Contract Specifications

Cube currently offers cross-margined linear perpetual futures contracts for various digital assets. Each perpetual contract is designed to track the underlying spot price while providing leverage opportunities.

Contract Specifications

Perpetual contracts and their parameters are defined as assets with AssetType::Perpetual under market definitions. The high-level structure is as follows:

Field	Description	Example
underlying_asset_id	The underlying asset tracked by this contract	BTC
settlement_asset_id	Asset used for settlement. This is implicitly also the contract's denominating asset (e.g the contract's Index price is denominated in this asset)	USDC
decimals	Contract quantity precision, relative to whole units of the underlying asset	-5 (each contract unit represents 1e-5 BTC, or 1000 satoshis)
symbol	Trading pair symbol	BTC-USDC
market_id	Unique identifier for the trading market. Each perpetual contract is one-to-one with a market.	1000
margin_tier_table_id	The margin tier table for this contract

Each contract's margin table information can be found in the corresponding margin table.

Pricing and Indexes

Index Price

The index price is calculated using data from multiple exchanges to ensure robust and manipulation-resistant prices. Used for funding calculations.

The index price calculation follows these key principles:

1. Multi-Exchange Aggregation: Prices are sourced from multiple major cryptocurrency exchanges to create a weighted average. This diversification helps prevent manipulation from any single exchange.

2. Source-Quality-Weighted: Each source's contribution to the index is weighted based on the source's quality score (which is a function of factors including trading volume, liquidity, etc.).

3. Outlier Filtering: Extreme price outliers are filtered out using statistical methods to maintain index stability and prevent manipulation attempts.

4. Real-Time Updates: The index price is updated frequently to ensure accurate tracking of the underlying market.

5. Fallback Mechanisms: If too many sources are unavailable, the market may enter a reduce-only mode.

Mark Price

The mark price is used for PNL calculation and liquidation purposes. Used for margin calculations (e.g unsettled PnL, liquidation, etc). It is derived from:

The mark price is calculated from the index price, funding rate, and time until the end of the current funding interval.

funding basis = funding rate * (time until funding / funding interval)
mark price    = index price * (1 + funding basis)

An implication of this is that at the instant of funding payment, the mark price change offsets the funding payment, and so the instantaneous account equity does not change (though the margin requirements might). This results in a mark price that converges to the spot index price over the course of each funding interval. Squinting, it's like the future settles every funding interval. See funding for more details.