KuCoin Futures Index Price Algorithm Update (12-01)
11/27/2025, 09:18:02
Dear KuCoin Users,
To further enhance the stability and accuracy of index prices, KuCoin Futures will upgrade the index price calculation mechanism for all USDT-margined, Coin-margined, and Delivery contracts at 07:00 UTC on December 1, 2025.
To prevent sudden price jumps during the transition from the old algorithm to the new one—which could lead to abnormal asset fluctuations or unintended liquidations—KuCoin will introduce a smooth transition model to ensure a gradual and seamless switch between the two algorithms.
During the transition period, the index price will be calculated as follows:
- Index Price = β × New Index Algorithm + (1 − β) × Old Index Algorithm
Where β (beta) is a time-based linear weighting factor ranging from 0 to 1.
The transition period lasts 900 seconds. From the moment the switch begins, β is updated every second, allowing the index price to move steadily from the old algorithm to the new one and minimizing short-term volatility.
1. What’s Changing?
-
Old Method (Before Adjustment)
The index price is derived from multiple constituent spot exchanges. The system references each exchange’s best bid/ask and second-level bid/ask prices and order sizes, and applies cross-weighted calculations to generate the final index price.
While this method performed well in most cases, it could produce slight deviations when a trading pair had thin liquidity or abnormal order-book structures.
-
New Method (After Adjustment)
The index price will be calculated directly using the latest trade price × the corresponding weight from each constituent exchange. (The weighting mechanism remains unchanged — each exchange will continue to contribute to the index according to its assigned weight.)
Example
| Exchange | Exchange A | Exchange B | Exchange C |
| Weight | 50% | 30% | 20% |
| Latest Trade Price | 10 | 10.1 | 9.9 |
Adjusted Index Price =10.00 × 50% + 10.10 × 30% + 9.90 × 20% = 10.02 USDT
2. Advantages of the New Algorithm
-
More accurate reflection of real market prices Uses last traded prices directly, avoiding deviations caused by thin order books.
-
More stable and less susceptible to manipulation Weighted by latest trades, reducing the influence of abnormal orders from any single exchange.
-
Better for small-cap or low-liquidity markets Ensures accurate pricing without reliance on deep order-book data.
3. Index Price Abnormality Handling
-
No Available Exchange Data When no exchange price data can be retrieved,the system will use the latest contract trading price within a defined range as the index price,and apply smoothing to reduce sudden fluctuations.
-
Only One Exchange Available When data is available from only one exchange:
-
If the exchange’s price is close to the contract price, the system will directly use it as the index price;
-
If the deviation is large but persists for a period of time, the system will still adopt that exchange’s price.
-
- Deviation Exceeds 5% from the Median When multiple exchange prices are available but some deviate from the median by more than 5%,those prices will be adjusted to 1.05× or 0.95× of the median,depending on whether the deviation is above or below the median price.
- Data Retrieval Failure If an exchange experiences data issues (e.g., no quote, network interruption, etc.),that exchange will be excluded from the current index calculation, and its weight will be set to zero.
- Data Not Updated for an Extended Period If an exchange’s order book price or quantity remains unchanged for a prolonged period,the exchange will be temporarily removed from the index calculation to prevent outdated data from affecting results.Once its data updates normally again, it will be re-included in the calculation.
4. Risk Notice
Due to the change in index price calculation:
-
Mark prices and liquidation prices for some contracts may be slightly adjusted.
-
If you hold high-leverage positions, please monitor your margin level and manage risk prudently.
-
Users of trading bots, strategy trading, or API integrations should ensure compatibility with the new index logic.
KuCoin Futures will continue to optimize its contract trading mechanisms to provide users with a safer and more efficient trading experience.
Thanks for your understanding and support!
The KuCoin Futures Team
Risk Warning: Futures trading is a high-risk activity with the potential for huge gains and huge losses. Previous gains do not indicate future returns. Severe price fluctuations may result in the forced liquidation of your entire margin balance. This information should not be regarded as investment advice from KuCoin. All trading is done at your own discretion and your own risk. KuCoin is not liable for any losses resulting from Futures trading.
Thank you for your support!
The KuCoin Team
Find The Next Crypto Gem On KuCoin!