WhiteBIT uses Mark Price (MP) as the reference price for calculating unrealized PnL (UPL) and as the trigger for liquidations on all perpetual futures (PERP) markets. It is designed to reflect the true market value of the contract, remain externally anchored so it cannot be moved by short-term internal order-book activity, and stay stable enough under noise while still tracking genuine market moves.
Key Principles of Mark Price
This methodology applies to all perpetual futures markets on WhiteBIT. Parameters such as the smoothing window, the clamp band, and the set of index constituents are configured per market and may be revised as liquidity conditions evolve. Material changes to the methodology will be communicated in advance.
When trading on the futures market, you should consider the following mechanics:
- Trades continue to execute at the order-book price (last/match price).
- The Mark Price is used exclusively for risk metrics: UPL, margin checks, and liquidations.
- The Mark Price is externally anchored. It cannot be pushed materially away from the spot Index Price using internal order-book activity alone.
- The Mark Price is smoothed. Under normal conditions, it tracks the contract closely; under stress, it remains close to the Index Price.
Please note: liquidations are triggered by the Mark Price, not by the last traded price. A single wick or a thin-book spike on the perpetual market will not, by itself, liquidate positions.
Mark Price Formula
The Mark Price is computed as the median of three candidate prices:
MP = median(Price₁, Price₂, Price₃)
- Price₁ — the Index Price adjusted for accrued funding to the next funding event (fair-value component).
- Price₂ — the Index Price plus a smoothed contract basis (market-implied premium / discount).
- Price₃ — the last traded price of the perpetual contract.
The median selector ensures that any single component which is temporarily distorted — a wick on the contract, a stale index print, or an abnormal basis spike — cannot, on its own, move the Mark Price. At least two of the three components must agree for the Mark Price to follow.
Index Price
The Index Price is a volume-weighted spot composite computed from a set of top external spot venues together with the WhiteBIT spot market for the underlying asset. The composite is published at high frequency.
Robustness measures applied to constituents include:
- Volume-weighted aggregation: A per-venue cap is applied so no single venue can dominate the index.
- Outlier filtering: Constituents that deviate too far from the cross-venue median are winsorized using preconfigured clamps.
Funding-Adjusted Component (Price₁)
This component anchors the Mark Price to the Index Price while accounting for the funding payment that is being accrued toward the next funding event. It keeps the Mark Price aligned with how value transfers between long and short positions over the funding cycle.
The formula is: Price₁ = IndexPrice × (1 + F × Δt / T)
- F — the latest funding rate.
- Δt — the time remaining until the next funding event.
- T — the funding interval.
Contract Basis (Price₂)
The contract basis represents the perpetual’s premium or discount relative to spot.
The formula is: Price₂ = IndexPrice + EMA(basis)
- basis(t) = ContractMid(t) − IndexPrice(t).
The instantaneous basis is then smoothed with an exponential moving average (EMA). The smoothing window is selected per market according to its liquidity tier — shorter for highly liquid majors, longer for thinner markets. This ensures the Mark Price is responsive where books are deep and conservative where they are thin.
Fallback Mechanisms
To ensure continuous operation during technical anomalies, the system uses the following fallbacks:
- When the volume-weighted Index Price is unavailable (e.g., due to connectivity issues), the system switches to the contract midprice as the Index Price.
- When it is impossible to obtain data for Index Price calculations, it also becomes impossible to calculate Price₁ and Price₂. In that case, the Mark Price will be calculated based solely on the last traded price on the WhiteBIT PERP market.