Update on OKCoin Market Disruption Event – Removal Expedited

Traders,

Due to a quicker than expected price divergence on OKCoin International, we are moving the timetable forward for the removal of OKCoin International and the incorporation of GDAX into the index.

The new timetable is:

  • At 21:45 UTC, GDAX will be added to the index. At this time, the index will have three constituents.
  • At 22:00 UTC, OKCoin International will be removed.

For more information, please see our previous post on the removal of OKCoin International.

Market Disruption Event: OKCoin International

Yesterday, OKCoin International announced USD deposits have been blocked:

Starting from today (April 18th, 2017), OKCoin would temporarily suspend USD deposit because of the issues with intermediary banks. Please do not make further deposit as your wires may be rejected by intermediary banks. We are now actively looking for alternatives to resume deposit as soon as possible. Your current account balance remains unaffected. We are sorry for any inconvenience caused.

For this reason, we are weighting OKCoin Intl to 0 in the .BXBT Index, effective 20 April at 08:00 UTC. To re-distribute the index, GDAX will be reinstated as an equal member.

The new distribution will be equally weighted between GDAX and Bitstamp. For reference, this change is live on Testnet and can be used for intermediate pricing data.

Additionally, we will be announcing new price protection mechanisms for BitMEX indices to prevent further bad pricing issues.

Update: Due to rapid price divergence, the timetable has been moved forward to 19 Apr at 22:00 UTC.

New Protections for BitMEX Indices

Traders,

During the past weeks, many major exchanges have experienced issues with their banking relationships, and one sent incorrect prices. These prices caused liquidations on multiple platforms, including BitMEX. Affected traders were reimbursed from BitMEX funds.

We intend for the BitMEX index to accurately represent asset prices on functioning, liquid exchanges. Unfortunately, the landscape is shifting quickly. We expect more index changes to come as exchanges lose and regain their banking relationships.

In preparation for this, we are instituting the following protections to all BitMEX calculated indices:

  • For an index with 3 or more constituents, if any constituent’s price is X% away from the median price, that constituent will be removed until BitMEX manually reinstates it.
  • For an index with 2 constituents, if any constituent’s price is (X% / 2) away from the currently calculated index value, the index value published will be the last calculated index value.
  • For an index with only 1 constituent, if the constituent’s price is X% away from the last calculated index value, the index price will remain unchanged.

For Bitcoin / Fiat currency pair based contracts, the tolerance will be 25%. For Altcoin contracts, the tolerance will be 50%. The tolerance is subject to change with notice.

Additionally, the following protection has been in place since launch:

  • If any constituent exchange’s API feed is not responsive, the last valid price is used. If an exchange’s feed is stale for over 15 minutes, it is removed until the feed is operational again.

Example 1 (3-Exchange Index):

The index is equally weighted between exchanges A, B, and C. The initial price on exchanges A, B, and C is 100, and the tolerance is 25%. The median index price is 100. The price observed on exchange C changes to 50. Exchange C will be removed, the index price will remain at 100, and the index will now be equally weighted between exchanges A and B.

Example 2 (2-Exchange Index):

Tolerance: 25%

Time 0:

Exchange A Price: 100

Exchange B Price: 100

Published Index Price: 100

Time 1:

Exchange A Price: 100

Exchange B Price: 50

New Calculated Index Price: 75

Last Published Index Price: 100

New Published Index Price: 100

Because the difference between the two exchange prices and the New Calculated Index Price is greater than 12.5% (Tolerance / 2), the Last Published Index Price will be used.

Time 2:

Exchange A Price: 50

Exchange B Price: 50

New Calculated Index Price: 50

Last Published Index Price: 100

New Published Index Price: 50

Because the difference between the two exchange prices and the New Calculated Index Price is less than 12.5%, the New Calculated Index Price will be used.

