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Brave New Coin & BTSE Launch BBAX Altcoin Index



After the launch of the BNC-BTSE Index (BBCX) in late 2019, BTSE is now pleased to announce the launch of the BNC-BTSE Altcoin Index (BBAX).


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:


Description


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 Markets


  • Binance - 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.


Index Review


Each quarter the Index Steering Committee will meet and review the following to ensure the quality and robustness of the index:

  • Asset weighting for the upcoming quarter

  • Performance and quality of constituent exchanges

  • Index design parameters


Any significant updates stemming from the quarterly review will be relayed to the BTSE community here on the BTSE Blog page.


Anybody interested in learning more about the BNC-BTSE Altcoin Index can do so here.


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