Coin Metrics Prices Methodology

The full text of this document can be downloaded as a pdf document using the link below.

Introduction

Coin Metrics publishes a collection of prices for a set of cryptocurrencies and fiat currencies consisting of the Coin Metrics Reference Rates (“CM Reference Rates”) and the Coin Metrics Principal Market Prices (“CM Principal Market Prices”), which are collectively referred to as the Coin Metrics Prices (“CM Prices”). This document describes the data inputs, calculation methodologies, and data exclusion rules for the CM Prices.

The CM Reference Rates are published once a day, once an hour, once a minute, once a second, and once every 200 milliseconds and utilize volume-weighted median, time-weighted average, and inverse price variance-weighted median techniques. Common use cases for the CM Reference Rates include research, backtesting, calculating net asset value for investment funds, serving as a data source for on-chain price oracles, risk management, and indicative intraday values.

The CM Principal Market Prices are published once a day, once an hour, once a minute, and once a second and adhere to the guidelines regarding fair value measurement issued by the International Financial Reporting Standards and the Association of International Certified Professional Accountants, specifically standards IFRS 13 and FASB ASC 820. The Principal Market Prices identify a principal market for each asset and utilize the most recent price from this market. Common use cases are for fair value measurement and preparing financial statements.

The CM Prices are designed to serve as a set of transparent and independent pricing sources that promote the functioning of efficient markets, reduce information asymmetries among market participants, facilitate trading in standardized contracts, and accelerate the adoption of cryptocurrencies as an asset class with the highest standards. The CM Prices are calculated using robust and resilient methodologies that are resistant to manipulation.

Other Documents

The CM Prices are collectively governed by policies described in Coin Metrics Prices Policies which describes the administration, conflicts of interest, material changes, recalculations, internal controls, complaints, record retention, and compliance policies.

Data Inputs

Coin Metrics evaluates markets traded on digital asset exchanges as input data sources for the CM Prices using a three step process. The first step relates to how to quantify an exchange’s trustworthiness to be used in subsequent steps. The second step relates to how to generate a universe of candidate constituent markets that are eligible for selection as constituent markets. The third step relates to how to select a unique set of high-quality constituent markets for each instrument.

Coin Metrics produces a unique set of selected markets for each asset in the coverage universe on a quarterly basis and during interim periods if market conditions warrant. Such market conditions include, but are not limited to, material changes in an exchange’s solvency risk, material changes in the degree of free capital flows in and out of an exchange, the presence of long-lasting price differences from other exchanges, and times of market stress.

Trusted Exchange Framework

Trading in cryptocurrencies can occur at several hundred centralized or decentralized exchanges. The process of selecting constituent markets for calculating the price of a given cryptocurrency becomes highly challenging due to the large number of eligible exchanges. The difficulty is further compounded by the fact that some cryptocurrency exchanges engage in deceptive practices to manipulate their reported trading activity, such as facilitating or engaging in trades between the same party to artificially boost price, liquidity or interest (known as wash trading).

To address this issue, the CM Prices relies upon the Coin Metrics Trusted Exchange Framework to quantify the trustworthiness of an exchange. The Trusted Exchange Framework assesses exchanges using several criteria that represent the fundamental properties of exchange trustworthiness: transparency, resilience & security, data quality, regulatory compliance, and API quality. The criteria examine public information about an exchange such as incident history, financial statements, and license disclosure as well as market activity that can be derived from an exchange’s data.

The Coin Metrics Trusted Exchange Framework assigns a numerical rating ranging to an exchange for each category as well as an overall numerical rating for each exchange. The numerical rating ranges from 0.00 to 1.00. The numerical rating is transformed into a letter rating ranging from A to D. A letter rating of A indicates that the exchange excels in most or all of the factors assessed and a letter rating of D indicates that the exchange scores poorly across most of the factors assessed.

The CM Prices uses the overall numerical rating for each exchange in subsequent steps. If a centralized exchange is not evaluated in the Coin Metrics Trusted Exchange Framework, the numerical rating for the exchange defaults to 0.00. If a decentralized exchange is not evaluated in the Coin Metrics Trusted Exchange Framework, the numerical rating for the exchange defaults to 0.10.

Generation of Candidate Markets

The set of candidate markets for each asset in the coverage universe is determined by the following set of rules:

  1. If the asset is Bitcoin or Ethereum, the candidate markets are spot markets on Coin Metrics’ exchange coverage universe where the base asset is Bitcoin or Ethereum, respectively, and the quote asset is U.S. dollars.

  2. If the asset is Tether or USD Coin, the candidate markets are (1) spot markets on Coin Metrics’ exchange coverage universe where the base asset is Tether or USD Coin, respectively, and the quote asset is U.S. dollars, and (2) spot markets on Coin Metrics’ exchange coverage universe where the base asset is Bitcoin or Ethereum and the quote asset is Tether or USD Coin, respectively. The logic to generate candidate markets for Tether differs from other assets because market convention sets Tether as the quote asset for the majority of active markets.

  3. If the asset is a cryptocurrency that is not a stablecoin, the candidate markets are spot markets on Coin Metrics’ exchange coverage universe where the base asset is the given cryptocurrency and the quote asset is either U.S. dollars, Bitcoin, Ethereum, Tether, USD Coin, or Wrapped Ether.

