Mark Price - Trading Glossary

Mark price on AsterDEX Perpetual Pro serves as the reference price for liquidations and unrealized PnL calculations, protecting traders from price manipulation while maintaining fair market pricing.

How Mark Price Works

Calculation Method

Mark Price = Spot Price Index + 8-Hour Funding Basis

Components:

• Spot Price Index: Weighted average from major exchanges
• Funding Basis: Expected funding payments over next 8 hours
• Smoothing mechanisms: Prevent sudden jumps from affecting liquidations

Mark Price vs Last Price

Why Mark Price Matters

Liquidation Protection

• Fair liquidations: Based on true market value, not exchange-specific spikes
• Manipulation resistance: Cannot be moved by single large orders
• Consistent pricing: Reduces liquidation differences between exchanges

PnL Accuracy

• Unrealized PnL: Calculated using mark price for fair valuations
• Margin calculations: Available margin based on mark price
• Risk metrics: Portfolio heat and exposure based on fair values

AsterDEX Mark Price Sources

Spot Index Composition

BTC/USDT Mark Price Sources:

• Binance Spot: 30% weight
• Coinbase Pro: 25% weight
• OKX Spot: 20% weight
• Kraken: 15% weight
• Bitstamp: 10% weight

Data Quality Controls

• Outlier detection: Prices deviating >2% from median excluded
• Exchange weight adjustment: Reduce weight for illiquid or stale prices
• Fallback mechanisms: Secondary data sources if primary fails

Mark Price Trading Implications

Arbitrage Opportunities

Mark Price Premium:

• Perpetual mark price > spot index
• Opportunity: Short perpetual, long spot
• Risk: Funding payments until convergence

Mark Price Discount:

• Perpetual mark price < spot index
• Opportunity: Long perpetual, short spot
• Risk: Negative funding while holding

Risk Management Benefits

Liquidation Predictability

Liquidation Price = Entry Price × (1 ± Maintenance Margin %)
(Based on mark price, not last price)

This means:

• No surprise liquidations from order book manipulation
• Consistent liquidation prices across similar positions
• Fair treatment during volatile periods

Reading Mark Price Signals

Basis Analysis

Positive Basis (Mark > Last):

• Strong spot demand relative to perpetual
• Potential funding rate increase
• Consider short arbitrage opportunities

Negative Basis (Mark < Last):

• Perpetual premium over fair value
• Potential funding rate decrease
• Consider long arbitrage opportunities

Convergence Patterns

• Funding payment approach: Basis typically converges to zero
• High volatility: Basis can persist longer than expected
• Market stress: Basis may widen significantly

Advanced Mark Price Strategies

Basis Trading

Example Setup:
- BTC Last Price: $45,100
- BTC Mark Price: $45,000  
- Basis: +$100 premium for last price

Strategy: Short perpetual at $45,100, expecting convergence to $45,000

Cross-Exchange Arbitrage

• Monitor basis differences: AsterDEX vs other exchanges
• Execution timing: Enter when basis exceeds transaction costs
• Risk controls: Set maximum basis exposure per position

Mark Price Risk Factors

Index Source Risk

• Exchange outages: Reduced data sources affect accuracy
• Market fragmentation: Different exchanges can diverge
• Data feed delays: Latency in price updates

Basis Persistence Risk

• Extended deviation: Mark price can stay away from last price
• Funding rate lag: Changes in funding don’t immediately affect mark price
• Event-driven moves: News can create sustained basis

Mark Price Monitoring Tools

Real-Time Tracking

• Basis alerts: Notifications when basis exceeds thresholds
• Historical analysis: Track basis patterns and convergence times
• Cross-exchange comparison: Monitor mark price differences

Key Metrics

• Average basis: 30-day rolling average
• Basis volatility: Standard deviation of basis
• Convergence speed: Time for basis to normalize
• Maximum deviation: Largest historical basis moves

Common Mark Price Mistakes

1. Ignoring mark price: Only watching last price for liquidation risk
2. Basis chasing: Entering arbitrage on already-tight basis
3. Poor timing: Not considering funding payment schedule
4. Size management: Over-leveraging basis arbitrage trades
5. Cross-exchange confusion: Comparing mark prices between different exchanges

Mark Price Checklist

For every leveraged trade:

1. ✅ Check mark price vs last price basis
2. ✅ Understand liquidation price based on mark price
3. ✅ Monitor unrealized PnL using mark price
4. ✅ Set alerts for significant basis deviations
5. ✅ Consider mark price trends for position sizing
6. ✅ Account for basis risk in arbitrage strategies

Mark price provides fair and manipulation-resistant pricing—understanding it is essential for professional perpetual trading.