XBTとXBUチェーン比較

注:本稿は古い情報に基づいている。20142016年、BitMEX ではクオントとインバースの両方を扱っていたが、その後、簡略化のため、インバースのみに移行している。

新しい情報については、XBT シリーズガイド をご覧いただきたい。


BitMEX では、総合的なビットコイン派生商品を取り扱うことを目標にしている。現在の主力商品はクオントとインバースの 2 種類に大別される。XBTUSD スワップ商品ではインバース方式を採用し、XBTU16 契約ではクオント方式を採用している。

XBTUSD はビットコイン価格 (任意) 1 ドルで除した値に相当する。XBTU16 では、ビットコイン乗数が 1ドルあたり 0.00001 XBT に固定されている。いずれの契約も米ドル建てで提示され、Kaiko BitMEX インデックスビットコイン/米ドル (XBTUSD) 直物レートを参照する。 下表は XBTUSD XBTU16 の概要である。

シンボル XBTUSD XBTU16
種類 インバース クオント
原資産 1 / XBTUSD または USDXBT XBTUSD
乗数 -$1 0.00001 XBT
建値通貨 USD USD
証拠金と損益通貨 XBT XBT
満期 なし 2016 9 30
決済方式 未実現損益を毎日12:00 UTC に調整し直す Kaiko BitMEX インデックスの10:00 UTC – 12:00 UTC 1 分足時間平均加重価格 (TWAP)
1契約あたりXBT価値 1 / 価格 * $1 価格 * 0.00001 XBT
1契約あたり米ドル価値 $1 価格² * 0.00001 XBT
1契約の XBT 損益 (1 / 価格T – 1 / 価格0) * -$1 (価格T – 価格0) * 0.00001 XBT

XBTUSD は、XBTUSD と価格が提示されるためインバース () 契約であるが、実際には、原資産は USDXBT または 1/XBTUSD である。インバースとしてクォートされる理由は、ビットコイン市場の大半のトレーダーがビットコインをベース通貨とするクォート方式に馴染んでいるためである。この商品は、ビットコインの米ドル建て価値を固定する必要のあるトレーダーに適している。3 か月以内に$100,000 のビットコインを受領する予定の場合、100,000 XBTUSD 契約を売却して、$100,000 の価値を確保する。

XBTU16 は、米ドル建てでクォートされるためクオント先物契約であるが、乗数は XBT 建てである。以下は Wikipedia の引用。

クオント とは、デリバティブ の一種で、原資産単一通貨建てであるが、商品自体は別の通貨建ての固定レートで決済される。

このチェーンはビットコイン保有者がビットコインの将来価格を適切に予測することでビットコイン収益をあげる場合に適している。

上のチャートには、1,000 XBTUSD 契約をロングした場合において、直物レートの推移に伴う米ドルと XBT のエクスポージャーを示している。米ドルのエクスポージャーは、$1,000 で一定であるが、XBT のエクスポージャーは非線形に変化している。この値が XBTUSD 価格 [XBT 価額 = 1/価格 * $1 * 契約数] に相当するためである。次のチャートでは、証拠金との関係が示されている。

1,000 XBTUSD 契約を$500 で購入したものと仮定する。この契約の XBT 価額は、1/$500 * $1 * 1,000 or 2 XBT の算式で計算される。慎重を期し、2 XBT を証拠金として預託する。この証拠金で価格下落時の損失が十分カバーできるという考えの下での預託であるが、上のチャートでその考えが間違っていることがわかる。青い線は 2 XBT の投資額を示している。赤い線は 1,000 XBTUSD 契約ロングポジションの損益を示している。緑の線は損益相殺後の純投資額を示している。価格が $300 を割り込むと、アカウントの投資額は実際にはマイナスつまり破産状態となる。XBTUSD はインバース契約であるため、1,000 契約を購入すると、実際には、USDXBT をショートしたことになる (XBTUSD のロングでなく)。その結果、XBTUSD 価格が下落すると、ポジションの想定価値相当の XBT を預託しても、追加証拠金が必要となり得る。

上のチャートには、XBTU16 契約を 1,000 枚ロングした場合において、XBTUSD 直物レートの変化に伴う米ドルと XBT のエクスポージャーが示されている。XBT のエクスポージャーは、非線形に変化している。価格変数が 次の式のとおり、2乗されているためである:[USD 価額 = 価格² * 0.00001 XBT * 契約]

XBTUSD 相場の見通しに応じて、どちらかのチェーンが他方より明らかに有利となる。上の 2 つのチャートには、XBT と 米ドルの損益が示されており、1,000 XBTU16 1,000 契約のロングポジションとshort 2,500 XBTUSD 2,500 契約のショートポジションで、いずれも価格 $500 と仮定されている。$500 では、この 2 つの商品の XBT USD の価額は等しい。XBTUSD 相場に弱気な見方をしている場合、XBTUSD のショートが適した戦略である。XBTUSD 相場に強気な見方であれば、XBTU16 ロングが最適である。

スパム注文に関するお知らせ

このお知らせは、2017年1月2日に英語にてアップされた記事の日本語訳です。

 

