What is the Index Price
The index price is used to reflect the market price of digital assets. It is generally derived by collecting spot quotes from major exchanges and calculating a weighted average.
Elements of the Index Price
| Element | Description |
|---|---|
| Index Price | A comprehensive reference price calculated by weighting the prices of selected exchange components according to preset weights. It reflects the market price level of digital assets. |
| Calculation Frequency | Every second |
| Index Components | Exchanges or market price sources used to calculate the index price |
| Component Weight | The proportion of each index component in the index price calculation |
Index Components
Classic Contracts
Gate's index components are selected from multiple major exchanges, including but not limited to Gate, Binance, OKX, Bybit, Bitget, Coinbase, KuCoin, MEXC, Gate Alpha, and PancakeSwap. The collected quote data may cover different sources, such as spot USDT and USD prices from each exchange. Users can view index prices, component breakdown, and weights on the Index page. Gate selects suitable index components for each trading pair based on market conditions and may adjust component weights from time to time. Gate reserves the right to change index components and weights at any time without prior notice.
US Stock Contracts
For US stock contracts, we incorporate real-time stock quotes from US exchanges (such as NASDAQ and NYSE) as index component prices. All index component quotes are provided continuously on a 24-hour basis, including US stocks. US stock trading is divided into multiple sessions: • Pre-market: 04:00–09:30 (UTC-4) • Regular trading: 09:30–16:00 (UTC-4) • After-hours: 16:00–20:00 (UTC-4) • Closed: 20:00–04:00 (UTC-4)
US stock trading hours follow Eastern Time (ET) and switch between Eastern Daylight Time (EDT, UTC-4) and Eastern Standard Time (EST, UTC-5) annually. Please pay attention to these differences to avoid trading issues. During pre-market, regular, and after-hours sessions, we collect real-time intraday quotes as index components. During closed hours, the most recent closing price is used continuously to provide 24-hour component quotes.
| US Stock Trading Session | Pre-Market | Regular | After-Hours | Closed |
|---|---|---|---|---|
| Component Price Used | Real-Time Price | Real-Time Price | Real-Time Price | Closing Price |
Note: Liquidity is relatively low during pre-market and after-hours, and order books may be sparse, which can cause short-term fluctuations in US stock quotes and affect contract prices. US stock index quotes are public market data and can be accessed via web, software, or API.
Index Price Calculation Details
Index Calculation
The index price is calculated using a weighted average of component prices and their weights. Formula: Index Price = (Component A Latest Spot Price × Component A Weight) + (Component B Latest Spot Price × Component B Weight) + (Component C Latest Spot Price × Component C Weight) ...+ (Component F Latest Spot Price × Component F Weight)
Example
Assume the index components, prices, and weights for BTCUSDT at a certain time are as follows:
| Exchange | Pair | Price | Weight |
|---|---|---|---|
| Gate | BTCUSDT | 100,000 | 20% |
| Binance | BTCUSDT | 100,100 | 20% |
| OKX | BTCUSDT | 100,200 | 20% |
| Bitget | BTCUSDT | 100,100 | 20% |
| Bybit | BTCUSDT | 99,900 | 20% |
Then, the BTCUSDT index price = 100,000 × 20% + 100,100 × 20% + 100,200 × 20% + 100,100 × 20% + 99,900 × 20% = 100060 USDT
Price Protection Mechanism
To stabilize index prices during market fluctuations, the following price protection mechanisms are applied:
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When the number of components ≥ 3:
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If any component price deviates more than 8% from the median of all price sources, the system will exclude the deviating exchange until its price returns within 8% of the median.
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If any component price deviates within [2%, 8%] from the median, its price will be capped at 98% or 102% of the median, depending on whether it is too low or too high.
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When the number of components = 2: The system will remove abnormal components based on the volatility of the two components until prices normalize.
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When the number of components = 1: The component price will be used as the spot index price.
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If a component's price is unavailable for 20 consecutive seconds: Its weight will temporarily be set to 0 until quotes are restored.
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In extreme market conditions or abnormal trading pair price fluctuations: Gate reserves the right to adjust index components or weights without prior notice.
