Mark and Index Price

MuchFi's mark price combines three complementary pricing components to ensure robust valuation and manipulation resistance.

Mark Price Formula

markPrice = median(p1, p2, p3)

Where:

• p1 (Index Price) - External market reference
• p2 (Impact Mid Price) - Depth-adjusted mid-price
• p3 (Microprice) - Queue-weighted top-of-book signal

Index Price

The index price serves as the external anchor through a three-tier fallback system:

Primary Feed (CEX Median)

Weighted median from major centralized exchanges including Binance, OKX, Bybit, Gate.io, and MEXC with weights [3,2,2,1,1].

Secondary Feed (Oracle)

Chainlink price smoothed with 30-second TWAP. Activated if primary feed staleness or spread deviation occurs.

Fallback Feed (On-Chain EMA)

30-second exponential moving average of best bid, best ask, and last trade on MuchFi's orderbook. Used when external feeds are unavailable.

Impact Mid Price

The impact mid measures what it would cost to execute a small notional trade through the order book. This calculation:

• Computes volume-weighted average prices symmetrically across both sides
• Ensures liquidations reflect executable prices
• Prevents manipulation through easily moved quotes

Microprice

The microprice provides a super responsive signal of current order book balance:

• Weights top-of-book quotes by queue sizes
• Larger bid sizes increase the signal
• Larger ask sizes decrease the signal

This creates a real-time indicator of order book pressure.

Exclusions

The following are excluded from mark price calculations and liquidation triggers:

• Reduce-only orders
• Non-firm liquidity
• IOC orders

These exclusions prevent manipulation attempts through strategic order placement.