BitMEXでは、大口、小口を問わずトレーダーの皆様の取引を促すために、意図的に商品の契約サイズを小さくしています。しかし、一部のトレーダーはそれを乱用し、オーダーブックまたは取引フィードに低価格の注文を多数入れていることが見られます。

次の変更は、2016年6月10日12:00UTCより有効になっています:

  • ひとつの注文につき0.0025XBT相当未満のオープンオーダーが多すぎるアカウントは、スパムアカウントと判断されます。
  • あなたのアカウントがスパムアカウントになった場合は:
    • 0.0025XBT未満の価格の注文は、自動的に非表示注文になります。
    • 非表示注文は、オーダーブックに表示されず、常にテイカー手数料がかかります。
    • Post-Onlyによるスパム注文は、非表示注文になる代わりに拒否されることになります。
    • スパム注文が多すぎると、アカウントが一時的にトレーディングを拒否される場合があります。
  • スパムアカウントのラベルは、24時間ごとに再評価され、ユーザーの行動が変わった場合は自動的に解消されます。

Important Changes to Bitcoin / USD Swap Funding

Occasionally the BitMEX Bitcoin / USD Swap, XBTUSD, trades at a significant premium or discount to the mark price. This generally happens during periods of extreme volatility.

In order to ensure that the XBTUSD product trades close to the mark price the following change will be made.

Given 8 hours’ notice, BitMEX may decrease the funding interval from 8 hours to 2 hours to allow funding rates to better reflect the market. The leverage will remain unchanged at 100x. The funding interval will subsequently be increased from 2 to 8 hours after the market has stabilised.

An 8 hour funding interval means that the maximum amount of funding paid or received is +/- 1.125% per day. A 2 hour funding interval means that the maximum amount of funding paid or received is +/- 4.50% per day.

To learn more about the BitMEX Bitcoin / USD Swap especially how the mark price is calculated, please read the Swaps Guide.

Notice Regarding Spam Orders

We intentionally set the contract sizes of BitMEX products at low values to encourage traders both large and small to trade on BitMEX. However, some traders abuse this and spam the orderbook or trade feed with many small orders.

The following changes were made effective on 10 June 2016 12:00 UTC:

  • Accounts with too many open orders with a gross value less than 0.0025 XBT each will be labeled as a Spam Account.
  • If you are a Spam Account:
    • Orders below 0.0025 XBT in value will automatically become hidden orders.
    • Hidden orders do not show in the orderbook and always pay the taker fee.
    • Post-Only spam orders will be Rejected instead of being hidden.
    • Too many spam orders may be grounds to temporarily ban an account from trading.
  • Spam Account designations are re-evaluated and lifted automatically every 24 hours if user behavior has changed.

如何利用比特币期货和现货套利

little_old_play_bag_full_of_money_joke_1

最简单和最赚钱的套利交易策略之一,就是赚取现货和期货合约之间的溢价。本文将一步步地详细介绍如何利用比特币和 BitMEX 比特币期货合约赚取溢价。

 

定义

期货合约:通过拥有或沽空为买方或卖方提供经济收益

现货:即时交易的比特币价格

溢价 = 期货价 - 现货价

在以下例子中,我们将使用 BitMEX 的比特币美金季度期货合约 XBTZ16。

 

XBTZ16 合约明细

合约价值: 价值 1 美元 的比特币

合约的美元价值 = 1 美元

合约的比特币价值 = 1 美元 / 比特币价格 * 合约张数

结算指数Kaiko BitMEX Index, 50% Bitstamp 和 50% OKCoin(国际站) USD

该指数在本例中被定义为现货价

结算日期:2016 年 12 月 30 日 12:00 UTC (北京时间晚上 8 点钟)

 

第一步:购买现货,卖出期货

假设 XBTZ16的价格为 120 美元,而现货价为 100 美元,溢价为 20 美元。

首先要存 5000 美元分别到 Bitstamp 和 OKCoin 国际站。然后在两间交易所各买50个比特币。现在,你做多了 100 个比特币,并沽空了 10000 美元。

购买了比特币之后,向你的 BitMEX 钱包充 20 个比特币。你需要准确计算卖出多少张 XBTZ16 合约。你一共购买了价值 10000 美元的比特币,并且你将会得到 (溢价 * 比特币数目) 的利润。

需要对冲的的美元总价值 = 10,000 美元 + (20 美元 * 100 比特币) = 12,000 美元

由于每一张 XBTZ16 合约是价值 1美元,你需要卖出 12000 张合约。

XBTZ16 是能够使用杠杆的,因此你不需要把所有的比特币都用来开仓。最高杠杠为 100 倍,但对于此策略,我建议开不超过 10 倍的杠杆。

 

第二步:计算你的利润

你已经在100美元的价格购买了比特币现货,并在期货里以120美元的价格卖出去。无论结算的价格如何,你都能够从中获取整个溢价。

XBTZ16 的盈亏都是以比特币来计算的。假设结算价格为 100美元。

比特币盈亏计算 = (1/100 – 1/120) * 12,000 = 20 比特币

如果在结算日的现货价为 100 美元,你的 20 个比特币就价值 2000 美元。你就能够获得预期的 2000 美元利润了。

 

