A CRYPTO OTC COMMUNITY REFERENECE RATES
SG16 . NY16 . NY10
CORA CRYPTO REFERENCES
Crypto OTCs' Standard Reference Rates
for Options and Derivatives
CORA.Network, in conjunction with LON-Project, have developed and publishes a set if Fixing-Rates for the cryptocurrency to support inter-dealing markets. These rates, SG16 (4 pm Singapore Time Cut), NY10 (10 am New York Time Cut), and NY16 (4 pm New York Time Cut) are calculated based on transacted trades obtained from multiple third-party (OTC) exchanges. Each reference rate is refreshed daily for major crypto pairs.
This section summarizes the methodology used to compute these daily fixes. The lower sections also describe the method to query data through the Public RESTful web API.
Daily fixings are computed according to the following methodology:
We import live streaming data from APIs of Coinbase, Kraken and Bitstamp.
At fixing time, the previous hour (60 min before) of trading data is imported: Transacted Spot trades between 3 - 4 pm Singapore Time for SG16 Fix, and 9 - 10 am Eastern Standard Time for NY10 Fix.
The trades are split into 4 partitions of 15 minutes each. E.g. SG16 is split into the following blocks: 3:00 - 3:15pm, 3:15 - 3:30pm, 3:30 - 3:45pm and 3:45 - 4:00pm. Within each block, conduct the following:
Sort transactions in descending order, on executed price.
Eliminate top and bottom 10% of transactions based on executed price. This leaves us with the median 80%.
Compute the volume weighted price (based on BTC or ETH volumes).
We compute the volume weighted price of the 4 partitions to calculate the Fixing Rate. The Fixing Rates are published on site, and accessible through the web API within 1 minute after the fixing time cut-off (usually is available within 5 seconds).
Web Api Integration & Description
HTML <iFrame /> Integration
Simply add this to your website:
<iframe src="https://prototype.lon.exchange/fixingrates?bgcolor_rgba=rrggbbaa" />
Contingency Calculation Rules
Delayed or missing data: Data that cannot be retrieved from the exchange API is disregarded for the fixing. If no data can be retrieved from any exchange, a calculation failure occurs.
Erroneous data: Non-numeric and non-positive trade values are flagged as erroneous. Data with unusual format are also flagged as erroneous. All erroneous transactions are excluded for the calculation day. We further conduct automated screening for potentially erroneous data. If all values are erroneous, a calculation failure occurs.
Calculation failure: If a calculation failure occurs, the reference rate of the previous day is used. The calculation failure is reported to the oversight committee.