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Updated May 2026 — NYXANCE Glossary
Two price concepts are fundamental to understanding perpetual futures mechanics: mark price and index price. Both are distinct from the last traded price on any single exchange. Confusing them is one of the most common causes of unexpected liquidations among new perp traders.
Index price (also called the reference index or underlying index) is a composite spot price derived from multiple major cryptocurrency exchanges. It represents the "true" market price of the underlying asset, free from the idiosyncrasies of any single venue.
Most derivatives exchanges compute index price using a weighted median or weighted average of spot prices from 3–7 major spot markets:
BTC Index Price = Weighted Median (Binance BTC/USDT, Coinbase BTC/USD, Kraken BTC/USD, OKX BTC/USDT, ...)Each constituent exchange is given a weight based on factors like:
Stale or divergent price feeds are automatically excluded or down-weighted. The resulting index is highly resistant to manipulation on any single component exchange.
NYXANCE's BTC index sources from five major global spot venues and updates every second.
Mark price is the price used to calculate unrealized PnL and trigger liquidations on perpetual futures. It is based on the index price but includes an additional funding basis adjustment.
Mark Price = Index Price + Funding Basis Funding Basis = Index Price × TWAP(Funding Rate over past hours)In practice, most exchanges compute mark price as:
Mark Price = Median(Last Price, Index Price + Funding Component, Index Price - Funding Component)Or a simplified version:
Mark Price ≈ Index Price × (1 + Funding Basis Rate)Where funding basis rate is the recent time-weighted average of the premium/discount the perp has traded vs. spot.
The key effect: mark price stays close to — but does not precisely equal — the index price. When the perp trades at a significant premium to spot, mark price lags below last price. This prevents a temporary premium spike from triggering mass liquidations.
| Price Type | Source | Used For | Volatility |
|---|---|---|---|
| Last Price | Most recent trade on this exchange | Display, P&L reference | Highest |
| Index Price | Composite of major spot markets | Funding rate calculation | Moderate |
| Mark Price | Index + funding basis | Liquidation trigger, unrealized PnL | Lowest |
If the mark price reaches your liquidation price, you are liquidated. Last price is irrelevant for this calculation.
Scenario: BTC last price on Exchange X wicks down to $60,000 in a 5-second flash crash (a single large market order hit a thin order book). The BTC spot index (from 5 venues) only fell to $65,000. Mark price adjusts to approximately $65,200.
This protection is exactly what mark price is designed to provide.
Your position's displayed unrealized profit/loss is calculated against mark price, not last price. If the perp is trading at a 0.5% premium to mark price, your displayed unrealized PnL may be higher than what you would actually receive if you closed the position immediately (at last price).
The funding rate is computed based on the gap between the perp's mark price and the index price. This is why the index price is the "anchor" — the perpetual contract is always being pulled back toward the index.
Under normal market conditions, all three prices are within 0.05–0.1% of each other. Significant divergence occurs during:
Traders using API trading monitor mark-to-index price deviation as a real-time risk indicator.
NYXANCE displays last price, mark price, and index price in the trading interface for every contract. Liquidation risk calculation uses mark price exclusively. Learn more | Trade now.
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