On 22 November 2019 at 12:00:05 UTC, BitMEX will update its indices across all products to ensure that the reference prices our users trade against more closely reflect the market consensus price of underlying assets. This will allow you to trade against data which is better optimised for fairness, robustness and accuracy.
We will achieve this by calculating index weights based on observed trading volumes across a broader set of index constituent exchanges. Volume data is obtained directly from each such exchange via API connection. This change could reduce the impact that movements on a single exchange that are contrary to the market consensus might have on your trading positions. Index calculations will continue to be transparent and easy to replicate.
The affected indices are .BXBT, .BETH, .BETHXBT, .BXRPXBT, .BBCHXBT, .BLTCXBT, .BEOSXBT, .BADAXBT and .BTRXXBT.
When the constituent of an index is updated, the related index price may change. This is why over the coming days we will be publishing BitMEX “NEXT”, a new family of indices that will run in parallel and reflect anticipated changes. BitMEX “NEXT” indices will not be used for valuation or settlement but by publishing them in advance, we hope to help our users better understand any differences before changes are applied to our indices during the 22 November 2019 switchover.
Please see below some Q&As on the upcoming changes.
How will the updated indices be more representative?
- More exchanges: BitMEX is adding three new exchanges to its constituent universe to make a total of nine exchanges. This expanded set of exchanges will be reviewed periodically and updated in line with market developments. Through these additions, more data will be available to assist HDR Global Trading Limited (“HDR”), as the operator of BitMEX trading platform, in its determination of the true price of each relevant underlying asset, creating a more accurate and robust reference price for our users.
- More constituents per index: Every constituent exchange is considered for inclusion in every index. This may lead to data from more constituent exchanges being used in an index resulting in increased price accuracy in relation to its underlying asset.
- Weights based on observed trading volumes: Updated indices will reflect higher weights for exchanges with higher volumes. This approach will ensure that BitMEX index prices are more representative of the trade price per trade than per exchange.
How are the index prices calculated?
Each BitMEX index price is calculated as a weighted average of the Last Price for each constituent exchange. Index prices are calculated and published every 5 seconds.
How are the weights calculated?
For each index, BitMEX observes the traded volumes of the underlying asset, obtained directly via API connection, across each exchange in the constituent universe. Proprietary mechanisms are used to identify malformed and anomalous data, which is discarded. The BitMEX index weights are computed using this volume data with the calculation removing constituents with insufficient trade volume.
For the avoidance of doubt, and in accordance with BitMEX Terms of Service, HDR accepts no responsibility for the accuracy of any volume (or other) data received from any exchange and used to calculate the price of any BitMEX index and excludes all liability for any claimed losses arising in connection with its calculation and publication of any such index.
When are the weights updated?
Index weights will be updated on a quarterly basis. The initial index weights are shown in the table below. After this initial update, future index weights will be updated immediately after quarterly future expiries at 12:00:05 UTC. The updates to the weights will be announced three weeks in advance.
As of 22 November 2019 at 12:00:05 UTC, assuming no constituent exchanges have been excluded due to Index Protection Rules, BitMEX index weights will be:
|
|
Binance |
Bitstamp |
Bittrex |
Coinbase |
Gemini |
Huobi |
Itbit |
Kraken |
Poloniex |
|
.BXBT |
– |
26.81% |
– |
44.44% |
6.19% |
– |
4.20% |
18.36% |
– |
|
.BETH |
– |
18.12% |
– |
47.83% |
8.15% |
– |
5.41% |
20.49% |
– |
|
.BETHXBT |
60.62% |
2.76% |
– |
7.23% |
– |
24.53% |
– |
4.86% |
– |
|
.BXRPXBT |
60.89% |
2.72% |
5.61% |
9.63% |
– |
12.94% |
– |
3.31% |
4.90% |
|
.BBCHXBT |
43.66% |
2.93% |
3.08% |
10.21% |
– |
37.20% |
– |
2.92% |
– |
|
.BLTCXBT |
57.08% |
– |
2.71% |
16.67% |
– |
20.23% |
– |
– |
3.31% |
|
.BEOSXBT |
57.55% |
– |
– |
– |
– |
42.45% |
– |
– |
– |
|
.BADAXBT |
80.84% |
– |
9.20% |
– |
– |
6.84% |
– |
3.12% |
– |
|
.BTRXXBT |
67.75% |
– |
– |
– |
– |
32.25% |
– |
– |
– |
How can I track the prices of the new indices?
BitMEX will introduce a new family of indices, the BitMEX “NEXT” indices. The purpose of BitMEX “NEXT” indices is to display, in advance, the hypothetical prices of BitMEX indices which include any new weights, allowing our traders to experience and better understand the potential impact of forthcoming index changes. BitMEX “NEXT” indices will be published on the BitMEX website and API.
The weights for BitMEX “NEXT” indices will be updated as soon as new BitMEX index weights are announced. On 22 November, once the weights are updated for BitMEX indices, the BitMEX indices prices will be the same as the BitMEX “NEXT” indices.
Please note that BitMEX “NEXT” indices are not used for valuation or settlement.
What can I expect when the index updates are switched on?
When the index weights are updated, index prices may experience small shifts. Experienced users will know that BitMEX is well equipped to handle large shifts thanks to our exchange protection mechanisms. We encourage you to monitor the differences between the current and future index prices using the BitMEX “NEXT” indices and factor possible shifts into your risk assessment.
Where can I find out more?
The BitMEX “NEXT” indices are available for your reference and include the index weights calculations. You can also read BitMEX “NEXT” specific documentation to further understand BitMEX indices.
If you have any further questions, please contact Support via our contact form.