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[2015-03-31 23:31:28] BitMEX_Arthur : great do you find them useful?
[2015-03-31 23:31:33] BitMEX_Arthur : anything you think should be added
[2015-03-31 23:31:45] KB : haven't used them much yet
[2015-03-31 23:31:59] KB : but you might want to add commands to explain each field
[2015-03-31 23:32:13] KB : it's not necessarily obvious what each field means
[2015-03-31 23:32:24] KB : *comments, not commands
[2015-03-31 23:32:39] BitMEX_Arthur : right so when you mouseover it gives you a brief discription
[2015-03-31 23:32:53] KB : exactly
[2015-03-31 23:33:50] KB : please think again about fractional contracts for all instruments and meaningful contract sizes. You could even do a poll the few users that are on here
[2015-03-31 23:34:26] KB : I doubt anyone is going to dislike simpler and more meaningful contracts
[2015-03-31 23:35:15] BitMEX_Arthur : I think Wally said above that we have a simple XBT contract size view enabled in our trading engine we just haven't exposed it yet
[2015-03-31 23:36:07] BitMEX_Arthur : so while it looks like a fractional contract denominated in XBT, really it's just a different way to view the same thing, but it will accomplish what you want which is to input orders in XBT notional
[2015-03-31 23:36:14] BitMEX_Arthur : rather than contracts if you so desire
[2015-03-31 23:37:36] KB : to summarize, I would like to see: fractional contracts of XBT*, XBU* and BVOL where 1 XBT* = 1 ฿; 1 XBU* = $100 and 1 BVOL = $100 or 1 ฿ (* stands for the different expiries)
[2015-03-31 23:37:51] KB : and BVOL should use implied volatility instead of historical volatility
[2015-03-31 23:38:39] BitMEX_Arthur : we can't use implied vol for BVOL because there are no liquid options
[2015-03-31 23:38:58] KB : I think that's why BVOL isn't traded much. It's a great idea, but again, historical volatility makes it too complex to calculate P/L on the fly (in your head)
[2015-03-31 23:39:19] BitMEX_Arthur : historical vol is much easier than implied vol from ma chain of options
[2015-03-31 23:39:21] KB : you could use Bitfinex volatility
[2015-03-31 23:39:27] BitMEX_Arthur : that's a historical vol
[2015-03-31 23:39:29] BitMEX_Arthur : it's the same thing
[2015-03-31 23:39:42] KB : i mean short-term volatility
[2015-03-31 23:39:52] KB : like daily volatility
[2015-03-31 23:40:05] BitMEX_Arthur : yes we are working on moving to a day or week vol measure
[2015-03-31 23:40:15] KB : yeah, that would be much better
[2015-03-31 23:40:33] BitMEX_Arthur : but we will have to put some contract caps in place as it is so volatile we cannot centrally clear it
[2015-03-31 23:40:36] KB : something like 24h moving average would be great
[2015-03-31 23:41:02] KB : sure, do whatever is required to manage risk
[2015-03-31 23:48:47] KB : one final analogy regarding the current contract size of XBT and I will shut up about it: the current arbitrary contract size is like using imperial units (e.g. inches) instead of metric uses (e.g. meters) in science. Doing calculations between imperial units or any other unit simply sucks.
[2015-03-31 23:57:38] BitMEX_Arthur : :)
[2015-04-01 04:24:14] uiop : <BitMEX_Chat> (KB): I am still concerned about artificial margin calls (which anyone with a couple of BTC can trigger right now), but I had an idea how you could prevent them
[2015-04-01 04:25:14] uiop : with 796 ltc (littlecorn) 50:1 futs, each 1 cent = +/- 25% at curr price levels
[2015-04-01 04:25:23] uiop : until a few weeks ago
[2015-04-01 04:26:22] uiop : one could wait for some volume that looks like 50:1, proceed to run the price against them 4 cents for a few $100 tops, then offset into their liquidated carcass
[2015-04-01 04:26:51] uiop : 796 "solved" this "bug" by imposing a max pos size limit
[2015-04-01 04:27:05] uiop : of like "a few $100 - $100"
[2015-04-01 04:27:40] uiop : effectively turning their ltc 50:1 into penny slots
[2015-04-01 04:28:18] uiop : whether 50:1, ltc no less, is remotely viable or sane beside the point for point i'm after
[2015-04-01 04:29:00] uiop : point is, without liquidity, you basically have no options to fix ability to give peops the banga for only a few shekels
[2015-04-01 04:29:20] uiop : no options other than severely crippling your futs
[2015-04-01 04:29:40] uiop : but maybe someone's thought of a way i havent
[2015-04-01 04:30:42] uiop : * uiop continues reading scrollback
[2015-04-01 04:31:04] uiop : in case that didnt wormhole to other chat
[2015-04-01 13:20:32] KB : I agree, you wouldn't need such limits if your futures are liquid
[2015-04-01 13:21:42] KB : bootstrapping a exchange is really hard because of the chicken/egg problem
[2015-04-01 13:23:03] KB : and even harder for an derivatives exchange in the Bitcoin space, because it's mostly amateurs, who don't understand derivatives (and it does not help that Bitcoin derivatives are more complex than derivatives on commodities, bonds or stocks)
[2015-04-01 13:23:40] KB : but Wall Street won't mind, so we just need to wait for them
[2015-04-01 13:24:38] KB : they will bring the liquidity and expertise required for a Bitcoin derivatives exchange
[2015-04-01 13:45:53] KB : maybe today is the day that Bitfinex drops and stays below $240
[2015-04-01 13:46:12] KB : asks are getting really large above $242
[2015-04-01 14:24:30] germanjew : KB: I see a massive jump at 245 right now, did it move from 242?
