IndexPriceUpdate

IndexPriceUpdate represents an external index price used by a derivatives market. Venues often use index prices to calculate mark prices, funding, or settlement values.

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 cached by instrument when received.
• 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),
);

from nautilus_trader.model import IndexPriceUpdate
from nautilus_trader.model import InstrumentId
from nautilus_trader.model import Price

index = IndexPriceUpdate(
    instrument_id=InstrumentId.from_str("BTCUSDT-PERP.BINANCE"),
    value=Price.from_str("64995.50"),
    ts_event=1_000_000_000,
    ts_init=1_000_000_100,
)

Related guides

• MarkPriceUpdate covers mark prices.
• FundingRateUpdate covers perpetual funding metadata.
• Python API reference lists Python members.