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.
|Exchange||Price||24H Vol||Avg. Weight|
|Type||Price (USD)||Premium||24H Vol|
CoinDesk’s ZCX Index represents a real-time, USD-equivalent spot rate for Zcash. The index value is algorithmically calculated once every second based on observed trading activity on leading Zcash exchanges. The index has been in operation since February 1, 2018 and was launched publicly on March 2, 2018.
The ZCX Index is designed as a reference rate to track liquidity while also adjusting for deviations caused by anomalies and manipulation attempts at individual exchanges. While the precise formula underlying the index is currently proprietary, the key elements of the algorithm are outlined below.
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.
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