Mark, index and last price

A perpetual has three prices at any moment. You'll see where each one comes from and which one exchanges use to decide liquidations.

The last price is the most recent trade on this market. The index price is the spot price of BTC averaged across several exchanges. The mark price is the exchange's estimate of a fair price for the contract, built from the index.

Most of the time they sit within a few hundredths of a percent of each other.

The index price combines BTC spot prices from several exchanges. If one exchange has a strange moment, the others hold the index in place, because a price that strays too far from the rest counts for less.

Push the price on exchange 3 and watch how little the index moves.

A single large sell order can knock the last price down for a moment, a spike traders call a wick. If liquidations followed the last price, one wick could close thousands of positions that would have been fine a minute later.

So exchanges liquidate on the mark price, which barely reacts to one trade. Switch between the two and see what happens to a 20× long.

Put simply, the mark price is the index plus a premium: how far the perpetual has been trading above or below spot. Binance smooths that premium over time, so the mark moves steadily and doesn't jump with every trade.

Move the premium and watch the mark shift away from the index.

In a fast move, the last price reacts first and the mark follows more slowly. The gap between them, last vs mark price, is (last − mark) ÷ mark, in percent.

A wide gap means trading is moving faster than the fair price estimate, which happens in sudden drops and spikes. Press play to watch it open during a selloff.

This is half a day of the last vs mark gap, every 5 minutes. The condition last vs mark price at or above 0.3% catches moments when trades run well above the fair price.

Move the threshold and count the Signals. The negative spikes don't count here, because the condition only looks upward.

Three quick questions, then a bot to build.

Read the strategy and set up a bot that follows it, with the direction and the conditions it names and no others. Passing depends on the build alone. Once it's right, the bot fires and you see what the market did next, which won't always go your way.