Conversation

1) At FTX, our default 'price' that we report for a market is what we cal "mark price": the median of bid, ask, and last. Why?

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It is certainly more reasonable than “Last”, but a true consolidated mid price would be better. In the absence of a primary exchange with a closing auction markets have adopted the consolidated mid as a standard for decades.

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That is what drove us to create CoinRoutes RealPrice, which uses a consolidated order book to calculate (in real time) a Bid & an offer for specific quantities of coin, with average fees. Those prices represent the actual price an investor would pay or be paid in a jurisdiction.

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Partially agree, but... 1) there's no reg nms, so exchanges can be crossed. This is a tough problem to solve! 2) traders usually want to see the price for the market they're trading, and people aren't usually using smart routers

1:56 PM · Jun 22, 2020Twitter Web App

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I agree on the second point; Traders need to know prices from individual markets, while valuation & index calculation use cases should use a consolidated price. The first problem we solve by introducing SIZE into the calculation. The mid price for 5 BTC differs from 100 (or 1)