Mark price/index price/commission price
2020-03-14 15:40:24
- Mark price
In order to improve the stability of the contract market and reduce unnecessary forced liquidation in case of abnormal market fluctuations, we use marked prices to calculate the unrealized profit and loss of users.
Marked price=spot index price+basis moving average
Basis moving average=moving average (contract midpoint - spot index price)=moving average (contract selling price+contract buying price)/2- spot index price)
The marking price takes into account both the spot index price and the moving average of the basis. The moving average mechanism smoothly filters short-term contract price fluctuations and reduces unnecessary forced liquidation caused by abnormal fluctuations.
- Index price
Currency based margin contracts adopt the corresponding USD index of the underlying currency. To ensure that the spot index price reasonably reflects the fair spot market price of each currency, we will select currency pairs from three or more mainstream exchanges for each contract currency as index weight components, and design exception handling logic to ensure that when a single exchange price deviates significantly, the index fluctuation is within the normal range.
Logic for calculating spot index prices:
a. Real time acquisition of the latest transaction prices and volumes of all index components of the currency exchange currency pairs
b. Exchanges that have not been updated in terms of system maintenance or the latest transaction price and volume for a period of time are considered invalid and will not be included in the calculation this time
c. Currency pairs priced in BTC, multiplied by the Euronext BTC USD Index, are converted to USD prices
d. Determine how many valid exchange data are currently available:
=3 companies, weighted equally based on effective exchange data (if the price of a certain exchange deviates by more than 3% from the median of all exchange prices, the price of that exchange is calculated based on the median of 0.97 or 1.03)
=2 companies, weighted equally for effective exchange data
=1 company, directly take the price of the remaining valid exchange as the index price
- Commission price
In trading commission strategies such as limit orders, traders need to specify the buying and selling price of the trading commission when placing an order. The order will only be executed when the market price meets the commission price, which is the commission price.