Definitely headed in the right direction however like the other guy said this is gon be a massive amount of management work.
Couple things to think of.
What if the asset didn't do trade ins unless it closes?
How this could possibly work is keeping 50% of funds raised from issued shares in the wallet and using that to provide a liquid wall somewhere around... 50% perhaps..Then once or twice a week reevaluate the liquidity or pin a % change to a time when the liquid wall will be adjusted to correct with 50% of index value.
However then their is the problem if the index out paces it's price in burst by 100%+. You could weight the index perhaps. Idk just some thoughts