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Author Topic: ICBIT Derivatives Market (USD/BTC futures trading) - LIVE  (Read 88446 times)
Ichthyo
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October 19, 2012, 05:40:05 PM
 #201

Is there anyway to see more of the orderbook than five orders to each side?  Sometimes it looks like someone is (successfully!) trying to hide part of the book by placing five orders of one contract one cent apart.

It would be convenient (to say the least) to be able to see the whole orderbook for the day's trading range on the webtrade page. Only seeing the top 5 orders can make for some pretty blind trading.

agreed, this seems to be the most important shortcoming of the platform right now, especially since trading now seems to "take off".

@Fireball: are there any concrete plans  somehow "in the pipeline", regarding a full orderbook display?


BTW, this data can be retrieved through the API, but this requires some JavaScript programming, since its a streaming API, i.e. you  open an information channel and then the platform delivers messages; the client needs to sum them up to get a complete display of the current orderbook. https://icbit.se/api
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October 19, 2012, 05:45:30 PM
 #202

No, it's very simple. This was tested from the very beginning, however with some code changes introduced recently the wrong price was used in only one case. I fixed this yesterday and retested successfully.
A: Best buy is 11.10, best sell is 11.20. Limit order to sell a contract with a limit price of 11.00 will be executed at 11.10.
Similarly, a limit order to buy a contract with a limit price of 11.5 will be executed at 11.20.

You can test that yourself on the exchange now.

Okay, that is very good to hear, but is this a very recent change?

I was hoping that I was misinterpreting this result, but the reason I asked this question is that such a situation just happened to me the other day (by accident).

Take a look at session id 146, trade id 11 (and 12).

I intended to leave a sell limit order (above the market) at 11.579 when the current market was at about 11.29.

However, I made a mistake and accidentally typed my sell order limit at 10.579.  (Big figure mistake...this has cost me so much money over the years on all kinds of exchanges.)

But instead of executing my order immediately at the current best bid price (about 11.29) it looks like my order was executed at (my very low, mistaken limit price) of 10.579.

Please take a look and let me know if I am understanding the logs wrong.


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October 19, 2012, 06:33:53 PM
 #203

But instead of executing my order immediately at the current best bid price (about 11.29) it looks like my order was executed at (my very low, mistaken limit price) of 10.579.

Please take a look and let me know if I am understanding the logs wrong.

You understood it right, that was the problem which was fixed. It happened only for sell orders, so all buy orders were correct anyway.

As for the orderbook 5 price levels limit - we are thinking on how to better place the orderbook on the trading screen and it'll be enhanced to contain more price levels once redesign is figured out.

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picobit
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October 19, 2012, 08:07:59 PM
 #204

As for the orderbook 5 price levels limit - we are thinking on how to better place the orderbook on the trading screen and it'll be enhanced to contain more price levels once redesign is figured out.

I don't think this should wait for a redesign.  It would be very, very useful if you could just place a link on the page to a separate page displaying the full order book. It does not need to be something fancy that autoupdates, initially just an ugly page showing a snapshot would be great.  We really need it! Smiley

EDIT:

PS. Did you pull the internet plug a few minutes before the clearing to prevent the usual market manipulation, or was is just me that lost connection for a few minutes at the critical time?
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October 19, 2012, 08:57:12 PM
 #205

I don't think this should wait for a redesign.  It would be very, very useful if you could just place a link on the page to a separate page displaying the full order book. It does not need to be something fancy that autoupdates, initially just an ugly page showing a snapshot would be great.  We really need it! Smiley
Allright, tomorrow I'll add it some way or another.

EDIT:

PS. Did you pull the internet plug a few minutes before the clearing to prevent the usual market manipulation, or was is just me that lost connection for a few minutes at the critical time?

No, it worked for me quite good during that time.

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October 20, 2012, 09:29:56 AM
 #206

Allright, tomorrow I'll add it some way or another.

Thank you very much indeed.

No, it worked for me quite good during that time.

OK, it would have been an almost sensible thing to do, but I guess it was just a fluke - or perhaps the server gets a bit overloaded right then, when the majority of the users are on at the same time, refreshing their pages expecting to see some action.  Grin
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October 24, 2012, 12:52:20 AM
 #207

Looks like someone is hammering it right @ clearing time? Really, in the last seconds or so.

Heh, that continues again and again.

Best way to buy is have some low bids in right before clearing.  Someone must feel it is better to sell a few BUZ2's right before clearing and lower the clearing price than to take the hit from a higher clearing price? (and possibly risk having their position involuntarily liquidated?)

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October 24, 2012, 10:43:35 PM
 #208

Heh, that continues again and again.

Best way to buy is have some low bids in right before clearing.  Someone must feel it is better to sell a few BUZ2's right before clearing and lower the clearing price than to take the hit from a higher clearing price? (and possibly risk having their position involuntarily liquidated?)

I'm providing some liquidity to the market to narrow down the spread. This also helps stabilizing price before a clearing.

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October 28, 2012, 04:29:02 PM
 #209

the futures trading chart will be live quite soon so everyone could see historical data

Well, not everyone ... only people who have registered with ICBIT and are logged in can see the charts.

These are beautiful.  




There are traders who would be attracted to BUZ2 because for it provides the ability to hedge but they aren't even aware of this trading opportunity.

You should consider a way to serve the chart (and order book) for guest access (i.e., not logged in).

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October 28, 2012, 06:44:22 PM
 #210

There are traders who would be attracted to BUZ2 because for it provides the ability to hedge but they aren't even aware of this trading opportunity.

