icbit - weird fees and weird fills/logs.

[jaybny]

1) I placed a market order to sell.. bid was 60.06, but order ticket shows price of 58.5.. yet logs do show the fill price of 60.06. So maybe its a display issue or they put a low limit price on all market sell orders.

but there is a bigger issue.. and I think here the issue with the exchange.

2) very sneaky... but it looks to me that the higher BTC/USD rate, the higher the fee.

"Fees 0.002 BTC for 1 contract trade. Settlement fee is 0.002 BTC for settling 1 contract"

fees are only .002 BTC per contract. but...

"Lot size  = 10 USD"

when BTC = 50USD the fee is 1% when BTC = 100USD the fee is 2% , each side. so its 2% and 4% round turn.

The issue here is that the fee and the contract size is in different currencies. The correct way to do this would be to make each contract 1BTC and quote it in mBTC (millibitcoin).  and change the min tick size.

So the current price would be 167 mBTC instead of 60 USD. 

[jaybny]

even worse... the contract is quoted USD/BTC.. so its $47 per BTC and the tick size is .0001 USD/BTC.

yet the Lot size is 10 USD?

so how much is a tic? if price moves .0001 up or down how much is the value?

answer it depends on the USD/BTC.. the is no constant tick value.

the contract is setup all wrong.. the margin calcs are all wrong.

icbit needs to cese trading futures and refund everyones money back.

what a joke. there isnt even a support email address.

[Stephen Gornick]

1) I placed a market order to sell.. bid was 60.06, but order ticket shows price of 58.5.. yet logs do show the fill price of 60.06. So maybe its a display issue or they put a low limit price on all market sell orders.

Margin orders execute immediately.  There would be no order ticket except for one thing, there probably are no bids remaining.   So you filled at $60.06 and had some unfilled at the bottom of the range ... $58.50 -- at least that's what I suspect happened.

the contract is setup all wrong.. the margin calcs are all wrong.

The trade fee for every BTC/USD contract type is different.    For BUH3 (Mar 15, 2013) it is 0.005 BTC for BUJ3 (Apr 15, 2013) it is currently 0.003 BTC but that can change at any time.

As far as margin calculations, they are set up the way they are set up.   They may not match what you are familiar with.   But that doesn't make them "all wrong".

[jaybny]

please tell me. what is the profit/loss from a tick move? .0001? 

thank you

[zebedee]

please tell me. what is the profit/loss from a tick move? .0001? 

thank you

You can work it out for yourself.  But to go in+out and break even after fees, you tend to need a move of over 1 point in the price.  I think the fees are very steep for those contracts for that reason - half a point fees are unheard of.  It's a shame too, because they'd get a lot more volume and tighter markets if the fees were more reasonable, I'm sure.

[Stephen Gornick]

please tell me. what is the profit/loss from a tick move? .0001?  

A $1 move from $50 gives you a gain ~0.004 BTC (worth about $0.20 at today's exchange rate).  So if fees are 0.003 BTC per contract trade, you need nearly a $2 favorable move to break even.
A favorable $1 move from $80 gives you a gain of just ~0.0015 BTC (worth about $0.075 at today's exchange rate).  So if fees are 0.003 per contract trade you need about a $3 favorable move to break even.

If you hold until settlement there is no closing trade fee, so these are assuming you are doing a round trip.

[zebedee]

If you hold until settlement there is no closing trade fee, so these are assuming you are doing a round trip.

Actually there is a closing trade fee now for April and later contracts!

They added that in an attempt to force people out of their positions rather than just sitting on them; they claim it'll aid liquidity.  Greedy.

I believe it'll just mean less trades will be opened, given that a round-trip of fees is now forced on the person trading.  Why they can't see they should be aiming at more trades not less is beyond me, they could do huge volume with very tight fees.

[random_cat]

Actually there is a closing trade fee now for April and later contracts!

They added that in an attempt to force people out of their positions rather than just sitting on them; they claim it'll aid liquidity.  Greedy.

I believe it'll just mean less trades will be opened, given that a round-trip of fees is now forced on the person trading.  Why they can't see they should be aiming at more trades not less is beyond me, they could do huge volume with very tight fees.

I agree.  Higher fees reduce liquidity, not increase it.

And the fees are already quite high.  Perhaps they seemed small when USD/BTC was 10 or 15, but now they are quite remarkably high.

[random_cat]

even worse... the contract is quoted USD/BTC.. so its $47 per BTC and the tick size is .0001 USD/BTC.

yet the Lot size is 10 USD?

so how much is a tic? if price moves .0001 up or down how much is the value?

answer it depends on the USD/BTC.. the is no constant tick value.

the contract is setup all wrong.. the margin calcs are all wrong.

icbit needs to cese trading futures and refund everyones money back.

what a joke. there isnt even a support email address.

