BitMEX Indices Update

On 22 November 2019 at 12:00:05 UTC, BitMEX will update its indices across all products to ensure that the reference prices our users trade against more closely reflect the market consensus price of underlying assets. This will allow you to trade against data which is better optimised for fairness, robustness and accuracy.    

We will achieve this by calculating index weights based on observed trading volumes across a broader set of index constituent exchanges. Volume data is obtained directly from each such exchange via API connection. This change could reduce the impact that movements on a single exchange that are contrary to the market consensus might have on your trading positions. Index calculations will continue to be transparent and easy to replicate.   

The affected indices are .BXBT, .BETH, .BETHXBT, .BXRPXBT, .BBCHXBT, .BLTCXBT, .BEOSXBT, .BADAXBT and .BTRXXBT.

When the constituent of an index is updated, the related index price may change. This is why over the coming days we will be publishing BitMEX “NEXT”, a new family of indices that will run in parallel and reflect anticipated changes. BitMEX “NEXT” indices will not be used for valuation or settlement but by publishing them in advance, we hope to help our users better understand any differences before changes are applied to our indices during the 22 November 2019 switchover.

Please see below some Q&As on the upcoming changes.

How will the updated indices be more representative?

  • More exchanges: BitMEX is adding three new exchanges to its constituent universe to make a total of nine exchanges. This expanded set of exchanges will be reviewed periodically and updated in line with market developments. Through these additions, more data will be available to assist HDR Global Trading Limited (“HDR”), as the operator of BitMEX trading platform, in its determination of the true price of each relevant underlying asset, creating a more accurate and robust reference price for our users.
  • More constituents per index: Every constituent exchange is considered for inclusion in every index. This may lead to data from more constituent exchanges being used in an index resulting in increased price accuracy in relation to its underlying asset.
  • Weights based on observed trading volumes: Updated indices will reflect higher weights for exchanges with higher volumes. This approach will ensure that BitMEX index prices are more representative of the trade price per trade than per exchange.

How are the index prices calculated?

Each BitMEX index price is calculated as a weighted average of the Last Price for each constituent exchange. Index prices are calculated and published every 5 seconds.

How are the weights calculated? 

For each index, BitMEX observes the traded volumes of the underlying asset, obtained directly via API connection, across each exchange in the constituent universe. Proprietary mechanisms are used to identify malformed and anomalous data, which is discarded. The BitMEX index weights are computed using this volume data with the calculation removing constituents with insufficient trade volume.   

For the avoidance of doubt, and in accordance with BitMEX Terms of Service, HDR accepts no responsibility for the accuracy of any volume (or other) data received from any exchange and used to calculate the price of any BitMEX index and excludes all liability for any claimed losses arising in connection with its calculation and publication of any such index.

When are the weights updated?

Index weights will be updated on a quarterly basis. The initial index weights are shown in the table below. After this initial update, future index weights will be updated immediately after quarterly future expiries at 12:00:05 UTC. The updates to the weights will be announced three weeks in advance.

As of 22 November 2019 at 12:00:05 UTC, assuming no constituent exchanges have been excluded due to Index Protection Rules, BitMEX index weights will be:

 

Binance

Bitstamp

Bittrex

Coinbase

Gemini

Huobi

Itbit

Kraken

Poloniex

.BXBT

26.81%

44.44%

6.19%

4.20%

18.36%

.BETH

18.12%

47.83%

8.15%

5.41%

20.49%

.BETHXBT

60.62%

2.76%

7.23%

24.53%

4.86%

.BXRPXBT

60.89%

2.72%

5.61%

9.63%

12.94%

3.31%

4.90%

.BBCHXBT

43.66%

2.93%

3.08%

10.21%

37.20%

2.92%

.BLTCXBT

57.08%

2.71%

16.67%

20.23%

3.31%

.BEOSXBT

57.55%

42.45%

.BADAXBT

80.84%

9.20%

6.84%

3.12%

.BTRXXBT

67.75%

32.25%

How can I track the prices of the new indices?

BitMEX will introduce a new family of indices, the BitMEX “NEXT” indices. The purpose of BitMEX “NEXT” indices is to display, in advance, the hypothetical prices of BitMEX indices which include any new weights, allowing our traders to experience and better understand the potential impact of forthcoming index changes. BitMEX “NEXT” indices will be published on the BitMEX website and API.

The weights for BitMEX “NEXT” indices will be updated as soon as new BitMEX index weights are announced. On 22 November, once the weights are updated for BitMEX indices, the BitMEX indices prices will be the same as the BitMEX “NEXT” indices.

Please note that BitMEX “NEXT” indices are not used for valuation or settlement.

What can I expect when the index updates are switched on?

When the index weights are updated, index prices may experience small shifts. Experienced users will know that BitMEX is well equipped to handle large shifts thanks to our exchange protection mechanisms. We encourage you to monitor the differences between the current and future index prices using the BitMEX “NEXT” indices and factor possible shifts into your risk assessment.

