In the latest filing (first spotted by the New York Times' Nathaniel Popper) for their Bitcoin ETF, the brothers lay out how it will work:

"Math-Based Asset Index, LLC (“Index Provider”) [the twins' firm — ed.] developed, calculates and publishes Winkdex on a continuous basis using a patent-pending mathematical formula developed for such purpose. The formula provides a volume-weighted, exponential moving average market price by blending trading data from the largest Bitcoin Exchanges by volume on a list of Sponsor-approved Bitcoin Exchanges. Bitcoin Exchange criteria for inclusion as a Winkdex constituent include (i) trading denominated in US Dollar, (ii) availability of trading data, (iii) volume criteria and (iv) lack of recent trading halts. The Index Provider maintains a monitoring system that tests for these criteria on an ongoing basis."