For each instrument, we have selected exchanges with the highest real trading volumes. We then take a dynamically weighted average of the price as per the availability from each exchange’s order book.

For example, if Exchange 1 has 100 BTC for sale at $4,000 USD, Exchange 2 has 150 BTC for sale at $4,010,Exchange 3 has 120 BTC for sale at $4,015 USD, then the calculated price is

(100 / 370 x 4,000) + (150/370 x 4,010) + (120/370 x 4,015) = $4,008.92.
Did this answer your question?