  4. If the asset is a stablecoin, the candidate markets are (1) spot markets on Coin Metrics’ exchange coverage universe where the base asset is the stablecoin and the quote asset is U.S. dollars, Tether, USD Coin, or Wrapped Ether and (2) spot markets on Coin Metrics’ exchange coverage universe where the base asset is Bitcoin or Ethereum and the quote asset is the stablecoin. The logic to generate candidate markets for stablecoins differs from other spot assets because market convention sets stablecoins as the quote asset for the majority of active markets. The following assets in the coverage universe are considered to be stablecoins:

NameTicker

Tether

usdt

TrueUSD

tusd

USD Coin

usdc

Paxos Standard

pax

Gemini Dollar

gusd

Wrapped Bitcoin

wbtc

Binance USD

busd

Dai

dai

Tether Gold

xaut

PAX Gold

paxg

BIDR

bidr

sUSD

susd

Wrapped Ether

weth

Brazilian Digital Token

brz

TerraClassicUSD

ust

USDD

usdd

EURC

euroc

poundtoken

gbpt

Terra 2.0

luna2

First Digital USD

fdusd

  1. If the asset is a fiat currency, the candidate markets are (1) spot markets on Coin Metrics’ exchange coverage universe where the base asset is the fiat currency and the quote asset is U.S. dollars, Tether, USD Coin, or Wrapped Ether and (2) spot markets on Coin Metrics’ exchange coverage universe where the base asset is Bitcoin or Ethereum and the quote asset is the fiat currency. The logic to generate candidate markets for fiat currencies differs from other spot assets because market convention sets fiat currencies as the quote asset for the majority of active markets. The following assets in the coverage universe are considered to be fiat currencies:

NameTicker

Euro

eur

British Pound

gbp

Japanese Yen

jpy

Canadian Dollar

cad

Korean won

krw

Russian Ruble

rub

Ukrainian Hryvnia

uah

Turkish Lira

try

Australian Dollar

aud

Brazilian Real

brl

Swiss Franc

chf

Singapore Dollar

sgd

Selection of Constituent Markets

For each asset in the coverage universe, a unique set of constituent markets are selected from the set of candidate markets. The set of constituent markets are determined by the following set of rules:

  1. For each candidate market, calculate the average daily volume in U.S. dollars for the previous 90 days. If the constituent market is quoted in an asset other than U.S. dollars, the average daily volume is converted to U.S. dollars using the Coin Metrics Reference Rate.

  2. If a candidate market is on a centralized exchange, exclude the candidate market if it has a volume market share of less than 1 percent, where the volume market share is calculated as the average daily volume in U.S. dollars described above.

  3. If a candidate market is on a decentralized exchange, exclude the candidate market if it has a volume market of less than 5 percent, where the volume market share is calculated as the average daily volume in U.S. dollars described above.

  4. For each candidate market, calculate the volume-weighted average price in U.S. dollars using the most recent 24 hour period beginning at 00:00:00.000000 UTC time and ending at 23:59:59.999999 UTC. If the constituent market is quoted in an asset other than U.S. dollars, the volume-weighted average price is converted to U.S. dollars using the Coin Metrics Reference Rate.

  5. Exclude the candidate market if the absolute value of the volume-weighted average price in U.S. dollars exceeds 3 percent from the median volume-weighted average price in U.S. dollars, where the median is calculated using the volume-weighted average price in U.S. dollars for all candidate markets for the asset.

  6. Sort the remaining candidate markets by quote asset using the following order: U.S. dollars, Bitcoin, Ethereum, USD Coin, Tether, Wrapped Ether. All other quote assets, if they exist, are sorted at the end. Within each grouping of quote asset, sort in descending order the candidate markets by each candidate market’s exchange score from the Coin Metrics Trusted Exchange Framework. If a given candidate market’s exchange is a decentralized exchange that is not covered in the Trusted Exchange Framework, the exchange score assigned to the decentralized exchange is 0.1. If a given candidate market’s exchange is not covered in the Trusted Exchange Frameowrk, the exchange score assigned to the exchange is 0.

  7. Select a candidate market as a constituent market if the candidate market is ranked within the top six according to the sorting described above.

  8. Also select a candidate market as a constituent market if the candidate market meets the following criteria: (1) the candidate market is ranked within the top 10 according to the sorting described above, and (2) the candidate market has a volume market share greater than 20 percent.

  9. If the above rules result in zero constituent markets, then the constituent markets are selected using expert judgment.

Reference Rates Calculation Methodology

The CM Reference Rates represent the reference rate of one unit of the asset quoted in U.S. dollars or other currency. The CM Reference Rates supports multiple frequencies. The daily and hourly frequencies utilize one calculation methodology and the minute, second, and 200 millisecond frequencies (“real-time frequencies”) utilize a separate calculation methodology. The daily and hourly frequencies are calculated at the end of every hour and day, respectively, (the “Calculation Time”) and are published within 5 minutes (the “Publication Time”). The real-time frequencies are published in real-time with no delay.

Coverage Universe

The set of assets included in the CM Reference Rates coverage universe are included in Appendix A.

Calculation Algorithm for Daily and Hourly Frequencies

The calculation algorithm of the CM Reference Rates for daily and hourly frequencies is described below.

  1. All observable transactions from Constituent Markets are combined and partitioned into time intervals, with each time interval spanning a period of one minute. The first one-minute time interval begins 60 minutes before the Calculation Time and the last one-minute time interval begins at the Calculation and ends one minute after the Calculation Time. In total, the calculation period spans a period of 61 minutes (the “Observation Window”). A total of 61 one-minute time intervals are created.

  2. The price of each observable transaction for one unit of the given asset is converted to U.S. dollars if necessary using the Reference Rates calculated for Bitcoin (BTC), Ethereum (ETH), USD Coin (USDC), or Tether (USDT).

  3. The volume-weighted median price (VWMP) of each time interval is calculated. The volume-weighted median rate is calculated by ordering the transactions from lowest to highest price, taking the cumulative sum of volumes of these transactions, and identifying the price associated with the trades at the 50th percentile of volume measured in native units.

  4. The time-weighted average price (TWAP) of the 61 time intervals is calculated using a custom weight function. The weight function assigns a weight of 0 percent to the first time interval, subsequent time intervals are assigned a weight that increases linearly, and the last two time intervals are assigned a weight of 5 percent such that the sum of all weights equals 100 percent. The weight function assigns more weight to time slices that are closer to the Calculation Time. The resulting figure is the published reference rate.