[2015-04-01 14:59:53] KB : yes, but it did not go above $244 on Bitfinex
[2015-04-01 15:00:08] KB : there is 3000 BTC offered at $246
[2015-04-01 15:00:18] KB : should keep it down
[2015-04-02 06:44:53] BitMEX_Arthur : Back below $240?
[2015-04-02 13:08:14] goat : I think we have to see what happens with GBTC
[2015-04-02 13:08:30] goat : the bears are probably going to push us down below 200 once more over the weekend imo if we don't see a trade go through this week
[2015-04-02 13:08:41] goat : so many juicy margin calls down there :D
[2015-04-02 13:09:21] BitMEX_Arthur : i thought GBTC already launched
[2015-04-02 13:09:23] BitMEX_Arthur : a couple days ago
[2015-04-02 13:27:17] goat : they did, but trades haven't gone through yet
[2015-04-02 13:27:26] goat : the people who have shares have to transfer them into their trading accounts
[2015-04-02 13:27:38] goat : silbert said on cnbc yesterday it takes a few days, and they should be able to start trading next week
[2015-04-02 13:27:50] BitMEX_Arthur : so what do you think will happen
[2015-04-02 13:27:54] goat : http://www.cnbc.com/id/102549768
[2015-04-02 13:27:54] BitMEX_Arthur : i think it will be a massive dud
[2015-04-02 13:28:42] goat : i think we will see the price go up to meet whatever gbtc is trading at, maybe margin calls and fomo will fuel both a bit higher, but not ath at all
[2015-04-02 13:28:51] goat : then the bears will come back in, push us down
[2015-04-02 13:28:56] BitMEX_Arthur : the only people who know about gbtc on the pink sheets are bitcoiners why would they pay a premium
[2015-04-02 13:29:18] goat : i dont think we are ever going ot see another bubble like we have in the past beacuse of the different ways to trade now
[2015-04-02 13:29:30] goat : yeah, but there are a lot of people that want in via their investment accounts
[2015-04-02 13:29:42] BitMEX_Arthur : yeah but they won't buy pink sheets
[2015-04-02 13:29:48] BitMEX_Arthur : has such a negative connotation
[2015-04-02 13:29:49] goat : idk about that man
[2015-04-02 13:30:04] goat : yeah but lots of reputable companies are traded there
[2015-04-02 13:30:07] goat : lvmh
[2015-04-02 13:30:16] goat : Heineken
[2015-04-02 13:30:19] BitMEX_Arthur : really
[2015-04-02 13:30:22] goat : yeah dude
[2015-04-02 13:30:23] BitMEX_Arthur : they don't have ADRs
[2015-04-02 13:30:31] BitMEX_Arthur : that trade on the main boad
[2015-04-02 13:30:32] BitMEX_Arthur : board
[2015-04-02 13:30:43] goat : their adr is otc
[2015-04-02 13:31:49] goat : there are a ton of companies traded otc so im not worried about the connotation
[2015-04-02 13:32:05] goat : and think about how many posts we saw on reddit of "my dad said he would buy bitcoin when he could have it in his etrade account"
[2015-04-02 13:32:13] goat : its not a ton of people, but there is some demand
[2015-04-02 13:32:47] BitMEX_Arthur : guess we will see, if it's at >10% premium then maybe that's saying something
[2015-04-02 13:32:59] BitMEX_Arthur : but since you can't short sell it, trying to arb that premium is a fools game
[2015-04-02 13:33:03] BitMEX_Arthur : you will get carried out
[2015-04-02 13:33:16] goat : yeah, in any case i don't expect it to stay as high as it might trade for long
[2015-04-02 13:33:24] goat : i expect a pop and drop in both btc and gbtc
[2015-04-02 13:34:50] goat : in that cnbc article it talks about how many shares have been held for over a year too
[2015-04-02 13:35:26] goat : bc the actual float is only shares held for over a year... i think thats like a 600k or something if i remember correctly
[2015-04-02 13:35:31] goat : thats not a lot
[2015-04-02 13:35:37] goat : with each representing .1 btc
[2015-04-02 13:37:47] BitMEX_Arthur : yeah
[2015-04-02 13:37:54] BitMEX_Arthur : buy the rumour sell the fact
[2015-04-02 13:38:00] goat : we will see what happens though man, there are a lot of factors here
[2015-04-02 13:38:14] goat : so many underwater margin longs on bfx that need to be cleared out in some way
[2015-04-02 13:38:40] goat : thats a definitive downward pressure on the price if we reach/cross 300
[2015-04-02 13:39:11] goat : well, there is downward pressure anwayy
[2015-04-02 13:39:12] goat : but more of it
[2015-04-02 13:46:27] BitMEX_Arthur : If there was ever a weekend to move the price this is it
[2015-04-02 13:46:53] BitMEX_Arthur : Us and Europe on holiday, HK has a long weekend for a Buddhist thing
