To safeguard users from unnecessary liquidation triggered by abnormal market price, Mark Price is introduced to calculate the UPL.
1. Mark price computation
Mark price = Spot Index Price + Moving Average of Basis
Moving Average of Basis = MA((Best Offer + Best Bid)/2 - Spot Index Price)
Mark Price is constructed based on the Spot Index Price and the Moving Average of Basis. The moving average mechanism smooths out temporary price spikes, reducing unnecessary liquidation under volatile market conditions.
2. Mark Price application
Long positions: UPL = Face Value x Number of Swaps / Settlement Referenc Price - Face Value x Number of Swaps / Latest Mark Price
Short positions: UPL = Face Value x Number of Swaps / Latest Mark Price - Face Value * Number of Swaps / Settlement Reference Price
The Settlement Price for Perpetual Swaps is set to the Latest Mark Price at 04:00, 12:00 and 20:00 Hong Kong time every day.