You should consider a way to serve the chart (and order book) for guest access (i.e., not logged in).
I think we can arrange publishing of this information through bitcoincharts.com

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picobit
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October 28, 2012, 07:54:52 PM
 #211

I don't think this should wait for a redesign.  It would be very, very useful if you could just place a link on the page to a separate page displaying the full order book. It does not need to be something fancy that autoupdates, initially just an ugly page showing a snapshot would be great.  We really need it! Smiley
Allright, tomorrow I'll add it some way or another.

Is there any hope of seeing this anytime soon.  The other day I refrained from trading because I couldn't see what I was doing due to a row of tiny, very close bids.
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October 28, 2012, 08:03:50 PM
 #212

Is there any hope of seeing this anytime soon.  The other day I refrained from trading because I couldn't see what I was doing due to a row of tiny, very close bids.
Depth graph is planned. Hope to see it soon too.

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October 30, 2012, 03:28:54 PM
 #213

For those who run their trading bots: order book message json object format will change today (to make it arbitrary sized into both sides and to simplify parsing on the client side), so don't forget to look at the new json object and adapt your code.

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November 02, 2012, 05:45:45 PM
 #214

Is there any hope of seeing this anytime soon.  The other day I refrained from trading because I couldn't see what I was doing due to a row of tiny, very close bids.
Allright, I just added a way to change orderbook window size (it's same way how you change size of "your orders" window at the bottom, by clicking a small blue arrow pointing downwards). Instead of 5 entries in every direction you could see 11 now.

It's not a totally proper solution because it's possible to fill up those 11 entries (or any more) too, if one wants to.
The depth of market chart would provide a much better overview, when it's done.

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Ichthyo
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November 03, 2012, 02:53:50 AM
 #215

Allright, I just added a way to change orderbook window size (it's same way how you change size of "your orders" window at the bottom, by clicking a small blue arrow pointing downwards). Instead of 5 entries in every direction you could see 11 now.

this is already a valuable improvement, very much apreciated!


...looking ahead to the maket depth graph.
Incidentally, wouldn't it be possible to publish the futures data through bitcoinchars? Or is that limited to classical BTC/currency exchanges?
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November 03, 2012, 07:21:00 AM
 #216

...looking ahead to the maket depth graph.
Incidentally, wouldn't it be possible to publish the futures data through bitcoinchars? Or is that limited to classical BTC/currency exchanges?
We sent a message to tcatm a couple of days ago, awaiting for his opinion. That would be nice, of course (bitcoincharts also can display market depth on it's own).

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November 03, 2012, 10:43:53 AM
 #217

Allright, I just added a way to change orderbook window size (it's same way how you change size of "your orders" window at the bottom, by clicking a small blue arrow pointing downwards). Instead of 5 entries in every direction you could see 11 now.
Thanks a lot!  This helps tremendously during normal trading.
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It's not a totally proper solution because it's possible to fill up those 11 entries (or any more) too, if one wants to.
The depth of market chart would provide a much better overview, when it's done.
Of course if someone wants to sabotage the overview, they can still do it.  But I suspect that in most cases it will help a lot.
Ichthyo
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November 08, 2012, 01:57:46 AM
 #218

Are the oil futures working as expected?

Yesterday everything was ok-ish, but now the situation there looks queer: the complete Ask side is gone and the displayed rate is at the upper bound of the range allowed for today, which is 8.6872 - 10.6176 -- any existing bids are completely out of this range. How is this "current rate" calculated? The Chart don't give me any clues here.

Does this mean that there actually was a deal done at 10.61 or is this just a fallback picked by the system?
A deal at above 10 looks strange, because this necessarily means that someone acually went long at that rate, which is completely off road. Current market rate should be at 85.80 / 11.05 = 7,76  -- well, futures markets can be in contango (or would this count as backwardation in this case, since we're actually more speculating on bictoin rate movements than on oil rate movements?).

Anyway, the current situation concerns me somewhat, since when there is no ask side, theoretically a single player could just skew the rate up until everyone else is driven into liquidation...  Grin
Ichthyo
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November 09, 2012, 03:49:03 AM
 #219

Are the oil futures working as expected?
Yesterday everything was ok-ish, but now the situation there looks queer....

Today I've observed what's going on.
So my theory what happened is as follows...

  • the market isn't especially deep, but looks sort-of balanced
  • Fireball (or someone else) is running a market making bot
  • this bot had placed an order at the outer borders of the allowed range
  • just few minutes before the adjustment cut-off at 20:00 UTC, a manipulator buys away the complete ask side
  • since the last offer bought away is the one placed by the market making bot, the system picks the exact upper end of the range as "current rate" and centers the new range at that point
  • thus the new range ends up largely outside of any existing offers during that day. Everyone holding positions receives a really huge mark-to-market adjustment

I think this mechanism is very destructive and absolutely not how it's intended to work.
If a manipulator succeds with such a scheme several days in row, he can basically create his own leveraged yield and squeeze all holders of counter positions out, and all of this with relatively low input and moderate risk.
Ichthyo
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November 09, 2012, 04:09:41 AM
 #220

We've continuously ongoing problems with manipulation shortly before the cut-off at 20:00


What do you think of the following proposal?

Instead of using the "current range", which is sensitive to the order of execution and especially sensitive to what happened in the last seconds --
why not using a weighted average of the last day's actual trades? Only if there was zero trading activity, then the weighted average of the orders should be used. So, in any case, the next day's trading range would be centred at the last trading session's centre of activity.
  • just placing some orders wouldn't have any effect anymore
  • the incentive of last-minute trades would be reduced. At least a manipulator needs to move huge positions
  • In case of a crash of the underlying market, the damping effect would be stronger. But since everyone would move to the border of the current trading range, the necessary (but damped) adjustment would still be possible.

Does this proposal make sense, do you see any further problems? Do you think this would ameliorate the issues?
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