[2015-04-02 13:47:01] BitMEX_Arthur : Asia basically shut
[2015-04-02 13:47:46] BitMEX_Arthur : If I was a big boy I would smack the mrkt sunday
[2015-04-02 13:48:35] goat : agreed man, and gbtc trades probably not going through until next week
[2015-04-02 13:48:45] goat : i wouldn't wait until sunday though
[2015-04-02 13:49:00] goat : small friday pump to get your shorts in, then smash it saturday, sunday and monday
[2015-04-02 13:49:19] goat : i mean friday saturday and sunday
[2015-04-02 13:49:25] goat : just like last week after the evo heist
[2015-04-02 13:49:37] goat : we tested the bottom 3 times over 2.5 days i think
[2015-04-02 13:51:57] goat : people have been going long on margin all week this week expecting gbtc to start trading
[2015-04-02 13:52:09] goat : and usd swaps are like .1 lol
[2015-04-02 13:55:07] BitMEX_Arthur : Yeah
[2015-04-02 14:02:56] goat : if you can create a good 3 drivers pattern, you are likely to pick up a lot of momentum from other traders hopping on the trend and maybe break that floor
[2015-04-02 14:04:07] goat : it looks like thats what they tried last week
[2015-04-02 14:05:18] goat : and someone is defending that level really well... i watched the bfx orders in real time and it was insane
[2015-04-02 14:05:25] goat : three gigantic walls stepping the price up
[2015-04-02 15:42:36] joequant : what's the significance of bitfinex swaps being at >0.1% day
[2015-04-02 16:19:48] goat : most people dont change out their swaps... after say 30 days (the longest time period), bfx switches yours out for a new one at the frr.. they are bleeding money
[2015-04-02 16:19:54] goat : and its getting worse as time goes on
[2015-04-02 16:20:41] goat : which is eating away at their collateral (and if their collateral is mostly btc, that is decreasing in value over time as well)
[2015-04-02 16:21:01] goat : so their margin call price is rising in any case, but its worse if they are holding btc and not usd as collateral
[2015-04-02 19:38:49] KB : yeah, $242 was defended well, I also noticed it
[2015-04-02 19:43:23] KB : I find the trading during this range very interesting
[2015-04-02 19:43:35] KB : it trades much differently than it used it
[2015-04-02 19:44:07] KB : both sides throwing around a lot of money and depth quickly appearing and disappearing
[2015-04-02 19:44:19] KB : looks like a few professionals might have entered the market
[2015-04-02 19:44:51] KB : in any case, a break out of this range, is going to get many people margin called, whether up or down
[2015-04-02 20:03:09] KB : let's see if the weekend can rescue the shorts
[2015-04-02 22:48:12] joequant : I don't think it's professionals, but rather that everyone is using bots.
[2015-04-02 22:48:25] joequant : The prices are a lot more stable than they used to be.
[2015-04-02 22:48:27] joequant : :-(
[2015-04-03 14:20:10] joequant : nice arbs right now.
[2015-04-03 14:20:19] STRML : indeed
[2015-04-03 14:20:23] BitMEX_Arthur : joequant: on what XBTJ15?
[2015-04-03 14:20:29] joequant : CNYUSD rate changed, and no one noticed.
[2015-04-03 14:20:38] joequant : Between Chinese and Western exchanges.
[2015-04-03 14:20:48] BitMEX_Arthur : u mean cause okc uses a stupid fix
[2015-04-03 14:20:59] BitMEX_Arthur : the weekly average of PBOC fixing
[2015-04-03 14:21:07] joequant : Ohhhh...
[2015-04-03 14:21:13] joequant : That's dumb.
[2015-04-03 14:21:16] BitMEX_Arthur : for their futures index
[2015-04-03 14:21:20] BitMEX_Arthur : worse than 2823
[2015-04-03 14:21:35] joequant : But that's also good
[2015-04-03 14:21:44] joequant : because you know the direction of the index
[2015-04-03 14:22:37] joequant : PBC wants to float CNY.
[2015-04-03 14:22:47] joequant : So they've been slowly adding vol to CNYUSD
[2015-04-03 14:23:01] joequant : They don't want to do it too fast or less you will have mass chaos.
[2015-04-03 14:23:14] joequant : As people have old systems like okcoin.
[2015-04-03 14:23:34] BitMEX_Arthur : okcoin is a tech startup there is no excuse
[2015-04-03 14:24:23] BitMEX_Arthur : are you looking at bloomberg USDCNY?
[2015-04-03 14:24:26] BitMEX_Arthur : or CNH?
[2015-04-03 14:26:48] joequant : yahoo USDCNY
[2015-04-03 14:27:18] BitMEX_Arthur : where do u see arb
[2015-04-03 14:27:27] BitMEX_Arthur : OKC CNY vs. BFX USD spot on
[2015-04-03 14:28:51] joequant : Look at bitcoinwisdom.
