Reference Rates

Crypto reference rates for single assets


Vinter calculates real-time and daily reference rates that are compliant with the UK & EU Benchmarks Regulation (BMR), GAAP and the IOSCO principles for financial benchmarks. The daily reference rates have four different algorithms: VFIX, VFAIR, VAP, and BRR. Each reference rate has a set of identifiers on platforms like Bloomberg, Refinitiv and the Vinter API.


Vinter's reference rates are developed to provide a rule-based and transparent way to capture the price of crypto assets. Each reference rate accurately tracks the price of a single asset. The reference rates are regulated, industry-adopted, auditable, manipulation-resistant, and frequently reviewed.

The Vinter Single Asset Reference Rates are a family of benchmarks. This methodology clearly determines what constitutes an active market for each reference rate and establishes the priority given to different types of input data. The methodology considers factors like the size and liquidity of the market and the transparency of trading to accurately reflect the economic reality that the benchmark intends to measure.

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All reference rates are calculated from validated transactions on selected exchanges. The time window during which transactions are obtained varies depending on the reference rate and the frequency. There are three possible frequencies with which reference rates are updated: real-time, hourly, and daily. Each index consists of the following parts.

  1. Trading pair: the base and quote currency.

  2. Structure: plain or composite.

  3. Frequency: real-time, hourly or daily.

The default structure is a plain reference rate, which uses transactions from one trading pair.


The real-time reference rate is the median price across selected exchanges.

To be precise, each Vinter real-time reference rate is updated every 10 seconds and calculated as follows.

  1. Obtain validated transactions on the trading pair from selected exchanges during the last 60 seconds.

  2. Select the last transaction from each exchange.

  3. Take the median price across all select transactions.

Using a median ensures that the reference rates are manipulation-resistant and robust against outliers.


The algorithm for hourly calculations uses Vinter's Average Price algorithm; for details, please see below.


We offer four different calculation algorithms: VFIX, VFAIR, VAP, and BRR.

  1. Vinter's Fixing (VFIX) is the Vinter real-time rate at a specific time, such as 4 p.m. New York or 4 p.m. London time.

  2. Vinter's Fair Market Value (VFAIR) is the last paid price on the largest exchange by trading volume. VAR is compliant with generally accepted accounting principles (GAAP).

  3. Vinter's Average Price (VAP) is the average of all published Vinter real-time rates in the window e.g. 3-4 pm. The VAP is thus a time-weighted average price.

  4. The Benchmark Reference Rate (BRR) by Vinter is a Time-Weighted Average Price of twelve 5-minute volume-weighted median prices in the time window.

All are published after 4 pm London time and 4 pm New York time. The default algorithm is VFIX, and the default publication time is 4 pm London time.

The daily frequency is used to settle regulated financial derivatives and to value exchange-traded products. The hourly and real-time frequencies are often used for indicative purposes. To ensure accuracy, the daily calculations must pass exhaustive validation tests.


The abbreviation for Vinter's Fixing is "VFIX." It is calculated by taking the last real-time rate before a certain time of the day. The following daily fixings are calculated:

  • 4 pm London time (the default)

  • 4:30 pm London time

  • 4 pm New York time


The abbreviation for Vinter's Fair Market Value is "VFAIR." It is the last paid price on the largest exchange by trading volume. VFAIR is compliant with generally accepted accounting principles (GAAP). The largest exchange per asset is determined monthly based on the trading volumes in the previous month. Only USD trades within the time window 3-4 pm are included. The following daily fixings are calculated:

  • 4 pm New York time


Vinter's Average Price is abbreviated "VAP." It is calculated by taking the average of the real-time values during a certain time window. Since the real-time frequency is every ten seconds, each daily value is a Time Weighted Average Price (TWAP) of 360 median prices. The following time windows are used:

  • 3 pm to 4 pm London time (the default)

  • 2 pm to 3 pm London time

  • 3 pm to 4 pm New York time


The Benchmark Reference Rate by Vinter is abbreviated "BRR." It is a TWAP of volume-weighted median prices from 3 to 4 p.m. New York time. This algorithm is designed for US ETFs. The 3 to 4 p.m. window is split into twelve 5-minute slots, each containing the volume-weighted median price.

