Price Calculation During Non-Trading Hours
Unlike cryptocurrencies, which trade around the clock, these underlying TradFi assets have non-trading hours and are also subject to scheduled and unscheduled market closures that affect prices.
To support these differences in trading and non-trading hours, while providing perpetual futures that trade 24/7, Grvt has implemented mechanisms to ensure continuous and fair pricing. The Price Index and Mark Price calculations for TradFi perpetual futures are different to the calculations for cryptocurrency perpetual futures.
Price Index
The Price Index system operates under different calculation modes depending on trading hours:
Standard Mode (Regular Hours): The Price Index is updated every second as a weighted average of all constituents.
Fast-Decay EWMA Mode (Pre-Market and After-Hours): The weighted average index is smoothed using an exponentially weighted moving average (“EWMA”) to adapt to lower liquidity and higher volatility in extended hours.
Slow-Decay EWMA Mode (Overnight): The index is smoothed more gradually to ensure stable and continuous pricing during overnight sessions when liquidity is limited.
Fixed Mode (Daily Maintenance, Holiday, Weekends): No recalculation occurs, the Price Index remains fixed at the last available value.
Mark Price
During non-trading periods, the Mark Price evolves with observed transaction prices, providing limited price discovery when the underlying markets are closed.
The Mark Price has two calculation modes. When the underlying market is open, the Mark Price is computed as described above, as a median of its constituent prices. When the underlying markets are closed, the last price is smoothed using an EWMA to provide a stable indicative mark. This aims to prevent abrupt price jumps and ensure continuity during periods of limited liquidity.
To prevent sudden price jumps when switching from a current calculation mode to the next calculation mode, the Mark Price transitions gradually using a weighted blend of the Mark Price based on the current calculation mode and the Mark Price based on the next calculation mode:
Mark Price = (1 − t / winLen) × Mark Price (current calculation mode)
+ (t / winLen) × Mark Price (next calculation mode)
Where,
It is the elapsed time since the start of the transition
winLen is the predefined transition window length.
As it increases from 0 to winLen, the Mark Price smoothly shifts from the previous calculation mode to the new calculation mode, ensuring continuity and stability during the transition.
Price Index and Mark Price deviation constraints
Deviation constraints are imposed to ensure the Mark Price remains close to the Price Index to maintain a reliable reference price, prevent artificial volatility, and reduce the risk of forced liquidations or funding distortions.
Constrained deviation from Index Price
Equity-based TradFi perpetuals:
±8% during regular hour, pre-market, and after-hours
±5% during overnight sessions
±3% during weekends and holidays
Commodity-based TradFi perpetuals:
±3% at all times
Corporate Events
For corporate events that may materially impact the underlying’s price, such as forward stock splits, reverse stock splits, mergers, and spinoffs, Grvt will announce separate market notices on how to manage the events.