Where can I find out more?

The BitMEX “NEXT” indices are available for your reference and include the index weights calculations. You can also read BitMEX “NEXT” specific documentation to further understand BitMEX indices.

If you have any further questions, please contact Support via our contact form.

 

WebSocket API Feed Interruption, 24 July 2019

Between 10:44:13 and 10:52:29 UTC on 24 July 2019, the realtime data on the following websocket API feeds was interrupted:

  • account, affiliate, execution, funds, instrument, margin, order, position, trade, transact, wallet

Users of the BitMEX website may have noticed that some data was not updating during this period; e.g. in the Recent Trades panel, Open Orders panel, Fills panel, and Position panel.

The following public feeds were unaffected during this period:

  • funding, insurance, liquidation, settlement, impactQuote, impactQuoteBin1m, quote, quoteBin1m, quoteBin5m, quoteBin1h, quoteBin1d, tradeBin1m, tradeBin5m, tradeBin1h, tradeBin1d, orderBookL2_25, orderBook10, orderBookL2

The REST API was also unaffected and client-side data loss due to missed feed updates during this period can be resolved using the REST API.

During this period we continued to process all order instructions and the trading engine was unaffected. The outage was due to a slow consuming internal market data service which became degraded, putting pressure on our market data infrastructure. This internal market data service has been suspended whilst the root cause is being investigated. Additionally, several safety mechanisms are currently being deployed to prevent a potential recurrence from impacting user-facing feeds.

We apologise for any inconvenience this interruption may have caused. If you have any further questions please contact Support via our contact form: https://www.bitmex.com/app/support/contact.

Update to BitMEX Indices, 15 July 2019

Effective 15 July 2019 at 15:15 UTC, BitMEX will reintroduce Kraken into its indices following the resumption of trading on Kraken. The updated indices are detailed in the table below.

All traders should be aware that these indices may fluctuate substantially, and should exercise caution when trading contracts that reference these indices.

If you have any further questions, please contact Support via our contact form: https://www.bitmex.com/app/support/contact.

Affected Index

Index Constituents

.BXBT

Bitstamp, Coinbase Pro, Kraken

.BETH

Bitstamp, Coinbase Pro, Kraken

.BETHXBT

Binance, Poloniex, Kraken

.BBCHXBT

Binance, Poloniex, Kraken

.BXRPXBT

Binance, Poloniex, Kraken

.BLTCXBT

Binance, Poloniex, Kraken

.BEOSXBT

Binance, Poloniex, Kraken

Temporary Change to BitMEX Indices, 14 July 2019

Effective 14 July 2019 at 21:00 UTC, BitMEX will temporarily remove Kraken from its indices in response to Kraken’s scheduled downtime. This scheduled downtime is expected to last for 3-8 hours and will affect the 7 BitMEX indices as detailed in the table below.  Kraken will be reintroduced once trading has resumed. We will announce their reintroduction 12 hours in advance.

All traders should be aware that the price of these indices may fluctuate substantially, and should exercise caution when trading these indices.

If you have any further questions, please contact Support via our contact form: https://www.bitmex.com/app/support/contact.

Affected index

Current constituents

Temporary constituents

.BXBT

Bitstamp, Coinbase Pro, Kraken

Bitstamp, Coinbase Pro

.BETH

Bitstamp, Coinbase Pro, Kraken

Bitstamp, Coinbase Pro

.BETHXBT

Binance, Poloniex, Kraken

Binance, Poloniex

.BBCHXBT

Binance, Poloniex, Kraken

Binance, Poloniex

.BXRPXBT

Binance, Poloniex, Kraken

Binance, Poloniex

.BLTCXBT

Binance, Poloniex, Kraken

Binance, Poloniex

.BEOSXBT

Binance, Poloniex, Kraken

Binance, Poloniex

WebSocket API Feed Interruption, 27 June 2019

Between 07:50 and 07:58 UTC on 27 June 2019, the following websocket API feeds were interrupted due to a complication during a planned upgrade of our market data distribution services:

  • Account, affiliate, execution, funds, instrument, margin, order, position, trade, transact, wallet

Users of the BitMEX website may have noticed some data not updating during this period e.g. in the Recent Trades panel, Open Orders panel, Fills panel, and Position panel.

The following public feeds were unaffected during this period:

  • Funding, insurance, liquidation, settlement, impactQuote, impactQuoteBin1m, quote, quoteBin1m, quoteBin5m, quoteBin1h, quoteBin1d, tradeBin1m, tradeBin5m, tradeBin1h, tradeBin1d, orderBookL2_25, orderBook10, orderBookL2

During this period we continued to process order instructions and the trading engine was unaffected.

Due to this issue, data in a subset of data mirrors which service user REST API requests was left in an incomplete state. A side-effect of this was that some users observed stale open orders on the BitMEX website for orders which were already cancelled for a period of 90 minutes whilst data was being restored. Any API users that may be missing updates for this period can now backfill data via the REST API.

