Index Price and Mark Price


The Index Price is an important benchmark and reference point to use when you are investing. It's essentially an index of the average market prices of cryptocurrencies on major exchanges. It’s also the primary component of the mark price.


The Mark Price is the price used for mark-to-market PnL calculation and platform liquidation, partial liquidation, or forced market buy/sell orders; the Mark Price is designed to be fair and manipulation-resistant.


Perpetual Futures Index Price

BTSE Perpetual Futures Index Price = Best Spot Liquidity Mid Price of Major Exchanges.

  • Best Spot Liquidity Mid Price = (Best Bid Price + Best Ask Price) / 2

The exchanges used as price benchmarks include BTSE, Binance, Bitget, Bybit, Gateio, Mexc, OKX, and others if needed.

Outlier Price Handling Mechanism.

  • Price Deviation Detection: If the price exceeds 3%  from the median price, it is marked as an outlier and capped by a range.

  • Weight Adjustment: Automatically reduces half of the original weight of the outlier price.

  • Time Window Filtering: If the outlier persists for a certain time (e.g., 30 seconds), it is excluded.

Please check the Index page for reference. 


Perpetual Futures Mark Price

BTSE Perpetual Futures Mark Price = Median (Price 1, Price 2, Last Price)

  • Last Price: Last traded price of perpetual contracts 

  • Price 1 = BTSE Index Price × (1 + Latest Funding Rate × (Time Until Next Funding / Funding Interval)) 

    • Funding Interval: Represented in hours, indicating the interval at which funding rates charge users.

    • Time Until Next Funding: The remaining time until the next funding fee charge. 
      For example, if the funding interval is set to 8 hours and the last funding fee was charged 2 hours ago, the time until the next funding fee is 6 hours.

ex: if price index = 60000, funding rate 0.015%, and the time now is UTC 13:25, the next funding fee will be charged at UTC 16:00, so the period until the next funding fee is 2+45/60 = 2.75hr, Price 1 = 60000*(1+0.015%*2.75/8) = 60003.09  

  • Price 2 = Price Index + Moving Average of Basis Difference 

    • Simple Moving Average (5 Minute Basis Difference): Calculates the average of 300 data points within 5 minutes. Each data point is calculated every 1 second by taking the average of the bid and ask prices, and then subtracting the price index.

ie., Basis difference Y_i = average of (Bid1_i + Ask1_i)/2 - Index_i, i = 1-300

So Price 2 = Index_t + Y_t

BTSE maintains the right to apply additional protection mechanisms to rare cases. This includes but is not limited to poor liquidity situations, connectivity issues or other high-risk events.



Time-Based Futures Mark Price

BTSE Time-based Futures Mark Price = BTSE Perpetual Futures Index Price + Moving Average of Basis Difference(5 Minute Basis Difference)

  • Simple Moving Average (5 Minute Basis Difference): Calculates the average of 300 data points within 5 minutes. Each data point is calculated every 1 second by taking the average of the bid and ask prices, and then subtracting the price index.
    ie., Basis difference Y_i = average of (Bid1_i + Ask1_i)/2 - Index_i, i = 1-300

So Mark Price = Index_t + Y_t

  • If the time to delivery is less than 30min, then Mark price = avg(past all index price of every second)


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