The BRR is calculated based on the Relevant Transactions of all Constituent Exchanges.
Calculation steps for the BRR on any given Calculation Day are as follows:
All Relevant Transactions are added to a joint list, recording the trade price and size
for each transaction.
The list is partitioned into 12 equally-sized time intervals of 5 minutes each.
For each partition separately, the volume-weighted median trade price is calculated
from the trade prices and sizes of all Relevant Transactions, i.e. across all Constituent
Exchanges. A volume-weighted median differs from a standard median in that a
weighting factor, in this case trade size, is factored into the calculation.
The BRR is then given by the equally-weighted average of the volume-weighted
medians of all partitions.
