Mark Price (Derivatives)

In perpetual futures and derivatives markets, using the last traded price for liquidations would be dangerously manipulable. The mark price is a calculated fair value that is more resistant to short-term manipulation.

**Mark price vs. last trade price:** - **Last trade price**: The price of the most recent trade — can spike or crash briefly due to large orders or low liquidity - **Mark price**: A smoothed, manipulation-resistant fair value derived from spot price and funding rate

**Mark price calculation (typical):** Mark price = Index price + EMA (basis) - **Index price**: Average spot price across multiple major spot exchanges (weighted) - **Basis**: The difference between the perp price and index price - **EMA**: Exponential moving average smoothing to reduce sudden changes

**Why mark price prevents manipulation:** - Temporarily spiking the last trade price (e.g., by selling into thin order book) won't trigger liquidations if the mark price is stable - All mark prices use multi-exchange index prices — manipulating one exchange doesn't affect the mark price meaningfully - The EMA smoothing prevents brief wick-based liquidation attacks

**PnL and unrealized PnL:** Your unrealized PnL = (mark price - entry price) × position size. When the mark price moves against you, your unrealized PnL decreases. Liquidation is triggered when your margin balance equals the maintenance margin based on mark price.

**Index price:** The index price (also called "oracle price" in some systems) tracks spot markets. Exchanges weight multiple spot exchanges differently — Binance, Coinbase, Kraken each contribute to the index.