The weights for each time interval are listed in Appendix B:

Data Contingency Rules for Daily and Hourly Frequencies

The following contingency rules are followed to address situations where data is delayed, missing, or unavailable due to periods of illiquidity, extraordinary market circumstances, or outside factors beyond the control of Coin Metrics.

  1. If observable transactions from a constituent market are unable to be collected due to technical problems specific to the constituent market’s exchange during the calculation of a reference rate, the observable transactions from the constituent market are not included in the calculation of the specific instance of the given reference rate.

  2. If no observable transactions from constituent markets occur during the first one-minute time interval, the next one-minute time interval’s volume-weighted median price is used as the volume-weighted median price. This contingency rule is applied recursively if necessary.

  3. If no observable transactions from constituent markets occur during any one-minute time intervals, excluding the first and last one-minute time intervals in the Calculation Window, the next one-minute time interval’s volume-weighted median price is used as the volume-weighted median price. This contingency rule is applied recursively if necessary.

  4. If no observable transactions from constituent markets occur during the last one-minute time interval, the previous time interval’s volume-weighted median price is used as the volume-weighted median price. This contingency rule is applied recursively if necessary.

  5. If no observable transactions from constituent markets exist during the Calculation Period for a reference rate, the reference rate will be determined to equal the previous hourly reference rate in which there were trades during that hour’s Observation Window.

Calculation Algorithm for Real-Time Frequencies

The calculation algorithm of the CM Reference Rates for the real-time frequencies is described below.

  1. Calculate the volume denominated in units of the given asset from observable transactions that occurred over the trailing 60 minutes for each of the Constituent Markets. Calculate the volume weight for each of the Constituent Markets by dividing the volume figure for each of the Constituent Markets by the total volume across all Constituent Markets. The resulting figure is referred to as the volume weight.

  2. Convert the trade price of all observable transactions over the trailing 60 minutes for each of the Constituent Markets to U.S. dollars if necessary using the Real-Time Reference Rate calculated for Bitcoin (BTC), Ethereum (ETH), USD Coin (USDC), or Tether (USDT). Calculate the inverse variance of the trade price converted to U.S. dollars for each of the Constituent Markets using the population mean in the calculation of variance, where the population mean is defined as the mean price of all trades from Constituent Markets over the trailing 60 minutes. If a Constituent Market has an infinite or undefined inverse price variance, the inverse price variance for that Constituent Market is set to zero. Calculate the inverse price variance weight for each of the Constituent Markets by dividing the inverse price variance by the total inverse price variance across all Constituent Markets. The resulting figure is referred to as the inverse price variance weight.

  3. Calculate the final weight for each of the Constituent Markets by taking a mean of the volume weight and the inverse price variance weight.

  4. Extract the most recent observable transaction from each of the Constituent Markets. Convert the trade price of the most recent observable transactions to U.S. dollars if necessary using the Reference Rate calculated for Bitcoin (BTC), Ethereum (ETH), USD Coin (USDC), or Tether (USDT).

  5. Calculate the weighted median price of the most recent observable transactions using the prices calculated in step 4 and the final weights calculated in step 3. The weighted median price is calculated by ordering the transactions from lowest to highest price, and identifying the price associated with the trades at the 50th percentile of final weight. The resulting figure is the published reference rate for the given asset.

Data Contingency Rules for Real-Time Frequencies

The following contingency rules are followed to address situations where data is delayed, missing, or unavailable due to periods of illiquidity, extraordinary market circumstances, or outside factors beyond the control of Coin Metrics.

  1. If observable transactions from a constituent market are unable to be collected due to technical problems specific to the constituent market’s exchange during the calculation of a real-time reference rate, the observable transactions from the constituent market are not included in the calculation of the specific instance of the given real-time reference rate.

  2. If no observable transactions from constituent markets exist during the trailing 60 minutes, the value of the real-time reference rate will be determined to equal the value calculated during the previous second.

Principal Market Prices Calculation Methodology

The Principal Market Prices are published once per second, every day of the year, and represent the price of one unit of the asset quoted in U.S. dollars.

Fair Market Valuation Background

The Principal Market Prices were developed taking into account the requirements of IFRS 13 and FASB ASC 820 accounting guidelines defining what a Principal Market is and how it should be selected. These guidelines also allow for additional controls to verify the market is active and trades are orderly.

As Coin Metrics already provides the CM Reference Rates methodology to price cryptocurrencies which we believe to be robust and stable, it is worth briefly describing the philosophy behind producing the Principal Market Prices to supplement the reference rates. The first and most significant criteria is that certain regulatory agencies require a methodology consistent with the aforementioned accounting principles. These principles clearly describe the preferred “fair market value” calculation as one which identifies a Principal Market by trade volume and tracks executed trades in that market.

Beyond external requirements, the benefits for a Principal Market Prices methodology are that it is clearly defined and auditable. The price is always taken from a single market, which tends to remain constant, and can easily be traced and verified for a given time stamp. We minimize computations being done on the price, which reduces the likelihood of unforeseen behavior. Additionally, the trades are always taken from the exchange where the most of the activity occurs, which is a characteristic users are interested in.

Like all things in life, this comes with some trade offs. Our CM Reference Rates look for a central tendency among several markets. In some cases this can avoid volatility and the presence of outliers if the Principal Market Prices deviate from the global average, but it also means that the final price may be taken from comparatively insignificant market where the price is between the prices of markets of larger volume. With these trade-offs in mind, our methodology seeks to err on the side of trusting the largest market by volume of trades and only excludes a market in extreme situations.

We also attempt to avoid numerical comparisons of the price between markets in the methodology, in order to minimize the possibility that a price anomaly in another market could affect the calculation. Our CM Reference Rates by contrast choose to combine multiple markets to identify a more stable price representative of the global environment.

Coverage Universe

The set of assets included in the Principal Market Prices coverage universe are included in Appendix A.

