Price Indices

Price Indices

Perpl works with three price quantities. Understanding how each is produced explains how your positions are valued, when they can be liquidated, and how funding is charged.

Price	What it is	Where it comes from
Spot Index Price	The fair spot price of the underlying asset	Chainlink Data Streams, pushed on-chain
Mark Price	A robust estimate of the fair perpetual price	Computed off-chain from several sources, then anchored tightly to the Spot Index
Funding Rate	The periodic payment that keeps the perpetual trading near spot	Computed off-chain from the order book relative to the Spot Index

---

Spot Index Price

The Spot Index Price (also called the oracle price) is the reference spot price of the underlying asset. It is sourced from Chainlink Data Streams — low-latency, cryptographically signed price reports — with one feed per market.

The pricing service writes a fresh Spot Index on-chain whenever either of the following is true:

• the price has moved more than 0.1% since the last on-chain value, or

• the on-chain value is within 10 seconds of its maximum permitted age (so it never goes stale).

The Spot Index has three jobs:

1. Anchor for the Mark Price. The Mark Price is held within a tight band around the Spot Index (see below).

2. Settlement of funding. Funding payments are calculated against the Spot Index, not the Mark Price.

3. Staleness guardrail. Settlement and liquidation are rejected by the smart contract if the on-chain Spot Index is older than its maximum age, protecting users from trading against a frozen oracle.

---

Mark Price

The Mark Price is an unbiased, robust estimate of the fair price of the perpetual. It is the price the protocol uses for:

• unrealized profit and loss (PnL),

• additional collateral requirements when a position is opened or increased if its PnL is negative,

• triggering liquidation and auto-deleveraging,

• the realized price in force-close and unwind operations.

How it is computed

The Mark Price is recomputed every block from up to four independent inputs, combined with a median so that no single source can dominate:

1. External price — the weighted median of mid prices from major venues (Binance, Hyperliquid, OKX, Bybit) for the corresponding perpetual.

2. Basis-adjusted fair value — the Spot Index scaled by the recent average basis (the premium at which the perpetual trades over spot on those venues): (1 + average_basis) × spot_index. The basis is a smoothed (exponential moving average) measure and is itself clamped to a small range.

3. Impact mid price — the midpoint of the volume-weighted average prices (VWAP) obtained by walking Perpl's own order book to a set of notional depths ($1,000 / $2,000 / $5,000).

4. Book price — the median of the best bid, the best ask, and the last traded price (the last trade is dropped if it is too old).

In symbols, writing $P_{\text{spot}}$ for the Spot Index Price:

$$P_{\text{median}} = \operatorname{median}\bigl(P_{\text{ext}},\; P_{\text{fair}},\; P_{\text{impact}},\; P_{\text{book}}\bigr)$$

where the basis-adjusted fair value (input 2) is

$$P_{\text{fair}} = \bigl(1 + \overline{b}\,\bigr)\,P_{\text{spot}}, \qquad b_i = \operatorname{EMA}\!\left(\frac{P_i^{\text{mid}}}{P_{\text{spot}}} - 1\right)$$

and $\overline{b}$ is the clamped, weighted average of the per-venue basis values $b_i$.

If fewer than four of these inputs are fresh, the median is backstopped first by a smoothed order-book price and, if necessary, by the raw Spot Index, so a Mark Price is always available even in thin or quiet conditions.

The Spot Index clamp (most important)

After the median is taken, the result is currently clamped to within ±0.25% (25 basis points) of the Spot Index before it is published on-chain. In production this band is 25 bps on every market:

$$P_{\text{mark}} = \operatorname{clamp}\bigl(P_{\text{median}},\; (1-\delta)\,P_{\text{spot}},\; (1+\delta)\,P_{\text{spot}}\bigr), \qquad \delta = 25\ \text{bps} = 0.0025$$

In other words: however the order book or external venues move, the on-chain Mark Price never sits more than a quarter of one percent away from the Chainlink Spot Index. This keeps the Mark Price an accurate, manipulation-resistant reflection of spot and bounds how far it can be pulled by a single noisy input.

The Mark Price is written on-chain whenever it moves more than 0.05% from the last published value, or when the on-chain value is close to expiring. The smart contract independently rejects any proposed Mark Price that falls outside its configured tolerance of the Spot Index; the ±0.25% clamp keeps every published value comfortably inside that tolerance.

---

Funding Rate

The Funding Rate is the mechanism that keeps the perpetual price aligned with the underlying spot price. When the perpetual trades above spot, longs pay shorts; when it trades below, shorts pay longs.

How it is computed

Perpl uses an impact-premium method. Throughout each funding interval, every few seconds the system measures how far the order book is from the Spot Index:

$$f_t = \frac{\max\bigl(P^{\text{impact}}_{\text{bid}} - P_{\text{spot}},\; 0\bigr) - \max\bigl(P_{\text{spot}} - P^{\text{impact}}_{\text{ask}},\; 0\bigr)}{P_{\text{spot}}}$$

where $P^{\text{impact}}_{\text{bid}}$ and $P^{\text{impact}}_{\text{ask}}$ are the VWAP execution prices for trading a fixed notional ($1,000) into the bid and ask sides of the book. The interval's funding rate $F$ is the average of those samples over the interval, then clamped to a maximum magnitude $F_{\max}$:

$$F = \operatorname{clamp}\!\left(\frac{1}{k+1}\sum_{t=0}^{k} f_t,\; -F_{\max},\; +F_{\max}\right)$$

How it is charged

The funding payment on a position is:

$$\text{funding payment} = Q \cdot F \cdot P_{\text{spot}}$$

where $Q$ is the position's lot size. Funding is charged against the Spot Index, not the Mark Price. The funding interval is set by the protocol (approximately one hour).