Price Indices
Index Price
Accurate and reliable index prices are crucial to our platform. We source index price data from multiple reputable APIs to ensure robustness, reduce the risk of price manipulation, and maintain availability. These prices underpin Rails' core services such as funding and trading metrics calculations.
To ensure reliability and availability, our system uses a multi-sourced cascading fallback approach for index pricing, detailed below:
Our main source of index prices.
Used if the primary source becomes unavailable.
Acts as a secondary fallback to maintain price availability.
Acts as the last fallback to maintain price availability.
Forward Price
Accurate and reliable forward prices are crucial to options valuation. We source forward price data from Deribit’s Get Book Summary by Currency Public API endpoint.
This data supports contract-level mark price and implied volatility calculations. For each live options contract, the underlying price provides the forward-derived price used for valuation. Options use a forward reference price in Black-76, so this price reflects the futures curve for that expiry rather than the current spot price.
Mark Price
Mark price provides a fair reference for contracts when market conditions change, but the calculation is different each time:
Perpetuals Mark Price uses the median of three values:
The adjusted index price
The Rails order-book median
The external index price
The adjusted index incorporates Rails bids, asks, last trade, and a 150-second EMA adjustment.
Options use the Black-76 model with zero interest rates to calculate mark price.
The current sources implied volatility from the Deribit feed, then prices each option using Rails’ index price. The calculation also enforces put-call parity and an intrinsic-value floor.
Both products use an external index as an anchor. Options use an implied-volatility-based pricing model.
Find out more information in the Perps Metrics Guide
Find out more in the Options Metrics Guide
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