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Author Topic: ICBIT Derivatives Market (USD/BTC futures trading) - LIVE  (Read 88510 times)
jaybny
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March 14, 2013, 02:15:31 PM
 #621

touche  Lips sealed

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alpet
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March 14, 2013, 03:02:58 PM
 #622

1. if it was a true futures contract you are 100% correct. but there are some outlier situations where you can get hurt. anyways dont tell anyone about this..
2. of couse the future prices should be much higher than spot!  Kiss

1. I  tasting this instrument, and can see what formula works in large range prices (symmetric USD var. margin for  Δf (Δ price)). All the difficulties in calculating the size of the position in futures contracts for delta neutral position in bitcoins.
2. IMHO bitcoin is locally bubble, is overbought, so price can be dramatically and fast dropped. In any case, too extreme deviation in futures price, it is not profitable for buyers I think.

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March 14, 2013, 05:22:26 PM
 #623

Short Case:

1. Merchant has 100 BTCs coming in next month and wants to lock in the current price, to eliminate the risk of a drop in price.

   The formula for getting short exactly 100 BTCs is  10*Price = size. So if price is 20 size is 200, if  Price is 4 size is 40.

Nope. Suppose I'm a merchant. I'm pain in BTC, but I need to pay supplier in USD. So I need to be size to be fixed in USD, obviously.

Let's consider a concrete example: 1 BTC is 10 USD (current futures price). I'm being paid 11 BTC and I need to pay $100 USD to supplier.

So I sell $100 USD worth of futures.

I'm too lazy to do the math, but if futures work correctly my profit should be 1 BTC no matter what. Alternatively I can make my profit fixed in USD ($10 USD that is.)

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Stephen Gornick
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March 14, 2013, 11:39:34 PM
 #624

The field for Quantity is assuming the input is Octal numbers when there is a leading 0.  e.g., if I enter quantity 011 that gets understood as 9.   If I enter 09 that gets an "invalid quantity" (because in octal, anything above 7 doesn't exist.)

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March 15, 2013, 01:34:05 AM
 #625

The field for Quantity is assuming the input is Octal numbers when there is a leading 0.  e.g., if I enter quantity 011 that gets understood as 9.   If I enter 09 that gets an "invalid quantity" (because in octal, anything above 7 doesn't exist.)

Oh wow!  That's so lame.  Because people input in octal, just like programmers!  Makes one wonder what kind of validation etc. is going on, or not.
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March 15, 2013, 05:07:04 AM
 #626

Shit.  Did I just here little bobby tables calling?
Fireball
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March 15, 2013, 10:59:22 AM
 #627

The field for Quantity is assuming the input is Octal numbers when there is a leading 0.  e.g., if I enter quantity 011 that gets understood as 9.   If I enter 09 that gets an "invalid quantity" (because in octal, anything above 7 doesn't exist.)

That's not a bug, that's a feature! (of your browser's javascript engine) Smiley

But ok, (if you refresh the page), the only possible base for the input values becomes decimal.

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jaybny
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March 15, 2013, 02:14:26 PM
 #628

Hi Fireball,

Is there anyway to see the time-and-sales for BUM3?   http://daytrading.about.com/od/stou/g/TimeAndSales.htm

Specifically I see that there were some trades at 58.50 in last couple of hours. However it seems that the 60.06 bid has been sitting on the book since before the 58.50 prints.

In general, more transparency would help. The 1 minute charts are not enough.. were can we see all trades?

ty

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March 15, 2013, 08:31:58 PM
 #629

BTCUSD-3.13 (BUH3) was just settled at $47.0764 (24h weighted avg as reported by MtGox website at the moment of settlement).
Total volume for this contract is $754550.

You will get access to all trades of this and other contracts using the unified interface I am going to add soon. In the meanwhile, 1h candles chart data is available from here: http://icbit.se/data/sec/BUH3/1h.json


Thanks to everyone involved and Happy trading! Next nearest contract is BTCUSD-4.13 (BUJ3).

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zebedee
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March 15, 2013, 11:45:14 PM
 #630

BTCUSD-3.13 (BUH3) was just settled at $47.0764 (24h weighted avg as reported by MtGox website at the moment of settlement).
You seem to be a UTC exchange given what is shown on the first row of your website.  Your settlement price determination is not clearly specified in the contract.  You seem to have settled around 4 hrs before the end of the UTC trading day - how is that possible?

What time zone are you using for the settlement trading day?  How can your settlement price be verified?  I think you need more transparency in both the contract and the determination process itself so 3rd parties cannot dispute your settlement price.
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March 16, 2013, 01:47:35 PM
 #631

BTCUSD-3.13 (BUH3) was just settled at $47.0764 (24h weighted avg as reported by MtGox website at the moment of settlement).
You seem to be a UTC exchange given what is shown on the first row of your website.  Your settlement price determination is not clearly specified in the contract.  You seem to have settled around 4 hrs before the end of the UTC trading day - how is that possible?

What time zone are you using for the settlement trading day?  How can your settlement price be verified?  I think you need more transparency in both the contract and the determination process itself so 3rd parties cannot dispute your settlement price.
https://icbit.se/futures - it says about trading session and daily settlement (clearing). Time of daily settlement is 20:00 UTC. Settlement price can be verified by anyone looking at https://mtgox.com website frontpage at the moment of settlement, the weighted 24h avg is taken from there. It should be possible to recalculate that price based on historical data provided by Mt. Gox.

