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Crypto Derivatives
Futures Contracts
Index
Price Index
Binance
2020-10-29 05:18
The Latest Price Index Info (Click to check)
1. Price Index of USDT-Margined Perpetual Futures Contract
The underlying contract for the Perpetual Contract is the ‘true’ value of the Contract, and an average of the prices on the major markets constitutes the “Price Index” which is the primary component of Mark Price.
The Price Index is a bucket of prices from the major Spot Market Exchanges, weighted by their relative volume. The Price Index for USDT-margined contracts derived prices from Huobi, Bitterex, HitBTC, Gate.io, Bitmax, Poloniex, FTX, MXC.
The Price Index references for each USDT-margined futures contracts are as follows:
USDT-Margined
Futures Contracts
Price Index References from the Exchanges
binance(cross)huobibittrexhitbtcgate.iobitmaxpoloniexftxmxc
BTCUSDTbtcusdtUSDTBTCBTCUSDBTC/USDTUSDT_BTCBTC/USDT
ETHUSDTethusdtUSDTETHETH/USDTUSDT_ETHETH/USDT
XRPUSDTxrpusdtUSDT_XRPXRP/USDT
TRXUSDTtrxusdtUSDT_TRXTRX/USDT
BNBUSDTBNBBTC*BTCUSDTBNB/USDTBNB/USDT
EOSUSDTeosusdtEOS_USDTEOS/USDTUSDT_EOS
LINKUSDTlinkusdtLINK/USDTUSDT_LINKLINK/USDT
ONTUSDTontusdtONT/USDT
ADAUSDTadausdt
BCHUSDTBCHBTC*BTCUSDTbchusdtBCH_USDTBCH/USDTUSDT_BCHBCH/USDT
LTCUSDTltcusdtLTC_USDTUSDT_LTCLTC/USDT
ETCUSDTetcusdtETC/USDTUSDT_ETC
XLMUSDTxlmusdtUSDT_XLM
XMRUSDTxmrusdtUSDT_XMR
NEOUSDTneousdtNEO/USDT
ATOMUSDTatomusdtATOM_USDTUSDT_ATOM
ZECUSDTzecusdtZEC_USDT
DASHUSDTdashusdtDASH/USDTUSDT_DASH
MATICUSDTMATICBTC*BTCUSDTMATIC/USDT
BATUSDTbatusdtBAT/USDTUSDT_BAT
VETUSDTvetusdtVET/USDT
IOSTUSDTiostusdt
QTUMUSDTqtumusdt
IOTAUSDTiotausdt
XTZUSDTxtzusdtXTZ/USDT
ZRXUSDTZRXBTC*BTCUSDTzrxusdtZRX/USDTUSDT_ZRX
ICXUSDTICXBTC*BTCUSDTicxusdt
ALGOUSDTALGOBTC*BTCUSDTalgousdtALGO_USDTALGO/USDT
WAVESUSDTWAVESBTC*BTCUSDTwavesusdt
ENJUSDTENJBTC*BTCUSDTUSDTENJENJUSD
ZILUSDTZILBTC*BTCUSDTzilusdtZIL/USDT
TOMOUSDTTOMOBTC*BTCUSDT
KAVAUSDTKAVABTC*BTCUSDTKAVA_USDTKAVA/USDT
THETAUSDTTHETABTC*BTCUSDTthetausdt
DOGEUSDTdogeusdtDOGE_USDTDOGE/USDT
OMGUSDTOMGBTC*BTCUSDTomgusdtOMG_USDT
FTMUSDTFTMBTC*BTCUSDT
KNCUSDTKNCBTC*BTCUSDTkncusdtKNC/USDT
BANDUSDTBANDBTC*BTCUSDTbandusdt
RENUSDTRENBTC*BTCUSDTrenusdt
LRCUSDTLRCBTC*BTCUSDTlrcusdtLRC_USDT
COMPUSDTCOMPBTC*BTCUSDTcompusdtCOMP/USDT
SOLUSDTSOLBTC*BTCUSDTSOL/USDTSOL/USDTSOL_USDT
SXPUSDTSXPBTC*BTCUSDTUSDT_SXPSXP/USDT
SNXUSDTSNXBTC*BTCUSDTsnxusdt
RLCUSDTRLCBTC*BTCUSDTRLC_USDT
MKRUSDTMKRBTC*BTCUSDTmkrusdtMKR_USDTMKR/USDT
STORJUSDTSTORJBTC*BTCUSDTstorjusdtSTORJ_USDT
DOTUSDTDOTBTC*BTCUSDTdotusdtDOT_USDTDOT/USDT
BALUSDTBALBTC*BTCUSDTbalusdt
CRVUSDTCRVBTC*BTCUSDTcrvusdtCRV_USDT
SRMUSDTSRMBTC*BTCUSDTSRM_USDTSRM/USDT
YFIUSDTYFIBTC*BTCUSDTyfiusdtYFI/USDT
BLZUSDTBLZBTC*BTCUSDTblzusdt
TRBUSDTTRBBTC*BTCUSDTtrbusdt
RUNEUSDTRUNEBTC*BTCUSDTRUNE/USDTRUNE_USDT
RSRUSDTRSRBTC*BTCUSDTrsrusdt
YFIIUSDTYFIIBTC*BTCUSDTyfiiusdtYFII_USDT
SUSHIUSDTSUSHIBTC*BTCUSDTsushiusdtSUSHI_USDTSUSHI/USDT
KSMUSDTKSMBTC*BTCUSDTksmusdtKSM_USDT
BZRXUSDTBZRXBTC*BTCUSDTBZRX_USDT
EGLDUSDTEGLDBTC*BTCUSDT
OCEANUSDTOCEANBTC*BTCUSDT
UNIUSDTUNIBTC*BTCUSDTuniusdtUNI/USDT
BELUSDTBELBTC*BTCUSDT
AVAXUSDTAVAXBTC*BTCUSDTavaxusdt
HNTUSDTHNTBTC*BTCUSDT
FLMUSDTFLMBTC*BTCUSDT
NEARUSDTNEARBTC*BTCUSDTnearusdt
AAVEUSDTAAVEBTC*BTCUSDTaaveusdt
FILUSDTFILBTC*BTCUSDTfilusdt
