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Real-time index reference prices
THE FOLLOWING ARTICLE APPLIES FOR PURPOSES OF MARGIN CALCULATIONS ONLY. 
Kraken uses real-time indexes as a source for reference prices (instead of mid-prices on Kraken) to calculate your compliance with the Maintenance Margin Requirement, as well as for other purposes related to margin trading. This approach helps to avoid possible market manipulation, and to provide more stable pricing calculations in periods of extreme volatility. This calculation process is described in more detail below. 
Kraken calculates user equity, account balances, collateral and profit and loss (PnL) using an internally developed real-time reference price or a real-time, regulated CFBenchmark index price if available - see Reference Price Sources below. 
Suppose you begin with a 10,000 USD trade balance and use a margin extension to purchase 1 BTC at a price of 45,000 USD.
Two days later:
BTC/USD mid-price on Kraken is 49,995 USD.
BTC/USD reference price is 50,000 USD.
Kraken will determine the value of your unrealised PnL using the relevant reference price, such that your unrealised profit will be 5,000 USD. Your account equity value will then be 10,000 + 5,000 = 15,000 USD.
The closing of your position either through direct user action or liquidation, however, is subject to the available liquidity and prices on the Kraken orderbook, not the reference price.

Methodology

Internal reference price methodology: 
Reference prices are calculated using a methodology designed to ensure the most important characteristics of reference prices are delivered:
Representative:
  • To help ensure data is timely and not stale, order data is used instead of trade data to give continuous and instantaneous pricing
  • Order prices are taken from multiple liquid exchanges and consolidated to give a view across the broader market; where indirect markets are used, such as stablecoin pairs, prices are translated into USD before being added
  • Only the orders close enough to the mid, and thus likely to be executed, are taken to compute reference prices through a volume-weighted method
Robust:
  • The reference price methodology has been in continuous use for real-time crypto valuations since 2017 with many refinements along the way
  • Reference prices and underlying exchange markets are continuously monitored to help ensure operational soundness
  • Reference prices are calculated using multiple technology environments to mitigate against technology failures
Manipulation Resistant:
  • To help ensure that reference prices are manipulation resistant a series of safeguards are employed that discard stale and overly deviated data
  • Orders that are not likely to be executed due to their distance from mid are also discarded in the calculation
  • To mitigate against outsized orders influencing the reference price all valid orders received for any individual reference price calculation are screened and have their size capped to a value that is determined by the statistical distribution of orders for that specific calculation
For CFBenchmarks methodology, please see their official documentation - Real Time Indices

Reference Price Sources

Currency pairReference price
1INCHEURCFB Benchmark
1INCHUSDCFB Benchmark
AAVEAUDCFB Benchmark
AAVEETHCFB Benchmark
AAVEEURCFB Benchmark
AAVEGBPCFB Benchmark
AAVEUSDCFB Benchmark
AAVEBTCCFB Benchmark
ADAAUDCFB Benchmark
ADAETHCFB Benchmark
