Definition
Amberdata’s Reference Rates provide benchmark prices for BTC and ETH across qualified exchanges. Amberdata’s hourly and daily reference rates are published once per hour and once per day. They are SOC I and II compliant, GAAP-aligned, and adhere to the IOSCO Principles for Financial Benchmarks. Reference rates play an important role for financial institutions, which use benchmark reference prices for reporting, making informed trading decisions, and settling contracts. Amberdata’s Reference Rates are produced using trade data from exchanges that meet a selection of quantitative and qualitative criteria. The trade data is processed via several statistical techniques to produce a highly representative United States dollar price for a given digital asset. The price is denominated in U.S. dollars because the U.S. dollar is the most widely used currency in international transactions.Details
The daily rate is an hourly reference rate marked with a timezone relevant to the user’s geographical location. For example, an hourly reference rate calculated at 8 p.m. UTC is the 4 p.m. EST daily reference rate and will be marked as such when the rate is produced. BTC and ETH reference rates are currently available via REST API, with delivery in AWS S3 coming soon. The algorithm for hourly and daily reference rates of an Asset, A, at Delivery Time, T, can be summarized in the following steps:- At the top of the hour, retrieve all Qualified Transactions for Asset, A, within the Lookback Window, L
- Convert all of the Qualified Transactions to U.S. dollar prices where necessary
- Split L into K partitions of size L
- Within each partition, calculate the volume weight per unique price level per exchange
- Within each partition, calculate the price variance weight per exchange
- Within each partition, calculate the transaction weight per exchange
- Combine the aforementioned weights to generate an aggregate weight per price level per exchange within each partition
- For each partition, calculate the weighted median price using the price and aggregate weight pairs
- The outcome of the weighted median calculation will be K prices, one for each partition of L
- Using the K prices, compute a Hadamard product with exponentially decreasing time weights defined for each partition
- The sum of the elements in the Hadamard product vector is the hourly reference rate
- For the supported time zones and geographies, mark the hourly reference rate as a daily reference rate when appropriate
API Endpoints
Spot
/markets/spot/reference-rates/Availability
Qualified Exchanges Exchanges are qualified using a rigorous methodology. A venue is eligible to be a Qualified Exchange if it offers a spot trading market for any of the Qualified Transactions of the Supported Assets. All venues that are in consideration to be included in the reference rate calculation must fulfill the following quantitative measures:- For a given asset in Supported Assets, over the previous 180 days, the mean daily volume of the asset in the venue under evaluation must be at least 3% of the combined mean daily volume of the asset across all venues over the same period.
- 3% is set as the threshold because 2.35% is the cutoff for two standard deviations. Hence we round up to the nearest integer to not be below the two standard deviation threshold
- Volume is measured in units of the given asset
| Exchange | Methodology Version | Removed in Version |
|---|---|---|
| Binance | 1.0.0 | |
| Binance.US | 1.0.0 | |
| Bitfinex | 1.0.0 | |
| Bitstamp | 1.0.0 | |
| Bybit | 1.0.0 | |
| Coinbase | 1.0.0 | |
| Gemini | 1.0.0 | |
| Huobi | 1.0.0 | |
| Kraken | 1.0.0 | |
| LMAX | 1.0.0 | |
| MEXC | 1.0.0 | |
| OKX | 1.0.0 | |
| Poloniex | 1.0.0 |
| 4 p.m. Relative to UTC | Geographic Location |
|---|---|
| “T16:00:00-04:00” | New York |
| ”T16:00:00-05:00” | New York |
| “T16:00:00+00:00” | London |
| “T16:00:00+01:00” | London |
| “T16:00:00+09:00” | Tokyo |
| “T16:00:00+08:00” | Singapore & Hong Kong |
| “T16:00:00+04:00” | Dubai |
Frequently Asked Questions
What makes your reference rates manipulation-resistant?- The reference rate algorithm is highly immune to manipulation through the use of weights and medians. The combination of price-level volume weight, exchange price dispersion weight, and exchange transaction weight ensures that exchanges with high volume and low price dispersion are treated favorably.
- Staying relevant is crucial in volatile crypto markets, where prices can and do change extremely rapidly. Amberdata uses exponential time weighting in our calculations by assigning more weight to recent transactions. This makes the reference rate highly responsive to the latest market conditions. By emphasizing recent data, our approach minimizes the impact of earlier noise and any outliers and reduces lag effects from news, regulatory events, or large trades that affect other methods.
- Amberdata’s methodology considers how price dispersion is important during periods of high volatility and also penalizes illiquid and highly volatile exchanges in the calculation. For time-sensitive and regulation-bound use cases (such as a benchmark for financial instruments, tax, accounting, compliance, etc), our comprehensive and responsive approach ensures precision, relevance, and accuracy.
- There are two options for New York and London to account for Daylight Saving Time and British Summer Time, respectively.