Calculation Algorithm

The calculation algorithm of the Principal Market Prices is described below.

  1. Consider the list of Constituent Markets selected by the Market Selection Framework.

  2. Identify any inactive markets, and exclude all trades associated with the inactive market. A market is considered inactive if it meets the following conditions: (1) The last trade was more than 1-minute ago and the last trade was either: longer than 10 minutes from the calculation time or longer than 100 * [mean trade interval], (2) The mean trade interval is defined as the the average of all intervals between sequential trades in the window 0 to 60 minutes before the calculation time. For example, if trades occur at timestamps [00:02, 00:12, 00:37, 01:15], the mean trade interval will be mean([10 seconds, 25 seconds, 38 seconds]) = 23.3 seconds.

  3. If there are no active markets, then the Principal Market Price will forward-fill the last non-null value available.

  4. Check if any trades in the markets are not considered orderly (IFRS 13.B37-B38). Exclude any non-orderly trades from the calculation. This is accomplished by examining the window 60 to 120 minutes before the calculation time to calculate a reference standard deviation of prices in each market separately. If there are insufficient trades to calculate a standard deviation, then all trades are considered orderly (i.e. no trades are dropped if there is sparse data).

  5. We then partition the calculation window 0 to 60 minutes before the calculation time into 60 one-minute time intervals and calculate how far each trade is from the mean price of trades from that market in the one-minute time interval the trade resides in.

  6. Finally, we exclude trades that occur more than three reference standard deviations from the mean price of trades within a particular one-minute time interval. We require at least five trades occur in a particular one-minute time interval in order to exclude trades. The two parameters (3 reference deviations and 5 trades) may be adjusted in the future.

  7. Identify the active market with the largest volume of orderly trades in the calculation window 0 to 60 minutes before the calculation time. This will serve as the Principal Market (IFRS 13.16, FASB ASC 820-35-5).

  8. Use the most recent orderly trade from the Principal Market and publish its price as the Principal Market Price.

Data Exclusion Rules

All observable transactions from constituent markets are evaluated using a systematic data quality control process. If potential errors or anomalies in the data are detected, the exercise of expert judgment will be applied to determine if the potentially erroneous data is included in the calculation of the price. The exercise of expert judgment in this circumstance is used to determine if the potentially erroneous data reflects observable transactions that are entered into at arm’s length between buyers and sellers and constitute an active market in the underlying asset, whether the observable transactions in question are formed by the competitive forces of supply and demand, and whether the observable transactions in question are a credible indicator of executable prices in the underlying asset. The exercise of expert judgment may include adding or removing markets from the set of constituent markets for a particular asset.

An investigation into the causes of the potential error, including whether any price deviations are specific to the exchange itself, is conducted. Any exercise of expert judgment is subject to dual approval by staff members, and is logged and reported to the Oversight Committee which periodically reviews the application of expert judgment to ensure consistency.

Appendix A

The following table lists the current coverage universe:

NameTicker

Bitcoin

btc

Bitcoin Cash

bch

Litecoin

ltc

Euro

eur

XRP

xrp

Ethereum

eth

Ethereum Classic

etc

British Pound

gbp

Zcash

zec

Monero

xmr

Dash

dash

Japanese Yen

jpy

IOTA

miota

EOS

eos

OMG Network

omg

Neo

neo

Metaverse ETP

etp

Qtum

qtum

Aventus

avt

Bitcoin Gold

btg

Streamr

data

QASH

qash

Status

snt

Basic Attention Token

bat

Decentraland

mana

FUNToken

fun

0x

zrx

TRON

trx

iExec RLC

rlc

Augur

rep

aelf

elf

IOST

iost

Request

req

Loopring

lrc

WAX

waxp

Aragon

ant

Mithril

mith

Storj

storj

Stellar

xlm

Verge

xvg

Lympo

lym

Maker

mkr

VeChain

vet

Kyber Network Crystal

knc

xMoney

utk

Ripio Credit Network

rcn_ripiocreditnetwork

Polymath

poly

Fusion

fsn

Cortex

ctxc

Zilliqa

zil

Bancor

bnt

NEM

xem

BNB

bnb

Gas

gas

Tether

usdt

OAX

oax

district0x

dnt

Waltonchain

wtc

SONM

snm

Chainlink

link

Moeda Loyalty Points

mda

Metal DAO

mtl_metal

AirSwap

ast

Viberate

vib

Powerledger

powr

Ark

ark

Enjin Coin

enj

Komodo

kmd

NULS

nuls

AirDAO

amb

Quantstamp

qsp

BitShares

bts

Lisk

lsk

Etherparty

fuel

Bitcoin Diamond

bcd

AdEx

adx

Cardano

ada

Waves

waves

ICON

icx

PIVX

pivx

OST

ost

Civic

cvc

Steem

steem

Nano (New)

