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A crypto futures contract runs on three separate price feeds: last price, index price, and mark price. Each one does a different job. Only one determines when a position is forcibly closed.
Last price is what the chart shows. Index price is a weighted average of spot prices across multiple exchanges. Mark price is a derived number anchored to that index, adjusted for funding and smoothed to absorb order book noise. Liquidation fires on mark price, not on the last traded price visible on the candles.
Understanding how the three feeds differ, and when they diverge, is the baseline for sizing positions correctly in futures trading.
Mark price is the only price the exchange uses to calculate unrealized P&L and determine when a position is forcibly closed. The last traded price and the liquidation trigger are not the same number. At low leverage, the gap rarely changes the outcome. At 20x and above, a 0.5% divergence between mark and last price can be enough to trigger liquidation without a single candle printing at that level.
Each feed serves a distinct purpose in how positions are opened, tracked, and closed.
The last price is the most recent traded price on the contract itself. It updates every time someone buys or sells. This is what fills orders, what shows on the chart, and what realized P&L runs against.
It can spike or drop on a single large trade, especially in thin order books.
Order fills execute at last price, candlestick charts plot from last price, and realized P&L settles against last price when a position closes.
It is the execution reference for everything visible on the chart. A single large order in a thin book can move last price sharply without the broader spot market ever trading at that level. During those moments, last price and mark price diverge, and only mark price determines whether the position stays open.
The index price is a weighted average of the asset’s spot price calculated in real time across multiple major exchanges. Rather than relying on a single venue’s order book, the index aggregates live spot data from several verified sources and weights each by trading volume.
Index price is displayed on exchange dashboards alongside mark price and last price. When funding rates are extreme, it shows where the contract should be trading relative to spot and whether the contract sits at a premium (contango) or a discount (backwardation).
When the contract price has moved significantly away from the index, mark price divergence from last price becomes more likely. Mark price anchors to the index rather than to the contract book, so a wide gap between the two increases the chance of divergence between what the chart shows and what the liquidation engine watches.
The mark price is a derived number anchored to the index. It blends the index with funding rate data (the recurring payment exchanged between long and short holders in perpetual contracts) and a short-term moving average of the basis (the spread between the futures contract mid-price and the spot index) to filter single-venue noise.
Unrealized P&L runs off the mark price, and so does liquidation.
Unlike last price, mark price is never directly traded. It is a calculated output, not a market price.
The chart shows last price. The exchange calculates exposure against the mark.
Same asset, three feeds, three different shapes.
| Last Price | Index Price | Mark Price | |
|---|---|---|---|
| Source | Most recent price someone actually paid for the contract on this venue. Updates every executed trade. | A weighted average of the asset’s spot price across major exchanges, refreshed every second or so. | The index price adjusted by funding and a short moving-average basis, smoothed to filter out single-venue noise. |
| Volatility | Highest. A single large trade in a thin order book can move it sharply, even if the broader spot market never traded there. | Lower, since it is a blended average. Anomalous prints on any one venue get diluted before they reach this number. | Lowest by design. The smoothing layer absorbs short-term spikes that do not show up across spot exchanges. |
| Use case | Fills buy and sell orders, plots the candles on the chart, and locks in realized profit or loss when a position closes. | Drives the funding rate calculation and feeds into the mark price formula. Visible on the funding panel and the index reference. | Calculates the unrealized profit or loss on an open position and decides the price level at which the exchange forces the trade closed. Also drives mark-based stop-loss and take-profit triggers when enabled. |
When choosing entries and reading the chart, the last price is the right reference. When the position is open and the question is how close it sits to forced closure, the reference shifts to the mark price.
Most account dashboards display all three. Most traders ignore mark price until it costs them.
The index each exchange uses as its base differs in composition. Binance’s USDⓈ-M perpetual index draws from 15 or more sources, including major centralized exchanges and decentralized venues added from February 2025. Any source deviating more than 5% from the median is capped; one offline for more than five minutes is weighted to zero.
Bybit draws from the top six spot venues by 24-hour volume, rebalanced hourly, with a tighter 1% deviation threshold for BTC and ETH specifically. On both exchanges, no single source can meaningfully pull the index off-market on its own.
Both Binance and Bybit use the same core formula structure:
Mark Price = Median(Price 1, Price 2, Last Contract Price)
Price 1 applies a funding-rate adjustment to the index: the index multiplied by one plus the last funding rate scaled to the remaining time until the next funding interval. Price 2 applies a basis adjustment: the index plus a short-term moving average of the spread between the futures mid-price and the index.
The one documented difference between the two exchanges is the smoothing window. Binance calculates the basis moving average over a one-minute window: 60 data points sampled one per second. Bybit uses a 2.5-minute window: 150 data points.
A longer window makes Bybit’s mark price slightly less reactive to brief basis spikes than Binance’s.
Taking the median of three values rather than a simple average means no single extreme input, whether a funding spike, a stale last price, or a brief basis expansion, can shift the mark price to a liquidation threshold on its own. All three inputs need to converge toward the same level before the engine acts.
Before the mark price was standardized, exchanges liquidated positions on the last traded price. That worked until a single large order on a thin futures book pushed the contract price far enough to trigger a wave of liquidations, even though the broader market never moved.
Early perpetual venues kept getting hit by these wicks. A trader could be directionally correct and still lose the position because someone else’s market order printed a number that did not exist anywhere in spot.
The mark price was built to break that link. It pulls the trigger reference away from the contract’s own order book and ties it to spot prices across multiple venues, plus a smoothing layer that filters short-term basis noise.
