Basis Rate and Mark Price (Futures Contracts)

Similar to perpetual contracts, futures contracts also involve the Last Traded Price (LTP) and Mark Price (MP), which combine to form the Dual Price mechanism on the Bybit platform. Likewise, liquidations for futures contracts will also be triggered by Mark Price.

Mark Price (Futures Contracts)

As compared to perpetual contracts, due to a lack of funding mechanism, calculating Mark Price for futures contracts adopts a different logic. Specific to futures contracts, Mark Price is calculated by taking reference to a global spot Index Price plus Basis Rate. 

Mark Price = Index Price x (1 + Basis Rate)

whereby

1. Basis Rate = 10-min Moving Average of [(Impact Mid Price - Index Price) / Index Price]
2. Impact Mid Price = (Impact Bid Price + Impact Ask Price) / 2
3. Impact Bid Price = The average fill price to execute the Impact Margin Notional on the Bid side
4. Impact Ask Price = The average fill price to execute the Impact Margin Notional on the Ask side

Notes: 

1) Impact Mid Price is refreshed on a per-second basis

2) Impact Margin Notional is 10 BTC for BTCUSD futures contracts

3) If the futures contract is newly listed and less than 10 minutes into its listing date, for example, 2 minutes, the system will take the 2-min Moving Average to calculate the Basis Rate. 

4) Basis rate reflects the premium or discount of the Impact Mid Price relative to the Index Price.

• If basis rate widens = the price gap between Bybit futures price and index price is diverging. 
• If basis rate narrows = the price gap between Bybit futures price and index price is converging. 

5) Specific to Bybit futures contract, on settlement date from 07:30:00 to 08:00:00 UTC, liquidation can be triggered if either the mark price or expected settlement price reaches the liquidation price of the position. For example 

When holding a position at 07:45:00 UTC on settlement date (26 March), if either mark price or expected settlement price reaches the liquidation price of the position, liquidation will be triggered and the position will be taken over by the liquidation engine.