Updates and Enhancements to the CM Reference Rates

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Today, Coin Metrics is happy to announce a series of updates and enhancements to our CM Reference Rates products. 

CM Real-Time Reference Rates Version 0.1 (Beta 2)

The release of CM Real-Time Reference Rates Version 0.1 (Beta 2) includes the changes noted below. An updated methodology document is available here. Please note that the recalculation mentioned below has a cross impact on the CM Network Data Pro – Block-by-Block (Real-Time) Version 2.1 release which is detailed here.

Methodology Enhancements 

Coin Metrics has enhanced and improved the CM Real-Time Reference Rates methodology. Specifically, the methodology now incorporates inverse price variance weighting, in addition to volume weighting, which reduces the weighting of markets that contain extreme price outliers. 

Under normal circumstances, the variance of the price for each of the selected constituent markets will be very similar. So each market will get a similar inverse price variance weighting. However, when one constituent market contains a significant outlier, due to unusual circumstances such as an errant trade or error in the exchange matching engine, that market will have a very high variance in their price compared to other markets which are orderly. The inverse price variance of the constituent market with the outlier will be very small and that market will receive less weight.

Overall, this methodology update makes the CM Real-Time Reference Rates more stable and less susceptible to outliers, particularly for assets that are thinly traded. 

Coin Metrics has recalculated and published all historical real-time reference rates which are now available in the API. The CM Real-Time Reference Rates methodology will be left in “beta” while Coin Metrics continues to test-stress and monitor performance. Once satisfied that the methodology is sufficiently robust, we will promote the methodology to version 1.0.

Methodology Enhancements Examples

As a brief supplement to the CM Real-Time Reference Rates Research Summary published as part of the Beta release, please see below for an example of the updated methodology versus the old methodology. You can see that the current, enhanced methodology more intelligently manages the Poloniex outlier trade when compared to the original methodology. 

Current Methodology Version 0.1 (Beta2):

Previous Methodology Version 0 (Beta):

New Assets

As part of the CM Real-Time Reference Rates Version 0.1 (Beta 2) release, Coin Metrics has expanded the Coverage Universe to include two new assets: Beam (beam) and Algorand (algo).

CM Hourly Reference Rates Version 2.1

The release of CM Hourly Reference Rates Version 2.1 includes the changes noted below. An updated methodology document is available here. Please note that the recalculation mentioned below has a cross impact on the CM Network Data Pro – Daily Macro (EOD) Version 4.4 release which is detailed here.

New Assets

As part of the CM Hourly Reference Rates Version 2.1 release, Coin Metrics has expanded the Coverage Universe to include two new assets: Beam (beam) and Algorand (algo).

Please reach out to Coin Metrics ([email protected]) for more information on CM Reference Rates.

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