If you have ever seen a futures position show an unrealised loss when the chart price appeared unchanged, or noticed your liquidation price shift without adjusting your position, the answer almost certainly involves mark price and index price.
These figures rarely appear prominently in trading interfaces — they sit in the background of every futures trade — but they govern your PnL, your liquidation level, and the fundamental fairness of price discovery on the exchange. Understanding them is a basic requirement for serious futures trading.
Three Prices on a Futures Exchange
At any moment, three distinct prices coexist on LMEX:
Market Price (Last Price): The most recent price at which the futures contract traded on LMEX. This is what you see on the candlestick chart.
Index Price: An independently calculated reference price derived from multiple external spot exchanges. On LMEX, the index is the weighted average spot liquidity mid-price from five reference feeds — Woo, Gate.io, Binance, OKX, and Bybit — with the highest and lowest values removed before averaging.
The mid-price for each feed is calculated as:
Spot Liquidity Mid Price = (Bid Price × Ask Size + Ask Price × Bid Size) ÷ (Bid Size + Ask Size)
This is a volume-weighted average of the best bid and ask, not simply the arithmetic midpoint. It reflects where substantial orders would actually execute, making it more representative of genuine market pricing than the raw mid.
Mark Price: The price used for all unrealised PnL calculations and all liquidation determinations. For LMEX perpetual contracts:
Mark Price = (Spot Liquidity Mid Price × 75%) + (LMEX Impact Mid Price × 25%)
The 75/25 blend means mark price is heavily anchored to the external index — preventing manipulation — while still incorporating real LMEX order book depth through the LMEX Impact Mid Price. The Impact Mid Price is the price at which a standardised order size would actually execute against the current LMEX book, giving it a practical grounding in available liquidity.
Why Not Just Use the Market Price?
Using the market price directly for PnL calculations and liquidation would create a serious attack vector. A single large trade — or a coordinated series of trades — could temporarily move the market price far from its fair value and trigger cascading liquidations. Exchanges that have been attacked in this way have moved decisively to mark-price-based liquidation systems.
By anchoring mark price to a multi-exchange average, LMEX makes it significantly harder for any participant to trigger liquidations through price manipulation on LMEX’s order book alone. A genuine market move on external spot exchanges naturally propagates through the index price and causes the mark price to follow — but an isolated spike on the LMEX order book does not.
Time-Based Futures: A Different Calculation
For monthly and quarterly time-based futures contracts, the mark price formula differs:
Mark Price = (Time-Based Futures Index Price × 75%) + (Liquidity Mid Price of LMEX Time-Based Futures Market × 25%)
The time-based futures index price is calculated using interpolation or extrapolation from reference exchange contracts with the closest available expiry dates when no direct equivalent exists.
LMEX currently lists quarterly contracts alongside perpetuals. For example, the live futures market summary shows active BTC and ETH quarterly contracts alongside the standard perpetuals, each with their own mark price tracking their respective index.
Practical Implications for Your Trading
Your unrealised PnL follows mark price, not market price. A wick on the LMEX chart that briefly touches a target level does not necessarily move the mark price — if the move was isolated to LMEX and not reflected in the external index, the mark may barely shift.
Your liquidation price is set relative to mark price. When you calculate how much the market needs to move against you before liquidation, the relevant price is mark price — not where the chart last printed.
Funding rates derive from the gap between mark price and index price. A persistently high mark price relative to the index signals long-side crowding and generates positive funding — longs pay shorts. The inverse signals short crowding, and shorts pay longs.
Mark price updates continuously. As the index price changes — second by second, driven by external exchange data — so does the mark price, and therefore your displayed unrealised PnL and liquidation price. This is not your position changing; it is the pricing reference updating.
Frequently Asked Questions
Can the mark price differ significantly from the market price? For liquid contracts with active trading on LMEX and the reference exchanges, the difference is typically small and self-correcting. In stressed or thin markets, gaps can widen, but the 75/25 formula with a multi-exchange index limits how far mark price can deviate from genuine market consensus.
Where can I see the current mark price? The mark price is displayed on the LMEX trading interface alongside the market price for each contract. It is also available via the REST and WebSocket APIs.
Does mark price affect my realised PnL when I close a position? No. Realised PnL on a closed position is calculated using the actual execution price of the closing trade, not the mark price. Mark price governs unrealised PnL and liquidation triggers only.
Why does my liquidation price drift over time without me changing my position? Two reasons: first, as the index price changes, the mark price changes, and the displayed liquidation calculation updates relative to the current mark. Second, accumulated funding fees reduce your available margin over time, gradually tightening the effective liquidation threshold.
What is the LMEX Impact Mid Price? It is the price at which a standardised order quantity would execute against the current LMEX order book — essentially a measure of realistic execution price given available depth. It represents 25% of the mark price calculation and ensures the mark price has some grounding in LMEX’s actual liquidity conditions.
