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Mark price protection is a mechanism that prevents trades from occurring at a price that is very obviously incorrect compared to the mark price. This can happen for reasons such as:
  • The size of a market order was entered incorrectly as too large causing it to trade through many order book levels
  • The price of a limit order was entered incorrectly and now greatly overlaps with the mark price
When a limit order is submitted, its price is compared to the current mark price for that market and rejected if it lies more than 10% away. For a buy order the price must be: limit-price < mark-price * 1.1 For a sell order the price must be: limit-price > mark-price * 0.9 When a market order is submitted, a simulation of its execution is performed and if a trade will occur more than 10% away from the mark price, then the order is rejected.

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Pricing derivations

The specific oracle sources feeding the mark price for each asset class.

Premium index

How impact prices and the mark price combine to form the premium index.

Funding rates

How the mark price drives hourly funding settlements.

Liquidations and insurance

How liquidations use the mark price and the multi-layered waterfall behind them.