On December 3, 2019, we deployed a new system upgrade that also included a new Index calculation method. We always like to make our products better and trading experience seamless, therefore, we have updated the calculation method of our indexes, to make it more manipulation resistant.
The updated method includes multiple layers of safety measures that ensure that no erroneous values become part of the final Index.
The new Index will have the same exchange sample. Currently, the Deribit BTC index is made up of the latest prices from Bitstamp, Gemini, Bitfinex, Bittrex, Itbit, Coinbase, LMAX Digital and Kraken.
The same sample will remain; however, it will not include exchanges that have been:
- Excluded by the system administrator
- Have invalid data; or
- Have delayed order book data (3 minutes)
The remaining exchanges will be included in the index calculation and will be benchmarked against the median price of the final sample. The values that will fall outside the +/-0.5% range of the median price will be adjusted to the closest bandwidth price limit. Consequentially, the index is calculated as the equally-weighted average of these values.
This mechanism ensures that even in the case of multiple erroneous values, the index remains stable, as all outliers are automatically adjusted to the bandwidth price limits.
As the third level of protection, the final index is continuously measured against an external benchmark to ensure that the index represents an accurate market price. This measure is most important when the final exchange sample is relatively small and consists only of 1 to 3 exchanges and any irregularity in the final sample of constituents could cause a significant index price deviation.