The calculation of delivery futures mark price is different from perpetual futures. For delivery futures, the difference between the depth-weighted middle price and the index price is used for the calculation of the reasonable basis rate and mark price.
Reasonable Basis Rate = (Depth Weighted Mid Price / Index Price - 1 ) / ( Time Before Expiration / 365 ) x 100%
Reasonable Basis = Index Price x Reasonable Basis Rate x ( Time Before Expiration / 365 )
Reasonable Price = Index Price + Reasonable Basis
For example
For a BTC_USDT quarterly contract, assuming Mark Index Price is 10,000 USDT, Impact Bid Price is 10,049 USDT, Impact Ask Price is 10,051 USDT, and there are 30 days left before expiration.
Reasonable Basis Rate = (10050 / 10000-1) / (30/365) x 100% = 6.0833 %
Reasonable Basis = 10000 x 0.060833 x (30 /365) = 50
Reasonable Price = 10000 + 50 = 10050
About the calculation
The reasonable basis rate will be updated regularly, at an interval that varies for different contracts. In most cases, it will be updated every minute.
Note
- Reasonable Basis Rate changes only when the difference between the Impact Bid Price and Impact Ask Price is lower than the MMR of spot futures.
For example, if the index price is 10,000, MMR is 0.005, so the Basis Rate will be updated only when the difference is lower than 50 (10,000 x 0.005). - The update of mark price will be triggered when the index price or the reasonable basis rate is updated.
Gate reserves the final right to interpret the product.
