Coin Metrics Prices
Coin Metrics publishes two independent constructions of what an asset is worth. The Coin Metrics Reference Rates ("CM Reference Rates") give a price aggregated across a vetted set of constituent markets. The Coin Metrics Principal Market Prices ("CM Principal Market Prices") give a price taken from the single market where the asset trades most, together with the identity of that market. Collectively they are the Coin Metrics Prices ("CM Prices").
Both are built from the same inputs, executed transactions on the same rules-based selection of constituent markets, and both are governed by one published methodology and one set of policies. What separates them is the question each is designed to answer. Start with the comparison below, then read the page for whichever fits.
Choosing Between Them
The reference rate is a composite designed to resist manipulation. The principal market price is a single observable transaction on an identifiable venue. Neither is a more accurate version of the other, and the right choice usually follows from a requirement rather than a preference.
Question it answers
What is this asset worth across the market as a whole?
What is this asset worth in the principal market for it?
Inputs
Trades from every constituent market for the asset
Trades from the one constituent market with the most activity
Calculation
A volume-weighted median across venues, time-weighted over an observation window for the daily and hourly frequencies, and a weighted median of last trades for the real-time frequencies
The price of the most recent trade on the selected market, with no averaging across venues
Resistance to manipulation
A primary design goal, achieved by aggregating and by weighting away outliers
Not a design goal. A single venue's price carries that venue's idiosyncrasies
Venue attribution
Not published. The rate is a composite with no single source
Published as a companion metric, so every price names the market it came from
Quote currencies
U.S. dollars, euros, Bitcoin, Ethereum
U.S. dollars only
Frequencies
1d, 1d-ny-close, 1h, 1m, 1s over HTTP. 1s and 200ms over the websocket
1d, 1d-ny-close, 1h, 1m, 1s over HTTP. 1s and 1h over the websocket
Consistency across frequencies
No. Two calculation methodologies are in use, so a daily value and a one-second value are not resamplings of each other
Yes. One per-second calculation, sampled at each frequency
Typical use
Benchmark fixings, derivatives settlement, index levels, net asset value
Fair value measurement under IFRS 13 and FASB ASC 820, financial statements, audit support
Metric IDs
ReferenceRate, ReferenceRateUSD, ReferenceRateEUR, ReferenceRateBTC, ReferenceRateETH
principal_market_price_usd, principal_market_usd
A useful rule of thumb: if a standard, a contract, or a regulator specifies where the price must come from, that requirement picks the construction for you. Fair value measurement asks for the principal market, so use the principal market price. A benchmark fixing or a settlement price asks for something an interested party cannot move, so use the reference rate. Outside those cases, the reference rate is the general-purpose choice, and running the two side by side is itself informative, since divergence between a composite and a single venue is often the signal of interest.
CM Reference Rates
The reference rate is the price of one unit of an asset in a quoted currency, calculated from observable transactions across a vetted set of constituent markets rather than taken from any single venue. The methodology is rules-based, published, and reproducible, so the rate can be audited.
The rates are published in U.S. dollars, euros, Bitcoin, and Ethereum, at frequencies from once a day down to every 200 milliseconds. The daily and hourly frequencies use one calculation methodology, and the minute, second, and 200 millisecond frequencies (the "real-time frequencies") use a separate one.
They are served through both the /timeseries/asset-metrics HTTP endpoint and the /timeseries-stream/asset-metrics websocket endpoint.
CM Principal Market Prices
The principal market price is the price of an asset in U.S. dollars taken from that asset's principal market, the market with the most trading volume or activity. Rather than blending venues, the calculation selects one and publishes the price of its most recent trade.
Two metrics are published together: the price itself, and the identity of the market it came from. The second is what makes the first traceable, which is the point of the construction for accounting and audit use.
Coverage
Coverage is per asset and per metric, and the coverage site is the authoritative list of which assets carry which prices, in which quote currencies, over what time range.
Governing Documents
The CM Prices are collectively governed by a rules-based methodology and a set of policies. Both apply to the reference rates and the principal market prices together.
The Coin Metrics Prices Methodology describes the systematic method for producing a unique set of constituent markets for each asset, the data sources, the calculation algorithms, and the contingency rules that apply when a market cannot be collected.
The Coin Metrics Prices Policies describe administration, oversight, conflicts of interest, material changes and terminations, recalculations, internal controls, complaints, record retention, and compliance.
Related
Reference Rate Metrics: the composite price, its two calculation algorithms, and every frequency it is published at.
Principal Market Price Metrics: the single-venue price and the identity of the market behind it.
Talos Exchange Scorecard: the exchange evaluation that feeds constituent market selection for both constructions.
Market Data Overview: the raw trades and the wider metric families these prices are built from and used in.
Pair Candles: OHLCV candles built on the reference rate.
Realized Volatility Metrics: volatility measured on the reference rate series.
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