Index Price Calculation

The index price is the sum of the prices of the top six (6) Spot trading pairs on the major Spot exchanges by trading volume, multiplied by the respective weights of the Spot trading pairs (The symbol — .XXXUSDT, XXX — is represented by the respective coin's abbreviations, such as BTC, ETH, XRP or EOS.). Index Price can be obtained from the underlying data pages for the Inverse Contract and USDT Perpetual Contract, respectively.

 

 

The index price depends on three (3) variables: Spot Price, USDT-Paired Equivalent and Real-time Weight.

 

 

 

 

Spot Price

This figure represents the current live price quoted directly from the respective Spot exchanges for the underlying coin asset. 

 

 

 

 

USDT-Paired Equivalent

This data represents the price of Spot trading pairs converted into USDT trading pairs, based on the spot price.

 

Example

Let's consider a scenario where the ETHUSDT index includes a component from Exchange A using the trading pair ETH/BTC, with a spot price of 0.1. If the current BTC/USDT price on the Bybit stands at $20,000. In this case, the USDT-paired equivalent value is $2,000 based on the following calculation:

Spot Price × BTC/USDT = 0.1 × 20,000 

 

 

 

 

Real-time Weight

The Index Price is calculated by summing the weighted prices of Spot trading pairs from top global Spot exchanges. The weight, known as Trade_WtO, is based on the 24-hour trading volumes of the six (6) leading Spot trading pairs. This weight is then applied to the spot price price to determine its impact on the overall Index Price. For clarity, we'll refer to the platforms as A, B, C, D, E, and F in the following examples.

 

 

 

 

Index Price Calculation

The calculation formula is as follows:

 

Index Price = (Spot Price_Symbol A × Trade_WtO_Symbol A) + (Spot Price_Symbol B × Trade_WtO_Symbol B) + (Spot Price_Symbol C × Trade_WtO_Symbol C) + (Spot Price_Symbol D × Trade_WtO_Symbol D) + (Spot Price_Symbol E × Trade_WtO_Symbol E) + (Spot Price_Symbol F × Trade_WtO_Symbol F) 

• Trade_WtO_Symbol A = 24-Hour Trading Vol. Symbol (A)/[24-Hour Trading Vol. Symbol (A) + 24-Hour Trading Vol. Symbol (B) + 24-Hour Trading Vol. Symbol (C) + 24-Hour Trading Vol. Symbol (D) + 24-Hour Trading Vol. Symbol (E) + 24-Hour Trading Vol. Symbol (F)]

 

To ensure stability in the index price during market volatility, we've introduced a price protection mechanism:

 

1. If the Spot price of any component trading platform diverges by more than 5% from the median of all Spot price sources, the system will exclude the respective component from index price calculation until its price lies within 5% of all Spot prices' median. However, this rule doesn't apply to certain designated trading pairs (Eg: BTC & ETH is 1%).

 

2. When calculating the median, all exchanges with non-zero weights are included in the calculation, regardless of whether they have been excluded from the index calculation. In extreme scenarios, if the spot prices of all exchanges deviate from the mid-price by more than 5%, the weights of the excluded exchanges will be redistributed proportionally to the remaining included exchanges until only two exchanges are left, at which point the index price will be calculated based on their weighted average.

 

3. To remove trading pairs that are suffering from liquidity issues or experiencing a service disruption, if no Spot trading pair has been traded on the exchange for more than 15 minutes, the trading pair will be excluded from the index price calculation. Once trading activities resume, they will once again be entered into the calculation.

 

4. In extreme market conditions or abnormal currency pair price fluctuations, Bybit reserves the right to adjust the price source or weight without prior notification.

 

 

Example

Let's assume that the BTC Spot prices and trading volume weights for six (6) trading pairs are as follows:

 

 

The.BTCUSDT index price is $20,052.95 based on the following calculation:

Index Price = ($20,046 × 20%) + ($20,048 × 15%) + ($20,056 × 20%) + ($20,058 × 15%) + ($20,060 × 15%) + ($20,051 × 15%)

 

 

 

 

Index Price Calculation in Extreme Market Conditions

In certain extreme market conditions, Bybit may be unable to obtain a reasonable spot price from any exchange, including its platform. To ensure the rationality of the index price under such circumstances, the index price will be calculated from the last traded price of the Perpetual Contract.

 

 

Formula

The index price is determined using the target price taken every second over the past 10 seconds. 

The calculation formula for the index price at time Tn is:

Index Price at Tn = α × Target Price at Tn + (1−α) × Index Price at Tn−1

Currently, α defaults to 0.1818, but it will be adjusted based on market conditions.

 

 

Target Price Calculation

The target price is calculated once every second, considering the target price of the Perpetual Contract under two (2) scenarios:

1. No Active Orders for Buy or Sell:

   • Target Price = Last Traded Price

2. Active Orders Exist for Buy and Sell:

   • Target Price = Adjusted Depth-Weighted Mid-Price

 

 

Adjusted Depth-Weighted Mid-Price Calculation

The adjusted depth-weighted mid-price calculation involves four (4) steps:

 

 

Step 1: Calculate the Bottom Volume of the Premium Index

• For USDT Perpetual, USDC Perpetual and USDC Futures Contracts

Premium Index Bottom Volume = Roundup [Impact Margin Notional​ / Last Traded Price × Minimum Order Quantity, 0] × Minimum Order Quantity

• For Inverse Perpetual Contracts:

Premium Index Bottom Volume = Impact Margin Notional

 

For the real-time impact margin notional of each Perpetual Contract, please refer to the Funding Rate page.

 

 

 

 

 

Step 2: Calculate the Depth-Weighted Bid and Ask Prices

• For USDT Perpetual, USDC Perpetual and USDC Futures Contracts

Example

 

a) Assuming that the bottom volume of the premium index is 30 XYZ, the depth-weighted ask price is calculated as follows: 

• Depth-Weighted Ask Price = (100 × 5 + 101 × 10 + 102 × 15) / 30 = 101.33 XYZ/USDT

 

b) If the bottom volume of the premium index is 40 XYZ: 

• Depth-Weighted Ask Price = (100 × 5 + 101 × 10 + 102 × 15 + 103 × 10) / 40 = 101.75 XYZ/USDT

 

 

• For Inverse Perpetual Contracts

Example

 

• Assuming that the bottom volume of the premium index is 50 USD, the depth-weighted ask price is: 

50 / 0.490243482 = 101.99 XYZ/USD

 

 

 

 

 

Step 3: Ensure Depth-Weighted Mid-Price Reasonability

To ensure the depth-weighted mid-price does not deviate excessively from the bid or ask prices, apply the following adjustments: 

• Adjusted Depth-Weighted Bid Price = Max ⁡(First Bid Price × 0.98, Depth-Weighted Bid Price)

• Adjusted Depth-Weighted Ask Price = Min⁡ (First Ask Price × 1.02, Depth-Weighted Ask Price)

 

 

 

 

 

Step 4: Calculate the Adjusted Depth-Weighted Mid-Price to execute the Impact Margin Notional

Adjusted Depth-Weighted Mid-Price = (Adjusted Depth-Weighted Bid Price + Adjusted Depth-Weighted Ask Price) / 2

 

 

 

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Index Price Calculation for Pre-Market Perpetual Contracts

The index price calculation method for Pre-Market Perpetual Contracts varies based on the trading phase:

• During the Call Auction Phase: 

Index Price = Estimated Opening Price

• During the Continuous Auction Phase: 

The index price is calculated using the same method as the standard Perpetual Contract under extreme circumstances, as detailed above.