Fair Price Marking

Mark price is the fair price of a perpetual contract. Mark price is calculated using the liquidity in the perpetual market order book and the index price (spot price of the underlying market). At any point in time, mark price is defined as follows:

$$\small \text{price1}_t := index_t \times (1 + \text{Last Funding Rate} \times \frac{\text{Time Until Next Funding}}{\text{Funding Period}}) \\~\\ \text{price2}_t := index_t + \text{Moving Impact Price Average}_t \\ where \\ \text{Moving Impact Price Average} _t = TWAP(\text{Impact Price}_i - index_i) \\ \text{(continuously calculated for last 5 minutes with 5 second sampling)} \\ \\~\\ \text{Impact National Amount} = 500 \text{ USDC} / \text{Initial Margin Fraction} \\ \text{Impact Bid Price}_t = \text{Avg execution price for a market sell of the impact notional value} \\ \text{Impact Ask Price}_t = \text{Avg execution price for a market buy of the impact notional value} \\ \text{Impact Price}_t = (\text{Impact Bid Price}_t + \text{Impact Ask Price}_t) / 2 \\ \\~\\ \text{Mark Price} = Median(price1_t, price2_t, \text{Impact Price}_t)$$