- What Cryptocurrency Benchmarks are available?
- What are the CME CF Reference Rates?
- Why were these reference rates created?
- Why are multiple reference rates with different calculation times available?
- What are the differences between BRR and BRRNY?
- What are the differences between ETHUSD_RR and ETHUSD_NY?
- Will CME Group add NY versions of the recently introduced reference rates?
- What methodology is used to calculate the reference rates?
- What reference rate do the CME Group Cryptocurrency futures settle to?
- What are the CME CF Cryptocurrency Real-Time Indices?
- How often are the CME CF Cryptocurrency Real-Time Indices published?
- What methodology is used to calculate the real-time indices?
- What exchanges contribute market data for the CME CF Cryptocurrency Benchmarks?
- How can I access the cryptocurrency pricing data?
- What licensing is required to use these Cryptocurrency Benchmarks?
- Can I receive this data through a third party or do I need to get it from CME Group directly?
- What kind of oversight is there for the CME CF Cryptocurrency Benchmarks?
OVERVIEW
1. What Cryptocurrency Benchmarks are available?
Cryptocurrency | Reference Rate | Reference Rate Ticker | Real Time Index | Real Time Index Ticker |
---|---|---|---|---|
Algorand | CME CF Algorand – Dollar Reference Rate | ALGOUSD_RR | CME CF Algorand Dollar Real-Time Index | ALGOUSD_RTI |
Bitcoin | CME CF Bitcoin Reference Rate | BRR | CME CF Bitcoin Real-Time Index | BRTI |
CME CF Bitcoin Reference Rate New York | BRRNY | |||
Bitcoin Cash | CME CF Bitcoin Cash – Dollar Reference Rate | BCHUSD_RR | CME CF Bitcoin Cash - Dollar Real-Time Index | BCHUSD_RTI |
Cardano | CME CF Cardano – Dollar Reference Rate | ADAUSD_RR | CME CF Cardano - Dollar Real-Time Index | ADAUSD_RTI |
Chainlink | CME CF Chainlink – Dollar Reference Rate | LINKUSD_RR | CME CF Chainlnk - Dollar Real-Time Index | LINKUSD_RTI |
Cosmos | CME CF Cosmos – Dollar Reference Rate | ATOMUSD_RR | CME CF Cosmos - Dollar Real-Time Index | ATOMUSD_RTI |
Ether | CME CF Ether-Dollar Reference Rate | ETHUSD_RR | CME CF Bitcoin Real-Time Index | ETHUSD_RTI |
CME CF Ether-Dollar Reference Rate New York | ETHUSD_NY | |||
Litecoin | CME CF Litecoin – Dollar Reference Rate | LTCUSD_RR | CME CF Litecoin - Dollar Real-Time Index | LTCUSD_RTI |
Polygon | CME CF Polygon – Dollar Reference Rate | MATICUSD_RR | CME CF Polygon - Dollar Real-Time Index | MATICUSD_RTI |
Polkadot | CME CF Polkadot – Dollar Reference Rate | DOTUSD_RR | CME CF Polkadot – Dollar Real-Time Index | DOTUSD_RTI |
Solana | CME CF Solana – Dollar Reference Rate | SOLUSD_RR | CME CF Solana - Dollar Real-Time Index | SOLUSD_RTI |
Uniswap | CME CF Uniswap – Dollar Reference Rate | UNIUSD_RR | CME CF Uniswap - Dollar Real-Time Index | UNIUSD_RTI |
Stellar Lumens | CME CF Stellar Lumens – Dollar Reference Rate | XLMUSD_RR | CME CF Stellar Lumens - Dollar Real-Time Index | XLMUSD_RTI |
CME CF Reference Rates and Real-Time Indices are not tradable futures products.
REFERENCE RATES
2. What are the CME CF Reference Rates?
The CME CF Reference Rates aggregate trade flow of major cryptocurrency spot exchanges during specific calculation windows into a once-a-day reference rate of the U.S. dollar price of the respective cryptocurrency. Calculation rules are geared toward maximum transparency and real-time replicability in underlying spot markets.