The following outlier detection is applied to the time window: All trades from a selected exchange are removed if the selected exchange's volume-weighted median price (VWMP) differs more than 10% from the median of all VWMPs.


Each reference rate is identified by its algorithm (e.g., BRR), the asset (e.g., BTC), and the calculation time (e.g., N for New York 4 pm). In the Vinter API, each reference rate has a unique serial number. Below are the Vinter API, Bloomberg, and Refinitiv identifiers for selected reference rates.


The parameters and identifiers for the Bitcoin 4 pm New York Benchmark Reference Rate by Vinter are as follows.

  • Asset: BTC

  • Calculation time: 4 pm New York

  • Algorithm: BRR

  • Short name: BTC 4 pm New York BRR

  • Long name: Bitcoin 4 pm New York Benchmark Reference Rate by Vinter

  • Bloomberg name: Bitcoin 4 pm New York Benchmark Reference Rate by Vinter

  • Bloomberg identifier: BRRBTCNV

  • Refinitiv identifier: .BRRBTCNV


The parameters and identifiers for the Ethereum 4 pm New York Benchmark Reference Rate by Vinter are as follows.

  • Asset: ETH

  • Calculation time: 4 pm New York

  • Algorithm: BRR

  • Short name: ETH 4 pm New York BRR

  • Long name: Ethereum 4 pm New York Benchmark Reference Rate by Vinter

  • Bloomberg name: Ethereum 4 pm New York Benchmark Reference Rate by Vinter

  • Bloomberg identifier: BRRETHNV

  • Refinitiv identifier: .BRRETHNV


The parameters and identifiers for the VFIX Bitcoin reference rate calculated at 4 pm London time (the standard) are as follows.

  • Asset: BTC

  • Calculation time: 4 pm London

  • Algorithm: VFIX

  • Short name: VFIX BTC 4 pm London

  • Long name: Vinter Bitcoin 4 pm London Fixing Index

  • Bloomberg name: Vinter Bitcoin VFIX value at 4:00 pm London Time

  • Bloomberg identifier: VBTCUSD

To get the identifiers for other assets and calculation times, replace the asset name (Bitcoin), the asset ticker (BTC), and the publication time (4 pm London) with the relevant information. Connect to the Vinter API for a full list of tickers and metadata.


This section illustrates the real-time reference rate, VFIX, and VAP.

Assume that the selected exchanges for btc-usd are Kraken, Coinbase, and Bitstamp. The reference rate calculation is illustrated in the table below. The last price on Coinbase during the first and second periods are denoted Pc(1) and Pc(2), respectively. The median of the individual exchange prices during the first and second periods are denoted Pm(1) and Pm(2), respectively. In this numerical example, the first median value is $1002, and the second is $998. Even though Bitstamp's $700 is far from the other exchanges, it does not influence the median of $998.

i \ t

t = 1

t = 2


t = T

Coinbase (c)

Pc(1) = $1001

Pc(2) = $998

Pc(T) = $991

Kraken (k)

Pk(1) = $1002

Pk(2) = $999

Pk(T) = $992

Bitstamp (b)

Pb(1) = $1004

Pb(2) = $700

Pb(T) = $992


Pm(1) = $1002

Pm(2) = $998

Pm(T) = $992

Vinter's Average price (VAP) is given by Pm(1) + Pm(2) + …. + Pm(T) divided by T. It is thus a TWAP of the median prices.

The real-time index value at time 15:01:00 is calculated as follows.

  1. Obtain validated btc-usd transactions from the last 60 seconds since 15:01:00 on Kraken, Coinbase, and Bitstamp.

  2. For each exchange, select the last paid price.

  3. Take the median of the three prices.

Vinter's Fixing (VFIX) is calculated by taking the last real-time reference rate value before 16:00.

Vinter's Average Price (VAP) is calculated by obtaining the real-time reference rate values from 15:00 to 16:00 and then averaging these values.

Mathematical Formulation

Define {d}\{d\} as a set of trades on a given trading pair where each trade consists of the following information: timestamp, price, volume, and exchange.