第三步:结算

在 2016 年 12 月 30 日,你的 XBTZ16 期货合约将会到期。我们先假设结算价格为100美元。结算时段为 11:30 UTC 到 12:00 UTC (北京时间晚上7点半到8点钟)。我们用30分钟的时间加权平均价格 (TWAP),每一分钟的最新成交价都会被纪录在结算指数里。这30个价格的平均值将成为最后结算价。

为了匹配结算价格,所有未作保证金用途的比特币都需要被卖出。当期货合约到期后,所有的保证金和已实现盈利均可被卖出。要这样做,你需要在 BitMEX 提现并在其他现货平台卖出这些比特币。

在上面的例子中,我们在 BitMEX 上一共用了20个比特币作为仓位保证金。而剩下来的80个比特币都在你的个人钱包里。你需要在11:30 UTC 到 12:00 UTC (北京时间晚上7点半到8点钟)之内全部卖出这80个比特币。卖完之后,当 XBTZ16 在12:00 UTC 到期的时候,你将会有20个比特币的仓位保证金和20个比特币的利润。

希望你能够成功卖出全部120个比特币,并匹配 100 美元的结算价格。你一开始投资了 10000 美元,而现在你有 12000 美元。你已经成功通过现货和期货合约赚取一共 20% 的利润了!

How To Arbitrage Bitcoin Futures vs. Spot

little_old_play_bag_full_of_money_joke_1

One of the simplest and most profitable arbitrage strategies, is to earn the basis between spot and futures contracts. This post is meant to provide a step by step instruction on how to earn this basis using Bitcoin and BitMEX Bitcoin futures contracts.

Definitions

Futures Contract: Gives the buyer or seller the economic benefit of owning or shorting Bitcoin.

Spot: The price of Bitcoin for immediate delivery.

Basis: Futures Price – Spot Price

The BitMEX futures contract that will be used in the following examples is the XBTZ16 contract.

XBTZ16 Contract Details:

Contract Value: 1 USD of Bitcoin at any price.

USD Contract Value: 1 USD

Bitcoin Contract Value: 1 USD / Bitcoin Price * Number of Contracts

Settlement Index: Kaiko BitMEX Index, 50% Bitstamp and 50% OKCoin USD, I will refer to this as the Spot Price.

Settlement Date: 30 December 2016 12:00 UTC

Step 1, Buy Spot vs. Sell Futures

Assume that the XBTZ16 price is $120, and the spot price is $100. The basis is $20.

The first step is to wire $5,000 USD to Bitsamp and OKCoin. Then you will by 50 Bitcoin on each exchange. You are now long 100 Bitcoin, and short $10,000.

After you have purchased the Bitcoin, send 20 Bitcoin to your BitMEX wallet. You now need to calculate the correct amount of XBTZ16 contracts to sell. You have bought $10,000 worth of Bitcoin. You will also generate the Basis * Number of Bitcoin Bought of profit.

Total USD to Hedge = $10,000 + ($20 * 100 Bitcoin) = $12,000

Since each XBTZ16 contract is worth 1 USD, you must sell 12,000 contracts.

XBTZ16 is leveraged so you do not need to send the full Bitcoin value of the order to BitMEX. The maximum leverage is 100x, but I advise the use of no more than 10x for this strategy.

Step 2, Calculate Your Profit

You have purchased Bitcoin for $100, and have sold it in the future for $120. You will earn the full basis regardless of where the Bitcoin prices is at settlement.

XBTZ16 profit and loss is based in Bitcoin. Assume the settlement price equals $100.

Bitcoin profit calculation = (1 USD / $100 – 1 USD / $120) * 12,000 = 20 Bitcoin

If the spot price is $100 on settlement date, then your 20 Bitcoin is worth $2,000. You have earned the $2,000 as predicted earlier.

Step 3, Settlement

On 30 December 2016, your XBTZ16 futures contracts will expire. Let’s assume that settlement price is $100. The settlement calculation period is 11:30 UTC to 12:00 UTC. A 30-minute time weighted average price (TWAP) is used; each minute the last price of the settlement index is stored, and an average of the 30 prices is taken to arrive at the final settlement price.

All Bitcoin that is not being used as margin must be sold in order to match the settlement price. Once the futures contract expires, the margin and the realised profit will be available to sell. At that time, withdraw the Bitcoin from BitMEX and sell these Bitcoin.

In the above example, we sent 20 Bitcoin to BitMEX as margin, and the remaining 80 Bitcoin we stored in our personal wallet. You will sell 80 Bitcoin between 11:30 UTC and 12:00 UTC. You will now have 20 Bitcoin of margin and 20 Bitcoin of profit to sell after XBTZ16 expires at 12:00 UTC.

Hopefully you will be able to sell all 120 Bitcoin, and match the settlement price of $100. You started with $10,000, and now you have $12,000. You have successfully used spot and futures contracts to generate a 20% return on capital.

