The Qume Bitcoin Index (QBI) tracks the spot price of Bitcoin. Historical QBI prices can be found on the exchange Data Page.
In order to reduce unnecessary liquidations and improve market dynamics, we use the following approach for index calculation:
The Qume Bitcoin Index utilizes a "Consolidated Best Bid and Offer" (CBBO). We filter prices and quote sizes from over 5 exchange order books. This enables us to remove unnecessary price levels, such as quotes less than 1 BTC which could induce “crossed market” pricing. The strength of this type of quote is observable by the fact that using a 1BTC amount as a filter results in a drop of crossed pricing from 94% of the time to 71% of the time. Higher sizes of 5-10 BTC affect this even more and are far more reliable indicators of where the actual market trades.
Calculating the reference price as a function of spot exchange prices, such as equal weighting after removing n-outliers, exposes the reference price to a variety of problems. Those could be purely operational/accidental but are often intentional attacks as well. This has been seen more recently, with some high-profile exchanges causing a domino-like effect on user positions on large derivative exchanges and auto-liquidations en-masse.
By using the CBBO filtered for actual trading sizes, any exchanges that are affected by the above problems do not even show up in the consolidated quote. This increases reliability for the users of the exchange as they are protected from the importation of reference pricing threat vectors.
We believe that utilizing an index, which, by its very nature, introduces arbitrary weightings of the markets whose prices it includes, renders the market for Bitcoin more opaque than it needs to be. Considering that the goal of this type of product should be to increase transparency, we think it is the wrong direction. Instead, we favour using consolidated quote data, either with or without fees as the basis for determining the price of Bitcoin or other crypto assets. This has the additional benefit of providing accurate estimations of the cost of trading for Trading Cost Analysis (TCA) applications, which will help investors measure “Best Execution.”.