ICBIT Derivatives Market (USD/BTC futures trading) - LIVE

[picobit]

Closing positions prior to settlement seemed to be the smart move Looked like a hot potato to me, so I got out of BUZ2 not long after BUH3 opened.

I honestly did not expect trouble, but clearly settlement was a special time, so if anything was going to go wrong, that would be a likely time for it to happen.  So I got rid of my small position in BUZ2, and planned to withdraw all the bitcoins.  But those overpriced BUH3s were sooo tempting

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[Fireball]

I put together a small news release stating some facts about BUZ2 and ICBIT, and also put some explanation about futures trading for those who never heard about futures.

Comments (and reposts, if you like it) are welcome:
https://plus.google.com/u/0/b/117990284188664727142/117990284188664727142

[Fireball]

I finally put together the arbitraging topic https://bitcointalk.org/index.php?topic=131622.0 which explains how futures/spot arbitraging works and provides examples. If all is good with that description, I will proceed with adding links and descriptions of some trading bots implementations I have available.

Comments are welcome there.

[labestiol]

I tried to withdraw some funds, and the form ask for a one-time password.
I tried to use the google auth pass (which is configured), but without success ?

Can you explain how to do ?

Thanks

[Fireball]

I tried to withdraw some funds, and the form ask for a one-time password.
I tried to use the google auth pass (which is configured), but without success ?

Can you explain how to do ?

Thanks

Please PM me your user account name.

I already got one more similar complain, please allow up to 1 day to investigate and solve the issue. Thank you.

[Fireball]

Someone put a 4k contracts ($40 000 worth of contracts) wall at $14.

[Stephen Gornick]

Someone put a 4k contracts ($40 000 worth of contracts) wall at $14.

And then took it down shortly after.  

I wish that person would put it back!

[Fireball]

I tried to withdraw some funds, and the form ask for a one-time password.
I tried to use the google auth pass (which is configured), but without success ?

Can you explain how to do ?

Thanks

Fixed. It was a problem with some time drift on the server, which is now solved once and for all hopefully.

[labestiol]

I tried to withdraw some funds, and the form ask for a one-time password.
I tried to use the google auth pass (which is configured), but without success ?

Can you explain how to do ?

Thanks

Fixed. It was a problem with some time drift on the server, which is now solved once and for all hopefully.

Thanks, it's working now !

[Stephen Gornick]

There was a message on Twitter:

Site will not be accessible (another maintenance) shortly for a period of up to 5 minutes.

- https://twitter.com/icbit_se/status/282577017466150912

But that was more than two hours ago without any update since.

The service is online but the Orderbook for each instrument is blank.

[Fireball]

There was a message on Twitter:

Site will not be accessible (another maintenance) shortly for a period of up to 5 minutes.

- https://twitter.com/icbit_se/status/282577017466150912

But that was more than two hours ago without any update since.

The service is online but the Orderbook for each instrument is blank.

Sorry it took too long, it's all back online now and working properly.

[Fireball]

The BUH3 futures contract (BTC/USD), started some 10 days ago already has had over $100K USD worth of trades (which is 1/5 of total BUZ2 volume which was trading for months!).

Merry Christmas to all christians! :-)

[picobit]

Hi Fireball,

There is still something wrong with the documentation of BTCUSD variation margin ( https://icbit.se/BUH3 ).  On your web page, W/R is still -0.1 where it should be -10 USD in order to give the correct result.  Should the equation read R/W instead (due to the prices being reciprocal)?.  By the way, why confuse the issue by introducing the minimal price step and its cost, when it is clearly the contract size that enters into the calculation?

Hi Fireball,

There seems to be something wrong with the equations giving the variation margin on your web page.  The actual calculation is OK, it is just the web page that gives the wrong expression.

The variation margin should be the price difference times the size of the futures contract.  As the actual contract is a futures contract for -10 USD, traded in BTC, but the price is listed as the price in USD/BTC, a reciprocal comes in, confusing matters a bit, and the equation becomes (on your web page):

Vm = (1/p2 - 1/p1) * W/R

Here 1/p is the "real" price (in BTC/USD), and W/R should be the contract size, i.e -10 USD, giving a variation margin in BTC.  However, on the web pages https://icbit.se/BUZ2 and https://icbit.se/BUH3 you list W = 0.0001 USD and R = -0.001 USD, giving W/R = 0.1 (no unit).  So both the magnitude and the unit is wrong.  The example at the bottom of the page correctly uses W/R = -10 (but leaves out all units).  And the actual variations margins calculated in your trading platform are correct as well, fortunately

I have not looked closer into the Gold and Oil options, but since the prices here are listed in BTC I am a bit surprised to the reciprocal of the price in the equations.

