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Price Index of USDⓈ-M Futures Contracts
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. The Price Index for USDⓈ-M Futures contracts derives prices from Huobi, OKX, Bittrex, HitBTC, Gate.io, Bitmax, MXC, Bitfinex, Coinbase, Bitstamp, Kraken, BinanceUS, Bybit.
Please be aware that in the event of extreme price volatility or deviation from the price index, Binance will undertake additional protective measures, including but not limited to changing the constituents of the price index.
There are additional protections to avoid poor market performance during outages of Spot exchanges or connectivity problems, including:
- 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.
- Multi price source deviation: If more than one 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.
- Exchange connectivity issue: If we cannot access the data feed for an exchange and that 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 an exchange has no updates for 10 seconds, the weight of that exchange will be zero when calculating the weighted average.
- Last Price Protected: When it cannot obtain a stable and reliable source of reference data for "Price Index" and "Mark Price", the Price Index will not be updated for contracts that have a single source of Price Index. We will use a mechanism called “Last Price Protected" to update the Mark Price until it is back to normal. The “Last Price Protected” is a mechanism that the matching system temporarily switches to the latest transaction price of the contract itself within a certain limit as reference for Mark Price, to calculate unrealized profit and loss and liquidation call level, in order to avoid unnecessary liquidation.
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.
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