The .BTCUSDT index is a BTC comprehensive spot price index, which is calculated based on the weighted average of the latest BTC spot prices of multiple exchanges on the market (Huobi, Binance, OKex, Poloniex).
To represent the market consensus price of the underlying asset, we sample data from the constituent exchanges and obtain the latest prices of multiple exchanges through the API. And perform a weighted average calculation to get the index price. Index prices are calculated and published every 3 seconds
The current index weights are shown in the table below:
We will occasionally evaluate and update the weight of the constituents.
Example Index Calculation
For example, at a certain moment the Last Prices of BTC on the constituent exchanges are:
These Last Prices are multiplied by the weights to give:
|Last Price × Weight||2344.25||2346.40||2345.05||2345.00|
So the.BTCUSDT price is 9380.5715≈ 9380.6 (USDT)
Index Weight Methodology
The index weight is computed using volume data obtained directly via API connection from each of the constituent exchanges listed above. Proprietary mechanisms are used to identify malformed and anomalous data, which is discarded. The index weight calculation removes constituents with insufficient trade volume.
For the avoidance of doubt, the WBFutures accepts no responsibility for the accuracy of any volume (or other) data received from any exchange and used to calculate the value of any WBFutures index and excludes all liability for any claimed losses arising in connection with its calculation and publication of any such index.
Index Protection Rules
We use several methods to maintain reliable connections to the constituent exchanges.
The price of a single exchange deviates significantly from other exchanges.
1. Risk Control Actions
For indices with more than two constituents: if a constituent price differs from the median constituent price for that index by 3% or more, it is excluded from the index calculation. For example, if the price of a certain constituent exchange is 560, and the prices of the other two exchanges are 500 and 501 respectively, the current median price of all sample exchange is therefore 501. The exchange deviates from the median price by (560-501) / 501 = 11.7%> 3% so the price of this exchange is excluded from the index calculation and the final index is（500 + 501 ）/ 2 = 500.5. The price deviation ratio is adjustable under a specific situation and please refer to the official announcement for information.
For indices with only 2 constituents: if a constituent price differs from the median constituent price for that index by 5% or more, the last calculated index price will be used. The price deviation ratio is adjustable under a specific situation and please refer to the official announcement for information.
For an index with only 1 constituent: if the constituent price is more than 5% away from the last calculated index price, the last calculated index price will be used. The price deviation ratio is adjustable under a specific situation and please refer to the official announcement for information.
2. The Loss of the Exchange’s Market Data
Actions: If an exchange fails to obtain market data at a certain time (the exchange is closed, attacked or the market is interrupted, etc.), the weight of the exchange temporarily becomes 0, and the weight of the other two exchanges become 50% at calculation.
If the market data is not available at both exchanges, the weights of the two temporarily become 0 and the other becomes 100%. If none of the three exchanges are available, we obtain the index price from Bitmex directly. Under the circumstances that Bitmex’s index price cannot be obtained, we will process it manually.
3. The Price of an Exchange Deviates Significantly for a Long Time
Actions: If the price of a certain exchange deviates significantly from other exchanges for a long time, we believe that the price of the exchange loses its guiding significance, and the constituent exchange will be therefore adjusted. Please refer to the official announcement for adjustment planning.
Under the above conditions, the service desk will check manually to confirm whether the system or market is functioning normally.
May 7, 2020