比特币衍生工具教学第一课

high frequency trading

 

流动性提供者(或做市商)在交易市场扮演很重要的角色。他们确保市场能提供买入价及卖出价,允许交易员在任何时候进入和离开市场。
如果比特币和数字货币在金融业增长迅速,交易所将需要更多的做市商提供额外的流动性。很多交易员只是做方向性的买卖来提供各现货市场的流动性。这一系列教学正是为了让更多的人了解如何在交易市场上灵活运用数字货币衍生工具。

第一课的重点包括做市交易员如何进行买卖双向报价、简单的动态对冲方法以及结算时的注意事项。为了计算的方便,我们将使用经典以太币7天的期货合约 (ETC7D) 作教学。

合约的细节
每张合约价值:1 ETC
合约标的资产:ETC / XBT(Poloniex)
结算:以30分钟的时间加权平均价格,于星期五12:00UTC结算

如何计算竞买和竞卖的报价

期货的价格是根据标的资产的价格计算的。ETC7D合约的标的资产是Poloniex的ETC / XBT现价。作为初学者,我先分享如何计算中间价(竞买及竞卖的平均价格)。作为做市商,你将一直持仓到结算日。由于期货合约将于现货价格结算,我们可以通过下面的公式去计算ETC7D的价格:

ETC7D中间报价= ETC / XBT现货的中间价 + 基差(或偏斜)

在计算出ETC7D中间报价后,你将应用报价价差。我们将在第二课讨论如何计算基差(或偏斜)。
作为做市商,你的报价价差需要补偿你的对冲成本,包括现货的交易佣金及买卖差价,以及相关资产的波动性。
我会先忽略波动性的部分。

报价价差=现货交易费用+现货买卖差价+做市商的利润

做市商的利润是你在每次交易希望赚取的利润。

例子:

现货价格 = 0.02 XBT

基差 / 偏斜 = 0 XBT

现货交易费 = 0%

现货买卖价差 = 0%

报价价差 = 1%

ETC7D 中间价 = 0.02 XBT

ETC7D 竞买价 = 0.02 * 0.995 = 0.0199 XBT

ETC7D 竞卖价 = 0.02 * 1.005 = 0.0201 XBT

这些报价都会在计算后发送到BitMEX。

简单的动态对冲

做市商的目标在于保持市场中性。当其他交易员吃掉你的买单或卖单后,你必须在现货市场跟自己的仓位对冲。

由于1张 ETC7D 合约代表 1 ETC,如果你卖了1张 ETC7D 合约,你必须购买 1 ETC 的现货。如果你买了1张 ETC7D 合约则必须卖出或做空 1 ETC 现货。

一名交易员从你手中以 0.0201 XBT 买了 300 张 ETC7D 合约。你现在做空了 300 ETC。你的交易程序将在Poloniex 以 0.02XBT 的价格自动购买 300 ETC/XBT。

合约代号 仓位 成交价 XBT 价值
ETC7D -300 0.0201 XBT -6.0300 XBT
ETC/XBT 300 0.0200 XBT 6.0000 XBT
未实现盈亏     0.03 XBT

你现在的 ETC 风险为 0。因为你在比现货 (ETC/XBT) 更高的价格卖出了ETC7D,你现在有 0.03 XBT 的未实现利润。

你还在以0.0199 XBT / 0.0201 XBT 的价格双向报价300张合约。另一个交易员决定在0.0199 XBT卖出300张合约。你现在 ETC7D 的风险为0(你刚刚做空了300张 ETC7D, 现在又做多300张ETC7D),而你还拥有300 ETC 现货,你的净风险为 300 ETC (多仓)。因此,你的交易程序在0.02 XBT的价格卖出了你之前买入的300 ETC。

合约代号 仓位 成交价 XBT 价值
ETC7D -300 0.0201 XBT -6.0300 XBT
ETC/XBT 300 0.0200 XBT 6.0000 XBT
ETC7D 300 0.0199 XBT 5.9700 XBT
ETC/XBT -300 0.0200 XBT -6.0000 XBT
已实现盈亏     0.06 XBT

你的投资风险为 0。你已经实现了0.06 XBT(即报价价值1%)的盈利。 1%就是你的报价价差。

这是最简单的做市形式。每当有人吃掉你的报价单,你就活用价差并以现货进行1:1的动态对冲。

结算

如果你在结算日仍持有期货合约,在结算后你将没有任何风险。

你的投资组合:

合约代号 仓位 成交价 XBT 价值
ETC7D -300 0.0201 XBT -6.0300 XBT
ETC/XBT 300 0.0200 XBT 6.0000 XBT
未实现盈亏     0.03 XBT

如果你什么都不做,在星期五12:00 UTC 你的 ETC7D 的仓位将会平仓,而只剩下 300 ETC / XBT。为了保持市场中性,你需要在结算价格的计算区间卖出你的现货。

ETC7D 的结算基于现货 30 分钟的时间加权平均价格。 BitMEX 使用 Poloniex 的现货价格,并根据每分钟的纪录计算平均价格。这将成为结算价格。要实现 0.03 XBT 的未实现利润,你需要根据 ETC7D 的结算价格卖出 ETC 现货 ETC / XBT。

你的交易程序会把你的现货分为 30 份(每份 10 ETC),每一分钟卖出 10 ETC。由于结算价格是用每分钟的最新成交价计算的,理论上你的平均成交价格可与结算价一致。

你的实际成交价与结算价的差距被称为滑点。在这个例子中,如果你的滑点超过0.50%,你会亏损。如果你完全没有滑点,你将获得该未实现的利润。

 

在第二课里,我将解释如何计算基差和偏斜。这两个变量与库存管理有很密切的关系。
倘若你希望在 BitMEX 上做市,请参阅 GitHub 上的做市商参考程序

 

 

How to Market Make Bitcoin Derivatives Lesson 1

high frequency trading

Providers of liquidity, or market makers, provide an essential service to any tradable market. They ensure that there is always a buy (bid) price and sell (ask or offer) price. This allows traders to enter and exit a market at any time.