NAME | CME TICKER SYMBOL | CALCULATION WINDOW | PUBLISH TIME | FIRST PUBLISH DATE |
---|---|---|---|---|
CME CF Bitcoin Reference Rate* | BRR | 3-4 p.m. London Time | 4 p.m. London Time | Nov-16 |
CME CF Ether-Dollar Reference Rate* | ETHUSD_RR | 3-4 p.m. London Time | 4 p.m. London Time | May-18 |
CME CF Algorand-Dollar Reference Rate | ALGOUSD_RR | 3-4 p.m. London Time | 4 p.m. London Time | Apr-22 |
CME CF Bitcoin Cash-Dollar Reference Rate | BCHUSD_RR | 3-4 p.m. London Time | 4 p.m. London Time | Apr-22 |
CME CF Cardano-Dollar Reference Rate | ADAUSD_RR | 3-4 p.m. London Time | 4 p.m. London Time | Apr-22 |
CME CF Chainlink-Dollar Reference Rate | LINKUSD_RR | 3-4 p.m. London Time | 4 p.m. London Time | Apr-22 |
CME CF Cosmos-Dollar Reference Rate | ATOMUSD_RR | 3-4 p.m. London Time | 4 p.m. London Time | Apr-22 |
CME CF Litecoin-Dollar Reference Rate | LTCUSD_RR | 3-4 p.m. London Time | 4 p.m. London Time | Apr-22 |
CME CF Polkadot-Dollar Reference Rate | DOTUSD_RR | 3-4 p.m. London Time | 4 p.m. London Time | Apr-22 |
CME CF Polygon-Dollar Reference Rate | MATICUSD_RR | 3-4 p.m. London Time | 4 p.m. London Time | Apr-22 |
CME CF Solana-Dollar Reference Rate | SOLUSD_RR | 3-4 p.m. London Time | 4 p.m. London Time | Apr-22 |
CME CF Stellar Lumens-Dollar Reference Rate | XLMUSD_RR | 3-4 p.m. London Time | 4 p.m. London Time | Apr-22 |
CME CF Uniswap-Dollar Reference Rate | UNIUSD_RR | 3-4 p.m. London Time | 4 p.m. London Time | Apr-22 |
CME CF Bitcoin Reference Rate New York | BRRNY | 3-4 p.m. NY Time | 4 p.m. NY Time | Feb-22 |
CME CF Ether-Dollar Reference Rate New York | ETHUSD_NY | 3-4 p.m. NY Time | 4 p.m. NY Time | Feb-22 |
* used to settle CME Cryptocurrency futures
3. Why were these reference rates created?
CME Group is committed to fostering open standards, diverse participation, and cultivating the highest standards and protocols as the crypto currency space and digital asset technology evolves. These products are designed to allow crypto traders, companies and other users to rely on a credible reference rate price source.
4. Why are multiple reference rates with different calculation times available?
Different calculation windows are used to calculate the different reference rates. This allows traders to more accurately and precisely assess their cryptocurrency price risk with timing aligned to their portfolio and region. The BRR and ETHUSD_RR calculate during 3-4 p.m. London time and publish at 4 p.m. London time. BRRNY and ETHUSD_NY calculate 3-4 p.m. NY time and publish at 4 p.m. NY time.
5. What are the differences between BRR and BRRNY?
The CME CF Bitcoin Reference Rate (BRR) is calculated from 3 p.m. to 4 p.m. London time and is used to settle CME Bitcoin and Micro Bitcoin futures contracts.
The CME CF Bitcoin Reference Rate (BRRNY) is calculated from 3 p.m. to 4 p.m. New York time and is not used to settle futures contracts. Both rates utilize the same exact methodology with data from the same Constituent Exchanges.
6. What are the differences between ETHUSD_RR and ETHUSD_NY?
The CME CF Ether-dollar Reference Rate (ETHUSD_RR) is calculated from 3 p.m. to 4 p.m. London time and is used to settle CME Ether and Micro Ether futures contracts.
The CME CF Ether-Dollar (ETHUSD_NY) is calculated from 3 p.m. to 4 p.m. New York time and is not used to settle futures contracts. Both rates utilize the same exact methodology with data from the same Constituent Exchanges.
7. Will CME Group add NY versions of the recently introduced reference rates?
CME is committed to providing products and tools based on client demand to better assist in risk management. The need to launch New York versions of the recently introduced reference rates will be evaluated on an on-going basis.
8. What methodology is used to calculate the reference rates?
The CME CF Reference Rates are a daily reference rate of the U.S. dollar price of the associated cryptocurrency. The Rates represent the aggregated, executed trade flow of major spot exchanges during a specific one-hour calculation window. All relevant transactions are added to a joint list, recording the trade price and size for each transaction. This one-hour window is then partitioned into 12 five-minute intervals. For each partition, the volume-weighted median trade price is calculated from the trade prices and sizes of all relevant transactions, i.e., across all constituent exchanges. The reference rate is then given by the equally-weighted average of the volume-weighted medians of all partitions.
Details of the methodology can be found in the CME CF Cryptocurrency Reference Rates Methodology Guide.
9. What reference rate do the CME Group Cryptocurrency futures settle to?
The CME cryptocurrency futures settle to the CME CF Reference Rates that are published at 4 p.m. London time – specifically:
Bitcoin futures and Micro Bitcoin futures settle to the CME CF Bitcoin Reference Rate (BRR)
Ether futures and Micro Ether futures settle to the CME CF Ether-dollar Reference Rate (ETHUSD_RR).
REAL-TIME INDICES
10. What are the CME CF Cryptocurrency Real-Time Indices?
The CME CF Cryptocurrency Real-Time Indices aggregate global demand to buy and sell specific cryptocurrencies into a separate consolidated order book that reflects the fair, instantaneous U.S. dollar price of the respective cryptocurrency. The real-time indices are geared toward low latency and timeliness and are based on forward looking input data.
