BNC Ethereum Liquid Index (ELX)
BNC has developed the Ethereum Liquid Index (ELX) to meet the marketplace requirement for a single, reliable and fair USD price for Ethereum — based on live real-world trading activity. The index is designed to report a market price at which liquidity could enter or exit an Ethereum position. The ELX captures a comprehensive, global sample of liquidity on the highest volume and quality exchanges. Ideal for settlements and accurate spot pricing, the ELX API includes 30 second Intra-Day pricing, End-of-Day OHLCV and Time & Volume-Weighted-Averages.
BNC accesses multiple API outputs from each constituent exchange and captures in real time:
- Time-stamp
- Individual trade ID
- Exchange ID
- Trade Price in USD or BTC
- Trade volume (in ETH)
- Orderbook Depth (both sides)
Methodology & Constituent Exchange Qualifiers
The ELX sources data from only the most liquid exchanges by volume and order-book depth. Given that exchanges are third-party organizations operating in a volatile and competitive marketplace, BNC reviews its constituent mix and index methodology every quarter to ensure the quality of its indices.
For a constituent exchange to be included in the ELX it must meet the following qualifying criteria:
- Offer fully automated trading of Ethereum with volume, depth and consistency of transactions.
- Charge transaction fees.
- Provide a stable API with options for on-going, live, full trade data capture.
- Exhibit a track record of uninterrupted customer deposits/withdrawals.
- Show compliance with applicable regulations in its operating jurisdiction.
- Be AML/KYC compliant.
- Maintain orderly market conditions at all times.
- Maintain a significant record of liquidity.
Index Constituents
BNC has set its minimum number of constituents for index compilation at six. This ensures effective data redundancy and uncompromised index quality.
The following exchanges contribute reliable, real-time, public market data to BNC and have met the ELX constituency requirements for index entry.
Factsheet
| Full Name | The Brave New Coin Ethereum Liquid Index |
|---|---|
| Symbol | BNC-ELX |
| Description | The BNC ELX represents the fair value of Ethereum, as based on trade and order book data sourced from the world’s most trusted and liquid trading platforms |
| Methodology Review | Quarterly |
| Calculation Frequency | Every 30 seconds |
| Launch Date | April 2018 |
| Historical Data | Available retrospectively to August 2015 |
| Base Currency | USD |
| Precision Level | Published with 8 Decimals |
Constituents & Trading Pairs
| Bitfinex | ETH/USD |
|---|---|
| Bitstamp | ETH/USD |
| Coinbase | ETH/USD |
| Gemini | ETH/USD |
| Kraken | ETH/USD |
| LMAX | ETH/USD |
Index Maintenance
Data Filtering
BNC’s ELX is constructed using pricing data from actual trades and exchange order books. Real-time trade data is captured, for-matted and then scrubbed for outlier transactions. Anomalous transactions are tagged and stored but have no influence over the index calculation. The constituent order books are also sampled, both bid and ask, to establish the depth of liquidity.
Index Calculation
The ELX calculates a USD price point for Ethereum at tick intervals of 30 seconds. After data filtering, the volume weighted price for each constituent is obtained from the set of trades in each tick. The BTC constituents are converted to USD with the rate sourced from BNC’s Bitcoin Liquid Index.
The constituent USD prices are then weighted according to three variables:
- Moving total trade volume
- Order book depth
- Constituent historical performance
This factor weighting ensures the index is responsive to sudden market movements, while also limiting the impact of outlier transactions and market interruption events. The result is a superior index reporting legitimate ETH trading activity globally.
Quarterly Review
While the weightings are adjusted algorithmically, there are a series of qualitative factors that are applied on top of the quantitative method. These are reviewed every three months. The performance of each constituent through the previous period is analysed and ranked. Ranking factors include:
- Daily average transaction volume
- Daily average number of trades
- Daily average order book depth
- Daily average tick presence
Additional consideration is also given to an exchange’s response to any security breaches and whether it has been subject to any independent audit during the review period.
