Mark Price for USDT-Margined Futures
Mark Price and Its Calculation
To reduce unnecessary forced liquidations during abnormal market volatility and to improve the overall stability of the futures market, KuCoin Futures uses the Mark Price — instead of the latest transaction price — to calculate users’ unrealized profit and loss (unrealized PnL) and liquidation price.
Mark Price Calculation Formula
In perpetual contracts, the Mark Price is calculated as follows:
Mark Price = Median (Price 1, Price 2, Contract Price)
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Price 1 = Index Price × [1 + Latest Funding Rate × (Time Until Next Funding / Funding Interval)]
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Funding Interval refers to the duration (in hours) between two consecutive funding settlements.
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Time Until Next Funding is the remaining time (in hours) before the next funding fee is charged.
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Price 2 = Index Price + Basis Moving Average
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Basis Moving Average = Moving Average [(Contract Mid Price – Index Price)]
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Contract Mid Price = (Best Ask Price + Best Bid Price) / 2
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Contract Price = Latest Transaction Price
Mark Price Mechanism Before Delisting
To ensure fairness and stability during the delisting process, KuCoin Futures has implemented a specific mark price handling mechanism for the final 30 minutes prior to delisting:
- Mark Price = Average Index Price (calculated every second)
- Example for a 07:00 delisting:
- 06:35 mark price = average index price from 06:30 to 06:35
- 06:59 mark price = average index price from 06:30 to 06:59
- Example for a 07:00 delisting:
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180-Second Smooth Transition Mechanism
- Starting from 06:30, the system will smoothly transition from the original mark price formula to the new average-based mark price over a 180-second window to avoid sudden mark price jumps.
- Mark Price = β * (New Mark Price Formula) + (1 − β) * (Old Mark Price Formula)
- Starting from 06:30, the system will smoothly transition from the original mark price formula to the new average-based mark price over a 180-second window to avoid sudden mark price jumps.
Benefits of the Mark Price Mechanism
The median-based Mark Price mechanism provides a more accurate and stable reference during periods of sharp volatility.
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It integrates the index price, basis average, and contract trading price to better reflect the fair value of the market.
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The median mechanism filters out abnormal short-term spikes or deviations, effectively reducing unnecessary forced liquidations.
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This approach improves price fairness, trading stability, and the accuracy of margin and liquidation calculations.
KuCoin Futures Guide:
Thank you for your support!
KuCoin Futures Team
Note: Users from restricted countries and regions cannot open futures trading.