Index price

What is Index Price?

The Index Price is the reference spot market price used as the foundation for calculating the Mark Price in perpetual contracts. It represents the fair value of the underlying asset based on actual spot market trading activity.

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Index Price Algorithm

Our Index Price is calculated using VWAP (Volume-Weighted Average Price) from recent spot market trades:

$$\text{Index Price (VWAP)} = \frac{\sum_{i=1}^{n} (P_i \times V_i)}{\sum_{i=1}^{n} V_i}$$

Where:

• (P_i) = Price of trade (i)
• (V_i) = Volume of trade (i)
• (n) = Number of recent trades (default: 50)

Data Source

The Index Price is derived from the spot market trading data of the corresponding trading pair. For GMYD/sCNH perpetual contracts, the Index Price is calculated from GMYD/sCNH spot market trades.

Parameter	Value
Trade Sample Size	50 recent trades (default)
Calculation Method	Volume-Weighted Average Price (VWAP)
Update Frequency	On each mark price update cycle

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Why Use VWAP?

VWAP provides several advantages over simple average or last price:

Method	Formula	Advantage	Disadvantage
Last Price	Most recent trade price	Simple	Easily manipulated by small trades
Simple Average	Σ(Price) / n	Ignores volume	Small trades equal weight to large
VWAP	Σ(Price × Vol) / Σ(Vol)	Volume-weighted, manipulation-resistant	Requires trade data

VWAP Benefits

1. Manipulation Resistance - Large trades have proportionally more influence
2. Fair Representation - Reflects where most trading volume occurred
3. Smooth - Averages out noise from small trades
4. Market Reality - Weighted by actual liquidity

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Calculation Example

Sample Trade Data

Trade #	Price (sCNH)	Volume (GMYD)	Value (Price × Volume)
1	1.94	1,000	1,940
2	1.95	2,000	3,900
3	1.93	500	965
4	1.94	1,500	2,910
5	1.96	3,000	5,880

VWAP Calculation

Step 1: Calculate Total Value

$$\text{Total Value} = 1{,}940 + 3{,}900 + 965 + 2{,}910 + 5{,}880 = 15{,}595 \text{ sCNH}$$

Step 2: Calculate Total Volume

$$\text{Total Volume} = 1{,}000 + 2{,}000 + 500 + 1{,}500 + 3{,}000 = 8{,}000 \text{ GMYD}$$

Step 3: Calculate VWAP (Index Price)

$$\text{Index Price} = \frac{15{,}595}{8{,}000} = 1.949375 \text{ sCNH}$$

Comparison with Other Methods

Method	Result	Note
Last Price	1.96 sCNH	Only considers trade #5
Simple Average	(1.94+1.95+1.93+1.94+1.96)/5 = 1.944 sCNH	Ignores volume
VWAP	1.949375 sCNH	Weighted by volume - trade #5 (3,000 vol) has most influence

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Index Price vs Mark Price

Price Type	Source	Purpose
Index Price	VWAP of spot market trades	Base reference price
Mark Price	Index Price + Premium Index	PnL calculation, Liquidation triggers

Relationship

$$\text{Mark Price} = \text{Index Price} + \text{Premium Index}$$

The Index Price serves as the anchor, while the Premium Index adjusts for futures market deviation (clamped to ±0.05%).

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Index Price Usage

The Index Price is used in the following calculations:

Calculation	How Index Price is Used
Mark Price	Base component: Mark Price = Index Price + Premium Index
Premium Index	Reference: Premium = (Futures Price − Index Price) / Index Price
Funding Rate	Used in premium calculation for funding rate

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Summary

Item	Description
Definition	Volume-Weighted Average Price of spot market trades
Formula	VWAP = Σ(Price × Volume) / Σ(Volume)
Sample Size	50 recent trades (default)
Data Source	Spot market trade data
Update	On each mark price update cycle
Purpose	Fair reference price for mark price calculation