Data sampling method: OKEX's uses an API to acquire the latest prices every 6 seconds from the above exchanges.
Currency Conversion: The chosen unit of account is USD. All non-USD prices will be included in the index after being converted to USD. The USDCNY exchange rate used for the OKEX futures index is updated each Friday at time of settlement/delivery. An average rate is calculated from the market exchange rate over the past 14 days. If the average rate deviates more than 0.2% from the current system exchange rate, then the system rate will be updated to the average rate, else the system rate remains unchanged.
Treatment of abnormal index events:
1. What if the price of a single exchange deviates significantly from that of other exchanges?
If the BTC price of an exchange deviates significantly from that of the other exchanges, and the price deviation in comparison with the other exchanges' median price reaches ±10%, the price from that particular exchange shall be calculated according to ±10% of the median price of the other exchanges. For instance, when the current price of Huobi is 560 USD/BTC while the prices of the other 5 exchanges are 500 USD/BTC, 501 USD/BTC, 502 USD/BTC, 503 USD/BTC, 504 USD/BTC, the median price will be (502 + 503) / 2 = 502.5 USD/BTC. And (560 - 502.5) / 502.5 = 11.44% > 10%. Therefore, Huobi will participate in the index calculation at a price of 502.5 * (1 + 10%) = 552.75 USD/BTC, and the index shall be (552.75 + 500 + 501 + 502 + 503 + 504) / 6 = 510.46.
2. What if OKEX loses the API data connection to an exchange or the price of a single exchange deviates significantly from that of other exchanges for an extended period of time?
2.1. Less than 10% of effective data was obtained from an exchange over the past 24 hours.
The price of such exchange is considered to have no guiding significance, and the price weight of such exchange shall be adjusted to 0 (zero) temprarily. Exchanges with 0 weight shall not participate in the calculation. If at least 90% of effective data was obtained from such exchange over the past 24 hours, the weight of the exchange shall be recovered.
2.2 More than 10% of effective data was obtained from an exchange over the past 24 hours, but fail to obtain data regarding market conditions at some point (perhaps due to the other exchange suspending trading, market interruptions, DDoS attack etc.).
The price at that time shall be calculated using the last effective price obtained. Calculation method please refer to Treatment 1.
If market anomalies are found before or after settlement and delivery, which results in wide fluctuation of futures index or abnormal clawback rate, OKEX may postpone settlement and delivery as the case may be. For clarity on the specific rules, OKEX will release an announcement.