Indices track the spot prices of the underlying assets for perpetual swap contracts. The index is represented by the mark price, which is used to value a particular derivatives contract.
Each derivative contract on Interdax is associated with an index, which provides the mark price to assess the contract’s value. For instance, the mark price for the BTC-PERP contract is calculated using different exchange rates for BTC-USD across the most liquid spot exchanges. The calculation then forms an index which tracks the price of the asset.
Interdax uses data from the top five order books across cryptocurrency exchanges to build an index that is robust, resistant to manipulation and outliers. If an exchange’s API was not online in the past 30 seconds, it is excluded from the index until it comes back online.
Order book data is then combined to form an index by using a modified Hodges-Lehmann estimator. By taking the five best ask and bid levels from constituent exchanges that have been online in the past 30 seconds, the micro-price is calculated for all bid and ask pairs across exchanges.
The median of the microprice is used, where microprice is defined as:
The main advantages of Interdax’s indices are:
- They are robust to outliers: up to 29 percent of market data points can be junk or manipulated without affecting the index.
- The liquidity of exchanges is accounted for: thicker order books are given more weight, and
- Continuous future transaction price estimation, even if the top of the books are not updated.
The following exchanges are included in Interdax’s index for BTC-PERP:
- Bitfinex, Bitstamp, Coinbase Pro, Gemini, itBit, Kraken and EXMO