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jaybny
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March 16, 2013, 03:09:50 PM
 #632

Another thing that makes no sense, is the inability to put orders in at prices that already exist in the book. BUM3 has live buy orders from 39-53. Yet the allowable price range for new orders is 52 - 64. So if I try to place a buy at 47, I get rejected! Even though there are already bids at 47. wtf!

Its one thing to have price limits (this can be debated separately). But just because there are price limits, shouldn't stop you from placing bids below those limits. Especially since there are many "Special" settlements that happen which change the limits. 




Fireball
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March 16, 2013, 04:29:03 PM
 #633

Another thing that makes no sense, is the inability to put orders in at prices that already exist in the book. BUM3 has live buy orders from 39-53. Yet the allowable price range for new orders is 52 - 64. So if I try to place a buy at 47, I get rejected! Even though there are already bids at 47. wtf!

Its one thing to have price limits (this can be debated separately). But just because there are price limits, shouldn't stop you from placing bids below those limits. Especially since there are many "Special" settlements that happen which change the limits. 

Tell me please, what would be the purpose of having price limits if one is allowed to place bids above/below those limits?

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Ichthyo
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March 16, 2013, 06:50:27 PM
 #634

What time zone are you using for the settlement trading day?  How can your settlement price be verified?
https://icbit.se/futures - it says about trading session and daily settlement (clearing). Time of daily settlement is 19:00 UTC.

@Fireball: is this a mistake or was this changed recently?
It always used to be 20:00 UTC. Also your BUH settlement happened shortly after 20:00 UTC
Fireball
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March 16, 2013, 08:34:42 PM
 #635

@Fireball: is this a mistake or was this changed recently?
It always used to be 20:00 UTC. Also your BUH settlement happened shortly after 20:00 UTC
No, I'm sorry, I made a mistake when typing the message here. Of course it is 20:00 UTC, as said on the website page too.

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jaybny
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March 16, 2013, 10:21:16 PM
 #636

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Tell me please, what would be the purpose of having price limits if one is allowed to place bids above/below those limits?

You serious?

The purpose is to not allow TRADES outside the limits. But since the limits change on a daily basis, and sometimes more than once a day. A trader should be able to put in a order in anticipation of a change in limits.

If there is an order visible in the book, I should be able to join that bid/offer. Either you cancel all orders outside the limits or you allow new orders to join those prices outside the limits.

Of course, you cant allow buy orders above the upper limit or sell orders below the lower limit. But buy orders below the lower limit and sell orders above the upper limit should be allowed!

come on man. exchange 101.




zebedee
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March 17, 2013, 01:15:29 AM
 #637

https://icbit.se/futures - it says about trading session and daily settlement (clearing). Time of daily settlement is 20:00 UTC. Settlement price can be verified by anyone looking at https://mtgox.com website frontpage at the moment of settlement, the weighted 24h avg is taken from there. It should be possible to recalculate that price based on historical data provided by Mt. Gox.
Clearing and contract settlement price determination are entirely different things in general and should not be conflated.  That the contract settled at 8pm UTC was far from clear.

As you refer to settlement day in the contract, you should have it in the contract that the 24hr average is taken at 8pm.  Please do that for new contracts.

I also think you should be veryifying the price yourself from raw data and not relying on what is effectively a Gox screenshot.

Remember you're dealing with (significant quantities of) other peoples money, and charging healthily for the service you provide.  An all-round professional approach is vital and expected.
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March 17, 2013, 01:54:24 AM
 #638

That the contract settled at 8pm UTC was far from clear.

That's because it didn't settle at 8pm UTC.     [That was confusing.  The contract specifies 20:00 UTC.   08:00 PM UTC is 20:00 UTC.

It appears to have settled at the correct time.  I think you are seeing 08:31:58 PM UTC which was the time of Fireball's forum post and somehow are thinking that was when the settlement occurred.   I didn't have any BUH3 at settlement so I don't have a print in the log showing the timestamp for when it settled, but at a minimum at 20:29 UTC this was posted on Twitter:

Quote
BTCUSD-3.13 (BUH3) was just settled at $47.0764. Total volume for this contract is $754550. Happy trading! #bitcoin
- http://twitter.com/icbit_se/status/312661836484980736

I don't remember the exact 24 hour weighted average number at Mt. Gox after I saw the tweet but when I did look it was some low 47.?? number and I hadn't given it another thought.

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March 17, 2013, 02:27:13 AM
 #639

I didn't have any BUH3 at settlement so I don't have a print in the log showing the timestamp for when it settled, but at a minimum at 20:29 UTC this was posted on Twitter:

Quote
BTCUSD-3.13 (BUH3) was just settled at $47.0764. Total volume for this contract is $754550. Happy trading! #bitcoin
- http://twitter.com/icbit_se/status/312661836484980736

I don't remember the exact 24 hour weighted average number at Mt. Gox after I saw the tweet but when I did look it was some low 47.?? number and I hadn't given it another thought.

I did and here's the log entry:

2013-03-15 20:00:01   332   Variation margin, last = 47.0764

I was also watching Mt.Gox's 24-h weighted average, and this number looks absolutely fine to me.

picobit
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March 17, 2013, 01:39:37 PM
 #640

I can also confirm that I looked at MtGox at the time of settlement, and the price was correct at least to four digits (two decimals after the point). 
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