After substantial research and backtesting, today, Coin Metrics is happy to announce the release of the beta version of the CM Real-Time Reference Rates. The methodology document can be found here and we have provided a summary of our research here. We have also updated the CM Reference Rates to Version 2.1, detailed below.
CM Real-Time Reference Rates Background
The Coin Metrics’ CM Reference Rates is designed to act as a highly accurate pricing source for valuation and calculation of NAV. In order to deter against manipulation and provide a high quality price that is broadly representative of the market, the CM Reference Rates uses a longer time window of 61 minutes to collect trades and calculate asset prices. Thus, the shortest publication time for CM Reference Rates is once an hour.
In some cases, clients need more readily available prices, in which case they are willing to trade some reduction in manipulation resistance for timeliness.
To fit this need, Coin Metrics has created the CM Real-Time Reference Rates (RTRR). The CM Real-Time Reference Rates asset prices are calculated once every second and feature a robust market selection framework for determining the constituent markets (exchange pairs) to include in a calculation and a rigorous calculation methodology that protects against many forms of manipulation while still generating a price that is indicative of the current market condition.
CM Real-Time Reference Rates Beta Release
Today’s beta release includes historical and contemporaneous CM Real-Time Reference Rates for 203 assets (the same coverage universe as the CM Reference Rates). We have created an HTTP endpoint on the v3 (unstable) version of our API which you can review here.
During this beta release, Coin Metrics will review and refine CM Real-Time Reference Rates product. We expect the full release to occur in roughly a month, and it is expected to include a WebSocket implementation of the API.
CM Reference Rates Version 2.1 Update
Similar to the Kraken duplicate trades issue previously reported, Coin Metrics noticed and resolved several other exchange-related issues. For the reference rates generated contemporaneously since launch for a small number of assets, a small number of trades at the end of the calculation window could be excluded. Historical reference rates were unaffected. The constituent markets for the historical reference rates for Bitcoin and Ethereum have also been updated.
Coin Metric’s robust methodology meant that the net impact of these issues was minimal. For Bitcoin, 2.7 years of history were affected. For the affected time period, the median absolute percent change in price is 0.2 percent and the mean is 0.8 percent. For Ethereum, 2.5 years of history were affected. For the affected time period, the median absolute percent change in price is 0.1 percent and the mean is 0.3 percent. Smaller assets had changes of similar time periods and magnitudes.
However, out of an abundance of caution and transparency, Coin Metrics has recalculated and republished all Reference Rates for the impacted time period consisting primarily of certain months in 2013, 2017, and 2018.
Along with this recalculation, the Version 2.1 update includes publishing hourly reference rates to our v2 (stable) API. Please note that, unlike the v3 API, the default closeType in the v2 API is “mn” or midnight UTC. Documentation can be found here.
Please reach out to Coin Metrics ([email protected]) for more information on the CM Real-Time Reference Rates or the CM Reference Rates.