1. What is Spot Index Price?
The Spot Index Price is designed to measure the price of the underlying digital asset. PX’s USDT-margined contracts are priced based on the USDT Index Price.
To ensure the Index Price accurately reflects the fair spot price of each currency, it is typically calculated as a weighted average of spot prices obtained from mainstream exchanges. This averaging mechanism aims to maintain the representativeness of the index and effectively mitigate the impact of abnormal price deviations from a single exchange.
2. Index Price
2.1 Calculation Logic
The platform calculates its Index Price as a weighted average of spot trading pair prices from multiple mainstream spot exchanges.
2.2 Update Frequency
Updated once per second.
2.3 Price Protection Rules
To ensure the stability and accuracy of the Index Price, the following protection measures are implemented:
- If the spot price of any exchange deviates from the median price by more than ±5%, the exchange’s quote is deemed abnormal. The system will use Median Price × (1 ± 5%) as the valid quote for this exchange when calculating the Index Price.
- Once the exchange’s spot quote returns to within the ±5% deviation from the median price, the exchange’s latest real quote will be used as the valid quote again.
- If an exchange’s price fails to update for more than 1 minute, it is considered to have liquidity issues or service interruptions. This exchange will be excluded from the Index Price calculation (with a quote weight of 0).
- The exchange will rejoin the calculation only after its trading activity resumes and no abnormalities occur for 3 consecutive minutes.
Example
For the BTC_USDT Index (composed of quotes from 5 exchanges) with a median price of 20,000 USDT:If Exchange A’s price deviates by +7% (i.e., 21,400 USDT), its valid quote for Index Price calculation will be adjusted to 21,000 USDT (20,000 USDT × 1.05).
3. Mark Price for Perpetual/Delivery Contracts
3.1 Definition of Key Prices
| Price Type | Description |
| Mark Price | Used to calculate users’ unrealized P&L, aiming to enhance contract market stability and reduce unnecessary forced liquidations during abnormal market fluctuations. |
| Latest Price | Determined by the latest transaction price in the order book. For example, the latest price of the BTCUSDT Perpetual Contract is influenced by the buy/sell orders of that specific contract. While these contracts are based on BTC’s value, their prices may not align with BTC’s spot price. |
3.2 Core Formula for Mark Price
Mark Price = Index Price × (1 + Basis Rate)
Key Component: Basis Rate
- Basis Rate = 5-minute moving average of [((Best Bid Price + Best Ask Price)/2 - Index Price) / Index Price]
- Rules for calculating the 5-minute moving average:
- Data points are recorded every 5 seconds within a 5-minute interval (resulting in 60 data points per 5 minutes).
- The arithmetic average of the Basis Rate over the previous 5 minutes is calculated in real time (the Basis Rate is updated every 5 seconds, consistent with the data recording and calculation frequency of the perpetual contract’s Basis Rate).
- If data recording fails at a specific time, the previous valid value will be used.
Special Rule for Delivery Contracts
- Within 30 minutes of contract expiration: Mark Price = Estimated Delivery Price
3.3 Mark Price Protection
If the Mark Price deviates from the Latest Price by more than ±2%, the Mark Price will be adjusted using the following formula:Mark Price = Clamp (Mark Price, Latest Price × (1 + 2%), Latest Price × (1 - 2%))(The "Clamp" function restricts the Mark Price to the range between [Latest Price × (1 - 2%)] and [Latest Price × (1 + 2%)].)
3.4 Estimated Delivery Price & Final Delivery Price
3.4.1 Estimated Delivery Price at Time T(n)
Let the Spot Index Price at Time T(n) be Index(n). The Estimated Delivery Price is calculated as:Estimated Delivery Price = {Index(1) + Index(2) + ... + Index(n)} / n
3.4.2 Final Delivery Price
The Final Delivery Price is the arithmetic average of the Spot Index Price per second in the 30 minutes before contract expiration (resulting in a total of 1,800 price data points, with one data point recorded per second).