[2015-04-03 14:29:09] joequant : About an hour ago the CNYUSD rate massively shifted
[2015-04-03 14:29:13] joequant : from 6.2 to 6.12
[2015-04-03 14:29:30] BitMEX_Arthur : so they have a bad api feed at bitcoinwisdom
[2015-04-03 14:29:51] joequant : It's not the API feed.
[2015-04-03 14:30:00] joequant : Unless the forex API's are busted.
[2015-04-03 14:30:16] BitMEX_Arthur : so bloomberg and yahoo have two massively different rates
[2015-04-03 14:30:16] joequant : About an hour ago CNYUSD when from 6.2 to 6.12
[2015-04-03 14:30:26] BitMEX_Arthur : if i had to guess i would say yahoo is wrong
[2015-04-03 14:30:44] BitMEX_Sam : actually looks like their forex feed is right
[2015-04-03 14:30:56] BitMEX_Arthur : yeah there is a massive difference btw yahoo and bloomberg
[2015-04-03 14:30:59] BitMEX_Sam : 1576 cny is $257
[2015-04-03 14:31:07] BitMEX_Sam : at 6.1280 anyway
[2015-04-03 14:31:46] BitMEX_Sam : maybe bloomberg is delayed? I see that rate in a few other sources as well
[2015-04-03 14:31:55] BitMEX_Arthur : yeah i'm checking google as well
[2015-04-03 14:32:00] BitMEX_Arthur : i see 6.12
[2015-04-03 14:32:11] joequant : something big just happened.
[2015-04-03 14:32:14] BitMEX_Arthur : yeah
[2015-04-03 14:32:19] BitMEX_Arthur : i'm not seeing any news stories
[2015-04-03 14:32:31] BitMEX_Arthur : why would the pboc make the cny appreciate
[2015-04-03 14:32:35] joequant : Whether it's big tech glitch or big central bank intervention that's not clear now.
[2015-04-03 14:32:44] joequant : It could be a big tech glitch.
[2015-04-03 14:32:46] BitMEX_Arthur : by 120bps
[2015-04-03 14:32:49] BitMEX_Arthur : that's massive
[2015-04-03 14:32:52] joequant : :-)
[2015-04-03 14:34:49] BitMEX_Arthur : checking my icbc account
[2015-04-03 14:34:52] BitMEX_Arthur : that will tell the real rate
[2015-04-03 14:35:24] joequant : Oh I think I know what might ahve happened.
[2015-04-03 14:35:40] joequant : The official rate has been 6.12 for the last few weeks.
[2015-04-03 14:35:46] joequant : The spot markets has been 6.19
[2015-04-03 14:35:52] BitMEX_Arthur : right
[2015-04-03 14:35:53] joequant : But today London is closed.
[2015-04-03 14:36:02] BitMEX_Arthur : ah so a bad reuters feed
[2015-04-03 14:36:09] joequant : Something like that.
[2015-04-03 14:36:15] joequant : That makes sense
[2015-04-03 14:36:33] BitMEX_Arthur : CNY=
[2015-04-03 14:36:46] BitMEX_Arthur : is USD closed today?
[2015-04-03 14:37:11] BitMEX_Arthur : is there a WM for USDCNY?
[2015-04-03 14:38:01] joequant : It's a holiday in London.
[2015-04-03 14:38:55] joequant : but it's not just a tech glitch
[2015-04-03 14:39:05] joequant : Since someone is trading at 6.12 on yahoo.
[2015-04-03 14:45:30] BitMEX_Arthur : these are the days i would get eaten alive sometimes on market making
[2015-04-03 14:45:48] BitMEX_Arthur : my first boss made me quote $1mm a side on illiquid etfs across all of asia
[2015-04-03 14:45:54] BitMEX_Arthur : it was a bloodbath some days
[2015-04-03 14:46:46] BitMEX_Arthur : or you have a global basket with UK shares that are quoted in pence not pounds and you don't do the conversion
[2015-04-03 14:46:48] BitMEX_Arthur : instant losses
[2015-04-03 14:47:07] BitMEX_Arthur : or you forget about korean divs on dec 28
[2015-04-03 14:52:10] joequant : heh. heh. heh. It has something to do with London, The drop happened right at 12 and 1 in the afternoon. Lunch time.
[2015-04-03 14:53:01] joequant : my guess is that because markets are closed. Someone did a massive trade at the PBC price and that hit the yahoo stats. Bloomberg seems to get data from US markets.
[2015-04-03 14:53:26] BitMEX_Arthur : ah i know what it is
[2015-04-03 14:53:39] BitMEX_Arthur : so you have two settings you can take after market ticks
[2015-04-03 14:53:57] BitMEX_Arthur : so say USDKRW closes at 2pm, on your reuters settings you can say I still want to see trades after the official close of the currency
[2015-04-03 14:54:02] BitMEX_Arthur : and your USDKRW rate will move
[2015-04-03 14:54:09] BitMEX_Arthur : yahoo and google probably have that setting turned on
[2015-04-03 14:54:17] BitMEX_Arthur : because they want a continuous market 24/7
[2015-04-03 14:54:58] BitMEX_Arthur : bloomberg knows better
[2015-04-03 14:55:25] joequant : there's something else going on because bloomberg also shows dips at the same time. Not nearly as big, but they are there.
