To promote stability in futures trading, mark price is used as a reference to prevent abnormal price swings from triggering unnecessary liquidations.

The mark price is derived from the index price (a weighted average of real-time prices across major exchanges) and the moving average of basis spreads.

Mark price = spot index price + moving average of basis spreads

Moving average of basis spreads

= moving average (futures mid price – spot index price)

= moving average (futures ask price + futures bid price) ÷ 2 – spot index price)

The mark price is calculated using the spot index price and a moving average of the basis. This approach helps smooth out short-term price volatility, reducing the risk of unnecessary liquidations caused by sudden market fluctuations.

Reminder: The mark price serves only as a trigger. When a take-profit or stop-loss order is triggered by the mark price, the actual execution will occur at the current best bid or ask price, depending on market depth at that moment.