Price = (6,584.5 x 10,000) / 10,000 = 6,584.5
- Impact Ask Price = (6,586 x 3,467 + 6,587 x 6,533) / 10,000 = 6,586.65
- Impact Mid Price = (6,586.65 + 6,584.5) / 2 = 6,585.58 
Perpetual futures mark price enabling conditions: The spread between mark price and perpetual futures liquidity mid price cannot exceed 2% When the spread ≥ 2%, Mark Price = Index Price
Time-Based Futures Index Price Time-based Futures Index Price = Spot Liquidity Mid Price x (1 + Fair Basis) Time-based Futures Premium (or Discount) Percentage: When the expiration date of the time-based futures is the same as the reference exchanges:
Calculate the average premium (or discount) percentage of the reference exchanges. When the expiration date of the time-based futures is different from the reference exchanges:
Take two reference sources with the closest expiration dates, then use interpolation (or extrapolation) to get the premium (or discount) percentage.
For example:
If a contract’s expiration date is 03/15, and the closest reference sources are 03/05 and 03/20.
Since 03/15 is in between the reference sources, we use interpolation to calculate the premium (or discount) percentage.
On the contrary, if the contract’s expiration date is 03/25, and the closest reference sources are 03/05 and 03/20.
Since 03/25 is outside of the reference sources, we use extrapolation to calculate the premium (or discount) percentage.
Reference values are provided by the following 4 exchanges: Bitfinex, Binance, Huobi and Coinbase Pro. In order to ensure the stability of the index price, the average value will be calculated after removing the highest and lowest reference values. The reference feeds corresponding to each currency may be different. For more details, please click here.
* When there are 4 reference values, remove the highest and lowest values, then calculate the average of the remaining 3 values.
Time-Based Futures Mark Price Time-based Futures Mark Price = Time-based Futures Index Price x 75% + Liquidity Mid Price of Time-base Futures Market x 25% Time-based Futures Index Price: Please refer to the Time-based Futures Index Price section Liquidity Mid Price of Time-base Futures Market = (Bid Price x Ask Size + Ask Price x Bid Size) / (Bid Size + Ask Size)
Time-based futures mark price enabling conditions: The spread between mark price and time-based futures liquidity mid price cannot exceed 2% When the spread ≥ 2%, Mark Price = Index Price
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