[2015-04-03 14:57:41] joequant : But I think it's mostly data.
[2015-04-03 14:57:48] joequant : USDCNH doesn't look weird
[2015-04-03 14:57:59] joequant : And what might have happened in bloomberg
[2015-04-03 14:58:16] joequant : is that someone had their algos getting bad data.
[2015-04-03 14:58:43] joequant : And then that affected their trades before someone noticed and flipped a switch.
[2015-04-03 14:58:43] BitMEX_Arthur : probably what caused the price spike
[2015-04-03 14:58:50] BitMEX_Arthur : on BFX
[2015-04-03 14:59:04] BitMEX_Arthur : thought china was a couple dollars higher, and buy buy buy
[2015-04-03 15:02:21] joequant : Yes. And I think this also happened in the market in general. You can see some changes in Bloomberg and CNH, which is likely to algos getting triggered by Reuters.
[2015-04-03 15:04:25] joequant : If it's data, then there should be sharp switch on tuesday once the markets open up.
[2015-04-03 15:04:31] joequant : heh. heh. heh.
[2015-04-03 15:10:25] joequant : there might be an arb here. If it's data then the difference is likely to last over the weekend. So you might see bitfinex prices converge against the chinese exchanges over the holiday.
[2015-04-03 15:10:46] joequant : And then get whammed in the other direction once markets open on Tuesday.
[2015-04-03 15:11:07] BitMEX_Arthur : seems like a likely scenario
[2015-04-03 15:11:16] BitMEX_Arthur : can kinda see it happening now
[2015-04-03 15:12:09] joequant : Or someone could figure out that the data is bad at Yahoo and suddenly flip the switch.
[2015-04-03 15:12:12] joequant : :-)
[2015-04-03 15:12:20] joequant : cool
[2015-04-03 18:28:25] rhk : BitMEX_Arthur: any plans for longer dated quantos?
[2015-04-03 18:31:43] BitMEX_Sam : We would like to, but the liquidity is not there yet
[2015-04-03 18:32:52] rhk : why not list them and see? you don't get any liquidity at all if the contract isn't listed :)
[2015-04-03 18:34:12] BitMEX_Sam : True - we just have a couple of things in the works at once right now so we haven't had the time to double back on quantos
[2015-04-03 18:35:32] rhk : honestly not much point listing short-dated quantos anyway.. the gamma isn't large enough to make it interesting to trade
[2015-04-03 18:36:05] rhk : for me at least
[2015-04-04 03:03:35] joequant : I'm wondering if a quanto/inverse swap would increase liquidity.
[2015-04-04 03:04:05] BitMEX_Arthur : hmmm
[2015-04-04 03:04:13] BitMEX_Arthur : the problem is that the contract sizes don't match up
[2015-04-04 03:05:04] BitMEX_Arthur : that's not a show stopper but i think many users don't understand the difference between the two
[2015-04-04 03:05:09] BitMEX_Arthur : so getting enough liquidity will be tough
[2015-04-04 03:38:50] j8 : chart tells a pretty different story on bitfinex than okcoin etc after that exchange rate business today
[2015-04-04 04:52:27] joequant : yeaah
[2015-04-04 04:52:37] joequant : I'm trying to figure out what's going on
[2015-04-04 04:52:43] joequant : and how to make money off this.
[2015-04-04 04:52:56] joequant : Right now the CNYUSD exchange is 6.14
[2015-04-04 04:53:04] joequant : Monday it's going to go to 6/19
[2015-04-04 04:53:08] joequant : 6.19
[2015-04-04 04:56:37] joequant : I'm trying to do an arb between 796 and bitmex/huobi/okcoin
[2015-04-04 04:57:31] BitMEX_Arthur : you should buy `XBUJ15` vs. sell the weekly contract on OKC or Huobi
[2015-04-04 04:59:35] joequant : yup
[2015-04-04 04:59:53] joequant : The thing about huobi is that all their contracts are in CNY
[2015-04-04 05:00:12] joequant : okcoin traders don't seem to care about USD
[2015-04-04 05:00:14] BitMEX_Arthur : OKC uses a weekly average of the PBOC fixing
[2015-04-04 05:00:19] joequant : which leaves 796
[2015-04-04 05:00:23] BitMEX_Arthur : so no go there
[2015-04-04 05:00:30] BitMEX_Arthur : what does brave new coin index use?
[2015-04-04 05:01:37] joequant : hmmmmm
[2015-04-04 05:04:35] joequant : not sure, but they don't seem to be using yahoo pricing.
[2015-04-04 05:04:50] joequant : The issue is that yahoo seems to be using CNY trades in London
[2015-04-04 05:05:11] joequant : Whereas the Chinese exchanges seem to be using China numbers.
