Last updated: 6 June 2024
The Margin Trading Index Price is calculated in the same way as the Futures Contract Price Index. The Index Price is a bucket of prices from the major spot market exchanges, weighted by their relative volume. The Margin Trading Index Price is based on the market data of Huobi, OKX, HitBTC, Gate.io, Bitmax, Bitfinex, Bybit, and MXC.
We also take additional protective measures in order to avoid poor market performance caused by interruptions in Spot Market Prices and connectivity problems. These protective measures are as follows:
- Single price source deviation occurs when the latest price of a specific exchange deviates more than 5% from the median price of all price sources. In such cases, 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 price. For instance, suppose the BTCUSDT index of Exchange A has a median price of 20,000 USDT. If the deviation is +7%, its accounted value will be 21,000 USDT (20,000 * 1.05). Conversely, if the deviation is -6%, the accounted value will be 19,000 USDT (20,000 * 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 problem: If we can’t access the data feed of an exchange that has had trades updated in the last 10 seconds, we will consider the last and most recent price data available to calculate the index price.
- If an exchange has no transaction data updates for 10 seconds, the weight of this exchange will be set to zero when calculating the weighted average.
- Latest Transaction Price Protection: When the "Index Price" and "Mark Price“ matching system is unable to secure a stable and reliable source of reference data, the index will be affected for contracts with a single index price, (i.e. the Index Price will not change). In this case, we use our “Latest Transaction Price Protection" mechanism to update the Mark Price until the system is back to normal. The “Latest Transaction Price Protection” is a mechanism that temporarily switches the Mark Price to match the latest transaction price of the contract, which is used to calculate unrealized profit and loss and liquidation call level. Such a mechanism helps prevent unnecessary liquidation.
Notes
- Cross rate: For indexes without direct quotations, the cross rate is calculated as the composite index price. For example, when combining LINK/USDT and BTC/USDT to calculate LINK/BTC.
- Binance will update the index price components from time to time.