CTKUSDTCTKBTC*BTCUSDT
CVCUSDTCVCBTC*BTCUSDTcvcusdt
ALPHAUSDTALPHABTC*BTCUSDT
AXSUSDTAXSBTC*BTCUSDT
ZENUSDTZENBTC*BTCUSDT
There are additional protections to avoid poor market performance during outages of Spot Exchanges or during connectivity problems. These protections are listed below:
  1. Single price source deviation: When the latest price of a certain exchange deviates more than 5% from the median price of all price sources, the exchange weight will be set to zero for weighting purposes.
  2. Multi price source deviation: If more than 1 exchange shows greater than 5% deviation, the median price of all price sources will be used as the index value instead of the weighted average.
  3. Exchange Connectivity Problem: If we can’t access the data feed for exchange and this exchange has trades updated in the last 10 seconds, we can take price data from the last result and use it for index calculation.
If one exchange has no updates for 10 seconds, the weight of this exchange will be zero when calculating the weighted average.
Now that we’ve computed the Price Index, which can be considered as the “Spot Price”, we can move forward in calculating the Mark Price which is used for all Unrealized PnL calculations. Note that Realized PnL is still based on the actual executed market prices.
2. Price Index of Coin-Margined Futures Contract
Price Index is an aggregate price extracted from the major spot exchanges, weighted by their relative volume, this is done to prevent price manipulation from a single exchange. The Price Index for coin-margined contracts derived prices from Bitstamp, Coinbase Pro, Kraken, Bittrex, Binance, Huobi and FTX.
The Price Index references for each coin-margined futures contracts are as follows:
Coin-Margined
Futures Contracts
Price Index References from the Exchanges
BitstampCoinbase ProKrakenBittrexBinanceBinance Cross RateHuobi Cross RateFTX
BTCUSDBTCUSDBTC-USDXBT/USDUSD-BTCBTCBUSD---
ETHUSDETHUSDETH-USD-USD-ETHETHBUSDETHBTC*BTCBUSDethbtc*BTCUSD Index-
XRPUSDXRPUSDXRP-USD-USD-XRPXRPBUSDXRPBTC*BTCBUSDxrpbtc*BTCUSD Index-
ADAUSD--ADA/USD-ADABUSDADABTC*BTCBUSDadabtc*BTCUSD Index-
LINKUSD-LINK-USDLINK/USDUSD-LINKLINKBUSDLINKBTC*BTCBUSDlinkbtc*BTCUSD Index-
BNBUSD----BNBBUSDBNBBTC*BTCBUSD-BNB/USD
TRXUSD----TRXBUSDTRXBTC*BTCBUSDtrxbtc*BTCUSD IndexTRX/USD
DOTUSD--DOT/USD-DOTBUSDDOTBTC*BTCBUSDdotbtc*BTCUSD Index-
EOSUSD-EOS-USD--EOSBUSDEOSBTC*BTCBUSDeosbtc*BTCUSD Index-
LTCUSDLTCUSDLTC-USD--LTCBUSDLTCBTC*BTCBUSDltcbtc*BTCUSD IndexLTC/USD
BCHUSDBCHUSDBCH-USD--BCHBUSDBCHBTC*BTCBUSDbchbtc*BTCUSD IndexBCH/USD
ETCUSD----ETCBUSDETCBTC*BTCBUSDetcbtc*BTCUSD Index-
FILUSD----FILBUSDFILBTC*BTCBUSDfilbtc*BTCUSD Index-
Notes:
  1. BTCUSD Index = Σ [(BTCUSD of Bitstamp) x Weightage 1) + (BTC-USD of Coinbase Pro x Weightage 2) + (XBT/USD of Kraken x Weightage 3) + (USD-BTC of Bittrex x Weightage 4) + ( BTCBUSD of Binance x Weightage 5)] / Total Weightage
  2. Cross Rate: For some underlying assets with no direct quotes, we should use synthetic price, calculating cross-exchange rate as synthetic index, e.g. calculating LINK/USD with LINK/BTC and BTC/USD
  3. Binance reserves the right to update the Price Index references from time to time.
To find more about Mark Price:

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