Index prices are typically calculated using various methodologies. The common approach involves a weighted average of constituent cryptocurrencies’ prices. The weight assigned to each cryptocurrency can be based on factors such as market capitalization, trading volume, or other predetermined criteria.

Calculation Method:

• Step 1: Adjust each constituent exchange’s last price to ensure consistency:
  • Cap each exchange’s last price within a 30 basis point (30bp) band around the median of all constituent prices:
    $Price'(i, t) = \min\left(\max\left(\text{Median}(t) – 30\text{bp}, \text{Price}(i,t)\right), \text{Median}(t) + 30\text{bp}\right)$ 

    Price′(i,t)=min(max(Median(t)−30bp,Price(i,t)),Median(t)+30bp)

  • Where:
    • 
      $Price(i, t)$ 

      $Price(i,t)$: Last price of exchange $i$ 

      $i$ at time $t$ 

      $t$

    • 
      $\text{Median}(t)$ 

      $\text{Median}(t)$: Median of last prices from all constituent exchanges at time $t$ 

      $t$

• Step 2: Calculate the index as an equal-weighted average of adjusted prices
  $Price'(i, t)$ 

  Price′(i,t).

Exceptions and Handling:

• Delayed Data: Data from exchanges deemed significantly delayed (> 500 ms) is excluded from index calculation.
• Maintenance or No Update: If an exchange’s data isn’t updated within one minute or the exchange is under maintenance, its last valid price is used for index calculation.
• Re-inclusion Criteria: To re-include an excluded exchange:
  1. Data feed isn’t significantly delayed.
  2. Received last price falls within the 30bp bandwidth around the median price of other constituents.
• Anomalous Situations: If the calculated index price varies more than 25% from the previous index price, Flipster halts index calculations for investigation.