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Price Index Calculation Rules

Price Index Calculation Rules

2023/07/23 01:22:51

The spot index price of the USDⓈ-M perpetual contract is a comprehensive price index based on the weighted average of the prices of major spot trading markets.


Weight Proportion


In the calculation of the spot index price, the reference trading platforms include Binance, Bitmex, Bybit, OKX, Bitfinex, Huobi, Kucoin, Bitget, Kraken, and MEXC. Each weight proportion is the ratio of the trading volume of the respective exchanges in the past 4 hours to the total trading volume of the above reference platforms in the past 4 hours.


Data frequency: update once per second.


Formula:




WPi is the weighted index price of i Token

Pij is the effective spot price of i Token on j Exchange 

Wj is the weight of j Exchange

Wj = trading volume of j Exchange in the past 4 hours / ∑ {total trading volume of above reference Exchanges in the past 4 hours}


Protection Measures for Value Exception 


1. Deviation from a single price source


When the last price of an Exchange deviates from the median price of all price sources by more than 5%, the price weight of that Exchange will be set to zero when calculating the weighted average, and the respective weights of the remaining Exchanges are recalculated according to the proportion of trading volume. After the data of the Exchange is restored, we will recalculate the weight of the Exchange.


Every 4 hours will be counted as a calculation period, and the three Exchanges, Binance, OKX and Coinbase, are not subject to this restriction.


2. Abnormal data source 


When the data source of a certain Exchange cannot be obtained, but the data is reacquired within the last 10 seconds, the latest data obtained will be used for the calculation of the index price; when the data source of a certain Exchange is not available for more than 10 seconds, the price weight of that Exchange will be set to zero when calculating the weighted average, and the respective weights of the remaining Exchanges are recalculated according to the proportion of trading volume. After the data of the Exchange is restored, we will recalculate the weight of the Exchange.


3. Default weight 


When the data of all platforms is abnormal, the index price is calculated according to the default weight proportion.


Name

Binance

Bitmex

Bybit

OKX

Bitfinex

Huobi

Kucoin

Bitget

Kraken

MEXC

Weight

30%

15%

15%

10%

5%

5%

5%

5%

5%

5%


Due to the objective differences in various data sources, the occurrence of the above-mentioned situations will lead to adjustments in index prices and may result in significant fluctuations, thus posing a greater risk to position. Therefore, please pay attention to precautions in advance.


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