1. What is Mark Price and Latest Price?

• Mark Price: To improve the stability of the contract market and reduce unnecessary liquidations during abnormal market fluctuations, we use the mark price to calculate the unrealized profit and loss (PNL) of users.
  
  
• Latest Price: The latest transaction price is determined by the most recent transaction price in the order book. For example, in the BTCUSDT perpetual contract, the latest transaction price is influenced by the buy and sell orders of the contract. Although these contracts are based on the value of BTC, their prices may not align with the spot price of BTC.
  
  

2. Mark Price Algorithm

Mark Price = Median(Price 1, Price 2, Contract Price)

• Price 1 = Price Index * (1 + Latest Funding Rate * (Time to Next Funding / Funding Rate Cycle))
  Where:
• The Funding Rate Cycle is the time interval, in hours, between each funding fee charged to users by BTCC.
• Time to Next Funding is the remaining time, in hours, before the next funding fee is charged. For example, if the funding rate cycle is set to 8 hours, and the last funding fee was charged 2 hours ago, then the time to the next funding fee would be 6 hours.
  Note: The funding fee is paid between long and short holders, with BTCC acting solely as a neutral trading intermediary.
• Price 2 = Price Index + Moving Average (5-Minute Basis)
  
  

The Moving Average (5-Minute Basis) is the average of 60 data points within a 5-minute period. These data points are calculated every 5 seconds by averaging the bid and ask prices and then subtracting the price index.
The calculation formula is as follows:
Moving Average (5-Minute Basis) = Sum[(Bid1_i + Ask1_i) / 2 - PI_i] / 60
Where:

• PI is the price index at the time of calculation.
  
  
• Bid1_i, Ask1_i, and PI_i are based on 60 data points within 5 minutes, calculated every 5 seconds (at the 0, 5, 10, 15, 20, 25, 30, 35, 40, 45, 50, and 55-second marks of each minute).
  
  

Mark Price Midpoint Calculation Method:

• If Price 1 < Price 2 < Contract Price, then Price 2 will be used as the mark price.

Note: In extreme market conditions or when there is a price source deviation, the mark price may deviate from the spot price. In such cases, BTCC will take additional protective measures, i.e., the mark price = Price 2.

 

During system upgrades or downtime, all trading activities will be paused. The system will continue to use the mark price formula to calculate the mark price, but the moving average (5-Minute Basis) in Price 2 will be set to 0 until the system returns to normal.

3. Application of Mark Price

• Unrealized PNL Calculation for Contracts:

USDT Margin Contracts

Long Position PNL = Contract Value × |Contract Quantity| × Contract Multiplier × (Mark Price – Opening Price)

Short Position PNL = Contract Value × |Contract Quantity| × Contract Multiplier × (Opening Price – Mark Price)

By incorporating the mark price and latest transaction price into the PNL calculation, users can get a more comprehensive view of their position performance. The mark price helps reduce the impact of abnormal market fluctuations, while the latest transaction price provides users with a more accurate trading profit/loss information.