A daily index value can then be expressed as a series of aggregation functions on the set trades:


where are the first, second, and third aggregation functions - respectively - on suitable chosen information dimensions such as (1) price, (2) exchange, and (3) time.

For Vinter's daily TWAP index value, the trades are grouped by exchange and divided into time partitions (e.g., 10 seconds) inside a time window (e.g., 60 minutes). Once the trades are grouped by these three dimensions, the first, second, and third aggregation functions (as illustrated in the table above) are

  1. last paid price at the exchange,

  2. the median across the exchange,

  3. average of the exchange-medians.

Other available aggregation functions include mean, median, volume-weighted average, volume-weighted median, and last. Available time partitions range from seconds to 24 hours, and available time windows range from 1 to 24 hours.

Composite Structure

A reference rate with a composite structure pools transactions from several trading pairs, whereas a reference rate with a plain structure only uses transactions from one trading pair.

Liquid assets (such as BTC and ETH) rarely need a composite structure. Illiquid assets, however, might need to add transactions from several trading pairs to be accurately priced.

The plain bnb-usd indexes measure the price of one BNB in USD using transactions in BNB/USD, whereas the composite bnb-usd indexes measure the same price using several trading pairs. The composite bnb-usd real-time index is calculated as the price of BNB/USDT on Binance and then converted into USD using the Vinter USD/USDT Real-time index.

Most reference rates have a plain structure. Some indexes have a composite structure.

The calculation method for a composite index is as follows.

  1. Obtain the relevant trading pair indexes.

  2. Convert each trading pair index into USD utilizing the appropriate Vinter index as a conversion pair.

  3. Apply the same calculation method as described in the previous section (e.g., take the median for a real-time index).


Assume we want a reference rate for PAXG/USD when the PAXG/USD needs to be complemented with transactions from PAXG/USDT and PAXG/BTC. The calculation method for one real-time reference rate (RRR) is illustrated in the table. The calculation steps for paxg-usd-c-h are as follows.

  1. Obtain the real-time index values for paxg-usdt-p-r and paxg-btc-p-r.

  2. Convert from PAXG/USDT and PAXG/BTC into USD utilizing the Vinter USD/USDT and Vinter BTC/USD indexes, respectively.

  3. Take the median of the three PAXG/USD indexes to get paxg-usd-c-r.




Conversion Pair

Conversion Rate

Price ($)





















The aggregation from real-time reference rate to hourly or daily values works in the same way in a composite structure as in the plain structure, namely to calculate a TWAP over the hour for Vinter's Average Price (VAP) or taking the last RRR for Vinter's Fixing (VFIX).

Naming Convention

The index naming convention is based on the trading pair, the structure, and the frequency with which values are updated. The table illustrates the naming convention. Note that the Vinter API might prefix “vntr” and suffix ID number(s) to each Ticker.


real-time (r)



hourly (h)


The p stands for primary. Certain reference rates also have a complimentary reference rate denoted by a c.

List of Active Reference Rates


Daily reference rates are monitored before and after publication time to ensure the accuracy of our published values.

Real-time reference rates are monitored Monday through Friday, 07:00-22:00 London time (equivalent to 02:00-17:00 New York time or 14:00-05:00 Hong Kong time).

Outside monitoring shifts, real-time reference may produce stale prices.

Staking Yield Rates

A Vinter Staking Yield Index provides the yield of a crypto asset. Yields are updated daily and expressed as an Annual Percentage Rate (APR) and an Annual Percentage Yield (APY).

The yield per asset is calculated by selecting the median yield of the selected providers. The median is robust against outliers and suitable for ensuring a fair yield value for all stakeholders.

Asset managers who stake their crypto assets and want to include all or some of the staking yields in their product can use a total return index from Vinter.

For a list of all assets Vinter is currently calculating yield rates on, visit Active Staking Yields in the API documentation.


The Benchmark Administrator is the central recipient of input data with the ability to consistently evaluate the integrity and accuracy of input. The Benchmark Administrator is responsible for developing the indexes and controls all aspects of the provision of benchmarks. The Benchmark Administrator has established a permanent and effective oversight function, governance processes subject to periodic reviews and audits, policies regarding complaints, ethics, conflicts of interest, and contingency, and has established a clear internal organizational structure with consistent roles and responsibilities to identify, prevent, disclose, mitigate, and manage conflicts of interest.

