Spot-Only Filtering
Crypto markets include many instrument types, not just simple spot trading. You can also have perpetual swaps, futures, and other derivatives that trade with their own dynamics.
Spot-only filtering is the rule that says: for certain benchmarks, only use spot markets. The goal is to keep the input data tied to actual spot supply and demand, rather than contract-specific effects.
This is especially important when you want a benchmark rate used for conversions, accounting, or broad valuation. Mixing instrument types can create prices that look similar on calm days but diverge during stress.
Why It Matters
Spot-only filtering helps ensure a benchmark reflects spot pricing, not derivative-specific premiums, discounts, or funding effects.
Why can derivatives distort a benchmark price?
Derivatives can trade above or below spot because traders price in leverage demand, funding rates, and hedging pressure. The contract design also matters, since some products have settlement rules or index mechanisms that differ by venue. If you mix these with spot inputs, you can get a benchmark that doesn’t represent the spot market.
How do you detect whether a market is spot or not?
Most data systems classify instruments by a data type or instrument type field provided by the venue or by normalization logic. Once classified, filters can include or exclude markets in a predictable way. This classification step is also where many pricing mistakes happen if metadata is incomplete.
Real-World Example
A token’s perpetual swap price trades above spot during a funding squeeze. A spot-only benchmark ignores the perp and uses spot markets to keep conversions stable.
Spot-Only Filtering and Exchange Rates API
For cross-asset exchange rates, instrument selection matters. CoinAPI’s Exchange Rates API excludes non-spot symbols from certain benchmark calculations so the output remains anchored to spot markets.