What Is the Index Price
The index price is used to reflect the market price of a digital asset. It is typically calculated as a weighted average of spot prices collected from multiple major exchanges, providing a reliable reference for the overall market price level.
Key Elements of the Index Price
| Element | Description |
|---|---|
| Index Price | A composite reference price calculated using prices from selected index constituents and their assigned weights, designed to reflect the market price level of a digital asset |
| Calculation Frequency | Calculated every second |
| Index Constituents | Exchanges or market price sources used to calculate the index price |
| Constituent Weights | The proportion each index constituent contributes to the index price calculation |
Index Constituents
Classic Futures
Gate selects index constituents from multiple major exchanges, including but not limited to Gate, Binance, OKX, Bybit, Bitget, Coinbase, KuCoin, MEXC, Gate Alpha, and PancakeSwap. The index may aggregate price data from different sources, such as USDT-quoted and USD-quoted spot markets across exchanges. Users can view index prices, constituents, and weights on the Index Information page.
Gate selects appropriate index constituents for each trading pair based on market conditions and may adjust constituent weights from time to time. Gate reserves the right to modify index constituents and weights at any time without prior notice.
U.S. Stock Futures
For U.S. stock futures, we incorporate real-time stock prices from U.S. exchanges (such as NASDAQ and NYSE) as index constituents. All index constituent prices are provided on a continuous 24-hour basis, including U.S. stock components.
U.S. stocks are traded in multiple sessions:
• Pre-market trading (UTC-4 04:00–09:30)
• Regular trading (UTC-4 09:30–16:00)
• After-hours trading (UTC-4 16:00–20:00)
• Market closed (UTC-4 20:00–04:00)
U.S. stock trading hours follow Eastern Time (ET) and switch annually between daylight saving time (EDT, UTC-4) and standard time (EST, UTC-5). Please be aware of time differences during these transitions to avoid any impact on trading.
During pre-market, regular, and after-hours sessions, real-time on-exchange prices are used as index constituent prices. When the market is closed, the most recent closing price is used for continuous quotation, ensuring 24-hour availability of index constituent prices.
| U.S. Stock Trading Session | Pre-Market | Regular | After-Hours | Market Closed |
|---|---|---|---|---|
| Constituent Price Used | Real-Time Price | Real-Time Price | Real-Time Price | Closing Price |
Please note that liquidity during pre-market and after-hours sessions is relatively low, and order books may be thinner. This may result in short-term price fluctuations, which can affect futures prices. All U.S. stock index prices are based on publicly available market data and can be accessed via the website, app, or API.
Index Price Calculation Rules
Classic Futures Index Calculation
The index price is calculated using a weighted average of constituent prices.
Formula:
Index Price = (A Constituent Price × A Constituent Weight)+ (B Constituent Price × B Constituent Weight)+ (C Constituent Price × C Constituent Weight)+ ……
Example:
Assume that at a certain time, the index constituents, prices, and weights for BTCUSDT are as follows:
| Exchange | Pair | Price | Weight |
|---|---|---|---|
| Gate | BTCUSDT | 100,000 | 20% |
| Binance | BTCUSDT | 100,100 | 20% |
| OKX | BTCUSDT | 100,200 | 20% |
| Bitget | BTCUSDT | 100,100 | 20% |
| Bybit | BTCUSDT | 99,900 | 20% |
BTCUSDT Index Price = 100,000 × 20%+ 100,100 × 20%+ 100,200 × 20%+ 100,100 × 20%+ 99,900 × 20%= 100,060 USDT
U.S. Stock Futures Index Calculation
U.S. stocks may undergo corporate actions such as stock splits or reverse splits, which adjust the underlying stock price. To ensure that the futures index price accurately tracks the actual stock price, an index multiplier is applied during index calculation. The multiplier value can be viewed on the contract or spot information page. Gate will adjust the multiplier in a timely manner to ensure fairness and accuracy of the index price.
Formula:
U.S. Stock Futures Index Price = (U.S. Stock Token Constituent Price / Token Multiplier × Weight) + (U.S. Stock Price × Weight)
Example:
Assume Index A consists of two constituents: the U.S. stock and the Gate U.S. stock token, each with a weight of 0.5. Company A performs a 1-for-10 stock split.
| Item | Before Split | After Split |
|---|---|---|
| U.S. Stock Price | 1,000 | 100 |
| Gate Token Price | 1,000 | 1,000 |
| Stock Token Multiplier | 1 | 10 |
| Weight | 0.5 | 0.5 |
Before the split: U.S. Stock Futures Index Price = (1,000 / 1 × 0.5) + (1,000 × 0.5)= 500 + 500= 1,000
After the split: U.S. Stock Futures Index Price = (1,000 / 10 × 0.5) + (100 × 0.5)= 50 + 50= 100
After adjusting the multiplier, the index price remains consistent with the stock price, effectively reflecting the true market value.
Price Protection Mechanisms
To maintain index price stability during periods of market volatility, the following protection mechanisms are applied:
- When the number of constituents ≥ 3:
- If any constituent price deviates by more than 8% from the median of all constituent prices, that constituent will be excluded until its price returns within 8% of the median.
- If a constituent price deviation falls within the range of 2% to 8%, its price will be capped at 98% or 102% of the median, depending on whether the price is too low or too high.
- When the number of constituents = 2: The system will exclude abnormal constituent prices based on volatility until they return to normal levels.
- When the number of constituents = 1: The constituent price will be used directly as the spot index price.
- If a constituent price cannot be obtained continuously for 20 seconds, its weight will be temporarily adjusted to 0 until pricing resumes normally.
- In extreme market conditions or in the event of abnormal price movements, Gate reserves the right to adjust index constituents or weights without prior notice.
