1 August 2023

Previously Deribit only auto-liquidated (algo) with perpetual/futures when possible. From the upcoming release, closing options positions will be part of the liquidation algorithm as well.

That logic has been changed to liquidate with whichever instrument is causing the issue and therefore potentially more effective.

The new method will simply look at the risk matrix to find which instrument is contributing the most to the overall margin requirements and liquidate that instrument. If the attempted liquidation order does not trade (within certain safety parameters to avoid trading too far from fair prices), then the algo will move to the next highest contributing instrument in the risk matrix.

If attempts on the relevant instruments do not execute, then Deribit will attempt to reduce the risk by delta hedging via the Perpetual (if this would also reduce the maintenance margin).

Please note that we will always attempt to reduce instrument positions but the backup hedging alternative using the Perpetual could result in opening or increasing an existing position there.

Backwards incompatible change for private/get_position

For USDC instruments the delta will be in the base currency instead of USDC

New method public/get_supported_index_names to list all supported index names (this can for instance be used to get all index names supported in MMP).

Deribit API

New greeks breakdown for USDC options

options_gamma_map, options_vega_map and options_theta_map

Will be added to user.portfolio.{currency} notifications and private/get_account_summary

private/get_account_summary (with extended = true) will include mmp_enabled: true when the user has MMP enabled

private/edit will return the cancel reason edit_post_only_reject if the edit fails because of reject_post_only behavior

In September we will remove profit_loss and commission from order objects.

Later this year public subscriptions on the API will be heavily rate limited or even removed. Users are advised to start using our Event Nodes.

Deribit API