FuturesHUB / Index price
Perpetual futures
Index price
The index price is the spot reference for a perpetual. It is a blend of prices from outside the perpetual book, so a single trade on the perpetual does not redefine the underlying.
What goes into the basket
A venue picks several spot markets, drops stale or outlier prints, and averages the rest. Weights can follow volume. The result updates many times a minute. The methodology page for that contract lists the constituents. LiquidityFlow does not republish those baskets.
Because the basket is spot, the index can disagree with the perpetual's last trade. That gap is the raw material of basis and of the funding rate. The index is the anchor. The perpetual is the thing being anchored.
Why a basket is used
A single exchange print can gap on a thin trade or a broken feed. A basket ignores a constituent that stops updating or that jumps far from the others. The contract then keeps a reference even if one spot venue is having a bad minute.
The protection is only as good as the basket. If every constituent gaps together, the index gaps with them. An index is a cleaner spot reference. It is not a promise that spot itself is calm.
How you use it on a ticket
Compare three numbers: index, mark, and last. The index tells you where spot is. The mark tells you the price the venue is using for margin. The last tells you where the perpetual just traded. A stop configured on last can fire while the mark, and therefore the liquidation check, is somewhere else.
When you read a funding rate, remember that the rate is trying to pull the perpetual toward the index, not toward yesterday's close. A positive rate means the perpetual is rich to that index on the usual specification.
On the ticket
- Open the contract's index methodology and list the spot venues in the basket.
- Put index, mark, and last in one row on your note before you enter.
- If the index and the last disagree by more than you would tolerate as slippage, treat the perpetual as trading at a premium or a discount.
- Configure triggers with the price source the specification names. Do not assume last and index are interchangeable.
Questions
Is the index the price I get filled at?
No. Your fill is the perpetual order book. The index is the spot composite used as a reference for mark and funding.
Does LiquidityFlow compute the index?
No. Coinlore supplies the coin page price. The index on a venue ticket is that venue's basket. They will not match on every print.