Mark Price

Overview

Mark price is OBSDN's manipulation-resistant fair-value estimate for each perpetual contract. It is the reference price for:

• Unrealized PnL computation
• Liquidation and margin evaluation
• Stop order trigger logic

Calculation

OBSDN computes mark price as:

$$\text{Mark Price} = \text{Median}(P_1, P_2, \text{Last Traded Price})$$

Where:

$$P_1 = P_{\text{index}} \times \left[1 + r_f \times \frac{t}{8}\right]$$ $$P_2 = P_{\text{index}} + \text{MA}_{2.5\text{min}}(\text{Basis})$$ $$\text{MA}_{2.5\text{min}}(\text{Basis}) = \text{MA}\left[\frac{\text{Bid}_{\text{best}} + \text{Ask}_{\text{best}}}{2} - P_{\text{index}}\right]$$

Definitions:

• $P_1$ — funding-adjusted index price: index price adjusted by the pro-rata funding cost remaining until next settlement. Reflects fair value implied by the prevailing funding rate.
• $P_2$ — basis-adjusted index price: index price plus the 2.5-minute moving average of the current basis. Reflects fair value implied by recent order-book conditions.
• $P_{\text{index}}$: aggregated spot reference price from oracle sources
• $r_f$: latest funding rate
• $t$: hours until next funding settlement
• Basis: mid-price minus index price — $\frac{\text{Bid}_{\text{best}} + \text{Ask}_{\text{best}}}{2} - P_{\text{index}}$

Example

Assume:

• $P_{\text{index}} = 50{,}000$
• $r_f = 0.01\%$ (0.0001)
• $t = 2$ hours
• $\text{MA}_{2.5\text{min}}(\text{Basis}) = +10$
• Last traded price $= 50{,}020$

Then:

• $P_1 = 50{,}000 \times (1 + 0.0001 \times 2/8) = 50{,}001.25$
• $P_2 = 50{,}000 + 10 = 50{,}010$
• Mark $= \text{Median}(50{,}001.25, 50{,}010, 50{,}020) = 50{,}010$

Stale and Divergence Protection

• If the last traded price is stale beyond configured thresholds, it is substituted by the index price in the median calculation.
• If mark price diverges materially from validated external pricing, market-level protections activate (reduce-only or halt).

Related

• Oracle Price
• Funding
• Liquidations