[Fireball]

Hi Fireball,

There is still something wrong with the documentation of BTCUSD variation margin ( https://icbit.se/BUH3 ).  On your web page, W/R is still -0.1 where it should be -10 USD in order to give the correct result.  Should the equation read R/W instead (due to the prices being reciprocal)?.  By the way, why confuse the issue by introducing the minimal price step and its cost, when it is clearly the contract size that enters into the calculation?

Allright, I simplified the formula on the website to just specify contract size S equal to 10 USD. Price step and cost are more generic values used for accounting futures contracts, however in this specific case, for simplicity, we can just stick with the contract size S. Thank for you noticing it.

And bytheway, soon good updates are coming!

[picobit]

I have a question regarding the GDG3 futures.  It says that settlement is based on the COMEX future for the month of settlement, that sounds both reasonable and well-defined.  But a bitcoin price must be involved in converting this price to bitcoins.  It is not stated anywhere, but I assume that it is the MtGox price on the day of settlement like for BUH3 (or rather, the price at "the exchange with the largest trading volume" just in case MtGox folds).  It that a correct assumption?  This would be the reasonable choice, but of course it could in theory also be the ICBIT exchange price, which would give a huge risk of manipulation due to the low volume.

And a second question.  I have the impression that you are using a market maker bot.  Does that mean that there is a risk of ending up with a contract with noone at the other end, or will ICBIT be the counterpart in that case, or is the bot keeping things balanced?

Finally, if I get a margin call while having multiple kinds of futures, is there any algorithm that decides which ones are forcibly closed?

[Fireball]

I have a question regarding the GDG3 futures.  It says that settlement is based on the COMEX future for the month of settlement, that sounds both reasonable and well-defined.  But a bitcoin price must be involved in converting this price to bitcoins.  It is not stated anywhere, but I assume that it is the MtGox price on the day of settlement like for BUH3 (or rather, the price at "the exchange with the largest trading volume" just in case MtGox folds).  It that a correct assumption?  This would be the reasonable choice, but of course it could in theory also be the ICBIT exchange price, which would give a huge risk of manipulation due to the low volume.

Yes, saying it simple, it's same definition as the one used for BUZ2 / BUH3. MtGox's volume weighted average price at the moment of futures settlement.

And a second question.  I have the impression that you are using a market maker bot.  Does that mean that there is a risk of ending up with a contract with noone at the other end, or will ICBIT be the counterpart in that case, or is the bot keeping things balanced?

I run the bot occasionally, and also other people seem to occasionally run bots too. I will make it more convinient to run bots pretty soon, because right now it's a bit technically uncomfortable (though possible).
As for your question, no, there can't be "noone at the other end". If I run the market maker bot, I do run it on my own different account, with my own money.

Finally, if I get a margin call while having multiple kinds of futures, is there any algorithm that decides which ones are forcibly closed?

Those which give the negative variation margin by the current market state, or which produced biggest lost during latest market movement (which is actually the same, with the exception when it went through clearing).

[picobit]

Thanks for your clear answers!

[Stephen Gornick]

There was no entry in my log for Variation margin for BUH3 today (Jan 11, 2012).

I see the previous day's entry showed "last = 15.5750" and the current level is at about the same level so it is likely the clearing price today was the exact same as yesterday and thus, I'm presuming, that there was no need to add a log entry as there was no adjustment.

But there's no historic log of daily clearing prices that will show me today's clearing price to confirm that this is what happened.

Might it be better to simply add an entry in the log for Variation margin each day regardless of whether or not the amount was above zero?  At least then nobody would be left wondering if clearing didn't happen on those days like today.

[picobit]

There was no entry in my log for Variation margin for BUH3 today (Jan 11, 2012).

I see the previous day's entry showed "last = 15.5750" and the current level is at about the same level so it is likely the clearing price today was the exact same as yesterday and thus, I'm presuming, that there was no need to add a log entry as there was no adjustment.

But there's no historic log of daily clearing prices that will show me today's clearing price to confirm that this is what happened.

Might it be better to simply add an entry in the log for Variation margin each day regardless of whether or not the amount was above zero?  At least then nobody would be left wondering if clearing didn't happen on those days like today.

I noticed this too.  I guess the software leaves out log lines if the variation margin is zero, instead of leaving them out if the quantity is zero (we certainly don't want 0 variation margin reported on all the instruments we don't have )

The closing price for BUH3 was exactly the same (to three places) two days in a row!

[Stephen Gornick]

The closing price for BUH3 was exactly the same (to three places) two days in a row!

Today (Jan 12, 2012) was the second day in a row with no print for variation margin on BUH3 (meaning the same clearing price three days in a row), and now today had no print for variation margin on CLG3 either.

I then made a trade after the Jan 12 clearing time where I sold BUH3.  It printed a variation margin with last= my selling price.  But in doing the math to verify, it doesn't jive if the last clearing price on BUH3 was still  "last = 15.5750", and instead the Jan 12th clearing would have needed to have been an amount higher than that.

Fireball, whassup with that?  [Edit: i goofed in my calculation.  icbit did compute the variation margin correctly.]