If Bitcoin and the digital currency trading industry are to grow, exchanges will need more and more market makers to provide additional liquidity. There are many traders who have graduated from purely directional trading, to providing liquidity on various spot markets. This series of lessons is meant to give traders a basic understanding of how to market make digital currency derivatives.

Lesson 1 will focus on how to quote a two-way price, a simple dynamic hedging strategy, and settlement. In order to keep the math simple, we will use an 7-day expiring Ethereum Classic / Bitcoin futures contract, ETC7D.

Contract Details:

Contract Value: 1 ETC

Underlying: Poloniex ETC/XBT exchange rate

Settlement: 30-minute Time Weighted Average Price (TWAP) Friday 12:00 UTC

How to Calculate Bid / Ask Quotes

A futures contract derives its value from the underlying asset. For ETC7D, the underlying asset is the Poloniex ETC/XBT exchange rate.

Your trading program needs a live feed of the bid, ask, and last price of ETC/XBT on Poloniex. For starters, I advise you to calculate the mid price (average of bid and ask). As a market maker, you will hold futures contracts until settlement. Because a futures contract will equal spot at settlement, we can value ETC7D by the following formula:

ETC7D Quote Mid = ETC/XBT Mid Price (Spot) + Basis or Skew

After calculating your ETC7D Quote Mid, you will apply your spread. We will discuss how to calculate a Basis or Skew in Lesson 2.

As a market maker your spread compensates you for hedging costs (trading commissions, and bid / ask spread) on the underlying exchange, and the volatility of the underlying asset.

I will ignore the volatility component for now.

Spread = Spot Trading Fees + Spot Bid / Ask Spread + Market Maker Profit

The Market Maker Profit is how much you would like to earn on every trade.

Example:

Spot = 0.02 XBT

Basis or Skew = 0 XBT

Spot Trading Fees = 0%

Spot Bid / Ask Spread = 0%

Spread = 1.00%

ETC7D Quote Mid = 0.02 XBT

ETC7D Quote Bid = 0.02 XBT * 0.995 = 0.0199 XBT

ETC7D Quote Ask = 0.02 XBT * 1.005 = 0.0201 XBT

These quotes will be calculated then sent to BitMEX.

Simple Dynamic Hedging

Your goal as a market maker is to be market neutral. As other traders hit your bids and lift your asks, you must hedge yourself in the spot market.

Since each ETC7D contract represents 1 ETC, if you sell 1 ETC7D contract, you must buy 1 ETC. If you buy 1 ETC7D contract you must long sell or short 1 ETC.

A trader buys 300 ETC7D contracts at 0.0201 XBT from you. You are now short 300 ETC. Your trading program will automatically buy 300 ETC/XBT on Poloniex for 0.02 XBT.

Symbol Position Trade Price XBT Value
ETC7D -300 0.0201 XBT -6.0300 XBT
ETC/XBT +300 0.0200 XBT +6.0000 XBT
Unrealised Profit +0.03 XBT

You now have 0 ETC exposure. Because you have sold ETC7D at a greater price than where you bought ETC spot, you have an unrealised profit of 0.03 XBT.

You are still quoting a two-way market of 0.0199 XBT / 0.0201 XBT for 300 contracts each side. A new trader decides to sell 300 contracts at your Bid price of 0.0199 XBT. Your ETC7D position is flat (you sold 300 ETC7D previously, and now you just bought 300 ETC7D), and you are long 300 ETC/XBT; your net exposure is long 300 ETC. Your trading program long sells 300 ETC/XBT at 0.02 XBT.

Symbol Position Trade Price XBT Value
ETC7D -300 0.0201 XBT -6.0300 XBT
ETC/XBT +300 0.0200 XBT +6.0000 XBT
ETC7D +300 0.0199 XBT +5.9700 XBT
ETC/XBT -300 0.0200 XBT -6.0000 XBT
Realised Profit +0.06 XBT

Your portfolio is flat. You have realised a profit of 0.06 XBT or 1% of the value of your quotes. That 1% equates to the spread you built into your Bid and Ask quotes.

This is the simplest form of market making. You take the underlying spot price, apply a spread, and dynamically hedge 1:1 whenever anyone trades on your quotes.

Settlement

If you hold a futures contract over settlement, it will expire and leave you with no exposure.

Your Portfolio:

Symbol Position Trade Price XBT Value
ETC7D -300 0.0201 XBT -6.0300 XBT
ETC/XBT +300 0.0200 XBT +6.0000 XBT
Unrealised Profit +0.03 XBT

If you do nothing, on Friday 12:00 UTC your ETC7D position will go to 0, and you will be left long 300 ETC/XBT. Your goal is to be market neutral, so during the settlement calculation period you need to reduce your spot hedge to 0.