[2015-04-04 05:05:54] BitMEX_Arthur : i don't think there is much of an arb there
[2015-04-04 05:05:57] joequant : What I think might have happened, and this is pure speculation
[2015-04-04 05:06:28] joequant : is that PBC buys most of its treasuries through London
[2015-04-04 05:06:59] joequant : And so when the banks shut down for the weekend, there were some PBC trades that normally are in the weeds.
[2015-04-04 05:07:05] joequant : There isn't now.
[2015-04-04 05:07:17] joequant : But the arb will come on Monday
[2015-04-04 05:07:28] joequant : When the yahoo index goes to 6.19
[2015-04-04 05:12:27] BitMEX_Arthur : and the index snaps lower u mean
[2015-04-04 05:12:33] BitMEX_Arthur : in USD terms
[2015-04-04 05:12:54] BitMEX_Arthur : the only platform that relies on an index taking the non PBOC spot rate might be 796
[2015-04-04 05:13:07] BitMEX_Arthur : what exchanges does huobi use for their USD settled futures contract
[2015-04-04 05:16:05] joequant : Huobi doesn't have a USD futures contract
[2015-04-04 05:16:15] BitMEX_Arthur : oh
[2015-04-04 05:19:42] joequant : Also what okcoin is doing makes no sense to me. I'm sure that they can get arbed. Not now, but at some point.
[2015-04-04 05:20:05] BitMEX_Arthur : well doesn't matter they aren't the ones taking the positions
[2015-04-04 05:20:23] BitMEX_Arthur : and they don't gtee the contracts so they never have to worry about taking the other side
[2015-04-04 05:20:43] BitMEX_Arthur : it's their clients who will get screwed on arbitrary FX decisions by management
[2015-04-04 05:23:39] joequant : It is interesting though, since the glitch hasn't caused more movement. It tells me that most Chinese traders 'are thinking just in CNY.
[2015-04-04 05:24:31] joequant : i.e. bitcoin isn't being used much as a CNY/USD exchange medium
[2015-04-04 05:24:55] BitMEX_Arthur : of course not it's too expensive
[2015-04-05 23:47:51] KB : what influence do you think will Greece have on the Bitcoin price?
[2015-04-05 23:48:46] BitMEX_Arthur : the more i think about it, i doubt it will have much of an impact if they just do capital controls
[2015-04-05 23:48:50] BitMEX_Arthur : and try to stay in the euro
[2015-04-05 23:48:54] BitMEX_Arthur : if they leave then all bets are off
[2015-04-05 23:50:53] KB : what do you mean by all bets or off if they leave?
[2015-04-05 23:53:02] BitMEX_Arthur : most likely all assets will get sold heavily
[2015-04-05 23:53:18] BitMEX_Arthur : then hopefully assets like gold and Bitcoin will spike higher
[2015-04-06 00:00:37] KB : what about currencies such as USD?
[2015-04-06 00:00:45] BitMEX_Arthur : rally
[2015-04-06 00:01:04] KB : shouldn't BTC/USD then fall or stay constant?
[2015-04-06 00:01:28] KB : if USD rallies
[2015-04-06 00:01:37] BitMEX_Arthur : not necessarily
[2015-04-06 00:01:55] BitMEX_Arthur : if i'm an investor faced with margin calls i sell everything
[2015-04-06 00:01:59] BitMEX_Arthur : and buy treasuries
[2015-04-06 00:02:45] KB : but why would they buy BTC? It's not really a low risk investment
[2015-04-06 00:03:02] BitMEX_Arthur : it's a non govnt controlled asset
[2015-04-06 00:03:12] KB : true
[2015-04-06 00:03:13] BitMEX_Arthur : same with gold
[2015-04-06 00:03:30] KB : hopefully, let's see what happens
[2015-04-06 00:05:10] j8 : wow xbt gettin some action today
[2015-04-06 00:05:44] j8 : XBTJ15 i mean.
[2015-04-06 00:08:07] goat : i saw that earlier
[2015-04-06 00:14:15] BitMEX_Arthur : come and play in the sandbox boys
[2015-04-06 00:21:51] joequant : re Greece - too many factors to tell what it will do to bitcoin.
[2015-04-06 00:22:25] joequant : I can imagine scenarios where it causes bitcoin to spike up, and scenarios where it spikes down.
[2015-04-06 00:22:40] joequant : I suppose, you could try to do some sort of straddle.
[2015-04-06 00:23:01] joequant : Because I suspect that a Greece exit would cause XBT to go in one direction or another.
[2015-04-06 01:51:09] KB : you could trade the BVOL if there was any liquidity
[2015-04-06 01:59:52] BitMEX_Arthur : KB: we most likely will list a shorter term BVOL type contract maybe weekly that should be more whippy
[2015-04-06 02:00:13] BitMEX_Arthur : we have to make some changes to the margin engine for that particular contract, once that's finished we can safely do it
[2015-04-06 02:00:44] KB : cool
[2015-04-07 07:25:27] joequant : https://bitquant.wordpress.com/2015/04/07/wavelet-analysis-of-bitcoin-prices-in-2015/
[2015-04-07 07:25:32] joequant : enjoy
[2015-04-07 08:03:18] germanjew : very interesting, thanks!
