Exchanges with greater liquidity receive a higher weighting in the index, increasing the ability to execute against the index in the underlying spot markets. Liquidity weighting also mitigates the impact of volume spikes during off-peak trading hours.

The index price reflects data points that are discretely weighted in proportion to their variance from the rest of the cohort. As the price at a particular exchange diverges from the rest of the data points, its influence on the index consequently decreases.

The algorithm penalizes stale ticks on any given exchange. If an exchange does not have recent trading data, its weighting is gradually reduced, until it is de-weighted entirely. Similarly, once activity resumes, the corresponding weighting for that constituent is gradually increased until it reaches the appropriate level.