Mark price

Mark price is the reference price exchanges use to calculate unrealized PnL and determine whether a position should be liquidated. Instead of using the last-traded price — which can be manipulated or spiked by a single large order — mark price is derived from the underlying spot index, typically as: mark price = spot index + decaying funding basis.

The funding basis is the premium or discount between the perp and spot, averaged over a short window to smooth out momentary wicks.

Example: BTC spot index is $60,000. The perp last traded at $60,300 on thin order flow, but the mark price is calculated at $60,050 using the smoothed basis. A short position would show unrealized PnL based on $60,050, not the wick at $60,300 — protecting the short from a spurious liquidation.

This design matters for risk management: a sudden wick in the perp market cannot flash-liquidate your position if the spot market stays stable, because liquidation is triggered by the mark price, not the last trade.

Understanding mark price is essential when interpreting the liquidation price shown by the liquidation calculator, since that price is always measured against mark, not last. Research output only — not investment advice.