Deribit’s Outlier-Adjusted Crypto Index Calculation
Summary
The document explains an updated method for calculating Deribit’s BTC index, introduced in a 2019 system upgrade. It describes a multi-step process intended to limit the effect of erroneous or delayed exchange prices while retaining the same exchange sample. Exchanges can be removed from the calculation if an administrator excludes them, their data is invalid, or their order book data is delayed by three minutes.
For the remaining exchanges, prices are compared with the sample median. Values beyond a 0.5% band around that median are moved to the nearest band limit, and the adjusted values are averaged with equal weights. The resulting index is also checked against an external benchmark, particularly when only one to three exchanges remain. These are procedural claims rather than a measured performance evaluation: the document provides no error rates, benchmark results, or detailed specification of the external check. Its account is limited to the BTC index and the method as described at the time of the upgrade.
Key ideas
- The method filters exchanges with invalid data, administrator exclusions, or order book data delayed by three minutes.
- Remaining prices are compared with their sample median.
- Prices outside a 0.5% median band are capped at the nearest band limit before equal weighting.
- An external benchmark provides an additional check, especially when few exchanges remain.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.