Mark Price determination

The mark price is used as the price at which the PnL of positions is calculated, and so feeds into the Margin Account Equity checks, which in turn determine whether a trade can be completed by a margin account, or if it can be liquidated.

The mark price is determined by the average price of all trades originating from all trading protocols that have submitted trades to the clearing system in a sliding 30 second window.

If a trade is executed at time t, the Mark Price for a product at time t is defined as:

MP[t] = sum(p[j] * abs(q[j])) / sum(abs(q[j]))

for every trade j such that j’s timestamp is within [t, t-30 seconds]. If there is no trade at time t, MP[t] = MP[t-1].