Chicago Mercantile Exchange (CME) publishes the daily Bitcoin Reference Rate (BRR)2 at 4:01 p.m. London time. BRR determines the contract unit of CME Bitcoin Futures. A single Future contract is the value of five times the daily BRR. BRR is also used as the final settlement price at 4:00 p.m. on the expiration day of the Futures contract. The Futures are traded on CME Globex and cleared by CME. CME Bitcoin Options are based on the Futures.


BRR is linked to BTC/USD spot trading at five exchanges4 between 15:00 p.m. and 16:00 p.m. The one-hour time period is divided into 12 partitions. A partition is equal to a 5-minute time window. In each partition, all pairs of trade prices and sizes are sorted in ascending order based on the prices. All trade sizes at the same price level is aggregated into a single trade volume.

BRR is computed by finding the ”volume-weighted median trade price” (VWMP)5 of each partition, followed by averaging out those prices over all partitions. A simple robust statistical measure, median, helps the BRR be less sensitive to a small number of big trade volumes. The VWMP of each partition becomes less sensitive to those specific volume distribution patterns. The widely used Volume Weighted Average Price (VWAP) is highly sensitive to volume outliers. However, the VWMP cannot handle trade price outliers. Price outliers exhibit a more significant impact on temporal market price movement than volume outliers. As a result, BRR is possibly manipulated by generating a lot of trade volumes at low prices. It leads the VWMP to be biased towards a lower price.


Successful trading on CME Bitcoin Futures and Options requires an deeper understating on VWMP calculation on BRR partitions including trading activities and quantitative analysis on underline spot exchanges over the one-hour time period. ExxaBlock BRR report provides such details daily and in real time.


ExxaBlock "CME BRR" Report - One Time

  • ExxaBlock "CME BRR" Report  will be delivered daily in PDF form. All tests are executed on three different ExxaBlock test sites independently at between 15:00 p.m. and 16:00 p.m. London time. .  Aggregated test results and their analytics are published in the form of a daily report and a JSON file at 16:30 p.m. ExxaBlock daily latency reports are currently published at ExxaBlock Web Store and AWS Market Place.

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