The Mark Price is the price at which the contract is currently valued. It often varies from the current market price (to protect against price manipulation). Mark Price is used to calculate unrealized P&L and trigger liquidations. To calculate the Mark Price, first calculate the Impact Price:
- The Impact Bid Price is the VWAP (volume-weighted average price) of a 1-BTC market sell order
- The Impact Ask Price is the VWAP of a 1-BTC market buy order
The Fair Price is a simple average of the Impact Bid and the Impact Ask prices.
The Mark Price then is calculated by adding the 30-second EMA (exponential moving average) of the Fair Price minus the Qume BTC Index. This is recalculated every second:
- Mark Price = Qume Index + EMA[Fair Price - Qume Index]
The Mark Price is bounded by 0.5% on either side of the Qume BTC Index.