ETC7D expires based on a 30-minute TWAP. BitMEX will take the spot prices on Poloniex each minute and compute an average, which then becomes the settlement price. To capture the unrealised profit of 0.03 XBT, you to sell ETC/XBT at the ETC7D settlement price.

Your trading program will split your spot hedge into 30 slices, or 10 ETC. Each minute you will sell 10 ETC at market to match the price used in the settlement calculation. Because the settlement calculation uses the last price each minute, you theoretically will match the settlement price.

Any difference between your sell trade executions and the prices used in the settlement calculation is called Slippage. In this example, if your Slippage is more than 0.50%, you will lose money. If you have 0% of Slippage you will earn the full unrealised profit.

In Lesson 2, I will explain how to calculate a Basis and Skew. These two variables tie in closely with inventory management.

If you wish to begin market making on BitMEX, please take a look at our sample market making bot on Github.

BitMEX无交割合约 — 利率互换

我要开跑车!

我很喜欢车,我有一个愿望就是感受一下开法拉利跑车刺激的感觉,不过可惜我并没有法拉利。那么既然买了这法拉利的土豪们也不会天天开出来炫,那么他们不开的那几天或许能够吧车借出去,赚个租金。

而我也不介意给小额的租金(利息)来开人家的法拉利来玩玩,我愿意用利息交换这法拉利的使用权

山寨币就是币圈的跑车

投资者喜欢山寨的原因不少就是他波动够厉害,短时间就能赚个大钱。不过炒家们都没有兴趣长期持有这些山寨比,他们只希望追个涨,炒个短期波幅。

所以很多的山寨炒家也喜欢杠杆炒山寨比。做多的时候以比特币保证借比特币做多;做空的时候他们以比特币作为抵押来借入山寨来卖空。两个情况投资者都要支付利息来借入比特币或山寨币。

跟法拉利的例子一样,投资者要给利息来换取币的使用权(租金)。投资者能够在短期内炒卖获利。

BitMEX无交割掉期合约简介

BitMEX掉期合约模拟投资者现货融资交易的资金流,每一个交易配对都有一个计价币种和基准币种,比如说 ETHXBT,ETH以太币就是基准货币,XBT比特币就是计价货币。

假设你想买入ETH,你先要借入XBT来换取(买入)ETH,借给你XBT的人会希望获取利息,当你买入ETH后你能够把它借给其他人。

在这个例子,你付了XBT(计价货币),获得基准货币(ETH),相反来说就将以上例子反过来。

为了完全模拟这个借币的经济效果,买入BitMEX掉期合约的投资者就需要付出计价货币的利息并收取基准货币的利息,相反来说,卖家则需要付出基准货币的利息并收取计价货币的利息。

不过因为BitMEX没有营运任何借贷业务,我们必须参考第三方的利息。

买卖双方互换各交易配对头寸的利息,而基准货币和计价货币之间的差额就是需要支付(或收取)的利息了,在每日利息计算时间则会根据账户头寸收取。就像拿着债卷,如果你在支息日拿着债卷,你就能拿到(或需要)支付利息。

掉期示意图

BitMEX Swaps Flow

上图显示了ETHXBT买家和卖家的支付利息和利益转移。

合约价格?

BitMEX的目标是在合约平台模拟现货杠杆的经济模式,掉期合约的价格将会根据现货价格标算,比如说ETHXBT的价格就是ETH/XBT在P网的现货交易价格。

为了让合约从现货不偏离太远,每周的为实现盈利将会在现货价格实现,容许投资者将盈利部分体现,或者在利润上增加仓位。

 

杠杆?

当然了!BitMEX并不是现货交易所,我们能够在合约上提供极高的杠杆,如果投资者希望交易100XBT总值的ETHXBT,那么每一方需要支付的保证金就是4XBT (则4%,25倍杠杆),为了维持交易所的流动性和减少系统在高波动的时候产生亏损,如果使用最大起始杠杆(25x)的用户在价格波动超过2%,亏损的投资者必须止损离场。有关强制平仓的文档请参阅这里 。

合约会交割吗?

不会。这就是BitMEX合约吸引之处,我们的合约永远不会交割,只要你能够支付日融资费率,而你的合约没有触及强制平仓的位置,你就能够持有仓位。如果你希望平仓,只需要往你建仓相反方向交易下单就能够平仓。意思就是说,多仓的伙伴们做空相同合约就能够平仓;反之空仓的朋友们做多就能平仓。

感受无交割杠杆合约的威力

ETHXBT 是BitMEX第一张无交割掉期合约,让投资者在ETH/XBT的价格上有33倍杠杆,投资者不需要买入以太币就能开始投资,所有利润都是以比特币实现!

坐言起行!

Swaps 101

 

I Want A Ferrari

I like cars. I would really like to experience the thrill of driving a Ferrari, but I really don’t want to own a car. People who own a Ferrari but don’t drive it often might want to earn some income by loaning out their car.

I would be willing to pay a rate of interest, to drive a stranger’s Ferrari for a short period of time. I am willing to swap an interest payment, for the use of a Ferrari.

