BNC-BTSE Composite Index (BBCX) Updates Methodology
In October 2019, BTSE in conjunction with Brave New Coin launched one of the first institutional-grade indexes (BBCX) that tracks multiple digital assets across multiple pricing sources at sub-second frequency. We are happy to announce a couple of iterative changes that will further improve upon our model.
These changes affect two metrics:
The current pricing sources are made up of five constituent exchanges. We will be introducing two more exchanges to make it a total of seven. The expanded set of exchanges will make BBCX track more closely to the real-time market performance of the underlying assets, while also enhancing accuracy and robustness. Full details HERE.
Previous pricing sources:
Newly added pricing sources:
The current real time pricing methodology involves the removal of maximum and minimum midpoint prices for each market (‘trimming’) and the subsequent calculation of the average market price (‘mean’) for each of the underlying assets.
The updated pricing methodology will first apply a Price Anomaly Factor (PAF) to all midpoint prices based on the degree of deviation from the median price. The PAF is then used as a weighting factor in calculating the average market price for the underlying assets. The closer a midpoint price is to the median, the more weight it carries in calculating the market price and vice versa. Additionally a de-weighthing threshold will be introduced to ensure outliers are disqualified in the market price calculation. The net effect will be a significant reduction in anomalous events on individual exchanges impacting the overall index. Read more HERE.
These changes will take effect on Thursday, December 19th, 2019 at 08:00:00 UTC and we do not anticipate an outage or disruption to the BBCX index service. For more information please visit https://bravenewcoin.com/enterprise-solutions/indices-program/bbcx
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