BNC and the art of market data
Data is the lifeblood of markets, financial markets in particular, and has been for more than a century. The Reuters News Agency began in 1851. The company was originally a financial information service transmitting stock market quotes between London and Paris, over the newly-built undersea cable between Dover and Calais.
Cryptocurrencies and digital assets represent just one more financial market, with a key difference. The technology that underpins these instruments has generated some unique and specific data attributes, conventions, and solutions, especially in the realm of market data.
- Without market data, there can be no price discovery - making it very difficult to trade.
- Without market data, there can be no assessment of market liquidity, order-book depth, or trading volume, making it very difficult to assess risk.
- Without market data, there can be no benchmarks or indices, making it harder to measure investment performance and returns.
Since 2014, Brave New Coin (BNC)has been active in collecting, collating, and calculating aggregated pricing data for the crypto markets. At that time, there was only one Bitcoin, and only a handful of crypto exchanges, and it was very difficult to know what the “true” value of Bitcoin was. There was price disparity between different markets, a lack of transparency on trading volumes and market depth, and different ways in which each exchange published its own ticker data.
In the absence of industry standards for data formatting and API designs, it took a great deal of effort to standardize exchange-derived market data for Bitcoin, which led BNC to launch its first index, the BLX, in 2015.
Fast-forward to 2020, and BNC Market Data services cover thousands of individual crypto assets, and their respective markets, across hundreds of exchanges. The company serves up intraday and End-of-Day aggregated pricing data via multiple API end-points, and supplements this with a growing volume of reference, technical and analytical data, including on-chain, off-chain, news, and sentiment. The data provides a 360-degree perspective and end-to-end insights on this new asset class.
The BNC Market Data aggregation platform provides the foundation for our pricing & reference data, indexing, and analytics services.
- The Taxonomy, or highly-structured database, classifies and tracks key attributes of digital assets, exchanges, and market pairs.
- The pricing engine connects to trade and order book data sourced from over 250 exchanges.
- The indexing engine can calculate high-frequency, intraday, and end-of-day indices for a range of index products, including basket, sector, thematic, and geographic.
- On-chain analytics capability, drawing on in house nodes and other sources such as block explorers, users can track circulating supply and key wallet addresses.
- Various off-chain and ancillary sources are also tracked, which can be used to derive sentiment analysis, fake volume analysis, liquidity analysis, and fundamental financial analytics.
These market data, index, and analytics products fuel the pricing, settlement, and benchmarking of derivatives, structured products, and ETFs, as well as tracking performance attribution, benchmarking, and Net Asset Values (NAV) for client portfolios.
The BNC Index business is built on top of the BNC Market Data engine. For the latter, raw exchange-derived data is sourced. Then a deep layer of data cleansing, scrubbing, and standardization, as well as validation and verification occurs.
This generates aggregated pricing data, which goes back to 2014. Combined with an asset screener, on-chain analytics, news, and sentiment analysis, BNC can design, build, calculate and distribute their own, and third-party, indices. This is the "indices builder”.
The first indices were the LX series for BTC, ETH and XRP, built using a unique proprietary methodology, which has been independently audited against key IOSCO Principles for Financial Benchmarks.
The LX indices themselves are designed to reflect the most liquid end of their respective markets, and can be used as benchmarks or reference rates for price discovery, settlement, and NAV calculations. The BLX has become one of the most-trusted Bitcoin indices within the trading and charting community.
BNC recently launched the first high-frequency basket indices for BTSE, a BVI-domiciled spot and derivatives exchange with a strong presence in Asia and the Middle East, to fuel a series of futures contracts traded on those basket indices - see btse.com/en/indexFutures.
BNC Market Data & Indices - Use Cases
For Asset Managers, Fund Managers, and Portfolio Managers.
- Support market surveillance of assets held in funds, portfolio, in trust or in custody.
- Asset screening for investment opportunities and portfolio construction.
- Provide an independent 3rd party source of pricing data for fair value, MTM and NAV calculations.
- Custom indices and benchmarks.
- Portfolio analysis, alerts, performance attribution, risk monitoring, and processing of “corporate actions” such as hard forks.
- Track liquidity or market risk of assets under management, advice, or custody.
For Brokers, OEMS, Liquidity providers, Market makers and other Intermediaries.
- Market surveillance where parties act as a central or bilateral counterparty, or liquidity provider.
- Price client trades and settlement.
- Value assets posted as collateral for margin trading.
- Key wallet tracking, for exchanges and reserves.
- Market surveillance of underlying assets for derivatives.
- Track overall liquidity and market risk.
For Exchanges.
- An independent and third party provider of indices and reference pricing.
- News alerts and monitoring of “corporate actions” such as hard forks.
- Indices and benchmarks for derivatives and other exchange-traded products.
- Trade surveillance and volume analysis.
OhNoCrypto
via https://www.ohnocrypto.com
Rory Manchee, Khareem Sudlow