Each index price is computed based on order book data from a number of spot exchanges. The calculation has four steps:
- Obtain a list of prices from the relevant exchanges. The price from an exchange is calculated as the average of best bid and ask in the order book.
- Calculate the median of available prices.
- Cap each price to deviate at most 0.5% from the median.
- Calculate the simple average of capped values to obtain the index price.