Maintaining a fair and orderly trading environment for our users is very important to us, and we’re always thinking about how we can improve further. As part of this effort we’ve decided to make two technical but important updates to the Impact Notional and % Fair Basis update methodology, which are two factors related to Mark Price.
Both changes will take place on 28 April at 02:15 UTC. Read on for more details on what they are and how they improve trading.
Impact Notional – What’s Changing?
The Impact Notional used in the calculation of Fair Price for Futures Contracts and Funding Rate for Swap Contracts will change from an XBT value (0.2XBT / Initial Margin) to a USD value and will vary by contract type as follows:
- All Perpetual Swaps – USD 10,000
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For Futures:
- Linear Futures – USD 50,000
- Quanto Futures – USD 10,000
- XBT (Inverse) Futures – USD 200,000
% Fair Basis Update Methodology – What’s Changing?
The % Fair Basis will be updated every 30 seconds (previously this was done every 60 seconds) but only if the difference between the Impact Ask Price and Impact Bid Price is less than the larger of:
- The maintenance margin of the futures contract
- 3 ticks on the Futures contract
Why?
The benefits of the changes are best understood by looking at how they impact futures vs. perpetual swap contracts:
Futures
By adjusting our existing measures to calculate Fair Price, these changes will help to reduce the recent jumps in Mark Price that resulted from irregular updates of the % Fair Basis.
Perpetual Swaps
Reducing the Impact Notional for Swap Contracts improves the frequency of funding calculations, particularly for our newer quanto swaps.
For any questions regarding this announcement, please contact Support.
