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  4. 2022 Releases

18 August 2022

  • Updated

Potential Breaking Change

[APIv2] deribit_price_ranking.{index_name} notification will return now the null values instead of "undefined" for the unavailable ranking prices.

Preparation for Launch of combos - actual launch will take place after coming weekend.

Reduced fees! Free second leg!

The second option leg(s) fee is reduced by 100% (=FREE!!) as follows:

Only discount for combos with a combination of buy and sell trade like for example a call spread and no discount for two legs in the same direction like straddles

  • We group the Buy trades (group A) and the Sell trades (group B). The fees for the group with the lowest fees will be waived.

  • If the fee for buy trade (Group A) would be 10 and sell trade (Group B) 8 we would apply the 100% discount percentage on the cheapest group in this case the total fee for the combo would be 10 instead of 18

  • Butterfly example Buy Call1, Buy Call2, (Group A) and sell 2 x Call3 (Group B), we would waive fees for Group A or B pending which group has lowest fees

  • The same discount method will be applied to options combos executed as a block trade.

Due to the maker / taker structure for futures and perps this model works differently for futures and we will apply a 50% discount on the cheapest taker leg. Example: client A is maker for futures spread and receives -1 bps rebate for both legs (=> 2 x -1 = -2 bps), Client B is taker for the spread and has regular fee of 3 bps. Client B will pay 3 + 50% x 3 = 4.5 bps for the spread instead of 6.

Risk change 1: Initial Margin for Open Orders for Portfolio Margin Users

Currently, Deribit only charges Initial Margin for open orders in a Standard Margin account and does not charge Initial Margin for an open order on a Portfolio Margin account. 

However, after the maintenance of 18th August, we will add Initial Margin for open orders in a Portfolio Margin account in order to reduce risk to ensure users have sufficient margin should multiple orders trade simultaneously. It will also enable us to improve the platform performance by assigning the initial margin and thus not needing to continuously risk check the open orders.

This change will also affect any open orders you have created before the scheduled maintenance. However, since it is only Initial Margin that is changing, this does not increase your liquidation risk. 

We will be introducing Initial Margin for open orders for Portfolio Margin (PM) users. Previously we have only had Initial Margin for open orders for Standard Margin (SM) users.

The Initial Margin for an open order for a PM user will use the price bandwidth of the option as follows:

PM_IM_buy_order = Initial Margin for the buy order of a PM user

PM_IM_sell_order = Initial Margin for the sell order of a PM user

PM_IM_buy_order = max(min(MarkPrice - MinPrice + max (OrderPrice - MarkPrice, 0), OrderPrice), 0.0001) * Size

PM_IM_sell_order = max(MaxPrice - MarkPrice + max (MarkPrice - OrderPrice , 0), 0.0001) * Size

However, having both a buy and sell order in the same instrument would give:

IM = max(PM_IM_buy_orders, PM_IM_sell_orders)

The margin will be calculated at the point of entry and won’t update after that

For a future:

PM_IM_buy_order = Size in BTC * 0.03090

PM_IM_sell_order = Size in BTC * 0.03090

This factor is 0.0309 for BTC and ETH, and 0.05263 for SOL

If you are breaching Initial Margin or Maintenance Margin, you will still be able enter a risk-reducing order (this is not necessarily reducing the position in an instrument). You can enter a maximum of 5 risk-reducing orders and you will see these orders have no Initial Margin. These orders will come under continuous risk checks.

Risk change 2: MMP

  • The following apply to both Standard Margin (SM) and Portfolio Margin (PM) accounts. It excludes option buy orders on an SM account.

  • Once you set MMP settings, you get charged Initial Margin for the MMP settings. Initial Margin = MMP Quantity * 0.015

  • If you have an MMP Quantity of over 500 on BTC, 5k on ETH or 50k on SOL, then it is as if MMP is not active.

  • When you send a non-MMP order OR an MMP Order with amount > MMP Quantity, even with your MMP settings set, you will get charged Initial Margin for the open order - as detailed under Risk Change 1 for PM

  • If the cumulative size of all MMP orders in one direction on the same instrument are < MMP Quantity, then there would be no Initial Margin. If there is a single order which would increase the cumulative quantity above MMP Quantity, that order would be charged Initial Margin. ie. for MMP quantity = 10 and MMP orders of size A = 4, B = 4, C = 4, D = 2 we would apply no margin on A, B, D and have Initial Margin on C

  • Market Maker Protection Manual: https://static.deribit.com/files/DeribitMMP.pdf

Margin Type

MMP tagged order

non-MMP order

Standard Margin

  • No margin for option sell orders and future buy and sell orders when an MMP order qualifies - see next point

  • We do a simple check if cumulative amount < MMP Quantity, otherwise initial margin has simple calculation like non-MMP order

  • For an option buy order, calculate margin same as non-MMP simple calculation

  • Initial Margin for MMP settings (calculated when the user sets parameters)

  • Requires margin with the same simple calculation as before

Portfolio Margin

  • No margin for individual orders (as before, but we do charge IM for the MMP settings) when an MMP order qualifies - see next point

  • We do a simple check on order entry if the cumulative size of orders in the same direction on an instrument < MMP Quantity, otherwise initial margin has a simple calculation like non-MMP order

  • We no longer calculate an entry risk check that requires Black Scholes

  • Initial Margin for MMP settings (calculated when the user sets parameters)

  • No more continuous periodic risk checks on open orders (unless its a risk-reducing order)

  • Initial margin for order with simple calculation

  • We don't calculate an entry risk check that requires Black Scholes

  • No more continuous periodic risk checks on open orders (unless its a risk reducing order)

Other changes

  • Added initial event for deribit_volatility_index subscription

  • Increase the limit of whitelisted addresses for API keys

  • [API] Access for all 3d party applications is revoked after password change and requires renewed consent.

Risk check optimisation for PM users (as described above)

  • [PM] Started charging initial margin on open orders to optimize risk checking.

  • [MMP] Started charging initial margin on MMP settings (both SM and PM; for settings within predefined limits). MMP orders with cumulative size (for orders with the same direction in the same instrument) below MMP quantity limit have zero initial margin.

  • added "MMP" and "risk_reducing" flags to orders and trades

  •   [API] Added MMP and risk_reducing flags to order response object (request responses and subscription notifications).

  •   [API] Added MMP, risk_reducing, API flags and advanced field to private trade response object (request responses and subscription notifications).

  • New field SID in authorization response; When users authenticate using "public/auth" method in response they receive authorization token, there is a new optional field to that response "sid" session id (only for session tokens, so when user will request for token with scope "session:name"). This change allows user to kill specific session instead of all sessions. https://docs.deribit.com/next/#public-auth