Example 3 (1-Exchange Index):

The index is made up only of exchange A. The price on exchange A moved from 100 to 50. Given that the tolerance is 25%, and exchange A’s price moved 50% (50 vs. 100), the index value remains at 100. If exchange A’s price changes to 51, the index value will still remain at 100. If exchange A’s price were to change to 80, the index value would become 80.

Example 4 (Downtime):

The index is equally weighted between exchanges A, B, C, and D. The API feed for Exchange D has been down for 15 minutes. Exchange D will be removed, and the index will now be equally weighted between A, B, and C. 5 minutes later, D begins responding and is reinstated.

Market Disruption Event: Bitfinex

Just recently, Bitfinex announced that USD deposits will be rejected until further notice. In combination with their previous notice blocking USD withdrawals, this means that Bitfinex is no longer a viable USD/Bitcoin exchange, and we expect the pricing discrepancy between Bitfinex and other exchanges to increase as traders attempt to withdraw via cryptocurrencies.

For this reason, we are weighting Bitfinex to 0 in the .BXBT Index, effective at 16:00 UTC today (30 minutes from the time of this post). In combination with the prior temporary suspension of GDAX from the index due to pricing discrepancies, this means that for the time being, the old .XBT index and the new .BXBT index will print the same prices.

Market Disruption Event: GDAX

At 23:02 UTC on 15 April 2017, one constituent of our .BXBT Index, GDAX, reported a trade print of $0.06 / XBT. This fed into the .BXBT Index and caused the price to temporarily move down to $888.48 / XBT which led to a number of users having their positions liquidated.

This was not a BitMEX engine or pricing issue. However, we strive to create a fair platform where users are not unfairly disadvantaged due to an error on another exchange, even if this error was an official price. As such, BitMEX will be refunding those users who were unfairly liquidated due to the pricing discrepancy from GDAX out of our own company funds.

Those users who had their positions liquidated will see the loss between $1183.00 / XBT and their liquidation price transferred back to their BitMEX Bitcoin wallet. Positions lost due to liquidation will not be reinstated.

For the time being, GDAX will be weighted at 0 in the .BXBT index until we have built in sufficient outlier protections.

March 27, 2017 BitMEX Morning Report

Currency 24 Hour Return Day High Day Low
Ripple (XRP)    + 8.188% 0.00001030 0.00000909
Zcash (ZEC)     – 5.305% 0.0680000 0.0598571
Monero (XMR)     – 2.801% 0.0212770 0.0194322

Ripple (XRP) News:

April will be ripple xrp ?? [Reddit]

To trade Ripple on BitMEX, please trade XRP7D

 

Zcash (ZEC) News:

Why the European Union is Against Anonymous Digital Currencies [Cointelegraph]

To trade Zcash on BitMEX, please trade ZECH17 or ZECM17

 

Monero (XMR) News:

Monero cryptocurrency doubled in price in March and is being used more widely on dark net markets [Cyberscoop]

To trade Monero on BitMEX, please trade XMR7D

New ETH, XMR and DASH Monthly Futures

On 24 March 2017 at 12:00 UTC, BitMEX will delist the following Altcoin weekly futures contracts: ETH7D, XMR7D and DASH7D. As their replacement, BitMEX will trial the following monthly futures contracts:

  • ETHJ17
  • XMRJ17
  • DASHJ17

These above contracts will settle on 28 April 2017 at 12:00 UTC on their respective 30 minute TWAP. All other specifications on the contracts remain the same.

March 23, 2017 BitMEX Morning Report

Currency 24 Hour Return Day High Day Low
Augur (REP)    + 18.452% 0.0092769 0.0073597
Ripple (XRP)    + 14.634% 0.00000744 0.00000615
Bitcoin (XBC)     – 4.467% 7395.66 6854.99

Augur (REP) News:

Forget Bitcoin. The Blockchain Could Reveal What’s True Today and Tomorrow [Wired]

To trade Augur on BitMEX, please trade REP7D

 

Ripple (XRP) News:

Sending Money Overseas to Get Faster Once Banks Pick a Winner [Bloomberg]

To trade Ripple on BitMEX, please trade XRP7D

 

