A Note on XBJ Price Anomalies


We are aware of anomalous price movements on XBJ contracts occurring at approximately 10:47 and 15:37 UTC. They were triggered due to very quick movement at the reference exchange, Quoine.

We are still investigating the root cause and how to protect the index from it. In the meantime, we have moved the Mark Method of XBJ-series contracts to a new type, LastPriceProtected. The rules are simple:

  • A price band is created equal to 1 maintenance margin (0.5x each way) around the previously-calculated Mark Price (also known as the Fair Price).
  • If the Last Price falls within this band, it is used as Mark.
  • If not, the Mark is capped within this band. If the band moves, the Mark will stay. It is allowed to move toward the band but not away from it.

For API consumers, this field has existed since summer and is called lastPriceProtected.