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When trading perpetual futures, you will see three different prices: the Index Price, the Mark Price, and the Last Price. Each serves a different purpose, and understanding them will help you make sense of how your positions are valued and when liquidations might happen.
  • Index Price is a fair market price for the underlying asset, calculated from multiple major exchanges. It answers the question: “What is this asset actually worth right now?”
  • Mark Price is Orderly’s best estimate of what the perpetual futures contract itself is worth. It is used for calculating your unrealized PnL and determining liquidations.
  • Last Price is simply the most recent price at which the contract was traded on Orderly.
The Mark Price is the most important of the three for your account health, because it is what Orderly uses to decide whether your positions should be liquidated. It is designed to be resistant to manipulation and short-term volatility.

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Index Price

For a given contract, the Index price is the volume-weighted average of the underlying asset prices listed on major spot exchanges. Because no single exchange should have the power to move this price on its own, Orderly applies several safeguards to prevent manipulation, outages, or connectivity problems from distorting the Index Price:
  1. If, for any source, the price deviates by more than 5% from the median price of all sources, Orderly caps/floors the value at +/- 5%. Once the source price falls within the 5% range, its original value will be taken.
  2. If multiple sources show a deviation of more than 5% from the median, Orderly will use the median instead of the volume-weighted average.
  3. If a specific source is not sending any price for over 10 seconds, it will be disregarded from the Index Price calculation completely.

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How the weights are calculated

The weights used in the Index Price calculation are updated every 5 minutes. They are based on how much trading volume each exchange had over the past 4 hours. Exchanges with more volume have more influence on the Index Price.

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Backup oracle

In addition to Orderly’s in-house oracle, Stork serves as a backup oracle, verifying the index price for all pairs listed on Orderly. Stork is an ultra-low-latency (sub-millisecond), decentralized hybrid oracle network designed for EVM-compatible price feeds. Stork prioritizes performance, using ultra-fast WebSockets across multiple regions and node providers to ensure Orderly’s reference prices are available for verification in real-time, at the millisecond level, similar to the data speeds used in traditional finance trading venues.

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Exchange sources per trading pair

The tables below show which exchanges are used as price sources for each trading pair. An “X” means that exchange is included in the Index Price calculation for that pair.

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Mark Price

The Mark Price is the price Orderly uses to value your perpetual futures positions. It is designed to be a stable, manipulation-resistant estimate of what the contract is actually worth. Orderly uses the Mark Price (not the Last Price) for calculating unrealized PnL and triggering liquidations, because it is less volatile and harder to manipulate.

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How it is calculated

The Mark Price is built in two steps. First, Orderly computes a Median Price from three components:
Then Orderly applies a cap so the Mark Price cannot deviate too far from the Index Price. This cap is defined by a “Factor” and the cap/floor funding rates (see the Funding Rate section for details):

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RWA symbols

For RWA symbols, the Factor automatically adjusts based on whether the underlying market is open. During OFF_MARKET hours (when the underlying market is closed), the Factor uses a higher value to accommodate the wider mark-to-index basis under reduced liquidity and a frozen Index Price.

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Last Price

The Last Price is the simplest of the three. It is just the most recent price at which someone bought or sold the perpetual futures contract on Orderly. While it reflects real trading activity, it can be more volatile and easier to manipulate than the Mark Price, which is why it is not used for liquidation decisions.