A futures order book can print a sharp wick when a large order sweeps thin liquidity. If liquidations used that last traded price, one big order could wipe out positions the wider market never threatened. So exchanges calculate a mark price from an index of spot prices across major venues, with an adjustment based on funding, and use it to value open positions and trigger liquidations.
Example
The BTC perpetual's last price wicks from $60,000 to $58,800 for a few seconds on one exchange, while the spot index stays near $59,900 and the mark price barely moves. A long with a liquidation price of $59,000 survives, because the mark price never got there. A stop loss at $59,000 set to trigger on the last price would have fired.
Why it matters
Your stop and your liquidation can be watching different prices. Most exchanges let you choose whether a stop triggers on the last price or the mark price. Knowing which one you use explains fills that look wrong on the chart.
Common mistake
Assuming you were liquidated by mistake because the chart never showed a wick to your liquidation price, or the reverse: setting a stop on the mark price and being surprised it did not fire on a last-price wick. Check the trigger setting on every stop order.
Put it into practice
FAQ
- Which price triggers my stop loss?
- The one you choose when placing it. Many exchanges default to the last price; you can usually switch to the mark price in the order settings.
- Why is my unrealised P&L different from what the chart shows?
- Unrealised P&L is calculated on the mark price, while the chart shows last trades. The gap is usually small but can widen in fast markets.
- What is the index price?
- An average of spot prices from several large exchanges. The mark price is built from it, so a wick on one venue has limited effect.