ADAEURCFB Benchmark
ADAGBPCFB Benchmark
ADAUSDCFB Benchmark
ADAUSDTCFB Benchmark
ADABTCCFB Benchmark
ALGOETHCFB Benchmark
ALGOEURCFB Benchmark
ALGOGBPCFB Benchmark
ALGOUSDCFB Benchmark
ALGOBTCCFB Benchmark
ANKREURCFB Benchmark
ANKRGBPCFB Benchmark
ANKRUSDCFB Benchmark
ANKRBTCCFB Benchmark
ANTETHInternal
ANTEURInternal
ANTUSDInternal
ANTBTCInternal
APEEURInternal
APEUSDInternal
APTEURInternal
APTUSDInternal
ARBEURInternal
ARBUSDInternal
ATOMAUDCFB Benchmark
ATOMETHCFB Benchmark
ATOMEURCFB Benchmark
ATOMGBPCFB Benchmark
ATOMUSDCFB Benchmark
ATOMBTCCFB Benchmark
AUDIOEURCFB Benchmark
AUDIOUSDCFB Benchmark
AUDJPYdxFeed
AUDUSDdxFeed
AVAXEURCFB Benchmark
AVAXUSDCFB Benchmark
AXSEURCFB Benchmark
AXSUSDCFB Benchmark
BALETHCFB Benchmark
BALEURCFB Benchmark
BALUSDCFB Benchmark
BALBTCCFB Benchmark
BATETHCFB Benchmark
BATEURCFB Benchmark
BATJPYCFB Benchmark
BATUSDCFB Benchmark
BATBTCCFB Benchmark
BCHAUDCFB Benchmark
BCHETHCFB Benchmark
BCHEURCFB Benchmark
BCHGBPCFB Benchmark
BCHJPYCFB Benchmark
BCHUSDCFB Benchmark
BCHUSDTCFB Benchmark
BCHBTCCFB Benchmark
BLUREURInternal
BLURUSDInternal
BNTEURInternal
BNTGBPInternal
BNTUSDInternal
BNTBTCInternal
BTCAUDCFB Benchmark
BTCCHFCFB Benchmark
BTCDAICFB Benchmark
BTCUSDCCFB Benchmark
BTCUSDTCFB Benchmark
BTCCADCFB Benchmark
BTCEURCFB Benchmark
BTCGBPCFB Benchmark
BTCJPYCFB Benchmark
BTCUSDCFB Benchmark
CHZEURCFB Benchmark
CHZUSDCFB Benchmark
COMPETHCFB Benchmark
COMPEURCFB Benchmark
COMPUSDCFB Benchmark
COMPBTCCFB Benchmark
CQTEURInternal
CQTUSDInternal
CRVETHCFB Benchmark
CRVEURCFB Benchmark
CRVUSDCFB Benchmark
CRVBTCCFB Benchmark
DAIEURCFB Benchmark
DAIUSDCFB Benchmark
DAIUSDTCFB Benchmark
DASHEURInternal
DASHUSDInternal
DASHBTCInternal
DOGEBTCCFB Benchmark
DOGEEURCFB Benchmark
DOGEUSDCFB Benchmark
DOGEUSDTCFB Benchmark
DOTAUDCFB Benchmark
DOTETHCFB Benchmark
DOTEURCFB Benchmark
DOTGBPCFB Benchmark
DOTJPYCFB Benchmark
DOTUSDCFB Benchmark
DOTUSDTCFB Benchmark
DOTBTCCFB Benchmark
ENJEURCFB Benchmark
ENJGBPCFB Benchmark
ENJJPYCFB Benchmark
ENJUSDCFB Benchmark
ENJBTCCFB Benchmark
EOSETHCFB Benchmark
EOSEURCFB Benchmark
EOSUSDCFB Benchmark
EOSUSDTCFB Benchmark
EOSBTCCFB Benchmark
ETCETHInternal
ETCBTCInternal
ETCEURInternal
ETCUSDInternal
ETHAUDCFB Benchmark
ETHCHFCFB Benchmark
ETHDAICFB Benchmark
ETHBTCCFB Benchmark
ETHCADCFB Benchmark
ETHEURCFB Benchmark
ETHGBPCFB Benchmark
ETHJPYCFB Benchmark
ETHUSDCFB Benchmark
ETHUSDCCFB Benchmark
ETHUSDTCFB Benchmark
EURAUDdxFeed
EURCADdxFeed
EURCHFdxFeed
EURGBPdxFeed
EURJPYdxFeed
EURUSDdxFeed
EWTEURInternal
EWTGBPInternal
EWTUSDInternal
EWTBTCInternal
FETUSDInternal
FILAUDCFB Benchmark
FILETHCFB Benchmark
FILEURCFB Benchmark
FILGBPCFB Benchmark
FILUSDCFB Benchmark
FILBTCCFB Benchmark
FLOWETHInternal
FLOWEURInternal
FLOWGBPInternal
FLOWUSDInternal
FLOWBTCInternal
FLREURInternal
FLRUSDInternal
FTMEURInternal
FTMUSDInternal
GALAEURInternal
GALAUSDInternal
GBPUSDdxFeed
GMTEURInternal
GMTUSDInternal
GNOETHInternal
GNOEURInternal
GNOUSDInternal
GNOBTCInternal
GRTAUDCFB Benchmark
GRTETHCFB Benchmark
GRTEURCFB Benchmark
GRTGBPCFB Benchmark
GRTUSDCFB Benchmark
GRTBTCCFB Benchmark
ICXETHInternal
ICXEURInternal
ICXUSDInternal
ICXBTCInternal
INJEURInternal
INJUSDInternal
KAVAETHInternal
KAVAEURInternal
KAVAUSDInternal
KAVABTCInternal
KEEPETHInternal
KEEPEURInternal
KEEPUSDInternal
KEEPBTCInternal
KNCETHInternal
KNCEURInternal
KNCUSDInternal
KNCBTCInternal
KSMAUDInternal
KSMDOTInternal
KSMETHInternal
KSMEURInternal
KSMGBPInternal
KSMUSDInternal
