Mark Price, Index Price, and Last Price

Index Price

For a given contract, the Index price is the volume-weighted average of the underlying asset prices listed on major spot exchanges.

In order to mitigate the risk of market manipulation on one specific venue or exchanges outages or connectivity issues, WHAT undertakes the following protection measures:

1. If, for any source, the price deviates by more than 5% from the median price of all sources, WHAT caps/floors the value at +/- 5%. Once the source price falls within the 5% range, its original value will be taken.
2. If multiple sources show a deviation of more than 5% from the median, WHAT will use the median instead of the volume-weighted average.
3. If a specific source is not sending any price for over 10 seconds, it will be disregarded from the Index Price calculation completely.

The relevant exchanges for each trading pair can be find in the following table:

Mark Price

The Mark Price represents the best estimate of a Perpetual Futures contract value and prevents unnecessary liquidations that would potentially be caused by market manipulation: it is less volatile than the Index Price or Last Price.

First we compute the Median Price of the three following components:

Median Price = Median(P1, P2, Futures Price)
where:
    P1 = Index Price * (1 + Last Funding Rate * Time until next Funding / dt)
    P2 = Index Price + 15 Minute Moving Average[Basis]
    Futures Price = Median(Bid0, Ask0, Last_Price)
    
Last Funding Rate is expressed on a 8h basis
Basis = Median(Bid0, Ask0) - Index Price, calculated as a snapshot every minute
dt = Funding Period = 8 hours

Then WHAT applies a cap to the Mark Price relative to the Index Price defined by Factor (see table below) and Cap/Floor funding (cf Funding Rate section)

Mark Price = Clamp(Median Price, Index Price * (1 + Factor * Cap Funding), Index Price * (1 + Factor * Floor_funding))
cap_funding and floor_funding depend on the perpetual market (cf Funding Rate section)

Last Price

The Last Price refers to the last traded price of a Perpetual Futures contract.