Two outcomes follow directly:
Mark price is not a trader-friendly invention. It is a venue-protection mechanism that also protects traders from manipulation.
Liquidation does not happen because the chart hits a price. It happens because the mark price reaches a level where the account equity can no longer meet the maintenance margin requirement (the minimum collateral percentage the exchange requires to keep a position open).
This is the part that catches traders out. A long position with a liquidation level at, say, 60,400 might not survive a wick to 60,400 on the chart. It might also survive a wick that goes deeper than that.
Both happen, and both look broken from the outside.
Scenario 1: Last price wicks down to 60,300 on a thin futures book during a large market sell. The mark price, anchored to the index, only moves to 60,500 because the broader spot market never traded that low. The position survives even though the chart looks like it should not have.
Scenario 2: The futures chart looks calm, but funding has been deeply negative for hours. Mark price drifts steadily toward the index, which sits below the contract price.
The liquidation trigger creeps closer even though the visible chart barely moves. The trader sees the position close and assumes a bug.
Neither one is rare. Both trace back to the same thing: the visible chart is not the price the engine watches. The order-flow side, how crypto futures liquidation closes a position, is covered separately.
Most exchanges offer two trigger modes for take-profit and stop-loss orders: last price and mark price.
When a stop-loss is set to trigger on last price, the order fires when the contract’s traded price reaches the level. This responds to real market action but can also execute on a wick that the mark price never validates. The position closes even if the broader market never traded at that level.
When a stop-loss is set to trigger on mark price, the order fires only when the smoothed, aggregated reference reaches the threshold. This prevents wick-induced triggers but means the order will not execute if last price spikes through the level and recovers before mark price moves with it.
The distinction matters most at high leverage, where a short divergence between last and mark price can be enough to fire last-price stops without the mark ever reaching that level.
A last-price stop set close to the liquidation level creates a specific gap risk: the mark price could reach the liquidation threshold before the stop fires, closing the position without the chart ever showing that price.
A liquidation price calculator built on mark-price logic returns the mark-price-based maintenance threshold for a given entry price, leverage level, and margin mode: the actual trigger level, not the chart reference.
A position can close at a mark price level that never appears on the contract chart. A wick visible on the order book does not trigger liquidation if the broader spot market did not move with it. Conversely, a chart that looks calm can deliver a liquidation if funding has pushed the mark price steadily toward the index. Both are the mark price mechanism working as designed, not a platform error. A last-price stop-loss set close to the mark-price liquidation level carries a separate risk: if mark price reaches the liquidation threshold before the stop fires, the position closes without last price ever printing at that level.
At low leverage, the gap between the mark price and the last price is rarely the deciding factor. A 3x position has enough buffer that small drifts in the trigger reference do not change the outcome.
At high leverage, the same gap becomes load-bearing. A 50x position carries roughly 2% of room before reaching the liquidation price, after accounting for fees and funding.
Trading at 100x leverage compresses that buffer to roughly 1%. Even a fraction of a percent of drift between mark and last is meaningful margin consumed by something that never appears on the candles.
This divergence appears most often under three conditions:
At 50x leverage, roughly 2% of buffer separates entry from liquidation, before accounting for any mark/last divergence. At 100x, that buffer is roughly 1%. During low-liquidity sessions or high-funding periods, mark/last divergence can consume part of that buffer without any visible price move on the chart.
Last price is the most recent traded price on the contract. It is the price used to fill buy and sell orders, the price plotted on candlestick charts, and the price against which realized P&L is calculated when a position closes. It is not used to calculate unrealized P&L or to trigger liquidation. Those are calculated against mark price.
Liquidation fires on mark price, not the last traded price shown on the chart. The mark price is derived from a weighted average of spot prices across multiple exchanges and can reach the maintenance margin threshold while the contract chart has not moved there yet. Both prices are displayed separately on the exchange dashboard.
On most exchanges, yes. Stop-loss and take-profit orders can be set to trigger on either last price or mark price. A last-price stop set close to the liquidation level carries a specific gap risk: the mark price could reach the liquidation threshold before the stop fires, closing the position without the chart ever showing that price.
Both Binance and Bybit calculate mark price as the median of three values: a funding-adjusted index projection, a basis-smoothed index reference, and the last traded contract price. Binance smooths the basis over a one-minute window. Bybit uses 2.5 minutes. Taking the median means no single extreme value, whether a wick, a funding spike, or a stale feed, can alone push the mark price to a liquidation threshold.
The index price is a real-time weighted average of the asset’s spot price across multiple exchanges: 15 or more on Binance, the top 6 by volume on Bybit. The mark price is the index adjusted by a smoothed spread between the futures contract and the spot index, plus a funding-rate component, designed to absorb short-term order-book noise. The two prices are always close but rarely identical. The mark price is what controls liquidation.
Last price, index price, and mark price serve different functions, and confusing them is how surprise closures happen. The chart shows last price. Realized P&L settles on last price.
But the engine that decides when a position can no longer stay open watches mark price, which runs on a different calculation and can sit at a different level than anything printed on the candles.
The index price behind the mark is a cross-venue average, weighted and filtered for anomalies. Mark price adds a funding adjustment and a smoothing layer on top. The result is a trigger reference that resists manipulation but still moves steadily when funding drifts or when spot markets shift across venues without the contract book catching up.
Every open position sits between two numbers: the chart price that determines how it looks, and the mark price that determines when it ends. At low leverage, the gap between them is background noise. At high leverage, it is part of the risk calculation before the trade is placed.
This article is published under Leverage.Trading’s leverage trading & crypto derivatives education , an independent risk-first learning system built to help traders quantify and manage risk before trading.
