Data retrieval: the latest prices of the major exchanges are retrieved through API every 6 seconds.
- If the accounting currency is USD, all non-USD price will be converted to USD before index computation. OKEx references the average 14-day OTC exchange rates. On every settlement date, if such average rate deviates from the system's current standard rate for more than 0.2%, the system will take the average rate as the new standard.
- If the accounting currency is BTC, such as XRP/BTC price, it will be displayed in USD or CNY after the conversion based on OKEx's BTC index.
How do we handle abnormal situations:
1. The price of a single exchange deviates greatly from other exchanges
Solution: When the price of a certain exchange deviates more than ±10% from the average price of other exchanges, such exchange's price will be calculated as ±10% of the average price of other exchanges:
Let's say the BTC price of Huobi is USD560, and the prices of other exchanges are 500, 501, 502, 503, 504 (USD).
The average price of other exchanges is 502.5, so the price of Huobi deviates from others by (560-502.5)/502.5=11.44%, which is more than 10%.
Instead of USD560, system will take 502.5*(1+10%)=552.75 instead as Huobi's price.
Therefore, the final index will be (552.75+500+501+502+503+504)/6=USD510.46
2. Data lost or large price deviation of a single exchange
2.1 If the valid data available from a single exchange in the last 24 hours is lower than 10%
Solution: We will remove the exchange's price from the computation until the valid data available in 24 hours is larger than 90%.
2.2 If the valid data available from a single exchange in the last 24 hours is larger than 10%, but it is not retrievable for a certain period (due to exchange closed, market suspended, attacked or other reasons).
Solution: We will take the latest valid price retrieved into computation and adopt the same rule mentioned in situation (1).
If market anomalies occur before or after settlement and delivery, which results in wide fluctuation of futures index or abnormal clawback rate, we may postpone settlement and delivery as the case may be. We shall post an announcement regarding detailed rules.