The index price for perpetual futures contracts is derived from the spot prices of an underlying asset across several major exchanges. For example, the BTCUSDT perpetual futures' index price is calculated based on the BTC/USDT spot prices from six exchanges: HTX, OKX, Binance, KuCoin, Poloniex, and HitBTC. These prices are weighted by trading volume to calculate a weighted average as the index price. The weights will be rebalanced quarterly based on trading volume changes.
In cases of extreme price fluctuations or unusual market conditions, Poloniex may adjust the reference components of the index price and take protective measures:
Source Price Deviation:
|No. of Valid Data Source||Deviation Rate||Solution|
|≥ 3 exchanges||The price of exchange A deviates more than ±3% from the median price of all selected exchanges (including exchange A).||The price of exchange A will be calculated as ±3% of the median price of all selected exchanges.|
|= 2 exchanges||The price difference between the 2 exchanges is greater than 25%.||The price of the exchange with a smaller deviation from the previous index price is considered normal, while the other exchange is considered as a fat finger error. And the index price is temporarily anchored at the normal price.|
|= 1 exchange||The difference between the latest price and the previous one is greater than 25%.||It is considered as a fat finger error and the previous price is adopted as the index price.|
Data Source Exclusion:
If an exchange is unable to provide market data at a specific time (due to exchange downtime, data interruption, or security incidents), the price at that time will be calculated based on the most recent valid price.
If the data from an exchange in the previous 300 data points (5 min) is less than 10%, the price of this exchange will be excluded, and the weight of this exchange will be temporarily adjusted to 0. When the data of this exchange recovers, and at least 90% data are valid out of 300 data points, the weight of this exchange will be recovered.
No Valid Data from the Source:
If none of the data sources provide valid prices or if data retrieval encounters abnormal issues, the most recent valid index price will be used as the current index price, and the timestamp will be updated until a new valid value is calculated.
To view index price records, please go to Index on the Contract Information page.
The index price is considered as a fair spot price and is used to calculate the mark price.
Traditional futures contracts often use the last execution price to mark positions. However, unnecessary liquidations may occur if the market is being manipulated or illiquid, or the mark price swings unnecessarily relative to its index price.
Poloniex employs a fair price marking system using a reasonable price (rather than the last execution price) to mark futures, effectively preventing unnecessary liquidations.
The mark price is calculated as follows:
Mark price = Median price * (Price1, Price2, Futures price)
Price 1 = Index price * (1 + Funding basis rate)
Funding basis rate = Funding rate * (Time to next funding / Funding interval)
Price 2 = Index price + Moving average (5-minute base)
Moving average (5-minute basis) = Sum of (Moving average) / 60 = (Sum of (Bid 1_i + Ask 1_i) / 2 - Index price_i ) / 60.
The moving average is calculated every 5 seconds. Moving average = (Bid 1 + Ask 1) / 2 - Index price.
Median price: If Price 1 < Price 2 < Futures price, the mark price will be based on Price 2. Please note that in extreme market conditions or due to discrepancies in source prices, the mark price may deviate from the spot price. Poloniex will take additional protective measures, i.e., calculating mark price = price 2.
The fair mark price is used to calculate unrealized profit and loss for each futures contract and affects the liquidation price. However, it does not impact the calculation of realized profit and loss. The actual profit or loss of an account is determined based on the market price at the time when positions are closed.
To view mark price records, please go to Specification on the Contract Information page.