Lighter Docs
  • About Lighter
    • Introduction
    • API Docs (Coming Soon)
    • Whitepaper
    • Technical Architecture (Coming Soon)
  • Perpetual Futures
    • Contract Specifications
    • Order Types and Matching
    • Fair Price Marking
    • PnL And Total Account Value
    • Liquidations & Insurance Fund
    • Funding
    • Fees
    • Self-Trade Prevention
    • Sub-Accounts and API Keys
    • Public Pools
  • Points Program
  • security
    • Security Audits
Powered by GitBook
On this page
  1. Perpetual Futures

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:

price1t:=indext×(1+Last Funding Rate×Time Until Next FundingFunding Period) price2t:=median(cexPricest)where cexPricest are mark prices from different centralized exchanges Impact Notional Amount=500 USDC/Initial Margin FractionImpact Bid Pricet=Avg execution price for a market sell of the impact notional valueImpact Ask Pricet=Avg execution price for a market buy of the impact notional valueImpact Pricet=(Impact Bid Pricet+Impact Ask Pricet)/2 Mark Price=Median(price1t,price2t,Impact Pricet)\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 := median(\text{cexPrices}_t) \\ \text{where cexPrices}_t \text{ are mark prices from different centralized exchanges} \\~\\ \text{Impact Notional 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) price1t​:=indext​×(1+Last Funding Rate×Funding PeriodTime Until Next Funding​) price2t​:=median(cexPricest​)where cexPricest​ are mark prices from different centralized exchanges Impact Notional Amount=500 USDC/Initial Margin FractionImpact Bid Pricet​=Avg execution price for a market sell of the impact notional valueImpact Ask Pricet​=Avg execution price for a market buy of the impact notional valueImpact Pricet​=(Impact Bid Pricet​+Impact Ask Pricet​)/2 Mark Price=Median(price1t​,price2t​,Impact Pricet​)
PreviousOrder Types and MatchingNextPnL And Total Account Value

Last updated 4 months ago