With effect from 04:00:00 UTC today (14 August) we have updated the Index Protection Rules for indices with 3 or more constituents by adding an Index Constituent Reintroduction methodology.
Once a constituent has been excluded from an index due to price deviation, it will be monitored and automatically reintroduced to the index once its price has remained within one of the following thresholds for a continuous period of 15 minutes:
- Within 2% of the median of the remaining active constituents’ prices, when there are
- 2 or more remaining active constituents; or
- 1 remaining active constituent and index price is NOT set as the last calculated index price.
- Within 25% of the index price, when there is
- 1 remaining active constituent and index price is set as the last calculated index price; or
- No remaining active constituents.
Here is an example of how it works:
For an index with three constituents (A, B, C), suppose the initial price for exchanges A, B, C is 100, then:
|
Time |
Price (A) |
Price (B) |
Price (C) |
Active |
Comment |
|
14:59:55 |
100 |
100 |
100 |
A,B,C |
Index has three constituents. |
|
15:00:00 |
150 |
100 |
100 |
B,C |
A is excluded as it deviates by more than 25% from the median (100). |
|
15:20:00 |
122 |
120 |
120 |
B,C |
A is within 2% of the median of B and C for the first time after exclusion. |
|
15:35:00 |
130 |
131 |
129 |
B,C |
A has been within 2% of the median of B and C for the last 15 minutes. |
|
15:35:05 |
131 |
131 |
129 |
A,B,C |
A is reintroduced after being within 2% of the median of B and C for the last 15 minutes. |
|
15:35:10 |
140 |
138 |
139 |
A,B,C |
Index has three constituents. |
Please refer to Index Protection rule 4 on BitMEX Indices webpage.
If you have any further questions, please contact Support.