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Author Topic: ICBIT Derivatives Market (USD/BTC futures trading) - LIVE  (Read 92169 times)
[Tycho]
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April 25, 2013, 11:58:08 PM
 #781

P.S. Buying and holding previous contract would cost 0.003+0.003 BTC = 0.006 BTC. Buying and holding BUK3 for 30 days will be 0.0001*62 = 0.0062 BTC, so it's nearly the same for b&h strategy.
0.0062 BTC at the current price of 140USD is 8,68% fee.
1:2.5 leverage is not worth paying nearly 9% fee. It's increasingly more attractive to trade on Mt.Gox without leverage and with 1.2% fee or on other exchanges with even lower fees.
8.68% sounds scary, but you should also note that you are comparing 2 trades at Mt.Gox with 62 trades+clearings at ICBIT
Also there is a BUU3 contract that has 0.001 BTC fees (down to 0.0005 BTC if you have volume discount).

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[Tycho]
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April 26, 2013, 12:00:27 AM
 #782

"Challenge accepted"!

0.0001 BTC clearing fee per 1 contract (to fight buy-and-hold-till-expiration strategy).
Something new and interesting.
But why do you need "to fight" b&h at all?
This is an experimental contract which will allow us to see if there will be at least more intraday trading comparing to other contracts so we can come up with correct fee policy for the next contracts.

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April 26, 2013, 01:23:35 AM
 #783

This new contract is pretty interesting. I've never seen such a clearing fee before.

My personal suggestions for increased liquidity - rebate for adding liquidity (ie maker/taker), and a larger tick size (maybe half a point). As it is, the spread is pretty wide, so bigger tick size isn't going to widen it. What it will do is aggregate liquidity on fewer levels and prevent gaming (penny jumping). There have been studies that show too small a tick size is actually bad for large traders, better for small traders, but on aggregate worse.

PS Xenius I would not market make in options without the futures contract or a much more active market for shorting. It is essential for hedging. And trust me, options needs a market maker because of the infrastructure requirements.
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April 26, 2013, 11:53:47 AM
 #784

Actually, another issue is the scaling of the fee. How about charging a proportion of the BTC exposure? It would be in keeping with the spirit of the contract.
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April 26, 2013, 08:50:46 PM
 #785

0.0062 BTC at the current price of 140USD is 8,68% fee.
Actually it's about 10.4% in 30d considering contango. Time decaying thing.. Hmmm..

Actually, another issue is the scaling of the fee. How about charging a proportion of the BTC exposure? It would be in keeping with the spirit of the contract.
I guess it's never gonna happen. They are russian. I know how fucked up things can be when you are down there..

My personal suggestions for increased liquidity - rebate for adding liquidity (ie maker/taker)
That's how it was done on the bitfloor. The spread was virtually zero all the time. Very effective..
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April 28, 2013, 07:49:35 PM
 #786

My personal suggestions for increased liquidity - rebate for adding liquidity (ie maker/taker)
That's how it was done on the bitfloor. The spread was virtually zero all the time. Very effective..
Such a maker/taker fee is similar to what Intersango has been doing - the fee three times higher if you take an offer in the order book instead of making a new one.  Bitfloor went even further and made the fee for market makers negative.

I must say I don't like the clearing fee of BUK3, even though it is small.  I hope that will not be a pattern for future use.

And a final comment:  The leverage is getting a bit low.  I know that is part of a strategy of reducing counterparty risk, but the only way of eliminating that is removing leverage altogether, and that would make ICBIT uninteresting.  We are unfortunately moving in that direction.  I would rather have a slightly larger counterparty risk, and then be able to trade at 1:4 or 1:5.  I think that the combination of high fees and low leverage hurts the volume at icbit!
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April 28, 2013, 10:57:37 PM
 #787

And a final comment:  The leverage is getting a bit low.  I know that is part of a strategy of reducing counterparty risk, but the only way of eliminating that is removing leverage altogether, and that would make ICBIT uninteresting.  We are unfortunately moving in that direction.  I would rather have a slightly larger counterparty risk, and then be able to trade at 1:4 or 1:5.  I think that the combination of high fees and low leverage hurts the volume at icbit!

As for margin requirements, this is temporary, and it's going to be fixed properly soon.
To be fair, even with removed leverage, there are still some advantages over spot market (ability to short bitcoin rate, and, well, maybe a bit better trading interface, and slightly less lags). But as I said, it's not the direction where I would want ICBIT to move in.

