Introduction
BitMEX enforces the following Trading Rules and implements the following Protections to encourage efficient trading strategies, incentivise behaviours that improve the executable liquidity of the market, and encourage an orderly market. Even though the Trading Rules and Protections apply to all users of the platform, customers who trade predominantly from the website are unlikely to be affected by the Trading Rules due to the thresholds applied to each rule. We closely monitor user activity for infractions of these Trading Rules, and other abusive or undesirable trading behaviours, and, pursuant to our Terms of Service, reserve the right to restrict your use of our services, including the closure of your account, at any time.
Fat Finger Protection
We protect the integrity of the market against large aggressive orders that are likely due to input error and which may severely affect prices.
Protection on Market Orders
In order to prevent sudden price shocks, BitMEX will enforce protection on Market Orders as follows:
- Buy orders will be restricted to 5% above the higher of Best Ask and Mark Price.
- Sell orders will be restricted to 5% below the lower of Best Bid and Mark Price.
Example:
- Best Bid: 99
- Best Ask: 100
- Mark Price: 101
- A customer sends an order to Buy at Market.
- BitMEX restricts this order by highest price of 106.05 (5% above the 101 which is maximum of Best Ask and Mark Price).
- If the order size is less than or equal to the accumulated size of Sell orders in the price range 100 to 106.05 then the order is fully filled.
- If the order size is larger than the accumulated size of Sell orders in the price range 100 to 106.05 then it will be partially filled up to 106.05 and the remainder of the order will be cancelled.
Protection on Limit Orders
In order to prevent sudden price shocks, BitMEX will enforce protection on Limit Orders as follows:
- Buy orders will be Rejected if:
- the order size is larger than the current Best Ask size and
- the limit price is more than 5% above the higher of Best Ask and Mark Price
- Sell orders will be Rejected if:
- the order size is larger than the current Best Bid size and
- the limit price is more than 5% below the lower of Best Bid and Mark Price.
Example 1:
- Best Bid price: 99, Best Bid size: 1 contract.
- Best Ask price: 100, Best Ask size: 1 contract.
- Mark Price: 99.5
- A customer sends a Sell order for 1 contract at a price of 90.
- BitMEX accepts this order since its size (1 contract) is NOT larger than Best Bid size of 1 contract.
Example 2:
- Best Bid price: 99, Best Bid size: 1 contract.
- Best Ask price: 100, Best Ask size: 1 contract.
- Mark Price: 98
- A customer sends a Sell order for 10 contracts at a price of 94.
- BitMEX accepts this order since its limit price (94) is within 5% of the 98 (minimum of Best Bid price = 99 and Mark Price = 98).
Example 3:
- Best Bid price: 99, Best Bid size: 1 contract.
- Best Ask price: 100, Best Ask size: 1 contract.
- Mark Price: 98
- A customer sends a Sell order for 10 contracts at a price of 90.
- BitMEX rejects this order since its size (10 contracts) is larger than the Best Bid size of 1 contract and its limit price (90) is more than 5% below the 98 (minimum of Best Bid price = 99 and Mark Price = 98).
Quote Value Ratio Threshold
The Quote Value Ratio (QVR) rule aims to discourage use of strategies that submit quotes to the market without the intent to trade and therefore further strengthen the quality of liquidity on the platform.
Accounts on the platform making over 3600 quotes per hour (60 quotes per minute) will need to maintain a minimum QVR threshold. Violations of this rule will result in email warnings and an eventual API ban.
Definition of Quote Value Ratio (QVR)
We define Quote Value Ratio (QVR) as the proportion of quotes submitted to the platform per value of trades executed. A quote submitted is any individual order sent to the market. Value traded is measured in XBT.
Quote Value Ratio is calculated as follows:
QVR = max(0, # quotes submitted in time period T - # free quotes allowed) / value traded in XBT in time period T
Where T = 1 hour
Minimum QVR Threshold
QVR must be kept below 10,000 quotes per XBT traded per hour for XBTUSD, with 3,600 free quotes allowed per hour (60 quotes per minute). Other symbols are not currently subject to a minimum QVR threshold.
We may update the minimum QVR threshold and / or mechanism from time to time. Advanced notice of any changes will be published via the API Announcements section of the blog to ensure users have ample time to adjust their trading behaviour.
Fetching Historical QVR Data
QVR statistics for the last 3 days are made available over the BitMEX API. Documentation for this endpoint can be found on our API Explorer.