📈Price Feeds

Details on ZKX Appchain's internal data provisioning for derivatives trading

Price Definition

ZKX uses the following terms when referring to Price:

  • Market Price - the price of the latest trade that was successfully matched (executed.)

  • Index Price - the average market price of assets traded in the exchanges / presented by data providers, used in our DPS. Index Price is also the main contributor to the Mark Price.

  • Mark Price - is the price used in calculating full liquidations and deleveraging (forced buy & sell.) Also, we use Mark Price for any conditional order execution/trigger. We model Mark Price as fair and temper-resistant.

  • Additional details:

    • Unrealized PnL calculation (mark-to-market PnL calculation) is based on the Best Bid price or Best Ask price.

    • Slippage for Market Orders is based on the Market Price (last traded price) and is passed from one batch to another if the order is forced to be re-batched.

    • For the calculation of stop loss/take profit triggers, we use the Last Traded Price.

Price Calculation

Perp Index Price

ZKX Perpetual Swaps Index Price = Average Spot Liquidity Mid Price of All Active Sources in Data Provider Services (DPS) for this market.

i.e: Index Price = AVERAGE ( Spot Liquidity Mid Price of Sources )

Spot Liquidity Mid Price of Source - is a subset of all active sources.

One Source ∈ All Active Sources.

Spot Liquidity Mid Price = (Best Bid Price * Ask Size + Best Ask Price * Bid Size) / (Bid Size + Ask Size)

We strive to use up to six independent sources to keep prices fair and temper-resistant, and we use the following rules for the result processing:

  • The average value is calculated after removing the highest and lowest reference values.

    • For example - if there are six reference values, remove the highest and lowest values, then calculate the average of the remaining four values.

  • The reference feeds corresponding to each currency may be different.

  • The frequency of Perp Index Price updates should equal the time of our L3 block minting.

Perp Mark Price

ZKX Perpetual Swaps Mark Price = (Index Price * 90% + ZKX Impact Mid Price * 10%.)

The frequency of Perp Mark Price updates should equal the time of our L3 block minting.

The Impact Mid is the median of the average entry price market-selling x value of contracts and market-buying x value of contracts. ZKX Impact Mid Price = Average (Impact Bid Price, Impact Ask Price.) Impact Bid Price: The average buy price of the first 5000 highest bid units * step_size in the Order Book Impact Ask Price: The average sell price of the first 5000 lowest ask units * step_size in the Order Book

For example:

i.e. step_size for this market: 0.01

In this order book, the price will be calculated as:

  • Impact Bid Price = (1800.00 x 5000) / 5000 = 1800.00

  • Impact Ask Price = (1900 * 828.805 + 2000 * 4171.195) / 5000 = (1574729.5 + 8342390 ) / 5000 = 9917119.5 / 5000 = 1983.42

  • Impact Mid Price = (1800 + 1983.42) / 2 = 1891.71

Obviously, if we have in total of less than 5000 units in the calculation - we divide not by 5000, but by the total amount of units. I.e. for the following order book calculation is:

Impact Ask Price = (1898.8 * 35.249 + 1899.0 * 84.377) / 119.626 = ( 66930.8012 + 160231.923 ) / 119.626 = 227162.7242 / 119.626 = 1898.941

ZKX Perpetual Swaps Mark Price has an additional applied condition:

If the spread between the Mark Price and the Spot Liquidity Mid Price ≥ 2%, we set Mark Price = Index Price.

Data Sources

Primary sources

  • Binance

  • OKX

  • Kraken

  • Coinbase

  • Gate.io

  • Bybit

Secondary sources (used when Primary sources are unavailable), are enabled manually.

  • Chainlink

Kline definition

Kline Cases

  1. No trades in time segment - if we have mid-spread, we use mid-spread. If we don't have mid-spread, we use mark price.

  2. If we have any trades in the time segment - we use the last traded price (all trades that have been executed within the time segment.)


  • Time segment 60 seconds.

  • We use the timestamp of the trade from the block, which means if the trade happened at the last T of the segment but was processed when the segment has finished - we use that trade in the next segment.

Last updated