Mark price vs last price

Last price, index price and mark price

A perpetual futures contract shows three prices. The last price is the latest trade on that contract’s own order book. The index price is a weighted average of the asset’s spot price across several exchanges. The mark price is the exchange’s estimate of the contract’s fair value, built from the index price plus a smoothed adjustment, and it moves more slowly than the last price.

The index is what makes the mark price hard to push around. With three spot markets weighted equally at $59,980, $60,000 and $60,020, the index is $60,000. If one of them printed $57,000 for a moment, the index would fall to about $59,007, a move of 1.66% rather than 5%. Exchanges also drop or cap a component that strays too far from the others, which narrows the effect further.

Which price liquidates a position

The mark price does. On the perpetual contracts of large crypto exchanges, a position is liquidated when the mark price reaches its liquidation price, whatever the last trade on the book was. The design protects traders from being closed out by one abnormal print on a single order book, and it means the candle on a last-price chart is not the number that decides.

Two consequences follow. A wick on the chart that passes through your liquidation price does not close the position if the mark price stayed above it. And the reverse can happen: the mark price can reach the liquidation level while the last price never trades there. Each exchange states the rule in its contract specification, and that document is the one that applies to your position.

How exchanges build the mark price

Most exchanges start from the index price and add a term for the gap between the contract and the index, either a moving average of that gap over a short window or the funding accrued until the next settlement. Many then take the median of several candidate prices, including the last price, so that no single input sets the result.

An illustration: the index is $60,000, the averaged gap is $12, and the mark price is $60,012. If a burst of buying lifts the last price to $60,150, the last price sits $138, or 0.23%, above the mark until either the index follows or the buying fades. The exact formula, the window and the index components differ by exchange and sometimes by contract.

A worked example with both prices

Take a 0.5 BTC long opened at $60,000 with 20× isolated margin and a 0.5% maintenance rate. The position is worth $30,000, the margin is $1,500, and the estimated liquidation price is $60,000 × (1 − 1 ÷ 20 + 0.005) = $57,300, which is 4.5% below entry. Whether the position survives a fall depends on where the mark price goes.

Case one, a wick. Selling on this exchange’s book drives the last price to $57,000, which is $300 below the liquidation price, while spot markets elsewhere hold and the mark price only reaches $57,900. The position stays open, $600 or 1.05% above liquidation, showing an unrealised loss of $1,050 with $450 of margin left.

Case two, the opposite. The whole market falls, the chart’s low is $57,400, and the mark price touches $57,280. The last price never came within $100 of the liquidation level, yet the mark price went $20 through it and the position is liquidated. You can reproduce the level for any entry and leverage with the liquidation price calculator.

Which price triggers a stop-loss

A stop-loss or take-profit order is triggered by whichever price you select on the order ticket. Many exchanges default to the last price and let you choose the mark price, and some offer the index price as well. The choice matters most in a wick, where the last price reaches levels the mark price never does.

In case one above, a stop at $58,000 set to trigger on the last price would have fired during the wick, even though the mark price bottomed at $57,900 and the position was never close to liquidation by that measure. A fill exactly at $58,000 is a $1,000 loss; a market order released into a falling book can fill lower, and a fill at $57,200 would be a $1,400 loss.

• Last-price trigger: reacts to what is trading on the book you will be filled on, and fires on wicks.
• Mark-price trigger: ignores wicks confined to one book, and can fire later than the chart suggests in a fast move.
• Either way, the trigger price is not the fill price. A stop that releases a market order fills at whatever the book offers.

Unrealised PnL uses mark price, realised PnL uses your fill

While a position is open, most exchanges value it at the mark price, so the unrealised profit or loss and the margin ratio on screen follow the mark price by default. When you close, the realised result is calculated from the prices your orders were filled at. The two figures therefore rarely match at the moment you close.

In case one, the position showed an unrealised loss of $1,050 at a mark price of $57,900. Closing with a market order at the $57,000 last price would have realised a loss of $1,500 before fees. Some exchanges let you switch the displayed PnL to the last price; the liquidation rule does not change with that setting.

Using the difference in practice

The practical steps are few: read liquidation distance against the mark price, decide which price your stops use, and treat a large gap between mark and last as a sign of a thin or stressed book. None of them removes liquidation risk on a leveraged position; they remove surprises about which number is being applied.

• Keep the mark price visible on the chart or ticket, and measure the distance to liquidation from it.
• Set the stop trigger deliberately. A stop on the last price sits closer to where you will be filled; a stop on the mark price is harder to hit with a wick.
• Place stops well before the liquidation price. At 20× the whole distance from entry to liquidation is about 4.5%.
• Read the contract specification of the exchange you use for its index components and mark price formula.

Where to go next

Common questions