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6 July 2023 (TS)

  • Updated

Deribit on screen options tick size reduction

On 6 July 2023 Deribit will implement changes to the tick sizes for on-screen options orderbooks. Tick size, the minimum increment by which the price of orders can change, is a crucial element in trading.  Reducing will allow traders to price and trade with better precision and potemtially tighter spreads. This change will affect BTC and ETH options only, other instruments will not be affected.

❗️The tick size for on screen orderbook combo trades (which are combinations of 2 or more different options contracts traded in a single execution) or block trades will remain unchanged at 0.0001 BTC or ETH per leg.

Deribit is implementing this change to improve the tradability for the lower-priced options by potentially reducing the spread, increase the accessibility and overall price discovery. Please note that this change will apply to all new orders, and will not affect existing positions.

Summary of Changes

Price level 

Options orderbook 

Options Combos Orderbook 

Up to 0.0050 

0.0001 BTC or ETH

0.0001 BTC or ETH (no changes)

> 0.0050

0.0005  BTC or ETH

0.0001 BTC or ETH (no changes)

Example of new order tick sizes:

0.0022

0.0023

…..

0.0048

0.0049

0.0050   

0.0055

0.0060

0.0065

Etc

API changes

The instrument object returned in public/get_instrument and public/get_instruments has 2 changes:

  1. The tick_size field will represent the new minimum tick size.

  2. There will be a new fieldtick_size_stepsthat represents the new validation rules for the new price steps. It is a list of objects{above_price: number, tick_size: number}, describing that a price above “above_price” should be a multiple of “tick_size”.

E.g. for BTC options we will have

{

 "tick_size": 0.0001,

 "tick_size_steps": [{above_price: 0.005, tick_size: 0.0005}],

}

which means prices will be validated as follows:

  • if price <= 0.005 then the tick size is 0.0001

  • if price > 0.005 then the tick size is 0.0005

We can have multiple price steps.

An order will be rejected if the price does not conform to the appropriate tick size.

FIX changes

The changes are similar to the API changes, the messages SecurityListRequest and SecurityList are affected.

  1. We will add a new boolean tag DisplayIncrementSteps (9018) to SecurityListRequest. If the tag is present and set to Y, then the symbol entries in the SecurityList message will include the tick size steps.

  2. The SecurityList message has the following changes:

    - MinPriceIncrement will now represent the new minimum tick size 

    - If 1. is enabled we return the following new tags:

    > NoTickRules (1205): the number of steps

    > For each step we have 2 tags: StartTickPriceRange (1206) and TickIncrement (1208)

    - E.g. for BTC options we will have “969=0.0001 1205=1 1206=0.005 1208=0.0005”.

An order (NewOrderSingle) will not be rejected if the price does not conform to the appropriate tick size, instead the price will be rounded to the nearest tick size.

Multicast changes

We will add a new message type instrument_v2 that includes the new tick size steps.

  1. tick_size will represent the new minimum tick size

  2. We will add a new group tick_steps_list, for each tick size step it will include the fields above_price and tick_size.

  3. Changes will be made available here: https://static.deribit.com/files/DeribitMulticastClientDevelopmentPack.zip

You can find more information about these endpoints in our API documentation (https://docs.deribit.com/next/). If you're using these endpoints in your code, you may need to adjust your code to handle the new tick sizes.

If you have any questions or need further clarification, please don't hesitate to reach out to our support team via Telegram or support@deribit.com