Reference Rates

Kaiko’s Reference Rates combine high quality data with expert governance to create quantitative, clean prices. 

High-Quality Benchmark Reference Prices.

Designed to bring greater transparency to pricing, these are rules-based and independent rates established from executed trades from centralised exchanges.

Each Reference Rate is calculated real-time (every 5 seconds), as well as being published as a daily fixing covering three different time zones: London (16:00 UTC), Singapore (08:00 UTC), New York (20:00 UTC).

Exchanges due diligence

All centralized exchanges are assessed and only the most trustworthy are considered to compose the curated list of exchanges

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Liquidity optimization

From a curated list of exchanges, an optimization process selects the most relevant exchanges whose combination provides the highest liquidity

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Robust Aggregation Method

A Volume-Weighted median combined with a TWAP reflect fair prices derived from relevant transactions coming from the selected exchanges

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Quarterly reviewed

Every quarter, the composition of each rate is reviewed to ensure these rates are aligned with current market conditions.

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Buffering Rules

Used to avoid unnecessary exchange churn during rebalancing, resulting in maximum liquidity coverage and methodology compliance

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Liquidity optimization

Focusing on coverage rather than absolute volume

If more than five exchanges pass the preliminary vetting and trade the relevant pair, a liquidity optimization process takes place in order to select the best combination of five. It is defined as the combination generating the fewest occurrences of empty publications (zero-volume buckets) for the relevant pair. By doing so, Kaiko's rates mitigate the risk of having time periods without any trades data feeding into it.

Calculation methodology

Outlier resistant

The considered time window is split into equal time partitions. All trades from selected exchanges are pooled together and a volume weighted median is picked for every partition. The final rate is calculated as a time-weighted average of all median prices. This highly mitigates the risk of incorporating outliers into the calculation.

Example with 4pm fixing on BTC USD.

List of Rates


Kaiko Digital Asset Rates Rulebook

Covers the different steps involved in the construction of the Kaiko Digital Asset Rates

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