Name | CME Ticker Symbol | Calculation Window | Publish Time | First Publish Date |
---|---|---|---|---|
CME CF Bitcoin Real Time Index | BRTI | Every Second | Every Second | Nov-16 |
CME CF Ether-Dollar Real Time Index | ETHUSD_RTI | Every Second | Every Second | May-18 |
CME CF Algorand-Dollar Real Time Index | ALGOUSD_RTI | Every Second | Every Second | Apr-22 |
CME CF Bitcoin Cash-Dollar Real Time Index | BCHUSD_RTI | Every Second | Every Second | Apr-22 |
CME CF Cardano-Dollar Real Time Index | ADAUSD_RTI | Every Second | Every Second | Apr-22 |
CME CF Chainlink-Dollar Real Time Index | LINKUSD_RTI | Every Second | Every Second | Apr-22 |
CME CF Cosmos-Dollar Real Time Index | ATOMUSD_RTI | Every Second | Every Second | Apr-22 |
CME CF Litecoin-Dollar Real Time Index | LTCUSD_RTI | Every Second | Every Second | Apr-22 |
CME CF Polkadot-Dollar Real Time Index | DOTUSD_RTI | Every Second | Every Second | Apr-22 |
CME CF Polygon-Dollar Real Time Index | MATICUSD_RTI | Every Second | Every Second | Apr-22 |
CME CF Solana-Dollar Real Time Index | SOLUSD_RTI | Every Second | Every Second | Apr-22 |
CME CF Stellar Lumens-Dollar Real Time Index | XLMUSD_RTI | Every Second | Every Second | Apr-22 |
CME CF Uniswap-Dollar Real Time Index | UNIUSD_RTI | Every Second | Every Second | Apr-22 |
11. How often are the CME CF Cryptocurrency Real-Time Indices published?
The rates are published approximately every second of every day, including weekends and holidays.
12. What methodology is used to calculate the real-time indices?
CME CF Cryptocurrency Real-Time Indices are calculated in real time based on the relevant order books of all constituent exchanges. The CME CF Cryptocurrency Real-Time Indices are then determined by the sum of the weighted mid-price volume data. For more information, review the CME CF Cryptocurrency Real-Time Indices Methodology Guide.
DATA AND LICENSING
13. What exchanges contribute market data for the CME CF Cryptocurrency Benchmarks?
CME CF Cryptocurrency Reference Rates and Real-Time Indices | |||||||
---|---|---|---|---|---|---|---|
Cryptocurrency | Reference Rate Ticker | Real Time Index Ticker | Bitstamp | Coinbase | Gemini | itBit | Kraken |
Algorand* | ALGOUSD_RR | ALGOUSD_RTI | |||||
Bitcoin | BRR | BRTI | |||||
BRRNY | |||||||
Bitcoin Cash * | BCHUSD_RR | BCHUSD_RTI | |||||
Cardano* | ADAUSD_RR | ADAUSD_RTI | |||||
Chainlink* | LINKUSD_RR | LINKUSD_RTI | |||||
Cosmos* | ATOMUSD_RR | ATOMUSD_RTI | |||||
Ether | ETHUSD_RR | ETHUSD_RTI | |||||
ETHUSD_NY | |||||||
Litecoin* | LTCUSD_RR | LTCUSD_RTI | |||||
Polygon* | MATICUSD_RR | MATICUSD_RTI | |||||
Polkadot* | DOTUSD_RR | DOTUSD_RTI | |||||
Solana* | SOLUSD_RR | SOLUSD_RTI | |||||
Uniswap* | UNIUSD_RR | UNIUSD_RTI | |||||
Stellar Lumens* | XLMUSD_RR | XLMUSD_RTI |
*Available starting April 25, 2022
Details of the Constituent Exchange Criteria and a list of Constituent Exchanges can be found on the CME Group Cryptocurrency Benchmarks webpage
Read more about the Constituent Exchange Criteria
See a list of Constituent Exchanges
14. How can I access the Cryptocurrency Benchmarks data?
There are three ways to access real-time and historical data:
- CME Group website
- MDP (Market Data Platform) through channel 213
- DataMine
Historical data goes back to the inception of the rates. See the table in question 1.
15. What licensing is required to use these Cryptocurrency Benchmarks?
All customers are required to sign an Information License Agreement (ILA) to license the CME CF Cryptocurrency Reference Rates and CME CF Cryptocurrency Real-Time Index products.
Please note that the creation and distribution of derived works using the Reference Rates and Real Time Indices will require a separate Derived Data License Agreement.
For more information, visit the CME Group Derived Data Services page.
16. Can I receive this data through a third party or do I need to get it from CME Group directly?
Customers can take the data directly from CME Group or they can subscribe to the data through a licensed third-party data provider.
ADDITIONAL INFORMATION
17. What kind of oversight is there for the CME CF Cryptocurrency Benchmarks?
An Oversight Committee, consisting of CME Group, Crypto Facilities, and leading industry experts, regularly review the methodology and practice standards followed in the reference rate and index determination process to protect the integrity of the rates and ensure all CME CF Cryptocurrency Indices continue to be representative of the underlying markets.
CME Cryptocurrency products
Expand your choices for managing cryptocurrency exposure with Bitcoin futures and options, Micro Bitcoin futures, Ether futures and Micro Ether futures.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.