Mark price vs index price: the fair value that triggers liquidations
Updated 2026-07-05
The mark price is the fair value an exchange uses to calculate unrealized PnL, margin and liquidations — deliberately not the last traded price, so a single-venue wick cannot wrongly liquidate you. It is derived from the index price (a composite of several spot exchanges) plus a funding/basis component. The gap between the perp's mark and the spot index is the basis.
Mark price vs index price vs last price
Three prices sit behind every perpetual position, and confusing them is how traders get surprised by a liquidation. The last price is simply the most recent trade printed on that one perp venue. It is jumpy by nature and easy to push around: a thin order book means a single aggressive market order can move it several ticks in a fraction of a second.
The index price is a composite spot price, averaged across several reputable spot exchanges. It is meant to represent the “true” underlying value of the asset and is deliberately resistant to any single venue — if one exchange prints a bad tick, the average barely moves. This is the anchor everything else is built on.
The mark price is the fair value the exchange marks your position to for unrealized PnL, margin and liquidation. It is built from the index price plus a fair-basis/funding component, so it tracks where the perp should trade rather than a stale or manipulated last print. When people say a position was liquidated “at the mark, not the last,” this is the distinction they mean.
How mark price is calculated
A typical mark-price construction starts from the index price and adds a fair basis — the decaying or moving-average premium of the perp over spot. Some venues instead take a median of the impact bid, impact ask and last prices, then bound that median by the index so it can never stray far from the multi-venue anchor. Either way the index does the heavy lifting.
Each exchange publishes its own exact formula and the clamp ranges it applies. Binance, for example, uses a moving-average basis added to the index; others combine an impact mid-price with the index price. The parameters differ, but the design goal is identical.
The point of every one of these constructions is the same: the mark is anchored to a multi-venue index, so it cannot be shoved around by activity in one order book. A trader with size can move the last price on a single venue, but moving the mark means moving the spot price on many exchanges at once — far harder and far more expensive.
Why liquidations use mark price, not last price
Margin calculations and liquidations are evaluated against the mark price, not the last trade, and this is a deliberate protection. The whole reason the mark exists is to resist wick manipulation and stop-hunts — episodes where price is briefly forced to an extreme to trigger other people's stops and liquidations.
Picture someone slamming one venue's book for a split second. The last price on that venue spikes, but the index — an average of many venues — barely moves, so the mark barely moves with it. Your position is measured against that mark, so it is not liquidated on a fake wick that never touched the broader market.
If liquidations used the last price instead, anyone with enough size could push a single book and trigger cascades of forced selling for profit. Marking to a multi-venue fair value removes that attack surface. The mark price is, first and foremost, a protection mechanism for the people holding positions.
Mark, index and the basis
The basis is the perp mark minus the spot index, usually quoted in basis points (bps). It measures how far the perpetual is trading from the underlying at any moment — the premium or discount baked into the contract.
A positive basis (contango) means the perp is rich to spot: leverage demand is skewed long and traders are paying up to hold the perpetual. A negative basis (backwardation) means the perp is cheap to spot, a sign of short-side pressure or deleveraging. The size of the basis is a direct read on how stretched positioning is.
Funding is the mechanism that pulls the mark back toward the index, which is why the basis and the funding rate move together — a persistent premium feeds positive funding, and vice versa. MarketTrace surfaces the per-venue basis in bps so you can see exactly how far each exchange's perp is trading from the composite index in real time.
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Frequently asked questions
What is the difference between mark price and last price?
The last price is the most recent trade on a single perp venue, so it is jumpy and can be manipulated by pushing a thin order book. The mark price is a fair value built from a multi-venue index plus a basis component, and it is what the exchange uses for unrealized PnL, margin and liquidations. You can be looking at a scary last price while your position is measured against a much calmer mark.
What is the index price?
The index price is a composite spot price averaged across several reputable spot exchanges. It represents the “true” underlying value and is resistant to any single venue printing a bad tick. It is the anchor the mark price is built on — the mark is essentially the index plus a fair basis/funding component.
Why do exchanges use mark price for liquidations?
To resist wick manipulation and stop-hunts. If someone spikes one venue's order book for a moment, the last price jumps but the multi-venue index barely moves, so the mark barely moves and you are not liquidated on a fake wick. If liquidations used the last price, anyone with size could trigger cascades on a single book; marking to a fair value removes that attack surface.
What is the basis between mark and index?
The basis is the perp mark minus the spot index, often expressed in basis points (bps). A positive basis means the perp trades at a premium to spot, typically bullish leverage demand; a negative basis means it trades at a discount. Funding pulls the mark back toward the index, so basis and funding tend to move together.