Data Transparency

Market Data

An inside look

How we calculate real-time aggregated prices and volumes across multiple exchanges.

Due to rampant wash trading, order book spoofing and other manipulative practices, it’s imperative to first identify which exchanges should be included in a market data feed. Read about our process and which exchanges are included in market data feed here.

Once those exchanges have been selected, The TIE aggregates price and volume using a multi-step process outlined below.

Step 1:

We need all pairs in terms of USD price to volume-weight (VWAP). All coins trade with BTC, so the “bridge” to USD is BTC/USD. To get one baseline price for BTC/USD, we first volume-weight the prices of BTC/USD pairs on our exchanges.

Exchange BTC/USD Price % of Total Pair Volume Sum to Derive BTC/USD
Exchange 1 BTC/USD $5,100 x 20% = $1,020
Exchange 2 BTC/USD $5,120 x 35% = $1,792
Exchange 3 BTC/USD $5,085 x 15% = $762
Exchange 4 BTC/USD $5,135 x 30% = $1,540
(BTC Baseline Price)

Step 2:

For each coin, get the price of each of that coin’s BTC pairs on desired exchanges. Next, volume-weight the prices (VWAP) using 24-hour volumes normalized in USD to get that coin’s aggregate BTC price.

Exchange COIN/USD Price % of Total Pair Volume Sum to Derive COIN/BTC
Exchange 1 ETH/BTC 0.029 x 25% = 0.0073
Exchange 2 ETH/BTC 0.028 x 15% = 0.0042
Exchange 3 ETH/BTC 0.030 x 30% = 0.0090
Exchange 4 ETH/BTC 0.0295 x 30% = 0.0089
(ETH/BTC Price)

Step 3:

Convert each pair on each desired exchange to USD. Depending on which coin the pair is traded against, zero, one, or two “bridges” are required.

For example, an LTC/ETH transaction will require a bridge to ETH/BTC (using Step 2’s price) and then BTC/USD price (from Step 1). An LTC/BTC transaction would bridge to USD using the BTC/USD price from Step 1. And a /USD transaction is already in USD so it doesn’t need any conversion.

Step 4:

Once all of the pairs are in USD, volume-weight them to get the final aggregate price for the coin.

Exchange COIN/USD Price % of Total Pair Volume Sum to Derive COIN/USD
Exchange 1 LTC/USD 64.81 x 20% = 12.96
Exchange 2 LTC/USD 64.95 x 35% = 22.72
Exchange 3 LTC/USD 65.10 x 15% = 9.77
Exchange 4 LTC/USD 64.72 x 30% = 19.42
(LTC/USD Final Price)