Bitcoin (XBC) News:

Who’s Buying Bitcoin? Demand Persists Amid Fork Fears [CoinDesk]

To trade Bitcoin / Yuan on BitMEX, please trade XBCH17 or XBCM17

March 22, 2017 BitMEX Morning Report

Currency 24 Hour Return Day High Day Low
Ethereum Classic (ETC)    + 19.334% 0.00222 0.00175
Zcash (ZEC)     – 14.904% 0.0690234 0.056800
Bitcoin (XBC)    + 3.012% 7432.30 7176.33

Ethereum Classic (ETC) News:

Here comes the breakout $ETC… [Twitter]

To trade Ethereum Classic on BitMEX, please trade ETC7D

 

Zcash (ZEC) News:

Zcash Unveils Roadmap for ‘Sapling’ Blockchain Upgrade [ZcashFans]

To trade Zcash on BitMEX, please trade ZECH17 or ZECM17

 

Bitcoin (XBC) News:

Chinese Central Bank Requiring Extreme Customer Verifications at Exchanges [Bitcoin.com]

To trade Bitcoin / Yuan on BitMEX, please trade XBCH17 or XBCM17

March 21, 2017 BitMEX Morning Report

Currency 24 Hour Return Day High Day Low
Dash (DASH)     – 9.748% 0.106990 0.092555
Monero (XMR)     – 4.958% 0.0235997 0.0200000
Ethereum (ETH)     – 3.824% 0.04375 0.03880

Dash (DASH) News:

Dash Market Report: DASH/BTC Sets New All Time High [allcoinsnews]

To trade Dash on BitMEX, please trade DASH7D

 

Monero (XMR) News:

Monero Price Analysis – US$25 Per XMR Is Inching Closer [livebitcoinnews]

To trade Monero on BitMEX, please trade XMR7D

 

Ethereum (ETH) News:

After New Highs, Ethereum Returns to Rangebound Trading [CoinDesk]

To trade Ethereum on BitMEX, please trade ETH7D

On Potential Post-Fork Contract Settlement

Traders,

Recently, we published A Statement on the Possible Bitcoin Unlimited Hard Fork, a statement of our views on the potential fork to Bitcoin Unlimited, its consequences, and further requirements we consider necessary for adoption.

Many have asked us about the settlement of our existing Bitcoin futures: the Bitcoin/USD series (XBT), the Bitcoin/CNY series (XBC), and the Bitcoin/JPY series (XBJ).

In the event of a fork in which both chains remain viable into the future and maintain double-digit percentages of the original Bitcoin hash rate (a “Contentious Fork“), we will take the following actions:

Contracts

  • As we predict the value of Bitcoin to then be split between BTC and BTU, currently-listed futures at the time of the fork will settle on the sum of BTC and BTU.
    • It may not be possible to predict or plan to get reliable pricing data from our current Index exchanges, or they may not list the minor coin at all. In the event of a Contentious Fork BitMEX reserves the right to move all Bitcoin derivatives to Last Price Protected Marking, until a stable index can be composed.
    • We will compose two indices representing the majority and minority chain, and the sum will be taken to compose the Mark and Settlement Prices. The indices will be separated in case not all component exchanges list the minority chain.
  • Contracts listed after the fork will settle on the BTC or the BTU price, but not both. Only contracts listed pre-fork will settle on the sum.
  • Perpetual swap contracts will be timed to switch underlying indices in tandem with a futures contract. Ample notice will be given. Like futures, the new index will reference only one chain.

Wallets

  • During the time immediately after the fork, BitMEX reserves the right to suspend withdrawals to avoid replay attacks and double-spending and account for the development effort required to accommodate a hard fork.
  • Users will be able to withdraw the minor currency, but not deposit it. We have no plans to support multiple margin currencies. Balances of the minor currency will be calculated via a snapshot at the time of the fork and maintained separately to major currency’s margin balance, as further mixing of the currencies thereafter could lead to improper attribution.