About BitMEX Indices
BitMEX indices are synthetic, which means they are calculated using many data sources. BitMEX currently has 19 data sources: Binance, Bitfinex, Binance US, Bitstamp, Bittrex, Bybit, Cryptodotcom, Coinbase, FTX, Gateio, Gemini, Huobi, Itbit, Kraken, Kucoin, LBank, OKEx, Poloniex, Refinitiv.
In order to represent the market consensus price of the underlying asset, each BitMEX index is calculated as a weighted average of the “last traded prices” of each constituent exchange. Index prices are calculated and published every 5 seconds. The index weights are shown in the table below. Constituent exchanges and index weights are reviewed and updated quarterly. Changes will be posted on the BitMEX website, on the BitMEX Blog and via the BitMEX RSS feed , with notification three weeks prior to implementation. At that time, the BitMEX “NEXT” index will be released to track the hypothetical price of the index with the new weights.
BitMEX Index Weights, assuming no constituent exchanges have been excluded due to Index Protection Rules, applicable from 24 June 2022 at 12:00:05 UTC.
Weighting of BitMEX Indices
The weighting of the BitMEX index will be updated immediately after each quarterly futures expiration and based on three months of total volume data on constituent exchanges. The date range of the data will be from 08:00 GMT+8 (00:00 UTC) on the first day of the month for the expiring quarterly futures to 08:00 GMT+8 (00:00 UTC) on the first day of the month for the next quarterly futures (00:00 UTC).
For example, on December 25, 2020 20:00:05 GMT+8 (12:00:05 UTC), the updated weights will be used in the calculation of the BitMEX index. These weights will be announced on 4 December 2020 and will be based on 08:00 GMT+8 1 September 2020 (00:00 UTC) to 08:00 1 December 2020 GMT+8 ( Component exchange volume data at 00:00 UTC). These weights will apply to the BitMEX “NEXT” index from December 4, 2020.
BitMEX “NEXT” indices (eg .BXBT_NEXT ) will display hypothetical index prices with new weights. Once the published weights are in effect, these index prices will be in line with normal index prices (i.e. .BXBT_NEXT and .BXBT will have the same price). “NEXT” indices are not used for pricing or settlement , they are used to display hypothetical index prices with new weights prior to implementation.
BitMEX “NEXT” Index Weights, assuming no constituent exchanges have been excluded due to Index Protection Rules, last updated on 2 September 2022. For current weights including any excluded factors, please see the relevant Index Constituent Breakdown.
These “NEXT” index weights are computed using three months of constituent exchange volume data from 00:00 UTC on 1 June 2022 to 00:00 UTC on 1 September 2022.
Exponential Weight Method
BitMEX index weights are calculated by directly using the API to connect the trading volume data obtained from each of the above constituent exchanges. Use proprietary mechanisms to identify and remove malformed and abnormal data. The index weight calculation removes constituent exchanges that are under-traded. For the avoidance of doubt, and in accordance with the BitMEX Terms of Service, HDR Global Trading Limited (the operator of the BitMEX trading platform), the accuracy of any trading volume (or other) data received from any exchange used to calculate the value of any BitMEX index disclaims all responsibility and accepts no liability for any claimed losses arising from its calculation and publication of any such indices.