ConceptsData
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IndexPriceUpdate
IndexPriceUpdate represents the external index price used by a derivatives market.
Venues often derive mark prices, funding calculations, or settlement behavior from
an index price.
Fields
| Field | Rust type | Python type | Required/default | Notes |
|---|---|---|---|---|
instrument_id | InstrumentId | InstrumentId | Required | Instrument for the index price. |
value | Price | Price | Required | Current index price. |
ts_event | UnixNanos | int | Required | Event timestamp in nanoseconds. |
ts_init | UnixNanos | int | Required | Initialization timestamp in nanoseconds. |
Behavior
- Index prices are reference data and do not imply a trade occurred.
- Perpetual and futures venues may publish both mark and index prices.
- The catalog stores index prices with instrument ID and price precision metadata.
Example
use nautilus_core::UnixNanos;
use nautilus_model::{
data::IndexPriceUpdate,
identifiers::InstrumentId,
types::Price,
};
let index = IndexPriceUpdate::new(
InstrumentId::from("BTCUSDT-PERP.BINANCE"),
Price::from("64995.50"),
UnixNanos::from(1_000_000_000),
UnixNanos::from(1_000_000_100),
);Related guides
- MarkPriceUpdate covers mark prices.
- FundingRateUpdate covers perpetual funding metadata.
- Python API Reference lists Python members.
MarkPriceUpdate
MarkPriceUpdate represents the current mark price for an instrument. Venues use mark prices most often for derivatives margining, liquidation checks, and...
FundingRateUpdate
FundingRateUpdate represents the current funding rate for a perpetual swap instrument. It can also include the funding interval and the next funding...