Index Price

The index price is the reference spot price a derivatives venue uses to value a perpetual or futures contract, calculated from a basket of prices collected from several external spot exchanges rather than from the venue's own order book. Each contributing venue carries a weight, obvious outliers are discarded, and a feed that stalls or drifts far from the rest is normally dropped automatically. It exists so that the number deciding your liquidation cannot be manufactured on the platform holding your collateral: a single thin book can be pushed a long way with modest size, and if that push counted, a trader with enough capital could liquidate everyone else on demand. Two things follow for anyone actually trading. First, the index is not the price you trade at — the contract's last-traded price sits above or below it, and closing that gap is precisely what the funding rate is for. Second, the index is where the risk engine looks, so it is worth knowing which spot venues feed it and how many have to disagree before the feed is treated as broken. A venue that publishes its index constituents and its outlier rule is telling you something that a venue publishing only a number is not.