About BUK3 clearing fees - that's an experiment, a way to see what our trading community actually wants. Some traders started criticizing us for high fees - so now there is a BUK3 with (amazingly) low fees for those who want to trade frequently. Those, who want to open long term positions, are welcome to use traditional futures contracts without clearing fee, but with higher trading fee.

So it's democracy in action: traders choose the best suitable tool for them Smiley

P.S. One minor update, the orderbook, now it displays a little better, and more compact. Work-in-progress, more usability features to come.

Margin trading platform OrderBook.net (ICBIT): https://orderbook.net
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April 29, 2013, 08:47:00 AM
 #788

The platform left alone eats progressively all available system memory
little by little on chrome.. Starts low with 40 mb and leaking it higher and higher..

This is not the point. The market is nearly dead all the time.
The fut basis easily ranges between 15-45%. There's no proper marketmaking yet.
You should have set virtually zero fees at all till attracting enough traders so they could form the market..
In the oldskul corporate markets this is the job for the dedicated mmakers who are obliged "to hold" the market.
But for some reason i think this gotta be done by the free and properly designed market itself.

Since i started writing this post memory has leaked up to 170 mb..

The range is way too slim. Readjusting on clearing only?
Also please add the ability to place the order in the book
even if it's out of range and can not be executed right away.

Time and sales which do not disappear
would be the greatest usability tweak for the moment..

Btw experiments are always welcome.
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April 29, 2013, 09:58:08 AM
 #789

Time and sales which do not disappear
would be the greatest usability tweak for the moment..

It's already on the way, should be deployed tonight. As for memory eating, I am not able to reproduce this bug on Google Chrome on Windows platform, however I heard other reports about people having similar problems. There are some suspicious places where that might happen, so we are going one-by-one to eliminate that, and make clientside javascript cleaner/shorter/better.

Thanks for your suggestions!

Margin trading platform OrderBook.net (ICBIT): https://orderbook.net
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picobit
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April 29, 2013, 02:09:18 PM
 #790

As for margin requirements, this is temporary, and it's going to be fixed properly soon.

Good.  We are still in turbulent waters after the last crash, so it is normal that margin requirements are still high - as long as it is a temporary measure, and not the "new normal".

Maybe you should have a "volatility index" and use the volatility during the last month or two to determine the maximal leverage :-)
ThePok
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April 29, 2013, 02:17:04 PM
 #791

such a system would fail as soon as voila gos up again...useless....
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April 30, 2013, 08:42:35 AM
 #792

Time and sales which do not disappear
would be the greatest usability tweak for the moment..
It's already on the way, should be deployed tonight.

The open interest is an essential param for the derivative mkt as well.
It must be broadcasted in the feed along with price, time and volume.
boomerlu
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April 30, 2013, 12:26:13 PM
 #793

As for margin requirements, this is temporary, and it's going to be fixed properly soon.

Good.  We are still in turbulent waters after the last crash, so it is normal that margin requirements are still high - as long as it is a temporary measure, and not the "new normal".

Maybe you should have a "volatility index" and use the volatility during the last month or two to determine the maximal leverage :-)

The VIX is calculated from options prices. For this, there are several possible choices of volatility, but options is actually the worst one because of the huge spreads on MPEX. I agree with the general idea though.
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April 30, 2013, 03:00:15 PM
 #794

I was thinking along the lines of something simpler, like the standard deviation of the price divided by the mean, averaged over the last month.  Or something like that.
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May 01, 2013, 02:08:09 PM
 #795

the derivative exchange is in the slightly funny position
it wants to maximize the fee profit, but then again who doesn't?

so it gotta attract the public by offering high leverage
which is as a rule being conditioned by the media for quick profits.

at the same time the market must be formed for these traders in the first place.
coz traders aren't establishing the market by themselves, they can wait, they have got time.

the hedgers are the ones who establish the market because they take the market and lack time

who are they and why don't they have time? their biz is not in the market itself
they would run the btc/cash exchange services which earn a small percentage
but steadily over time building their own biz and other afk merchants.

considering the bitcoin philosophy of decentralization and exchange solutions like localexchange
it could and should be everyone of us! that's the key difference between bitcoin and corporate markets.

but no hedger in the right mind would enter the market which hasn't been developed yet
it's absolutely unacceptable for those who have tight risk limits of their own biz
to be caught in between the market spread or narrow trading limits or insane basis bias or whatever.

so who's gonna do a marketmaking then?
the corporate exhanges sell this  right to a dedicated companies.
in exchange for zero fee and exclusive profit opportunities they make out of it
90% of the time during low market volatility they are oblidged to provide mkt liquidity
to a certain extend of course, which is precisely until they make their own profit,
"holding" the market a bit in the periods of high volatility so to speak.

