Summary Description
The CME CF Bitcoin Real Time Index (“BRTI”) is a real time index of the U.S. Dollar price of one bitcoin. It is representative of current bids and offers of market participants to buy or sell bitcoin on Constituent Exchanges. It is geared towards timeliness and represents an unbiased estimator of the instantaneous bitcoin price.
Name: CME CF Bitcoin Real Time Index CME Ticker Symbol BRTI
Administrator: Crypto Facilities Ltd.
Calculation Agent: Crypto Facilities Ltd.
Description: Instantaneous U.S. Dollar price of one bitcoin
Calculation Methodology: Real time aggregation of order book data of Constituent Exchanges
Dissemination Time: Approximately every second of each day for the entire year including weekends and holidays.
Dissemination Precision: 0.01 U.S. Dollars
Constituent Exchanges: Bitstamp, GDAX, itBit, and Kraken
Methodology
Qualitative Description The BRTI is calculated in real time based on the Relevant Order Books of all Constituent Exchanges. An order book is a list of buy and sell orders with associated limit prices and sizes that have not yet been matched due to lack of supply or demand to trade at that price. It therefore informs about the price at which a trader can buy or sell a certain amount of bitcoins as of now. In line with existing bitcoin market practices, the price/sizes tuples of buy orders (“bids”) descend by price and the price/size tuples of sell orders (“asks”) ascend by price.
Calculation steps are as follows:
- At the Effective Time, the Relevant Order Book of each Constituent Exchange is added to a joint list of order books.
- The joint list of order books is aggregated into one consolidated order book. If the size of a bid or ask order exceeds 100 bitcoins, it enters the consolidated order book with a size of 100 bitcoins, the order size cap.
- The cumulative bid price-volume curve, ask price-volume curve, mid price-volume curve and mid spread-volume curve are calculated from the consolidated order book at integer bitcoin transaction volume granularity.
- The bid price-volume curve maps bitcoin transaction volume to the marginal U.S. Dollar price per bitcoin a seller is required to accept in order to sell this volume to the consolidated order book.
- The ask price-volume curve maps a bitcoin transaction volume to the marginal U.S. Dollar price per bitcoin a buyer is required to pay in order to purchase this volume from the consolidated order book.
- The mid price-volume curve represents the average of the bid price-volume curve and the ask price-volume curve.
- The mid spread-volume curve represents the percentage deviation of the ask price-volume curve from the mid price-volume curve.
- The utilized depth is calculated as the maximum cumulative volume for which the mid spread-volume curve does not exceed 0.5%. If this volume is less than one, utilized depth is set to one
- The mid price-volume curve is weighted by the normalized probability density of the exponential distribution up to the utilized depth.
- The BRTI is then given by the sum of the weighted mid price-volume curve obtained in the previous step.
Mathematical Representation…