Margin Trading: Spot Index Calculation

To safeguard your assets against liquidation risks from sudden price changes based on a singular exchange, KuCoin uses a BTC-denominated spot index. This index applies to all cryptocurrencies in our margin market, and is designed to accurately reflect the fair market value of an asset.

For each cryptocurrency, trading pairs from a list of high-liquidity global exchanges with the most market depth are used to calculate the index. Should a trading pair fail to meet our index requirements, or if its market depth changes, the index is updated promptly and accordingly.

On top of this, we also have a system in place to filter out any unusual price movements among these constituents. This ensures the index remains a reliable indicator of market fairness.

 

How We Calculate the Spot Index:

  1. Every 5 seconds, we update the latest quotes from all the constituents.
  2. If a constituent is not a BTC trading pair, like in the case of a USDT pair, we convert its value to BTC using the latest USDT/BTC mark price.
  3. Calculating the index price depends on the number of prices we successfully retrieve:
    i. If there are one or more pairs, the median is used for an even number of prices, while the average of the middle values is used if there is an odd number of prices.
    ii. If we don't get any prices, the index price is considered as empty.

Your asset's mark price is based on its corresponding spot index price.

 

How Mark Price is Calculated:

  1. If the spot index is available, mark price is equal to the spot index price.
  2. In cases where the spot index calculation fails (due to issues such as exchange quote failures or price anomalies), the mark price transitions to match the average filled order price on our platform. As soon as the spot index recovers, the mark price will again be adjusted to match the spot index price.

The mark price is also used to calculate the debt ratio for your margin account (which includes both the Cross and Isolated Margin Accounts). Your assets are totalled against your liabilities in your account, and the calculation is done according to each of their equivalent value in BTC.

 

For the most recent spot index used in KuCoin Margin Trading:

Web: From the Markets tab > Spot > Spot Index
App: Go to Markets > Spot > Spot Index

 

Spot Index.png

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