this obscure activity attracts hedgers which bring profitable opportunities for traders because
the derivative market isn't a fucking casino of some sort or another where people rip off each other round and round.
the speculative profit is a percentage which hedgers are willing to share with the market
and in return they want to have peace of mind and their own biz going steady.

so in bitcoin maket everyone of us can be a bank and should be.
that's the whole point of the current paradigm shift.

at the same time having a dedicated mmaker is totally
against the intrinsic beauty of the bitcoin p2p philosophy
i'm not quite sure at the moment why but i have this feeling that
the porper market design and uniqueness of the bitcoin market
can and should do the marketmaking job on their own.

maybe somehow there have to be mmaking opportunities for everyone and
a dedicated marketmaker at the same time? more experiments are required.
i.e. the one of the features which has already been discussed is
a market rebate the way they did it at bitfloor..
more ideas should eventually come up.

stay tuned..
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May 01, 2013, 08:15:57 PM
 #796

a market rebate the way they did it at bitfloor..

I'm up to providing market making rebate automatically, and I feel this is the most natural way for this. If there are any other ideas, I'm eager to listen.

Margin trading platform OrderBook.net (ICBIT): https://orderbook.net
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May 02, 2013, 03:29:06 PM
 #797

Fireball, here's another idea that may help with counterparty risk: Liquidation Auctions.

If somebody is in forced liquidation due to not being able to make margin call, his position unwinds by first chewing through the available liquidity in the market (within limits). THEN, the remaining position is unwound by an open call for bids/offers. This would happen at the current clearings, so people will know to be around for the auction.

You could lock the book to liquidity taking for 5 minutes as the bids/offers accumulate. Then when the auction period ends, you can release the position to be unwound.

Another extension could be you lock the liquidity in the book AT close, but continue to have continuous trading in a separate session (parallel liquidation auction and normal trading, with liquidation only able to insert bids for sell liq and offers for buy liq).
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May 03, 2013, 05:06:52 PM
 #798

admin! I'm in shock! why I closed the 50 futures on 140?? (At that time, as Bitcoin was worth 85)
I am engaged in arbitration, AND SO THE FUTURES FOR ALL I HAVE BOUGHT Bitcoins

a month ago also closed several hundred at the rate of twice the rate at Gokcen. I swallowed a pill that, although the loss was enormous
I'm arbitration, and under all the futures I bought bitcoins.
I see the clearing in 8utra occurred at the rate of 130.49. HOW my futures then could close at a higher rate?
the more that ever were willing to buy, so I understand it, you are required to change more quickly before my partner, closing futures to someone who did not have enough collateral
Why is the second time I have to myself to bear huge losses (in percentage terms), while the administration admitted mistakes (not relevant market situation margin requirement GO untimely margin call)
Please answer, because if such losses occur without sharp collapse (in contrast to the situation in the past month), then the arbitration between Gokcen and this exchange does not really.
before that, when on April 12, I closed the 200fyuchersov to 143 when Bitcoin was 80, I swallowed it, though, and lost a lot of nested, the more that a month before, I was on these futures suffered loss (here), and constantly added here Bitcoins
But many of those futures, I was selling more on 55, 70, 90. And forcibly bought at 143! (
but I understand that at that time there was a sharp decline, and many have suffered from the fact that at the time were not increased margin requirements
but on the basis of what is now closed my contracts, the relatively quiet market, always with a willing to buy contracts at a reasonable price, and the more that the price is above the clearing price!
I want my money! This is an obvious miscalculation ADMINISTRATION AND I SHOULD NOT BECAUSE THEY SUFFER IN WHICH THE TIMES

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May 03, 2013, 06:20:09 PM
 #799

admin, explain to me again. How is it that after yesterday evening clearing by 136.8 at the opposite side there was a margin not count (at this price and purchase contracts were)
  that is, it had sufficient reserves at the time (once again, that at the rate of 136)
  and today it has dramatically reduced the number of software that is already at the rate of 136 it was impossible to close the contracts, but only to 140
  that is, if the course of 136 he carried margin requirements (15%), then it really was to advance Margin Call on 116.
  and if margin requirements were not met, why his contract was not closed at night, when there have been wanting to buy for adequate rate?

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May 03, 2013, 06:20:47 PM
 #800

from rules about margin call:
Every user's balance is continually checked by the trading engine if that user has any open positions. Margin call (forced close) is issued when his balance (actual money in the account plus total variation margin) is less than or equal to 75% of the total maintenance (initial) margin necessary to keep the positions.

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