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The futures mark follows what it would cost to trade a fixed size on the book, not the best bid and ask. This is the impact price. A single small order at the top of the book cannot move it.

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Impact notional

The impact notional is 2,000 USDC on each side, or 2 contracts. For each side, the venue walks the book from the best price and takes the volume-weighted average price to fill 2,000 USDC:
  • Impact bid: the average price to sell 2,000 USDC of notional into the bids.
  • Impact ask: the average price to buy 2,000 USDC of notional from the asks.
The book price is the midpoint of the two.

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When the book is too thin

If either side cannot fill 2,000 USDC, or the book is crossed, the venue uses the carry forward instead:
Years to expiry is the seconds left until expiry divided by 365 × 86,400. The carry is simple interest.

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Limits on the result

Before it becomes the mark, the price is limited in this order:
  1. Basis cap. It is held within 3% of the carry forward. A one-sided book cannot pull the mark far from fair value.
  2. Index band. It is held inside the index band.
  3. Move limit. It is held within 5% of the previous mark.
The venue applies steps 2 and 3 with a small safety margin, so the chain always accepts the result.

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Cadence

The venue checks every minute and publishes once an hour, the most often the chain allows. It stops at last_trade_time.

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What this means for you

  • Depth moves the mark, not the top of book. To move the mark, an order has to change the price of trading 2,000 USDC.
  • A thin book reverts to carry. When liquidity is light, the mark tracks the index plus carry.