Venues publish their constituents and weights: typically a handful of deep spot markets, combined by median or volume weighting, with rules to drop a source that deviates too far or goes offline.
The construction is a risk you inherit. An index weighted towards one regional venue can drag during local dislocations, and an index with few constituents is easier to push. Historic liquidation incidents have traced directly to a single stressed source inside an index.
For traders it explains apparent unfairness: you were liquidated when "the price never got there" on your chart because the index, not your venue's book, is what the engine reads. See mark-price and price-feed-aggregation.
Related: mark-price, price-feed-aggregation, funding-rate, perpetual-futures