Mark price for calculation of unrealised profits and losses in futures
To calculate unrealised profits and losses in future contracts, not always the last traded price of the future is used.
If the last traded price is not within the current best bid-ask, then the bid price or ask price will be used, whichever is nearer to the last traded price.
In addition to that the mark price can never differ more than 3% from the BTC index, or when in last half hour before expiration, the estimated delivery price. These rules will prevent liquidations due to manipulative trading.
Examples:
1.
INDEX=270.00
BID/ASK= 271-271.50
LAST= 271.70
The Mark Price for calculating profits/losses in future contracts will be 271.50
2.
INDEX=270.00
BID/ASK=271/271.50
LAST= 271.20
The Mark Price will be 271.20
3.
INDEX=270
BID/ASK=280-280.5
LAST= 280
The Mark Price would be 280, but because the difference between the index and 280 is more than 3%, the Mark Price will be 270+3%=278.1