Kaiko Equity Rates Rulebook.

Kaiko equity rates rulebook 

Kaiko’s Equity Reference Rates provide robust, manipulation-resistant reference prices for single stocks and index ETFs across U.S., Hong Kong (HKEX), and Korea (KRX) markets. Designed for perpetual futures and derivative products, the methodology leverages real-time NBBO data (Nasdaq, NYSE) with extended overnight coverage via Blue Ocean ATS for 24/6 U.S. market continuity.

The calculation uses a microprice (liquidity-weighted bid-ask midpoint) aggregated through a partitioned volume-weighted median with time-weighting (greater weight to recent data). Real-time publications occur every second (15s window, 3s partitions), while daily fixings align with Early, Regular, Late, and Overnight session closes.

Quarterly scheduled reviews apply, with extraordinary reviews for fraud or manipulation. The framework prioritizes transparency, liquidity sensitivity, and resilience against data gaps or spurious inputs.

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