[2015-04-07 08:04:58] BitMEX_Arthur : When is your XBT paper coming out Joe
[2015-04-07 09:57:40] joequant : I'll try to get something out next week.
[2015-04-07 12:23:00] goat : XBU24H not resetting?
[2015-04-07 12:24:20] BitMEX_Sam : goat: looking into it
[2015-04-07 12:24:20] BitWise : it's empty
[2015-04-07 12:24:48] goat : BitMEX_Sam: ok cool, no rush :D
[2015-04-07 12:24:53] goat : just figured I would let you guys know
[2015-04-07 12:25:08] goat : i tried to refresh the page a few minutes after settlement and it said that you guys were undergoing maintenenace
[2015-04-07 12:25:10] BitWise : @Goat, I see 14495 ask orders at BFX
[2015-04-07 12:25:14] goat : but spelled correctly
[2015-04-07 12:25:36] goat : BitWise: on bfx?
[2015-04-07 12:25:40] BitWise : yes
[2015-04-07 12:25:44] BitMEX_Sam : there we go. XBU24H is back
[2015-04-07 12:25:50] goat : BitMEX_Sam: cool man, thanks
[2015-04-07 12:26:16] BitWise : at what price level you seek?
[2015-04-07 12:26:33] goat : BitWise: lol i wasn't talking about bfx though?
[2015-04-07 12:26:54] BitWise : on tv you did, right?
[2015-04-07 12:27:07] goat : ahh
[2015-04-07 12:27:12] goat : umm i didnt ask how many there were
[2015-04-07 12:27:25] BitWise : no, but you said it was empty
[2015-04-07 12:27:25] goat : i was just saying they are thin compared to ususal
[2015-04-07 12:27:29] goat : yeah, compared to usual
[2015-04-07 12:27:30] BitWise : so i checked
[2015-04-07 12:27:41] BitWise : what were you expecting?
[2015-04-07 12:27:46] goat : i can see the asks, im just saying in general they are much heavier... especially close to bid/ask
[2015-04-07 12:28:27] BitWise : k, got you wrong than, sorry
[2015-04-07 12:28:38] goat : no worries man, i appreciate the input
[2015-04-07 13:17:27] BitMEX_Arthur : looks like someone took out a bunch of USD swaps on BFX and tried to squeeze the market
[2015-04-07 13:18:18] BitMEX_Arthur : by my calculations he took out enough USD for 1600 coins
[2015-04-07 13:18:27] BitMEX_Arthur : and used about 400 in a squeeze attempt and failed
[2015-04-07 13:18:37] BitMEX_Arthur : so 1200 left of dry powder to try and lift the market
[2015-04-07 17:33:41] goat : great newsletter man
[2015-04-07 17:33:59] goat : i especially liked the part to the miners, good way to advertise your products
[2015-04-07 17:36:01] BitMEX_Sam : Yeah, Arthur does a great job with those
[2015-04-08 12:59:57] goat : Bears are going for it today
[2015-04-08 13:00:09] goat : doesnt look like a lot of btc or usd swaps were closed
[2015-04-08 13:03:16] BitMEX_Sam : Yep - big dip right now
[2015-04-08 13:03:48] BitMEX_Sam : XBTJ still trading at a decent premium to spot
[2015-04-08 13:05:30] goat : i unloaded a bunch the other day at a good premium
[2015-04-08 14:15:06] BitMEX_Arthur : USD swaps are going higher, someone is going to be feeling a lot of pain overnight i suspect
[2015-04-08 14:37:07] goat : the only bubbles now are in usd and btc swaps lol
[2015-04-08 14:37:09] goat : not in btc price
[2015-04-08 14:38:49] BitMEX_Arthur : China isn't buying this rally
[2015-04-08 14:39:26] BitMEX_Arthur : BFX up $1.5, OKC is barely up 3 CNY
[2015-04-09 07:50:45] BitMEX_Arthur : Do we test $230?
[2015-04-09 08:11:00] gaoMex : If the dumpsters still have 6,000 BTC to spare
[2015-04-09 08:11:28] gaoMex : USD swaps still holding at $27M.
[2015-04-09 08:11:42] BitMEX_Arthur : yeah
[2015-04-09 08:11:47] BitMEX_Arthur : no capitulation yet
[2015-04-09 08:11:51] BitMEX_Arthur : i'm staying short
[2015-04-09 08:13:13] gaoMex : Do you think $166.45 was the lowest point in BFX?
[2015-04-09 08:13:56] BitMEX_Arthur : u mean the recent low?
[2015-04-09 08:13:59] BitMEX_Arthur : in jan
[2015-04-09 08:14:05] gaoMex : yes.
[2015-04-09 08:14:13] BitMEX_Arthur : i would like to see it retested
[2015-04-09 08:14:19] BitMEX_Arthur : i think we go sub $100
[2015-04-09 08:14:24] BitMEX_Arthur : before a real rally can begin
[2015-04-09 08:15:50] gaoMex : you draw that conclusion from TA?
