On GTE, the Mark price is designed to reflect the fairest measure of a token’s current price given the liquidity in the underlying perps contract and the underlying token’s spot price. Mark price is built from three complementary components:
  • Index Price (p1): the external market reference price.
  • Impact Mid Price (p2): a depth-adjusted mid-price.
  • Microprice (p3): a queue-weighted top-of-book signal.
The Mark price is then equivalent to the median of the three: markPrice=median(p1,p2,p3)\text{markPrice} = \text{median}(p_1, p_2, p_3) The system is designed to ensure robustness under all conditions: one source always anchors to external truth, while the others add depth-awareness and responsiveness. Let’s break down each one.

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Index Price

The index price serves as the external reference for fair pricing. It is sourced through a three-layered fallback system to maximize reliability: 1. Primary Feed (CEX Median) Weighted median of prices from Binance, OKX, Bybit, Gate.io, MEXC with weights [3,2,2,1,1][3,2,2,1,1]. 2. Secondary Feed (Oracle Price) Chainlink oracle price smoothed with a 30s TWAP of past rounds. Used only if the primary feed is stale (admin-level staleness threshold) and spread is deviating (admin-level clip). 3. Fallback Feed (On-Chain EMA) 30-second EMA of the median of best bid, best ask, and last trade on GTE’s onchain book. Used only if both primary and secondary feeds fail.

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Impact Mid Price

The impact mid measures what it would cost to execute a small notional trade through the order book. Instead of relying on the top tick, which can be spoofed or fragile, it considers book depth on both sides: impactMid=vwapAskForNotional(qQuoteWad,asks)+vwapBidForNotional(qQuoteWad,bids)2\text{impactMid} = \frac{\text{vwapAskForNotional}(q_{\text{QuoteWad}}, \text{asks}) + \text{vwapBidForNotional}(q_{\text{QuoteWad}}, \text{bids})}{2} Where qQuoteWadq_{\text{QuoteWad}} is the target notional (admin-set), symmetric on both sides and vwapForNotional\text{vwap}\text{ForNotional} is the Volume-Weighted Average Price. This ensures liquidations and mark-to-market events reflect true executable prices, not easily manipulated quotes.

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Microprice

The microprice provides a super responsive signal of current order book balance. It weights top-of-book quotes by queue sizes:
  • Bigger bid sizes push the price higher.
  • Bigger ask sizes push it lower.
This heuristic reacts instantly to top-of-book shifts, and is most useful when spreads are tight and depth is healthy.

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Exclusions

Reduce-only orders, non-firm liquidity, and IOC orders are never included in mark price calculations or liquidation triggers. This guarantees fairness and prevents manipulation from ephemeral liquidity.