Mark Price Calculation Rules
2023/09/04 12:15:06
In order to improve the stability of the Futures market, FameEX adopts the mark price to avoid liquidation and price manipulation caused by excessive contract price fluctuations. Due to the deviation between the marked price and the latest price, which has relatively small fluctuations in the short term, FameEX adopts the Mark Price to calculate PnL and margin.
Rules
The USDⓈ-M perpetual contract takes the median of the three prices, Mark Price = Median (Price 1, Price 2, Last Market Price of the Contract)
Price 1 = Spot Index Price * ( 1 + Current Funding Rate * ( Time to Next Settlement / Settlement Period ) )
Price 2 = Spot Index Price + Basis Moving Average Value
Basis = (Best Bid Price + Best Ask Price) / 2 - Spot Index Price
The basis is calculated every minute, and the Basis Moving Average Value takes the Basis Average Value of nearly 480 minutes.
The Spot Index is a comprehensive price obtained by weighted average calculation based on the latest spot transaction prices of multiple exchanges in the market.
Solution of Mark Price Exception
Please note that extreme market conditions or deviations in price sources may lead to the Mark Price deviating from the Spot Price. FameEX will take additional protective measures, i.e. Mark Price = Price 2 when the Spot Price and the Mark Price deviate by more than 3%.