Timeseries ID

Describe the meaning behind using numbers in reference rates' name.

The value of the serial number of a single asset reference rate signs the computation method used for its calculation.

Serial Numbers

Daily single assets are computed once a day for multiple different timezones. Each series is identified by a serial number and its suffix is uniquely defined by

• Timezone
• Publication time
• Methodology

Suffix	Timezone	Publication	Methodology
p-d	Europe/London	16:00	VAP 15:00 to 16:00
p-2-d	Europe/London	15:00	VFIX at 15:00
p-3-d	Europe/London	16:00	VAP 12:00 to 16:00
p-4-d	America/New_York	16:00	VFIX at 16:00
p-5-d	Europe/London	16:00	VFIX at 16:00
p-6-d	Europe/London	20:00	VAP 19:00 to 20:00
p-7-d	Europe/London	16:30	VAP 15:30 to 16:30
p-8-d	America/New_York	16:00	VAP 15:00 to 16:00
p-9-d	Europe/London	16:30	VFIX at 16:30
p-10-d	Europe/London	16:00	VFIX at 16:00 with 24H LOCF*

*A 24-hour last observation carried forward (LOCF) is used.

VFIX

The created_at and timestamp are derived from the calculation time, not the trades' created_at.

Deprecation notice

The c-* series of indices is deprecated in favor of the methodologically equivalent p-* series. While existing symbols will continue to be calculated for compatibility, new series will not have a c-* counterpart. We recommend transitioning to the p-* denomination.