The Calculation Agent is an individual or entity that is responsible for determining the value of an index and/or a financial instrument. The Calculation Agent calculates the index values in accordance with the index methodology. Upon the request of the Benchmark Administrator, the Calculation Agent shall provide all information available on the composition and details of the calculation of the requested index.

The Publication Agent is an entity responsible for the publication of index values.

Vinter is the benchmark administrator, calculation agent, and publication agent of this index family. Calculation agent services include benchmark development, integration, and technical maintenance. Benchmark administrator services include legal maintenance and oversight of benchmarks. Publication services include the distribution of benchmarks, methodologies, and benchmark statements.


  • Crypto asset: A digital representation of value that is cryptographically secured.

  • Base currency: The first currency in a trading pair.

  • Quote currency: The second currency in a trading pair.

  • Trading pair: A pair consisting of a base and a quote currency.

  • Transaction: A trade between two parties occurring on an exchange that consists of time, price, and volume.

  • Validated transaction: a transaction registered and validated by Vinter.

  • Volume: the quantity of a transaction expressed in the base currency.

  • UTC: Coordinated Universal Time.

  • Selected exchange: An exchange that contributes with input data in the calculation.

  • Eligible exchange: An exchange that fulfills all eligibility criteria.

Document Versions

Version 1.0

Initial version. June 22, 2020.

Version 2.0

  • December 3, 2020.

  • Forked from index calculation framework.

  • Extended the list of eligibility criteria.

  • Removed index universe.

  • Renamed introduction to overview.

  • Expanded the calculation section by adding frequencies.

  • Added indexes with a composite structure.

  • Moved governance structure and maintenance into the benchmark statement.

Version 2.1

  • February 23, 2021

  • Changed notation to Pi(t) where i is an exchange and P is the last price.

  • Added Mathematical Formulation.


Any product(s) offered with the indexes described in this methodology as underlying is not in any way sponsored, endorsed, sold, or promoted by Invierno, reg. no. 559207-4172 (“Vinter”). Vinter does not make any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the index(es) “Index” described, licenses, used, or referenced under any Programme or Prospectus and/or the figure at which the Index stands at any particular time on any particular day or otherwise. The Index is compiled and calculated solely by Vinter. However, Vinter shall not be liable (whether in negligence or otherwise) to any person for any error in the Index. Vinter shall not be under any obligation to advise any person of any error therein. Vinter is a registered trademark owned by Invierno AB. Invierno AB and its indexes are protected by various intellectual property rights. All third-party use of Vinter and its indexes requires a licensing agreement by law with Invierno AB. The Index is a product of Invierno AB. Any Programme referencing the Index is not sponsored, endorsed, sold, or promoted by Vinter and/or its affiliates, and none of such parties makes any representation regarding the advisability of investing in such product(s), nor do they have any liability for any errors, omissions, or interruptions of the Index. The Programme is in no way sponsored, endorsed, sold, or promoted by Vinter and its Licensors and neither of the Licensors shall have any liability with respect thereto. Vinter is not a registered investment advisor, tax advisor or broker/dealer. The content of the index methodology or its related documents underlying is intended only to provide general and preliminary information and shall not be construed as investment, tax, legal or financial advice. The reader shall ensure that all of his or her investment decisions are not made based on the content of this document and shall be solely responsible for all financial losses made in connection with investment decisions. Nothing contained in the index methodology or its related documents constitutes a solicitation, recommendation, endorsement, or offer by Vinter or any third party associated with Vinter to buy or sell any financial instruments in this or any other jurisdiction. Although best efforts are made to ensure that all information on the methodology documents is accurate and up to date, occasionally unintended errors and misprints may occur. The index owner grants the benchmark administrator an exclusive, royalty-free, non-transferable, non-sublicensable license to use the index owner's intellectual property rights to fulfil the benchmark administrator's obligations under the index agreement and the Benchmarks Regulation, including registration of identifiers for indexes. Vinter is a registered Benchmark Administrator by Finansinspektionen (FI) and the European Securities and Markets Authority (ESMA) under Article 34 of the European Benchmarks Regulation (2016/1011).

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