Index Price

Definition

The index price represents the fair market price of a trading pair. It is calculated using a weighted average of the latest transaction prices and bid/ask medians from multiple major exchanges.

This ensures the index accurately reflects the spot market value of the asset, minimizing manipulation and price spikes from any single exchange.

Data Sources & Weights

For USDT-margined contracts, the index price is derived from the following exchanges with equal weighting:

Contract	OKX Weight	Huobi Weight	Binance Weight
BTC/USDT	33.3%	33.3%	33.3%
ETH/USDT	33.3%	33.3%	33.3%

⚠️ The above weights and data sources may be adjusted dynamically according to market conditions, without prior notice.

Index Price Calculation

Let:

• P_i​: Price from exchange i

• w_i​: Weight assigned to exchange i

Then, the Index Price P_index is calculated as:

$$P_{\text{index}} = \sum_{i=1}^{n} w_i \times P_i$$

Where:

• n: Number of exchanges (e.g., 3)

• ∑w_i = 1

Sampling Frequency

• Price data from each exchange is fetched every 1 second via API.

• Updates depend on the interval of index calculation.

Index Exception Handling

1. Removing Invalid Prices

If a price from an exchange:

• Has not updated within 40,000 ms (40 seconds), and

• Its previous value deviates significantly from the latest values

Then, the system treats this price as invalid:

$$w_i = 0 \quad \text{(reset weight to 0 for that exchange)}$$

2. Abnormal Price Correction

If the price from any exchange deviates by more than ±3% from the median of all prices, it is considered abnormal.

Let:

• P_m​: Median price of all sources

• P_i: Price from a source exchange

$$\delta = \left| \frac{P_i - P_m}{P_m} \right|$$

If:

$$\delta > 3\%$$

Then:

$$P_i = P_m \times (1 \pm 3\%)$$

This applies to both BTC/USDT, ETH/USDT, or other contracts where the median deviation exceeds ±3%.