Altcoins Are Like Ferraris

Traders love altcoins because they have extreme volatility on the up and downside. Savvy traders can earn substantial sums trading altcoins in a short period of time. However, most traders have no interest in holding or storing altcoins. They just want to participate in the price performance of the coin.

As a result, most altcoin traders prefer to trade on margin. To go long they pledge Bitcoin as collateral, borrow additional Bitcoin and buy the altcoin of their choice. To go short, they pledge Bitcoin as collateral, and borrow the altcoin to short it. In both cases, the traders must pay interest to the lender of Bitcoin or the altcoin.

Just like the Ferrari example above, traders swap interest payments for the performance of the altcoin. Traders have no interest in owning the coin, but they obtain the same economics through a swap.

BitMEX Swap Basics

BitMEX swaps mimic the exchange of cash flows and price performance inherent in trading any currency pair. Every currency pair consists of a base and quote currency. The base currency comes first then the quote currency in any currency pair code. For ETHXBT, ETH is the base currency and XBT is the quote currency.

Imagine you want to buy ETH. You first need to borrow XBT to exchange it for ETH. The person lending you XBT will charge you a rate. Once you have purchased ETH, you can lend it out to someone else.

In this example, as a buyer of ETHXBT, you pay the XBT (quote currency) rate and receive the ETH (base currency) rate. The opposite is true if you wished to sell ETHXBT.

To perfectly replicate the action of borrowing and lending the base and quote currency, buyers of BitMEX swaps must pay the quote currency rate and receive the base currency rate. Sellers of swaps must pay the base currency rate, and receive the quote currency rate.

BitMEX does not operate a lending market for either the base or quote currency, so the rates reference an external third party market.

Buyers and sellers swap interest rate payments for exposure to the underlying asset. Buyers of ETHXBT are long and profit from a rise in price; sellers of ETHXBT are short and profit from a decline in price.

The net of the base and quote interest rates is the Funding Rate. The Funding Rate is charged each day at the Funding Timestamp based on the value of the position. It’s just like a bond. If you hold the bond on the coupon date, you get a payment. If you do not, you get nothing. If you buy ETHXBT and sell it before the Funding Timestamp, you are not eligible to pay or receive the Funding Rate.

Swap Boxes And Arrows

BitMEX Swaps Flow

The diagram above shows the interest payments and performance obligations for buyers and sellers of ETHXBT.

How Are Swaps Valued?

BitMEX intends for swaps to mimic margin trading. Swaps are valued at the prevailing spot price of the underlying asset. For ETHXBT, that is the ETH/XBT exchange rate on Poloniex.

To ensure that the swap’s price does not deviate greatly from spot, each week unrealised profit will become realised at the prevailing spot price. That allows profitable traders to either withdraw their winnings, or either re-leverage them on additional contracts.

Is There Leverage?

Of course, this is BitMEX. Because no physical asset changes hands, BitMEX is able to offer very high leverage on swaps. If two traders wish to trade an ETHXBT swap worth 100 XBT, each side must post at least 4 XBT of margin. If the price declines or rises by more than 2%, the long or short trader will be liquidated. For more information, please refer to the Liquidation document.

How Long Do Swaps Last?

The beauty of BitMEX swap contracts is that there is no settlement date. As long as you can afford to pay the daily funding rate, and the spot price does not touch your liquidation price, you can keep your swap. If you wish to close your swap, trade out of your position in the open market. Buyers close their swaps by sell; sellers close their swaps by buying.

Let’s Trade

ETHXBT is BitMEX’s first swap product. It allows traders to trade the ETH/XBT exchange rate with up to 33x leverage. Traders do not need to own or borrow ETH to trade ETHXBT. Margin, profit and loss are all denominated in Bitcoin.

Trade ETHXBT Today!

 

How To Trade Factom

The hottest new altcoin on the block is Factom (FCT). Factoid is the token used to power the Factom protocol. Although technically incorrect, BitMEX calls the token as Factom. Now that Factom is freely tradable, this post will explain the different ways to express bullish and bearish views on this new cryptocurrency.

Spot Trading

Buying and selling Factom on a spot basis is quite simple. The most liquid Factom currency pair is Factom/Bitcoin (FCT/XBT). Poloniex is the leading exchanges by volume.

Buying Factom

To buy Factom, send Bitcoin to the exchange and exchange it for Factom. This must be done on a fully funded basis (i.e. there is no leverage).

Selling Factom

If you hold physical Factom, you can exchange it back for Bitcoin. Selling Factom you don’t possess is not possible.

Leveraged or Derivatives Trading

For most of the readers of this blog, leveraged trading / speculating presents a more interesting way to trade Factom. With the exception of Bitcoin and Litecoin, leveraged or derivatives trading on altcoins was not possible. BitMEX recognised that Bitcoin traders would like to speculate on Factom with leverage and using only Bitcoin as margin.

BitMEX recently launched the FCT7D, a weekly expiring FCTXBT futures contract. Each FCT7D contract represents 1 FCT. The contract expires each Friday at 12:00 GMT on the FCTXBT exchange rate. All margin, profit, and loss are conducted in Bitcoin. The maximum leverage allowed is 10x.