nano

Bluzelle

blz

Aeternity

ae

Ontology

ont

Wanchain

wan

Syscoin

sys

Ardor

ardr

Holo

hot_holo

Loom Network

loom

Bytecoin

bcn

TrueUSD

tusd

Horizen

zen

Theta Network

theta

IoTeX

iotx

QuarkChain

qkc

SelfKey

key

Siacoin

sc

Nebulas

nas

Dent

dent

Dock

dock

Gnosis

gno

Canadian Dollar

cad

Enzyme

mln

Dogecoin

doge

Bytom

btm

BitKan

kan

Arcblock

abt

ACENT

ace

Achain

act

Auto

auto

CyberVein

cvt

Decred

dcr

DigiByte

dgb

InsurAce

insur

Cred

lba

Measurable Data Token

mdt

NAGA

ngc

TenX

pay

Revain

rev

Ren

ren

SwftCoin

swftc

TokenClub

tct

VITE

vite

Odyssey

ocn

Huobi Token

ht

Elastos

ela

WaykiChain

wicc

DeepBrain Chain

dbc

Propy

pro

Open Campus

edu

Bibox Token

bix

HyperCash

hc_hypercash

MaidSafeCoin

maid

Amp

amp

Chrono.tech

time

Pluton

plu

Tezos

xtz

Stacks

stx

Atletico De Madrid Fan Token

atm

PolySwarm

nct

Kin

kin

IndiGG

indi

Wilder World

wild

OriginTrail

trac

Nexo

nexo

Telcoin

tel

Cryptex Finance

ctx

Berry

berry

Crypterium

crpt

IHT Real Estate Protocol

iht

VeThor Token

vtho

DxChain Token

dx

CEEK VR

ceek

Carry

cre

Oxygen

oxy

UNUS SED LEO

leo

Sentinel Protocol

upp

Game.com

gtc_gamecom

MediBloc

med

Creditcoin

ctc

NKN

nkn

Moss Coin

moc

Callisto Network

clo

Uquid Coin

uqc

Korean won

krw

IQ

iq

Ravencoin

rvn

LBRY Credits

lbc

Unbound

unb

Memecoin

meme

Numeraire

nmr

Russian Ruble

rub

Ukrainian Hryvnia

uah

Turkish Lira

try

Australian Dollar

aud

BOB

bob

Brazilian Real

brl

Swiss Franc

chf

Ethernity

ern

Mantle

mnt

Ronin

ron

Singapore Dollar

sgd

OpenDAO

sos

Dragonchain

drgn

Kleros

pnk

USD Coin

usdc

KuCoin Token

kcs

Paxos Standard

pax

Gemini Dollar

gusd

Constellation

dag

Nimiq

nim

GoChain

go

Electroneum

etn

Bitcoin SV

bsv

Artificial Liquid Intelligence

ali

MXC

mxc

Livepeer

lpt

RSK Infrastructure Framework

rif

v.systems

vsys

Grin

grin

Project Portal

portal

Lambda

lamb

Dora Factory

dora

Beam

beam

Unibright

ubt

Only1

like

FTX Token

ftt

Kryll

krl

Fetch.ai

fet

Ontology Gas

ong_ontologygas

Ankr

ankr

Quant

qnt

SOLVE

solve

Aergo

aergo

Circuits of Value

coval

Cronos

cro

Cosmos

atom

Orbs

orbs

Theta Fuel

tfuel

BORA

bora

Function X

fx

IRISnet

iris

Celer Network

celr

ABBC Coin

abbc

Verasity

vra

Wrapped Bitcoin

wbtc

Polygon

matic

Litentry

lit

Fantom

ftm

Algorand

algo

Dusk

dusk

XYO

xyo

Ocean Protocol

ocean

Celsius

cel

RFOX

rfox

Synthetix

snx

ThunderCore

tt

MovieBloc

mbl

Reserve Rights

rsr

STP

stpt

Harmony

one_harmony

ARPA

arpa

Phoenix

phb

WINkLink

win_wink

Binance USD

busd

Dai

dai

Tether Gold

xaut

PAX Gold

paxg

OKB

okb

Hedera

hbar

Nervos Network

ckb

Solar

sxp

Terra Classic

luna

Chiliz

chz

ROOBEE

roobee

Orchid

oxt

LCX

lcx

Nahmii

nii

WazirX

wrx

Band Protocol

band

Kusama

ksm

Hive

hive

GateToken

gt

Kava

kava

MX TOKEN

mx

Arweave

ar

Compound

comp

Keep Network

keep

Origin Protocol

ogn

Render Token

rndr

Contentos

cos

PERL.eco

perl

TROY

troy

DREP

drep

LTO Network

lto

COTI

coti

Solana

sol

Cartesi

ctsi

Chromia

chr

StormX

stmx

BIDR

bidr

Polkadot

dot

Celo

celo

Filecoin

fil

Play Token

play

BABB

bax

sUSD

susd

AVA

ava

Wirex Token

wxt

Syntropy

noia

VIDT DAO

vidt

Akropolis

akro

Ampleforth

ampl

Newscrypto

nwc

Bepro

bepro

SENSO

senso

XDB CHAIN

xdb

Sylo

sylo

WOM Protocol

wom

KardiaChain

kai

Energy Web Token

ewt

Wrapped Ether

weth

yearn.finance

yfi

UMA

uma

Avalanche

avax

BOSagora

boa

JUST

jst

Bifrost

bfc

Brazilian Digital Token

brz

DEAPcoin

dep

DIA

dia

FIO Protocol

fio

ForTube

for

Green Satoshi Token

gst

Helium

hnt

IDEX

idex

Kadena

kda

Klaytn

klay

MUX Protocol

mcb

MixMarvel

mix

MiL.k

mlk

mStable Governance Token: Meta (MTA)

