How are crypto price indices calculated?
- Author
- CRYPTO PORT Editorial
- Published
- Updated
- Reading time
- 6 min
In short
The same asset shows different prices on different sites because each index picks different venues, weights them differently and handles outliers differently. There is no single official price in crypto; every index rests on design decisions. The prices shown on this site are reference values in exactly that sense — check the actual order book on your exchange before trading.
Key points
- Which venues are included changes the price
- Volume-weighted and simple averages give different results
- Rules exist for excluding outliers and halted venues
- There is no single official price
Definition
The defined procedure by which prices from multiple exchanges are combined into one representative value, according to fixed rules on venue scope, weighting and outlier handling.
Index design starts with venue selection. Some indices filter by minimum volume, identity-verification practices or a track record of honouring withdrawals; others include venues broadly. That choice alone changes the result at any given instant.
Next comes weighting. A simple average gives a thinly traded venue the same weight as a deep one, which drifts from the real market. Volume weighting favours active venues but distorts if volume is inflated. A time-weighted average smooths sudden spikes at the cost of lagging genuine moves.
Outlier handling matters too. Rules typically discard prices beyond a set distance from the median and drop venues whose feeds have gone stale. For indices used to settle derivatives, these rules translate directly into profit and loss, so exchanges publish the methodology as a specification.
So when two sites disagree on a price, that is the design difference showing, not a fault. The prices listed here, like anywhere else, are reference values; what you actually fill at depends on the order book and spread at the venue you trade on.
Watch out for
- · A displayed price is a reference, not the price you will fill at
- · The thinner the liquidity, the wider the gap between sources
- · Liquidation indices are defined per exchange — read the contract specs