Last Updated: March 4, 2020
Effective February 18, 2020 at 11:00 PM PST, we have replaced the last traded price with a mark price when calculating users' margin ratios. This is a continuation of our long-standing efforts to protect users from malicious trading activities.
What is Mark Price?
- Mark price is calculated using the spot index price and basis.
- We now use the mark price, instead of the last trade price, in calculating a user's margin ratio. This will help avoid forced-liquidations if the last traded price is maliciously manipulated in a short period of time.
How Is A Mark Price Calculated?
= Spot index price + EMA (basis)
= Spot index price + EMA [(spot best bid + spot best ask) / 2 - spot index price]
Mark price takes into account the moving averages of both spot index price and basis. The moving average mechanism smooths out abnormal price fluctuations that occur within a short period of time, reducing the chance of forced-liquidation.
Adjustments to the Current Margin System
- Margin ration calculation: the margin ratio will now be calculated with the latest mark price, instead of the last traded price.
- Estimated forced-liquidation price: forced or partial-liquidation will be triggered when the mark price, instead of the last traded price, reaches the estimated forced-liquidation price.
Thank you for your continued support.
March 4, 2020