The BBAX tracks the real-time market performance of a basket of some of the world’s largest cap cryptocurrencies. This institutional-grade index is one of the world’s first to track a range of crypto assets across multiple pricing sources at sub-second frequency.
Here is a breakdown of some of the key facts regarding BBAX:
BBAX tracks the real-time market performance of Ethereum, Ripple, Litecoin, and EOS based on order books sourced from up to 8 constituent exchanges.
Constituent Exchanges & Underlying MarketsBinance - XRP/BTC, EOS/BTC Bitfinex - ETH/USD, XRP/USD, LTC/USD, EOS/USD, EOS/BTC Bitstamp - ETH/USD, XRP/USD, LTC/USD Bittrex - ETH/USD, XRP/USD, LTC/USD, EOS/BTC BTSE - ETH/USD, LTC/USD Coinbase Pro - ETH/USD, XRP/USD, XRP/BTC, LTC/USD, EOS/USD, EOS/BTC Gemini - ETH/USD, LTC/USD Kraken - ETH/USD, XRP/USD, LTC/USD, EOS/USD, EOS/BTC
Index Calculation Methodology
Once the order books from the constituent exchanges have been collected, a volume-weighted average (V-WAP) is calculated for both the bid and ask sides of the order books. With this info, a midpoint price is calculated from the bid and ask V-WAP values for every market.
The median is identified from all midpoint prices. We then calculate the absolute deviation for each midpoint price from the median (as a % of median). The absolute deviation is converted to a Price Anomaly Factor (PAF) which is used as a weighting factor in calculating the average market price for the underlying assets.
Additionally, a de-weighting threshold will be introduced to ensure outliers are disqualified in the market price calculation.
Lastly, the composite index is calculated using the weighted average of the market prices across all underlying assets.
Each quarter the ...