mta

Meter Stable

mtr

Meter Governance

mtrg

NEST Protocol

nest

MANTRA

om

Orion

orn

Polygon Ecosystem Token

pol

Prom

prom

PARSIQ

prq

Rocket Pool

rpl

THORChain

rune

ShareToken

shr

Sologenic

solo

Sperax

spa

Serum

srm

SUKU

suku

tBTC

tbtc

Polytrade

trade

Tellor

trb

BiLira

tryb

UFO Gaming

ufo

Curve DAO Token

crv

Velas

vlx

Wrapped NXM

wnxm

XPR Network

xpr

DFI.Money

yfii

Balancer

bal

SushiSwap

sushi

Swerve

swrv

Cream Finance

cream

Sun Token

sun

MultiversX

egld

Uniswap

uni

Alchemy Pay

ach

Aleph.im

aleph

Bella Protocol

bel

dForce

df

Frontier

front

Klever

klv

TrustSwap

swap

Toncoin

ton

TerraClassicUSD

ust

Handshake

hns

Ultra

uos

BakeryToken

bake

BurgerCities

burger

Aavegotchi

ghst

New BitShares

nbs

Rarible

rari

Velo

velo

Aave

aave

PancakeSwap

cake

DODO

dodo

Harvest Finance

farm

Polkastarter

pols

RioDeFi

rfuel

Secret

scrt

Venus

xvs

Core

core

Dego Finance

dego

Ergo

erg

MATH

math

NEAR Protocol

near

DeFiChain

dfi

Audius

audio

Axie Infinity

axs

Conflux

cfx

Shentu

ctk

Celo Dollar

cusd

Kava Lend

hard

Hyve

hyve

Injective

inj

Keep3rV1

kp3r

Oasys

oas

Smooth Love Potion

slp

DEXTools

dext

StaFi

fis

Flamingo

flm

Oasis Network

rose

TrueFi

tru

Unifi Protocol DAO

unfi

Golem

glm

Hegic

hegic

API3

api3

Badger DAO

badger

Firo

firo

MobileCoin

mob

Synapse

syn

Virtua

tvk

The Graph

grt

1inch

1inch

Stella

alpha

OctoFi

octo

saffron.finance

sfi

Perpetual Protocol

perp

AS Roma Fan Token

asr

BarnBridge

bond

Cobak Token

cbk

Furucombo

combo

CUDOS

cudos

DeXe

dexe

Bonfida

fida

Frax

frax

Frax Share

fxs

Hydra

hydra

Juventus Fan Token

juv

Linear

lina

MahaDAO

maha

Mdex

mdx

Mirror Protocol

mir

Nord Finance

nord

OG Fan Token

og

OKT Chain

okt

Marlin

pond

Paris Saint-Germain Fan Token

psg

REVV

revv

Rook

rook

Trust Wallet Token

twt

Huobi BTC

hbtc

Flow

flow

Stratis

strax

VAIOT

vai

Reef

reef

Bitcoin Standard Hashrate Token

btcst

The Sandbox

sand

SafePal

sfp

SKALE

skl

Phala Network

pha

WOO

woo

Raydium

ray

AC Milan Fan Token

acm

Akash Network

akt

Alchemix

alcx

Alpha Quark Token

aqt

Forj

bondly

DAO Maker

dao

Dypius (Old)