Buying Factom Futures

BitMEX Factom futures contracts allow traders to speculate on the future value of the FCTXBT exchange rate. A trader who wishes to go long 1,000 FCT, must buy 1,000 FCT7D contracts. The beauty of FCT7D is that it requires Bitcoin as margin. The maximum leverage is 10x. If the FCT7D price is 0.005, the trader must post 0.5 Bitcoin as margin (1,000 Contracts * 0.005 FCTXBT * 10%). If the price rises to 0.006, the profit is 1 Bitcoin = (0.006 – 0.005) * 1,000.

Selling Factom Futures

Short selling, or selling something you don’t possess is usually impossible with altcoins. Using FCT7D, traders are able to placed leveraged bearish bets on Factom as long as they own Bitcoin. For example, a trader who wishes to go short 1,000 Factom, must sell 1,000 FCT7D contracts. Again only Bitcoin is required for margin. If the FCT7D price is 0.005, the trader must post 0.5 Bitcoin as margin (1,000 Contracts * 0.005 FCTXBT * 10%). If the price falls to 0.004, the profit is 1 Bitcoin = (0.004 – 0.005) * -1,000.

Placing leveraged trades, and shorting Factom using only Bitcoin is only possible with BitMEX’s FCT7D futures contract. FCT7D Contract Description

Start Trading Factom Now

BitMEX中国A50期货套利

套利者和做市商是创造市场流动性的关键人物。比特币期货合约相对容易做市和套利,因为潜在资产是任何有互联网连接就可以交易比特币。反之在中国做市、庄家或套利是比较困难的。

几年前,新加坡交易所推出富时中国A50指数一美元双币种期货合约。我是其中一个在昔日新挂牌参与新交所A50期货合约的投资者。近日,新交所A50期货合约已经成为一个唯一有高流动性的合约,是在中国以外的投资者唯一有高流动性的中国投资合约。

为了提高我们的流动性,BitMEX也参考了SGX的合约,让可以在SGX交易的投资者在BitMEX A50合约做市

 

新交所 vs. BitMEX

新交所和期货BitMEX产品唯一的区别是,新交所的产品支付为美元,BitMEX产品支付为比特币(XBT)。这两种期货合约到期的时间为同一天,在同一时间,并使用相同的结算价。

新交所:每一人民币 = 1USD

BitMEX 每一人民币 = 0.0001 XBT

新交所 vs. BitMEX 交易时段

下表为新交所交易时段

GMT 新加波时间 类别
00:45 – 01:00 08:45 – 09:00 准备开始时段
01:00 – 07:55 09:00 – 15:55 开始
07:55 – 08:00 15:55 – 16:00 准备收市
08:30 – 08:40 16:30 – 16:40 夜市准备时段
08:40 – 15:59 16:40 – 23:59 夜市时段
16:00 – 18:00 00:00 – 02:00 夜市时段

BitMEX合约全天候开放,在新交所开市时段,做市商可以使用新交所的合约作为BitMEX的挂单价格(注意地方稍后讨论)

当新交所收市时,做市商可以使用其他ETF例如 CSOP AFTY ETF 来模拟类似指标。投资者可以透过在NAV加上利息等的时间值来模拟A50期货的价格。

 

市价 / NAV – 1 = 中国A50指数隐含变化

从美国收市到亚洲开市的第二天,没有产品能作为对冲。我们预计在未来的BitMEX期货合约将成为中国股市开市前的领导指标。

 

交割

假设:

XBTUSD = $100

多1张 SGX A50 @ 10,000 CNY

空 100张 BitMEX A50 @ 10,000 CNY

USD 头寸

SGX: $1 * 10,000 CNY * 1 张= $10,000

BitMEX: 0.0001 XBT * 10,000 CNY * -100 张* $100 = -$10,000

XBT 头寸

SGX: $1 * 10,000 CNY * 1 张/ $100 = 100 XBT

BitMEX: 0.0001 XBT * 10,000 CNY * -100 张= -100 XBT

交割价格 11,000 CNY

盈亏

SGX: (11,000 CNY – 10,000 CNY) * $1 * 1 张= $1,000

BitMEX: (11,000 CNY – 10,000 CNY) * 0.0001 XBT * -100 张= -10 XBT

净比特币盈亏

SGX: $1,000 / $100 = 10 XBT

BitMEX: -10 XBT

Net: 0 XBT

比特币上涨到200USD是的净比特币盈亏

SGX: $1,000 / $200 = 5 XBT

BitMEX: -10 XBT

Net: -5 XBT

比特币跌到50USD是的净比特币盈亏

SGX: $1,000 / $50 = 20 XBT

BitMEX: -10 XBT

Net: 10 XBT

由于不同的支付货币,作为做市商的盈亏会受到比特币波动的影响。这是你的双币种风险,XBTUSD和中国A50指数之间的协方差是对你的盈亏十分重要。

做市返佣

为了吸引读者提供流动性,BitMEX提供被动委托或做市商的委托交易回扣。Maker被动成交将会获得0.1%的回佣

额外资料

BitMEX中国A50合约详情

立即交易BitMEX A50合约

新交所A50合约详情

CSOP AFTY ETF详情