Strategy of market reference price for floating pricing

To post an advertisement with floating price, Huobi OTC will take the latest price from Huobi, Bitstamp, Gdax, Bitfinex, Gemini, Kraken, Binance, and calculate the weighted average to get a market price.

Constituent Prices

Cryptocurrency	Exchange	Trading Pair	Weight
BTC	Bitstamp	BTC/USD	0.25
	Gdax	BTC/USD	0.25
	Kraken	BTC/USD	0.25
	Gemini	BTC/USD	0.25
ETH	Bitstamp	ETH/USD	0.2
	Gdax	ETH/USD	0.2
	Gemini	ETH/USD	0.2
	Bitfinex	ETH/BTC	0.2
	Huobi	ETH/BTC	0.2
EOS	Bitfinex	EOS/BTC	0.25
	Huobi	EOS/BTC	0.25
	Binance	EOS/BTC	0.25
	Kraken	EOS/USD	0.25
LTC	Bitstamp	LTC/USD	0.25
	Gdax	LTC/USD	0.25
	Kraken	LTC/USD	0.25
	Huobi	LTC/BTC	0.25
XRP	Bitstamp	XRP/USD	0.25
	Kraken	XRP/USD	0.25
	Huobi	XRP/BTC	0.25
	Binance	XRP/BTC	0.25
HT	Huobi	HT/BTC	1
USDT	XE.com	USD	1
HUSD	XE.com	USD	1

Frequency for getting price: Once per 30 seconds. (USDT and HUSD will refresh once every 4:00 am)

Price Filter:

1. Lost price data on specific exchanges:

If we cannot get price data from any specific exchange (due to system maintenance, under attack, price interrupted, etc), the price will be calculated with the latest price that we can get. If the price that we get in the past 100 data points (50 minutes), is 10% lower than valid price, we will consider price on the specific exchange is no more valid, the weight for the exchange will be 0 temporally. The weight will recover only if the price become normal, and more than 90% of the price we get in the past 100 data points is valid.

2. Price on a single exchange is drastic deviate from other exchanges

• If valid exchanges are more than 2 (weight is not 0): When price on a single exchange is more than 10% deviate from other exchanges, the price will be calculated with ±10% of the median price on sample exchange. For example, price on an exchange is 560 USD per BTC, while prices on other 3 exchanges is 500 USD per BTC, 501 USD per BTC, 502 USD per BTC, then the current median price for all exchanges is (500+501)/2=500.5 USD per BTC. Price on the exchange is 9560-500.5)/500.5 = 11.88% > 10% deviate from median price, so the price on such exchange will be calculated as 500.5*(1+10%)=550.55 USD per BTC. Then the market price will be (550.55+500+501+502)/4=513.38.
• If there are only 2 valid exchange: If price from 2 exchanges are more than 10% deviate, the price will smaller deviation will be considered as valid price. The other one will be considered invalid. Then the weighted price will be anchored to the exchange with normal price temporally.
• If price is relied on only one exchange at some time: If the price we get is more than 15% deviate from the price we get from previous time, will be considered invalid. The price will take from the previous data point.