Mark Price vs Index Price

On crypto derivatives exchanges, there is not just one price. The last price is the most recent trade on that exchange. The index price is an average of spot prices from several major exchanges. The mark price is the exchange's estimate of fair value, used to calculate unrealised profit and loss and to trigger liquidations. Knowing the difference explains why your position can be liquidated even when the last price never touched your liquidation level, and why it sometimes is not when the last price briefly spikes through it.

The three prices#

Index price#

The index combines spot prices from several large exchanges, often with rules to exclude outliers or venues that stop updating. This makes it hard to manipulate by trading on one exchange. If one constituent exchange shows an abnormal price, its weight may be reduced or removed.

Mark price#

A common approach:

mark price = index price + moving average of (perp mid price - index price)

or the index price plus a funding basis that decays toward zero before each funding time. Either way, the mark price follows the index closely, smoothing short term spikes on the exchange's own order book.

Which price triggers what#

Choosing mark price for stop triggers avoids being stopped out by brief wicks on one exchange, but your stop may then fill at a different last price.

When the prices diverge#

• Thin order books: small perps can trade far from the index during stress.
• Exchange specific events: outages or withdrawal halts cause local prices to drift.
• Basis and funding: perps trading at a premium or discount to spot.
• Index constituent problems: if a source exchange fails, the index may need adjustment.

Manipulation and protection#

Mark price systems were adopted after episodes where traders pushed a single exchange's price to trigger liquidations. Using a multi exchange index raises the cost of manipulation. However, low liquidity altcoins with few spot sources remain vulnerable, and exploits have occurred when index sources were thin. Similar issues arise in DeFi when protocols rely on manipulable price oracles. See Oracles and Market Manipulation.

Connection to prediction markets#

The same idea appears in Polymarket's short crypto rounds: what matters is the price source named in the rules, such as a Chainlink feed, not the last trade on any one exchange. Comparing prices from the wrong source can mislead you. See Price to Beat and How Rounds Settle.

Frequently asked questions#

What is the difference between mark price and last price?#

Last price is the most recent trade on one exchange; mark price is a fair value estimate based on a multi exchange index, used for liquidations.

Why do exchanges use mark price for liquidations?#

To prevent unfair liquidations caused by brief price spikes or manipulation on a single order book.

What is an index price in crypto?#

A weighted average of spot prices across several major exchanges, used as a reference for fair value.

Next, learn how traders earn funding and basis while staying neutral in Funding and Basis Arbitrage.