dyp

HAPI Protocol

hapi

HOPR

hopr

Ideaology

idea

Inverse Finance

inv

UniLayer

layer

MAPS

maps

Mask Network

mask

Muse

muse

NFTX

nftx

Oraichain

orai

Pando

pando

PolkaBridge

pbr

Prosper

pros

BENQI

qi

Radworks

rad

Rally

rly

SparkPoint

srk

SuperVerse

super

Tornado Cash

torn

AIOZ Network

aioz

Alpaca Finance

alpaca

Anchor Protocol

anc

Boson Protocol

boson

Convergence

conv

DSLA Protocol

dsla

Fei USD

fei

Fire Protocol

fire

Flux

flux

Franklin

fly

Galxe

gal

Illuvium

ilv

JasmyCoin

jasmy

Konomi Network

kono

Polkacity

polc

Pastel

psl

Rai Reflex Index

rai

Strike

strk

Alien Worlds

tlm

Tribe

tribe

Curate

xcur

XSGD

xsgd

Symbol

xym

Internet Computer

icp

Shiba Inu

shib

FC Barcelona Fan Token

bar

SpookySwap

boo

Somnium Space Cubes

cube

Dogelon Mars

elon

EasyFi

ez

Ampleforth Governance Token

forth

Gitcoin

gtc

Hot Cross

hotcross

Ispolink

isp

Kishu Inu

kishu

Liquity

lqty

Media Network

media

MVL

mvl

APENFT

nft

Origin Dollar

ousd

Songbird

sgb

Step Finance

step

Standard

stnd

Telos

tlos

Persistence

xprt

Liquity USD

lusd

Lido DAO

ldo

Baby Doge Coin

babydoge

BitDAO

bit

Coin98

c98

Ternoa

caps

Celo Euro

ceur

Centrifuge

cfg

Tranchess

chess

CLV

clv

Covalent

cqt

Cratos

crts

Convex Finance

cvx

DeRace

derc

Dvision Network

dvi

EPIK Prime

epik

Gala

gala

Goldfinch

gfi

GAMEE

gmee

Metahero

hero

IAGON

iag

Jupiter

jup

Karura

kar

Lithium

lith

MOBOX

mbox

Mango

mngo

Moonriver

movr

Orbit Chain

orc

PlayDapp

pla

Pangolin

png

Qredo

qrdo

RadioCaca

raca

SuperRare

rare

Router Protocol

route

SingularityDAO

sdao

Shiden Network

sdn

Seedify.fund

sfund

Solanium

slim

SOMESING

ssx

StarLink

starl

Wing Finance

wing

Wrapped NCG

wncg

SideShift Token

xai

Avalaunch

xava

XCAD Network

xcad

eCash

xec

Yield Guild Games

ygg

Yield App

yld

Unizen

zcx

Pax Dollar

usdp

My Neighbor Alice

alice

ASD

asd

XDC Network

xdc

Mina

mina

Adventure Gold

agld

Star Atlas DAO

polis

dYdX

dydx

Spell Token

spell

Angle

angle

Ariva

arv

Assemble Protocol

asm

AstroSwap

astro

Star Atlas

atlas

Aurory

aury

Beta Finance

beta

Bloktopia

blok

BinaryX

bnx

Braintrust

btrst

Manchester City Fan Token

city

Clearpool

cpool

DOSE

dose

EQIFI

eqx

FLOKI

floki

Gods Unchained

gods

GooseFX

gofx

Highstreet

high

JOE

joe

S.S. Lazio Fan Token

lazio

Doge Killer

leash

Moss Carbon Credit

mco2

Marinade Staked SOL

msol

Nakamoto Games

naka

Opulous

opul

Orca

orca

Paribus

pbx

Pendle

pendle

Port Finance

port

Ribbon Finance

rbn

Samoyedcoin

samo

Saber

sbr

ssv.network

ssv

Strips Finance

strp

Tokemak

toke

Vega Protocol

vega

VEMP

vemp

Wrapped Centrifuge

wcfg

X World Games

xwg

Cere Network

cere

Mines of Dalarnia

dar

Ethereum Name Service

ens

GM Wagmi

gm

GYEN

gyen

Immutable

imx

KOK

kok

Magic Internet Money

mim

O3 Swap

o3

PixelVerse

pixel

FC Porto Fan Token

porto

ParaSwap

psp

SHILL Token

shill

Alkimi

ads

Aurora

aurora

Binance Beacon ETH

beth

Boba Network

boba

Everscale

ever

Genopets

gene

Merit Circle

mc

Maple

mpl

Connext Network

next

Numbers Protocol

num

ConstitutionDAO

people

Santos FC Fan Token

santos

Symbiosis

sis

TRVL

trvl

Wrapped liquid staked Ether 2.0

wsteth

BitTorrent (new)

bttc

Vulcan Forged (PYR)

