Price Feeds and Mark Price Inputs

DerivaDEX prices each perpetual with two related values: the index price (a composite spot price from external feeds) and the mark price (the fair price used for margin, liquidation, funding, and mark-relative trading checks).

Price types and what they are used for

Price	Definition	Used for
Index price	Composite spot price from the configured external feeds	External reference input to the mark price
Mark price	Index price plus a smoothed premium, clamped to `±50` basis points (`±0.5%`) of index	Margin, liquidation, funding, and price-band checks; fills still execute at book price
Last trade price	Price of the most recent fill on the DerivaDEX order book	Trade reporting and chart displays
Bankruptcy price	Price at which a strategy’s collateral is fully consumed by position losses	Liquidation spread and auto-deleveraging (ADL) pricing

The mark price (not the last trade price) determines risk checks.

Index sources by market

By default, each listed perpetual uses three external spot feeds.

Market	Underlying	External spot sources
`ETHP`	ETH	Coinbase `ETH-USD`, Binance `ETHUSDC`, Gemini `ETHUSD`
`BTCP`	BTC	Coinbase `BTC-USD`, Binance `BTCUSDC`, Gemini `BTCUSD`

Index price calculation

At each oracle update, typically once per second, DerivaDEX aggregates the latest source prices into one index price.

median_source_price = median(latest_source_prices)
clamped_source_i = clamp(source_i, 0.995 × median_source_price, 1.005 × median_source_price)
clamped_composite = average(clamped_source_1 ... clamped_source_n)
index_price_next = index_price_prev + alpha × (clamped_composite - index_price_prev)
alpha = 2 / (30 + 1)

Parameter	Value	Notes
Aggregation method	Median anchor, then arithmetic mean	Outliers are clamped before averaging
Per-source outlier clamp	`±0.5%` around the median	Applied separately to each source price
EMA period	`30` updates	`alpha = 2 / (30 + 1)`
Default oracle polling interval	`1` second	Source feeds are polled once per second in the default configuration
First published index price	Current clamped composite	No time smoothing applies until there is a prior published value

Mark-price inputs

The mark price starts from the current index price and adds a smoothed premium derived from the DerivaDEX book.

Input	Definition	Fallback behavior
Index price	Current composite spot price from the external feeds	Required base input
Fair price	Best available book reference from DerivaDEX quotes	Midpoint if both sides exist; bid if only bid exists; ask if only ask exists; index price if the book is empty
Premium EMA	Exponential moving average of `fair_price - index_price`	Carries forward the prior premium state between updates

Mark-price calculation

The mark price uses the fair-price premium, then clamps the result back to the index.

fair_price = (best_bid + best_ask) / 2        if both sides exist
fair_price = best_bid                           if only bid exists
fair_price = best_ask                           if only ask exists
fair_price = index_price                        if the book is empty

premium = fair_price - index_price
premium_ema_next = premium_ema_prev + alpha × (premium - premium_ema_prev)
mark_price = index_price + clamp(premium_ema_next, -0.005 × index_price, +0.005 × index_price)

Parameter	Value	Notes
Premium input	`fair_price - index_price`	Tracks the DerivaDEX book relative to the external index
EMA period	`30` updates	Uses the same smoothing constant as the index update
Mark-price clamp	`±50` bps (`±0.5%`) of index price	Prevents the mark from drifting arbitrarily far from the external reference
Realtime feed	`MARK_PRICE`	Carries mark-price and funding-rate updates

Mark-dependent trading checks

DerivaDEX uses the current mark price in both sequencing and matching.

Check	What happens
Explicitly priced order validation	Sequencing rejects an explicitly priced order when its taker price breaches the product’s `max_taker_price_deviation` from the current mark price
Market-order handling	Market orders skip the sequencer deviation check because they have no explicit price
Matching price band	When no explicit taker limit exists, matching derives a mark-price-relative limit from the product’s `max_taker_price_deviation`
Residual beyond the band	Any unmatched remainder is canceled rather than filled outside the effective band
Missing mark price	Requests can fail with `MarketPriceNotAvailable` instead of trading without a current risk price

Worked pricing cases

These examples show which book price becomes the fair-price input before the premium EMA and mark-price clamp apply.

Book state	Fair-price input
Best bid `2,000`, best ask `2,002`	Midpoint `2,001`
Best bid `2,000`, no ask	Bid `2,000`
No bid, best ask `2,002`	Ask `2,002`
No bid and no ask	Current index price

Feed venues and polling intervals are governance-controlled and may change.

​Price types and what they are used for

​Index sources by market

​Index price calculation

​Mark-price inputs

​Mark-price calculation

​Mark-dependent trading checks

​Worked pricing cases

​Related references