I can deal with the nonlinear tick even if I do not like it.  This is somewhat analogous to the CME Nikkei 225 contract.

The web site lists info@icbit.se as a support/etc contact, but I have not had a response to my email.

[jaybny]

I can deal with the nonlinear tick even if I do not like it.  This is somewhat analogous to the CME Nikkei 225 contract.

Ok - I can deal with a non-linear tick... but the contract specs were made just so the price looks like mtGox price. This is wrong. Contract specs should be done with the traders in mind, not for marketing purposes.

I currently have a position.. want to hedge.. but cant figure out my delta.. or even worse at what price point will I get a margin call.

By trying to make these contracts look simple they created a non-linear monster.

From the looks of things, it seem that they recalc margin after each trade.. this is crazy... because 1 fat finger in an illiquid market will cause an avalanche of margin calls and send the contact locked-limit. If anything margin should be calculated off bids for longs and asks for shorts.  

Also, the price bands dont take the volatility into account... why cant I place a 40 bid on June contract? Cash was below 40 hours ago! One day this market will be locked-limit for days, then everyone will flip that they cant get out of their position. disaster waiting to happen.

I told you so (preemptive)

.02

[random_cat]

I currently have a position.. want to hedge.. but cant figure out my delta.. or even worse at what price point will I get a margin call.

By trying to make these contracts look simple they created a non-linear monster.

From the looks of things, it seem that they recalc margin after each trade.. this is crazy... because 1 fat finger in an illiquid market will cause an avalanche of margin calls and send the contact locked-limit. If anything margin should be calculated off bids for longs and asks for shorts.  

Is that right?  My impression was that margin requirements per contract were constant for a given trading session (perhaps longer).  I have not placed enough trades
to be certain of that.  Perhaps someone who knows better can speak up.

Also, the price bands dont take the volatility into account... why cant I place a 40 bid on June contract? Cash was below 40 hours ago! One day this market will be locked-limit for days, then everyone will flip that they cant get out of their position. disaster waiting to happen.

It's worse than that.  At least with locked-limit we can expect it.  As it stands now, there are ad hoc trading session closes.  See https://twitter.com/icbit_se
Your counterparty(s) may not have time to avoid a margin call.

[jaybny]

I just read this.

"In the worst case scenario, your profit is always limited by ability to pay of counterparties to your contract."

The whole point of an exchange is to remove the counter-party risk. What exactly are we paying commissions for? im at a loss for words.

[Stephen Gornick]

"In the worst case scenario, your profit is always limited by ability to pay of counterparties to your contract."

Your profit is limited.  So if you have gains, some or much of those gains could be taken.  That happened recently.

What exactly are we paying commissions for?

To have access to leverage for speculating in an environment which does not harm the privacy of your account.

[jaybny]

Your profit is limited.  So if you have gains, some or much of those gains could be taken.  That happened recently.

this is unacceptable, and unheard of. are there any details on how and when this happened?

[Stephen Gornick]

this is unacceptable, and unheard of. are there any details on how and when this happened?

Here's the thread:

We had to close a few profitable positions due to non-paying customers

I'm confused.  If it was a profitable position it would add variation margin and thus no payment would be required.   About the only thing that would explain a profitable position seeing forced margin selling would be if the margin requirements changed, which if true would be news to me.

One person shorted too much, and did not add money in the account to upkeep the position, so account reached negative state. And there are no asks in the order book to cover the short position. So it falls into the "worst case": the system chooses counter parties (longs in the same futures contract in our case) with biggest unrealized profit by itself, and makes a forced trade (buy to cover) between these parties.

As a result, the person who was in debt ends up with 0 BTC in account (there were a few emails sent, and waiting time was a few days), and profitable traders positions were reduced (as if they sold them to realize the profit).

[xeverse]

Yes.. Those futures are exotic alright.. Non linear stuff..
I haven't seen anything like that before..

But the desire to be independent of the fiat currencies
has to be considered as well..

Probably something else should come up..

[jaybny]

and it gets worse....


Looks like its possible for a contract to be locked-limit forever - until expiration. 

if BUJ3 upper limit is 59.87. BTC are not at 62. NO everyone wants to buy BUJ3 around 62. There are no sellers below 59.87!! So there will be no trades in BUJ#. Since the limits are based on the last trade, the limits will never change and if BTC keep going up, you will never be able to cover your shorts!!

Unless im missing how they change the limits. 

Either way limits should be based on cash BTC not on the last trade. This is really becoming a big clusterfck.

iCBIT has no comments, on anything substantial.