pyr

Radix

xrd

Tether EURt

eurt

SPACE ID

id

Casper

cspr

Automata Network

ata

PlatON

lat

ApeCoin

ape

LooksRare

looks

Moonbeam

glmr

Tulip Protocol

tulip

Osmosis

osmo

GMT

gmt

Biconomy

bico

Alpine F1 Team Fan Token

alpine

Astar

astr

Biswap

bsw

PowerPool

cvp

Decentralized Social

deso

Gari Network

gari

Guild of Guardians

gog

Index Cooperative

index

UNKJD

mbs

Multichain

multi

Optimism

op

REI Network

rei

SHPING

shping

Stargate Finance

stg

Umee

umee

Voxies

voxel

Zebec

zbc

Acala Token

aca

Bounce Token

auction

Eden

eden

Ellipsis

epx

Shapeshift FOX Token

fox

Geojam Token

jam_geojam

League of Kingdoms Arena

loka

Metis

metis

Ooki Protocol

ooki

Pundi X

pundix

Threshold

t

Toko Token

tko

UniLend

uft

Voyager Token

vgx

USDD

usdd

Chia

xch

EURC

euroc

Beefy

bifi_beef

Lido Staked ETH

steth

poundtoken

gbpt

Terra 2.0

luna2

Nano

xno

Onyxcoin

xcn

NYM

nym

WEMIX

wemix

Step App

fitfi

Sweat Economy

sweat

FirmaChain

fct2

Tokenlon Network Token

lon

pSTAKE Finance

pstake

Vesper

vsp

Walken

wlkn

Swarm

bzz

GuildFi

gf

LeverFi

lever

Euler

eul

Bifrost Native Coin

bnc

GensoKishi Metaverse

mv

EthereumPoW

ethw

DappRadar

radar

ParagonsDAO

pdt

Reflexer Ungovernance Token

flx

JUNO

juno

Altered State Token

asto

BreederDAO

breed

Arsenal Fan Token

afc

Aptos

apt

Axelar

axl

Bubblefong

bbf

Bitcicoin

bitci

Cult DAO

cult

Coinweb

cweb

Forta

fort

GMX

gmx

Hashflow

hft

LABEL Foundation

lbl

Marinade

mnde

Metaplex

mplx

NEOPIN

npt

Polymesh

polyx

SIDUS

sidus

XEN Crypto

xen

XPLA

xpla

Agoric

bld

Avocado DAO Token

avg

ECOx

ecox

Evmos

evmos

Stader

sd

Tribal Finance

tribl

Argentine Football Association Fan Token

arg

Bonk

bonk

Hooked Protocol

hook

SpaceMine

mine

Vita Inu

vinu

Volt Inu

volt

Dogechain

dc

Flare

flr

Hifi Finance

hifi

PREMA

prmx

Friends With Benefits Pro

fwb

Mythos

myth

StakeWise

swise

Access Protocol

acs

Blur

blur

Dimitra

dmtr

DeFi Kingdoms

jewel

Dopex

dpx

Angle Protocol

ageur_eth

Magic

magic

Arbitrum

arb

Bone ShibaSwap

bone

Bitgert

brise

Gifto

gft

Gains Network

gns

Onomy Protocol

nom

Echelon Prime

prime

Radiant Capital

rdnt

SingularityNET

agix

Wrapped Axelar

waxl

XANA

xeta

Blockchain Brawlers

brwl

IguVerse

igu

KCAL

kcal

MOVEZ

movez

Push Protocol

push

RSS3

rss3

Aleph Zero

azero

Amazy

azy

BoringDAO

boring

Caduceus

cmp

Cryowar

cwar

Everdome

dome

Ertha

ertha

TopGoal

goal

Camelot Token

grail

GetKicks

kicks

Lumerin

lmr

MagicCraft

mcrt

Morpheus.Network

mnw

Gold Fever

ngl

Nodle

nodl

Origin DeFi Governance

ogv

OpenLeverage

ole

Orbcity

orb

Pocket Network

pokt

PUMLx

pumlx

RankerDAO

ranker

Skeb Coin

skeb

Splintershards

sps

Bit.Store

store

StreamCoin

strm

Victoria VR

vr

Moonwell

well

WeWay

wwy

XDEFI

xdefi

LayerAI

lai

Pepe

pepe

ArbDoge AI

aidoge

ASTRA Protocol

astra

Beldex

bdx

CANTO

canto

Cetus Protocol

cetus

ChainGPT

cgpt

FINSCHIA

fnsa

Fuse

fuse

Izumi Finance

izi

Karate Combat

karate

Kaspa

kas

Milady Meme Coin

ladys

MongCoin

mong

Myria

myria

Superpower Squad

squad

Sui

sui

SUIA

suia

Tamadoge

tama

TENET

tenet

tomiNet

tomi

TomTomCoin

toms

Turbo

turbo

Turbos Finance

turbos

VVS Finance

vvs

WiFi Map

wifi

World Mobile Token

wmt

Wojak

wojak

COMBO

combo_combo

Lybra Finance

lbr

Maverick Protocol

mav

Rollbit Coin

rlb

Tortuga Finance Aptos

tapt

Shimmer

smr

Vela Exchange

vela

Bitget Token

bgb

Quickswap

quick_new

Arkham

arkm

DexCheck

dck

UniBot

unibot

Worldcoin

wld

Neon EVM

neon

First Digital USD

fdusd

Sei

sei

Wombat Exchange

wom_wombatexchange

ORDI

ordi

r/CryptoCurrency Moons

moon

Big Time

bigtime

r/FortNiteBR Bricks

brick

CyberConnect

cyber

LimeWire

lmwr

MARBLEX

mbx

Neutron

ntrn

Bittensor

tao_bittensor

Celestia

tia

Veloce

vext

Wall Street Memes

wsm

ZELIX

zelix

ZTX

ztx_ztx

Viction

vic

BEAM (Merit Circle)

beamx

Pyth Network

pyth

SwissBorg

borg

Hunt Town

hunt

DIMO

dimo

PayPal USD

pyusd

SATS (Ordinals)

sats

Bitcoin Cats

1cat

analoS

analos

Moon App

app

Communis

com

Coq Inu

coq

Chainflip

flip

Inspect

insp

Jito

jto

Manta Network

manta

Multibit

mubi

Myro

myro

NFPrompt

nfp

Ondo

ondo

Port3 Network

port3

The Root Network

root

RepubliK

rpk

Saros

saros

Shrapnel

shrap

Silly Dragon

silly

sols

sols

TokenFi

token

TurtSat

turt

Vanar Chain

vanry

Vertex Protocol

vrtx

dogwifhat

wif

Zignaly

zig

ZKFair

zkf

Pepe 2.0

pepe2

Artyfact

arty

Rats

rats

Dypius

dyp_new

Sleepless AI

ai_sleeplessai

Fusionist

ace_fusionist

Dymension

dym

Appendix B

The following table lists the weights applied to each one-minute time interval described in Section 5.4 Calculation Algorithm.

Time IntervalWeight

0

0.000000

1

0.000526

2

0.001052

3

0.001578

4

0.002104

5

0.002630

6

0.003156

7

0.003682

8

0.004208

9

0.004734

10

0.005260

11

0.005786

12

0.006312

13

0.006838

14

0.007364

15

0.007890

16

0.008416

17

0.008942

18

0.009468

19

0.009994

20

0.010520

21

0.011046

22

0.011572

23

0.012098

24

0.012624

25

0.013150

26

0.013676

27

0.014202

28

0.014728

29

0.015254

30

0.015780

31

0.016306

32

0.016832

33

0.017358

34

0.017884

35

0.018410

36

0.018936

37

0.019462

38

0.019988

39

0.020514

40

0.021040

41

0.021566

42

0.022092

43

0.022618

44

0.023144

45

0.023670

46

0.024196

47

0.024722

48

0.025248

49

0.025774

50

0.026300

51

0.026826

52

0.027352

53

0.027878

54

0.028404

55

0.028930

56

0.029456

57

0.029982

58

0.030508

59

0.050000

60

0.050000

Change Log

  1. Version 1.6 on March 28, 2024: Added clarifying language on how candidate markets are selected. The coverage universe is expanded to include the following assets: zeta, htx, mavia, dmail, defi, far, lends, aitech, ice_icenetwork, navx, bome, planet, weeth, nos. The following assets are terminated from the coverage universe: ssx, rev, pla.

  2. Version 1.5 on March 8, 2024: The coverage universe is expanded to include the following assets: jup wif ondo arty pixel nfp portal coq flip myro vrtx ace_fusionist app rats root rpk saros shrap zkf ai_sleeplessai com insp pepe2 port3 token zig 1cat dyp_new mubi turt analos tao_bittensor silly sols dym. The following assets are terminated from the coverage universe: quick, phnx.

  3. Version 1.4 on January 25, 2024: The coverage universe is expanded to include the following assets: pyusd, pyth, xai, beamx, sats, vic, hopr, borg, cbk, dck, combo, xsgd, dimo, hunt, manta, mvl, dext, gog, moc, upp, bzz, mix, bax, layer, gene, pbx, phnx, hapi, idea, lmr, maha, nord, srk, jto, vext, vanry. The following assets are terminated from the coverage universe: zks, ice, jet, srn, cover, saitama.

  4. Version 1.3 on December 13, 2023: Modify data inputs section to remove usage of Market Selection Framework and replace it with the Trusted Exchange Framework. Modify logic used to generate candidate markets and select constituent markets. The coverage universe is expanded to include the following assets: ace, act, insur, ngc, wild, ctx, cre, clo, unb, meme, like, rfox, roobee, play, nwc, bepro, weth, mcb, mlk, pol, trade, ufo, rfuel, hyve, hydra, okt, hbtc, aqt, bondly, muse, orai, pando, pbr, dsla, kono, psl, xcur, isp, stnd, caps, crts, derc, epik, gmee, orc, png, route, sdao, slim, xava, yld, zcx, blok, eqx, leash, naka, opul, vega, xwg, cere, jet, o3, shill, ads, next, trvl, wsteth, lat, deso, wlkn, bnc, pdt, bbf, cweb, lbl, npt, xpla, arg, mine, fwb, swise, dmtr, ageur_eth, nom, waxl, brwl, push, azero, azy, boring, cmp, cwar, dome, ertha, goal, kicks, mcrt, mnw, ngl, nodl, ogv, ole, orb, pokt, pumlx, ranker, skeb, sps, store, vr, well, wwy, xdefi, bdx, fnsa, fuse, izi, karate, myria, suia,