Overview
CCFOX adopts a uniquely designed mark price system to avoid unnecessary liquidation on high leveraged products. Without this system, the mark price could deviate unnecessarily from the price index due to market manipulation or illiquidity, resulting in an unwanted forced liquidation event.
For futures contracts, the mark price is based on different price logics. We choose the most reasonable mark price calculation item to minimize mark price deviation due to violent price fluctuations.
All futures contracts that use forced liquidation use the marked price. Please note that this mechanism only affects the liquidation price; it does not affect realized or unrealized profit and loss.
The mark price of a futures contract
The mark price formula is as follows:
Mark Price = Median (Price1, Price2, Price3)
-
Price1 = Index Price * (1 + Funding Fee Basis Rate) -
Price 2 = Index Price + Moving Average (30-minute basis) -
Price 3 = Impact Average Price
Funding Basis Rate
Funding Basis Rate = Funding Rate * (Time until next Funding / Funding Interval)
Please refer to the Perpetual Contract Guide for more calculations and examples of perpetual contract funding rates and the Funding section of the Perpetual Contract Guide for further information on perpetual contract funding.
Moving average
Moving average (30-minute basis) = Moving average (Impact Mid-Price - Index Price), which measures every minute in a 30-minute interval.
Impact Bid, Ask, and Mid Price
- Impact Bid Price = The average fill price to execute the Impact Margin Notional on the Bid side;
- Impact Ask Price = The average fill price to execute the Impact Margin Notional on the Ask side;
- Impact Mid Price = Average (Impact Bid Price, Impact Ask Price) ;
The Impact Margin Notional is the notional available to trade with the particular worth of margin and is used to determine how deep in the order book to measure either the Impact Bid or Ask Price. Due to the different market depths of other products, their Impact Margin Notional is also different.
|
Product |
Impact Margin Notional |
|
USDT perpetual Contract |
1000 USDT |
|
BTC/USD-R Coin-M |
0.1 BTC |
|
ETH/USDT-R Coin-M |
1 ETH |
Example
For example: BTC/USDT forward perpetual contract will take orders with the amount of 1000/0.01=10000USDT in the buy and sell queue, and calculate the impact bid/ask price, where 0.01 is the initial margin rate of the BTC/USDT forward perpetual contract.
Determine Mark Price
The median of the three prices is selected as the Mark Price. For example, if Price 1 < Price 2 < Price 3, Price 2 is chosen as the Mark Price, the Mark Price optimization mechanism can better reflect the reasonableness of the Mark Price. Compared with perpetual contract prices, which may be volatile in the short term, the Mark price is a better predictor of the intrinsic value of the contract. We use Mark price to avoid unnecessarily forced liquidation of our clients' positions and prevent market manipulation.