If you are experiencing order cancellation issues via the website, please refresh your web browser.  We apologise for any inconvenience this interruption may have caused. If you have any further questions please contact Support via our contact form: https://www.bitmex.com/app/support/contact.

WebSocket Rate Limiting Issue, 25 June 2019

At 21:09:00 UTC 25 June, we released an update to our API layer that inadvertently started to count WebSocket subscriptions to certain tables against the request rate limit that had otherwise been exempt. This update may have impacted customers who heavily utilise the WebSocket API. Once the issue was identified at 00:19 UTC 26 June, we immediately rolled back the update to bring systems back to normal.

We apologise for any inconvenience this may have caused. To read more about which subscriptions are exempt from the request rate limiter, see our previous blog post for details. 

ETHUSD Orderbook Feed Issues, 24 June 2019

Between 09:25:54 UTC and 09:44:30 UTC 24 June 2019 the orderBookL2, orderBookL2_25, orderBook10, and quote realtime websocket feeds for ETHUSD were in a degraded state. During this period, the state of the ETHUSD orderbook on these feeds was incorrect.

We were able to identify and resolve the root cause of the issue within a minute of detection. The issue was caused by a rare sequence of order events that triggered a bug in an optimisation of the orderBookL2 calculation which had been deployed to the production environment several hours earlier. This change has since been reverted.

There was no impact to orders in the trading engine itself – just the presentation of the calculated orderbook for ETHUSD downstream of the trading engine.

We have deployed additional automated feed validators to detect potential similar issues in the future and to alert us earlier.

We apologise for the inconvenience this may have caused. If you have any further questions, please contact Support via our contact form: https://www.bitmex.com/app/support/contact.

Scheduled System Update, 04 June 2019

Please be advised that we will be performing a scheduled system update to our database service starting 01:00 UTC 04 June 2019 and it is expected to last 3 – 5 hours. Trading, logins, and other key API features will remain operational, however please note that the following features will be disabled during the update period:

  • New account signup
  • Email verification
  • Enable TFA
  • Disable TFA
  • Password reset
  • Withdrawal
  • Update preferences
  • Mute accounts on the Trollbox
  • Create API Key
  • Disable API Key
  • Enable API Key
  • Delete API Key

Once we have completed the system update we will make a further announcement.

We apologise for any inconvenience this may cause. Feel free to contact our Support with any concerns you may have about the scheduled update. You may reach us via our contact form: https://www.bitmex.com/app/support/contact

Websocket Latency, 30 May 2019

Between 16:00 and 17:00 UTC 30 May 2019 the websocket API experienced periods of substantial lag due to spikes of traffic generated by the trading engine during large market moves. During this period some websocket connections also experienced dropped market data updates as memory limits on an internal messaging layer were hit, forcing reconnections.

Our engineers are accelerating the development effort in an already-planned strategic upgrade of our market data distribution architecture to vastly increase its capacity and lower the overall latency of the websocket feed. This capacity upgrade is scheduled for Testnet release this week and we will update users once this has been released to the main platform.

If you have any further questions, please contact Support via our contact form: https://www.bitmex.com/app/support/contact.

Websocket API downtime, September 3rd 2018

From 06:53 to 07:03 UTC today, September 3rd, 2018, the service of our websocket API was impaired, which impacted the live data updates on the bitmex.com website as well as clients connected directly to our websocket API.

As part of a scheduled software release on the trading engine, our market data distribution component became saturated with a cascade of updates during the restart process which temporarily prevented downstream data distribution on the websocket API.

We apologise for the disruption.  The root cause has been identified and mitigated in the production environment.  BitMEX engineers have already deployed a fix for the underlying issue to prevent a re-occurrence.  We are also improving a number of alerting mechanisms to enable us to recover from potential issues in a more timely manner.

Interactive XBU, XBT, and BVOL Pricing Spreadsheets

If you are trading on the XBU, XBT, or BVOL chain, it may be difficult to calculate your PNL or to understand if a contract is under- or over-valued.

To help with this, BitMEX has prepared interactive spreadsheets with live Bitfinex and BitMEX market data to help you price your trades and better understand how each contract behaves. These spreadsheets combine real-time data with adjustable controls and graphing to help you plan your trade.

The spreadsheets outline the differences between XBT and XBU and how they are trading relative to Bitfinex Spot, as well as relative to USD and Bitcoin annualized interest rates. This data can help you make a savvy trade by recognizing when a contract might be under- or over-valued.

All three spreadsheets contain extensive explanation text in the sidebar. If you do not see the sidebar, please log in with your Gmail account, and click the BitMEX Pricing Help menu at the top.

These spreadsheets can be copied into your personal Google Drive and are free to modify for any use.

View Spreadsheets: XBU | XBT | BVOL