CF Benchmarks
CF benchmarks logo

Feb 06, 2020

Announcement of Changes to the Order Size Cap Parameter for CME CF Real Time Indices

The Administrator announces that the Order Size Cap Parameter utilised in the calculation of the CME CF Real Time Indices (RTI) will  be dynamically calculated from c. 1630 London Time on December 2nd 2019.  This will replace the static caps that are currently utilised.

This change to the manner in which the Administrator calculates and implements the order size cap will further strengthen the manipulation  resistance and integrity of these benchmarks.

The Order Size Cap for each individual determination of a Real Time Index will be calculated by:

  1. Collecting orderbooks from constituent exchanges and those that are not classified as Delayed, Erroneous or Potentially Erroneous are combined together into a consolidated orderbook
  2. The best ask and best bid of the consolidated orderbook are identified
  3. All orders within 5% of the price level of the best bid order and best ask order are identified and the sizes of these orders are taken to  form a sample. Where there are less than 50 orders obtained from each side of the consolidated orderbook through this process then orders that are more than 5% from the best bid and ask will be added to the sample, starting with the lowest distance from best bid and best ask such that  there are a minimum of 50 order sizes from each side.
  4. This sample is truncated by removing the order sizes of the top and bottom 1% when sorted by size and the arithmetic mean is determined
  5. The order size cap for the RTI calculation is determined as 5 winsorized standard deviations from the arithmetic mean computed in the previous step at the 1st and 99th percentiles of order sizes.  Winsorizing normalises the tails of the distribution by applying the value observed at those percentiles in the calculation of standard  deviation (this reduces the impact of the tail on the standard deviation  calculation)

The full mathematical representation of this dynamic order size cap  will be published in an updated CME CF Real Time Indices Methodology Guide upon the implementation of this change on December 2nd 2019.

This development and implementation of this change has been overseen by the CME CF Oversight Committee.


The information contained within is for educational and informational purposes ONLY. It is not intended nor should it be considered an invitation or inducement to buy or sell any of the underlying instruments cited including but not limited to cryptoassets, financial instruments or any instruments that reference any index provided by CF Benchmarks Ltd. This communication is not intended to persuade or incite you to buy or sell security or securities noted within. Any commentary provided is the opinion of the author and should not be considered a personalised recommendation. Please contact your financial adviser or professional before making an investment decision.


Note: Some of the underlying instruments cited within this material may be restricted to certain customer categories in certain jurisdictions.


CF Benchmarks
CF Benchmarks

CF Benchmarks

More on this subject

Changes to the Token Market Price Benchmarks Series - Market Prices – 21 July 2026

The Administrator has confirmed changes to the Token Market Price Family for the period 14 July 2026 to 21 July 2026.

CF Benchmarks
CF Benchmarks

CF Benchmarks

1 mins read
Softer CPI Reprices July Hike Risk & Lifts Digital Assets

Digital assets extended their recovery over the past week as cooler US inflation prints repriced Fed expectations; the bid was broad across the large cap indices, growth factor leadership returned, stablecoin funding repriced lower, and stress stayed isolated in names hit by token-specific news.

Mark Pilipczuk
Mark Pilipczuk

Mark Pilipczuk

10 mins read
Notice of the Demising of CF Dai-Dollar Settlement Price and Spot Rate

The Administrator announces that it will demise the CF Dai-Dollar Settlement Price (DAIUSD_RR) and CF Dai-Dollar Spot Rate (DAIUSD_RTI) which are members of the CF Digital Asset Index Family.

CF Benchmarks
CF Benchmarks

CF Benchmarks

1 mins read
More posts...

Footer

Legal

Subscribe to our newsletter

The latest news, articles, and resources, sent to your inbox weekly.

By submitting this form, you agree to our Terms of Service and Privacy Policy.

Already subscribed? Manage your preferences

© 2026 CF Benchmarks Ltd. All rights reserved.

CF Benchmarks Ltd (“CF Benchmarks”), a company registered in England and Wales with company number 11654816 and authorised and regulated by the Financial Conduct Authority. Information about us can be found on the Financial Services Register (register number 847100).

Registered Office: 6th Floor One London Wall, London, United Kingdom, EC2Y 5EB.

You agree not to, and have no rights to, use the CF Benchmarks Data to create, calculate, issue, settle, maintain, support or develop any financial instruments (including but, without limitation exchange traded products, certificates, warrants, contracts for difference, swaps, binary options, structured products), indices, products, services (including but without limitation, portfolio management services, pre- and post-trade risk management services, or valuation services) or any other derivative works without the express written consent of CF Benchmarrks.

You agree not to analyze, reverse-engineer or disassemble any CF Benchmarks data and not to insert any code or product to manipulate the Website content in any way that affects any user’s experience. Unless CF Benchmarks gives you prior written permission, use of any Web browsers (other than generally available third-party browsers), engines, scripts, software, spiders, robots, avatars, agents, tools or other devices or mechanisms (such as crawlers, browser plug-ins and add-ons, or other technology) to navigate, access, copy in bulk, retrieve, harvest, index, search or analyse any portion of the Website is strictly prohibited.

No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of CF Benchmarks Ltd. Use and distribution of the CF Benchmarks data requires a license from CF Benchmarks or its authorized licensing agents.

All information is provided for information purposes only. All information and data contained on this website is obtained by CF Benchmarks, from sources believed by it to be accurate and reliable. Such information and data is provided "as is" without warranty of any kind.

CF Benchmarks, nor its directors, officers, employees, partners or licensors make any claim, prediction, warranty or representation whatsoever, expressly or implied, either as to the accuracy, timeliness, completeness or merchantability of any information or of results to be obtained from the use of the CF Benchmarks indices or the fitness or suitability of the same indices for any particular purpose to which they might be put. Any representation of historical data accessible through CF Benchmarks indices is provided for information purposes only and is not a reliable indicator of future performance.

No responsibility or liability can be accepted by CF Benchmarks nor their respective directors, officers, employees, partners or licensors for any loss or damage in whole or in part caused by, resulting from, or relating to any error (negligent or otherwise) or other circumstance involved in procuring, collecting, compiling, interpreting, analysing, editing, transcribing, transmitting, communicating or delivering any such information or data or from use of this website or links to this website.

CF Benchmarks and its respective directors, officers, employees, partners or licensors do not provide investment advice and nothing accessible through CF Benchmarks, should be taken as constituting financial or investment advice or a financial promotion. Charts and graphs are provided for illustrative purposes only. Index returns shown may not represent the results of the actual trading of any assets.

CF Benchmarks is a member of the Crypto Facilities group of companies which is in turn a member of the Payward, Inc. group of companies.
  • Payward, Inc. is the owner and operator of the Kraken Exchange, a venue that facilitates the trading of cryptocurrencies. The Kraken Exchange is a source of input data for certain CF Benchmarks indices.
  • Payward, Inc. is the owner and operator of the Staked, a venue that operates the block production nodes for decentralized PoS protocols on behalf of institutional investors. Staked.us is a source of input data for certain CF Benchmarks indices.

Please refer to the individual product family documentation for more information about applicable input data sources.

By clicking Accept, you consent to CF Benchmarks's use of cookies.

Visit Cookie Settings to learn how CF Benchmarks uses cookies and to adjust your preferences.

Cookie Settings