Perpetual contract specifications

What are perpetual contracts?

Perpetual contracts are cryptocurrency derivatives that never expire. Unlike traditional futures contracts, they can be held indefinitely. Funding payments help converge the contract's price to the underlying cryptocurrency's price.

Specifications

• USDC-margined, linear 1:1 contracts

• No position or order size limits

• Margin requirements are market-specific. Refer to the Vest Exchange UI or Vest API for current values of initial margin requirements

• Maintenance margin requirements are half of the initial margin requirements

Mark price

Mark price is determined by the risk-based pricing. The risk engine calculates solvency premia using the Entropic Value-at-Risk (EVaR) measure. Premia accounts for the exchange’s net exposure across markets, volatility forecasts, and position imbalances. Final mark prices are calculated using these premia alongside outgoing position costs to ensure solvency.

This price is stable and manipulation-resistant due to our liquidity guarantee, a mechanism made available by: (1) the AMM's capital, which serves as the first-loss buffer, accumulated from premia and funding fees; (2) LPs who provide secondary backstop liquidity through call-spread payoffs, with capped downside; and (3) dynamic pricing which automatically discourages risky position growth. The system's limitations include dependence on accurate volatility modeling and finite LP capital depth, but these are mitigated by zkSNARK-verified computations that enforce solvency invariants at all times.

Index price

Index price is calculated using a depth-weighted median of Binance, OKX, and Bybit. During volatile periods, price bands will activate to prevent Mango-style manipulation attacks. Index price is used to calibrate the risk model and calculate funding payments. For more details on funding can be found [link to Funding section].

Isolated market specifications

Some markets are isolated from Vest’s main liquidity pool. The liquidity pools for these assets are backed solely by exchange owned capital and typically include:

• Highly volatile, long-tail assets

• Assets with insufficient data for modeling

Isolated markets may eventually be merged into the main liquidity pool.