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BNC High Frequency Pricing Methodology

The BNC High Frequency Index family (BNC:HF) tracks the real-time market price of cryptocurrencies using orderbook data.

Launched in September 2019, this institutional-grade index product is amongst the first in the world to provide cryptocurrency price discovery at sub-second frequency.

The index is owned and administered by Brave New Coin under the principles:

 

Representative The index should closely follow the target market and represent an adequate sample.
Transparent The index should be transparent in its design and reproducible in its calculation.
Timely The index should be computed as frequently as necessary to reflect price changes in the constituent assets.
Robust The index should be robust to disruptions such as erroneous data or pricing source outages, and be resistant to manipulation.

 

BNC’s High Frequency Pricing (HFP) service calculates cryptocurrency price indices in real time from the orderbooks of approved pricing sources. Where other BNC price indices rely on executed transactions (trades), due to its high frequency of calculation the HFP service uses only executable transactions (bids and asks).

As such, HFP rates are forward looking in nature, reflecting market participants intent to trade at a single point in time. This methodology delivers greater transparency into current market liquidity and price discovery within markets that may not trade as regularly as other constituents.

 


Please see the below public release for full details on this announcement.


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