Mark Price
Introduction to Mark Price and Price Index
To prevent price manipulation, price is one of the most critical elements in derivative trading.
In perpetual contracts
Mark Price and Index Price are distinct concepts that play different roles in pricing and liquidation mechanisms.
The Mark Price is a mechanism used in crypto futures trading to ensure fair and accurate pricing of futures contracts.
The Price Index is used to mitigate risks arising from price volatility and market manipulation by providing a more stable reference point. Instead of using the asset's last price, the Price Index takes into account the price of the asset across multiple exchanges.
On Profit Swap Contract of Superp
When designing the Profit Swap for Superp, many of the typical constraints, such as the funding rate and bid-ask spread, were removed. This was done to simplify the product and make it easier for users to understand. Thus, the Mark Price equals to Index Price On Profit Swap Contract.
How to calculate the Price Index for Profit Swap Contract**?**
The Price Index is calculated as follows:
Price Index = Sum of (Weight Percent of Exchange A * The Symbol’s Spot Price on Exchange A + Weight Percent of Exchange B * The Symbol’s Spot Price on Exchange B +...+ Weight Percent of Exchange N * The Symbol’s Spot Price on Exchange N)
Where:
Weight Percent of Exchange i = Weight of Exchange i / Total Weight
Total Weight = Sum of (Weight of Exchange A + Weight of Exchange B + ...+ Weight of Exchange N)
Please note: In the event of extreme price volatility or significant deviation from the Price Index, Superp will undertake additional protective measures, including but not limited to changing the constituents of the Price Index.
Superp applies additional protections to safeguard against poor market performance during spot exchange outages or connectivity issues:
Single Price source deviation: If the latest price of a specific exchange deviates by more than 5% from the median price of all sources, the value will be immediately capped at either 1.05 times or 0.95 times the median price, depending on whether the deviation is above or below the median. For example, if the median price of BTCUSDT index on Exchange A is 60,000 USDT and the price deviates by +7%, it will be capped at 63,000 USDT (60,000 * 1.05). Conversely, if the deviation is -6%, the accounted value will be 57,000 USDT (60,000 * 0.95). This adjustment will occur immediately after the spot price exceeds this price deviation threshold. The exchange-computed price value will be readjusted to its original value once the price value falls back within the 5% deviation threshold from the medium price of all price sources.
Exchange connectivity issues: If Superp is unable to access data from an exchange or the exchange has not updated its trading data within the last five minutes, the weight of that exchange will be set to zero in the weighted average calculation.
The “Last Price Protected” mechanism: When Superp cannot obtain a stable reference data for the Price Index and the Mark Price, it uses the “Last Price Protected” mechanism. In this case, the Price Index is temporarily updated based on the latest transaction price of the contract within a certain limit as a reference for the Mark Price to calculate unrealized profit and loss (PnL) and the liquidation call level. This helps prevent unnecessary liquidations until the situation returns to normal.
Note:
Price Index updates: Superp reserves the right to update the Price Index references from time to time without prior notice
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