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Kaiko Digital Asset Rates.

Trusted and reliable single-asset rates, administered by Kaiko Indices.

Rates RulebookDocumentation


True Prices for Digital assets

Our industry-leading digital asset rates are used as the underlying for financial products or for valuation and reporting use cases.

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  • Expert Administration
    Governed by Kaiko Indices, a BMR-compliant benchmark prices and indices provider.

  • Comprehensive Coverage
    Reliable rates for a wide range of digital assets

  • Intraday and End-of-Day
    Disseminated in real-time, with daily fixings London, Singapore, NYC. 

  • Rules-based and Independent
    Robust filtering for liquidity, outlier-resistant, time-weighting, and more 

  • FOREX Converted Rates
    Kaiko rates integrating TP ICAP FOREX conversions for trusted valuation in multiple currencies.

  • Price Rates

    Single-asset cryptocurrency price rates for financial professionals seeking the broadest coverage.

  • Reference Rates

    BMR-compliant reference rates built with a rigorous construction methodology and expert governance.

  • Custom Rates

    Tailor made rates to power some of the most innovative solutions in the market.

Exchange Vetting

Before any rates are computed, Kaiko applies a rigorous exchange vetting mechanism using our extensive due diligence.

Price Rate

Basic Vetting

Not be on a sanction list

Minimum one basic vetted exchange

Reference rate

Full Vetting

Not be on a sanction list

At least 5 years of operation

In a stable and open country

Regulated by a government body

Strong KYC/AML controls

Maintain trading policies

Provide cold storage

Offer API & Websocket

Offer live & historical trade data

Minimum three full vetted exchanges

Liquidity Optimization

Focusing on liquidity 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 and manipulation-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:

Documentation

Kaiko Digital Asset Rates Rulebook

Methodology and details on the construction of all rates.

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