KSMBTCInternal
LDOEURInternal
LDOUSDInternal
LINKAUDCFB Benchmark
LINKETHCFB Benchmark
LINKEURCFB Benchmark
LINKGBPCFB Benchmark
LINKJPYCFB Benchmark
LINKUSDCFB Benchmark
LINKUSDTCFB Benchmark
LINKBTCCFB Benchmark
LPTEURCFB Benchmark
LPTGBPCFB Benchmark
LPTUSDCFB Benchmark
LPTBTCCFB Benchmark
LRCEURCFB Benchmark
LRCUSDCFB Benchmark
LSKETHInternal
LSKEURInternal
LSKUSDInternal
LSKBTCInternal
LTCAUDCFB Benchmark
LTCETHCFB Benchmark
LTCGBPCFB Benchmark
LTCBTCCFB Benchmark
LTCEURCFB Benchmark
LTCJPYCFB Benchmark
LTCUSDCFB Benchmark
LTCUSDTCFB Benchmark
MANAETHCFB Benchmark
MANAEURCFB Benchmark
MANAUSDCFB Benchmark
MANABTCCFB Benchmark
MATICEURCFB Benchmark
MATICGBPCFB Benchmark
MATICUSDCFB Benchmark
MATICBTCCFB Benchmark
MINAEURInternal
MINAUSDInternal
MKREURCFB Benchmark
MKRGBPCFB Benchmark
MKRUSDCFB Benchmark
MKRBTCCFB Benchmark
NANOETHInternal
NANOEURInternal
NANOUSDInternal
NANOBTCInternal
NEARUSDInternal
OCEANEURInternal
OCEANGBPInternal
OCEANUSDInternal
OCEANBTCInternal
OGNEURInternal
OGNUSDInternal
OMGETHCFB Benchmark
OMGEURCFB Benchmark
OMGJPYCFB Benchmark
OMGUSDCFB Benchmark
OMGBTCCFB Benchmark
OPUSDInternal
OXTETHCFB Benchmark
OXTEURCFB Benchmark
OXTUSDCFB Benchmark
OXTBTCCFB Benchmark
PAXGETHCFB Benchmark
PAXGEURCFB Benchmark
PAXGUSDCFB Benchmark
PAXGBTCCFB Benchmark
QTUMETHInternal
QTUMEURInternal
QTUMUSDInternal
QTUMBTCInternal
RARIEURCFB Benchmark
RARIGBPCFB Benchmark
RARIUSDCFB Benchmark
RARIBTCCFB Benchmark
RENEURInternal
RENGBPInternal
RENUSDInternal
RENBTCInternal
RNDRUSDInternal
SANDEURCFB Benchmark
SANDGBPCFB Benchmark
SANDUSDCFB Benchmark
SANDBTCCFB Benchmark
SCETHInternal
SCEURInternal
SCUSDInternal
SCBTCInternal
SEIUSDInternal
SHIBEURCFB Benchmark
SHIBUSDCFB Benchmark
SNXAUDCFB Benchmark
SNXETHCFB Benchmark
SNXEURCFB Benchmark
SNXGBPCFB Benchmark
SNXUSDCFB Benchmark
SNXBTCCFB Benchmark
SOLEURCFB Benchmark
SOLGBPCFB Benchmark
SOLUSDCFB Benchmark
SOLBTCCFB Benchmark
SRMEURInternal
SRMGBPInternal
SRMUSDInternal
SRMBTCInternal
STORJETHInternal
STORJEURInternal
STORJUSDInternal
STORJBTCInternal
SUSHIEURCFB Benchmark
SUSHIGBPCFB Benchmark
SUSHIUSDCFB Benchmark
SUSHIBTCCFB Benchmark
TIAUSDInternal
TRXETHInternal
TRXEURInternal
TRXUSDInternal
TRXBTCInternal
UNIETHCFB Benchmark
UNIEURCFB Benchmark
UNIUSDCFB Benchmark
UNIBTCCFB Benchmark
USDCAUDInternal
USDCEURInternal
USDCGBPInternal
USDCADdxFeed
USDCHFdxFeed
USDJPYdxFeed
USDCAUDInternal
USDCEURInternal
USDCGBPInternal
USDCUSDInternal
USDCUSDTInternal
USDTAUDCFB Benchmark
USDTCADCFB Benchmark
USDTCHFCFB Benchmark
USDTEURCFB Benchmark
USDTGBPCFB Benchmark
USDTJPYCFB Benchmark
USDTUSDCFB Benchmark
WAVESETHInternal
WAVESEURInternal
WAVESUSDInternal
WAVESBTCInternal
XRPAUDCFB Benchmark
XRPETHCFB Benchmark
XRPGBPCFB Benchmark
XRPUSDTCFB Benchmark
XTZAUDCFB Benchmark
XTZETHCFB Benchmark
XTZEURCFB Benchmark
XTZGBPCFB Benchmark
XTZUSDCFB Benchmark
XTZBTCCFB Benchmark
XLMBTCCFB Benchmark
XLMAUDCFB Benchmark
XLMEURCFB Benchmark
XLMGBPCFB Benchmark
XLMUSDCFB Benchmark
XMRBTCInternal
XMREURInternal
XMRUSDInternal
XRPBTCCFB Benchmark
XRPCADCFB Benchmark
XRPEURCFB Benchmark
XRPJPYCFB Benchmark
XRPUSDCFB Benchmark
YFIAUDCFB Benchmark
YFIETHCFB Benchmark
YFIEURCFB Benchmark
YFIGBPCFB Benchmark
YFIUSDCFB Benchmark
YFIBTCCFB Benchmark
ZECEURInternal
ZECUSDInternal
The decimal and thousands separators shown in this article may differ from the formats displayed on our trading platforms. Review our article on how we use points and commas for more information.