Asked: 12 months ago2024-07-15T13:46:24+05:30 2024-07-15T13:46:24+05:30In: Exchange

How is the Mark Price calculated?

For perpetual swaps, the Mark Price is calculated as the 1-hour Time Weighted Average Price (TWAP) per second of the index price from one hour before the end of transaction support. The formula is:

$\text{Mark Price}(t) = \frac{1 \cdot \text{Index Price}_{(t-3600)} + 2 \cdot \text{Index Price}_{(t-3599)} + \ldots + 3600 \cdot \text{Index Price}_{(t-1)}}{1 + 2 + \ldots + 3600}$

$Mark Price (t) = \frac{1 \cdot Index Price ^{(t - 3600)} + 2 \cdot Index Price ^{(t - 3599)} + \dots + 3600 \cdot Index Price ^{(t - 1)}}{1 + 2 + \dots + 3600}$