[2015-04-09 08:16:16] BitMEX_Arthur : my reasoning is that marginal cost of Bitcoin for cheapest miners is $100-$150
[2015-04-09 08:16:25] BitMEX_Arthur : so I think we need to hit that point, see it rejected and go higher
[2015-04-09 08:16:31] BitMEX_Arthur : before we can really rally
[2015-04-09 08:16:52] BitMEX_Arthur : let the hype premium rebuild itself
[2015-04-09 08:17:47] BitMEX_Arthur : cause all the hype of 2013 has not come to pass, greater adoption yes but more people selling coins, china just speculates with bitcoin they don't use it to evade capital controls or wealth preservation
[2015-04-09 08:18:00] BitMEX_Arthur : if we had an ETF in the USA then my scenario is busted and we zoom higher
[2015-04-09 08:18:07] BitMEX_Arthur : but until that point we are going down down down
[2015-04-09 08:18:42] BitMEX_Arthur : or if some sovereign collapse leads people to use Bitcoin to evade capital controls in Europe
[2015-04-09 08:18:52] BitMEX_Arthur : but i think Europe muddles through for another year or two
[2015-04-09 08:19:08] gaoMex : I see. If you look at the hash rate, it is still going up but the rate of increase has been going down though. At times, it is relatively flat.
[2015-04-09 08:19:27] BitMEX_Arthur : unless u are a mega miner u can't make money mining
[2015-04-09 08:19:35] BitMEX_Arthur : but the mega miners are still making too much money
[2015-04-09 08:19:39] BitMEX_Arthur : in an economic sense
[2015-04-09 08:19:47] BitMEX_Arthur : for just turning some computers on and using electricity
[2015-04-09 08:20:47] gaoMex : I have a different perspective.
[2015-04-09 08:22:38] gaoMex : If you compare the charts from the last rally and Mar 2013, it is interesting to observe how similar they are
[2015-04-09 08:23:49] gaoMex : So assuming 166 is the lowest point, it may still be one year before we see the next rally.
[2015-04-09 08:24:10] gaoMex : Until then, the price will increase slowly but steadily.
[2015-04-09 08:24:24] BitMEX_Arthur : i agree not until 2016 do we start to see a sustained rally
[2015-04-09 08:24:30] BitMEX_Arthur : i doubt we go much above $300 this year
[2015-04-09 08:26:37] gaoMex : I do not understand one thing though.
[2015-04-09 08:26:54] gaoMex : Why is it that the rally is always a spike?
[2015-04-09 08:27:21] BitMEX_Arthur : greed
[2015-04-09 08:27:28] gaoMex : It is as if someone or everyone is rushing in to buy all they can at the same time.
[2015-04-09 08:27:31] BitMEX_Arthur : Bitcoin is still a collection of a bunch of gamblers
[2015-04-09 08:27:56] BitMEX_Arthur : u have to be a extreme risk taker to get involved in something that claims to upend modern finance
[2015-04-09 08:28:03] BitMEX_Arthur : given all the road blocks that are in its place
[2015-04-09 08:28:31] BitMEX_Arthur : the generation of people involved mostly missed the dot com bubble cause they were too young
[2015-04-09 08:28:46] BitMEX_Arthur : it's their chance to get in on another transformative tech boom
[2015-04-09 08:29:26] gaoMex : But greed is applicable to other things as well, stocks, commodities, and so on...
[2015-04-09 08:29:50] gaoMex : Yet, when these things rally, they don't spike like bitcoin.
[2015-04-09 08:30:26] gaoMex : Good example is China stock market right now
[2015-04-09 08:30:34] BitMEX_Arthur : China is different imo
[2015-04-09 08:30:42] BitMEX_Arthur : and they are just getting started
[2015-04-09 08:30:51] BitMEX_Arthur : market will be multiples of where it is now in 1-2 years
[2015-04-09 08:31:02] BitMEX_Arthur : as the PBOC reduces interest rates
[2015-04-09 08:31:11] BitMEX_Arthur : to export deflation outside of its boarders
[2015-04-09 08:31:21] BitMEX_Arthur : just as the US and EU have done for the past 6 years
[2015-04-09 08:32:13] BitMEX_Arthur : my friend was telling me that southbound quota for the stock connect was full for the first time
[2015-04-09 08:32:15] BitMEX_Arthur : i think yesterday
[2015-04-09 08:32:22] BitMEX_Arthur : HSCEI is ripping higher
[2015-04-09 08:32:47] gaoMex : Yes, it is going up by more than 3% now
[2015-04-09 08:33:07] gaoMex : arbitrage, the media says.
[2015-04-09 08:33:33] BitMEX_Arthur : i reckon a lot of these newly printed RMB will make their way back to HK & SG property
[2015-04-09 08:33:39] BitMEX_Arthur : SG property has gotten a lot cheaper lately
[2015-04-09 08:35:13] gaoMex : SG inter-bank rate has been rising since last Nov.
[2015-04-09 08:35:32] gaoMex : From 0.4% to now 1.02%
[2015-04-09 08:35:33] BitMEX_Arthur : interesting i though the MAS was trying to weaken the currency
[2015-04-09 08:35:44] BitMEX_Arthur : do most people have adjustable rate mortgages
[2015-04-09 08:35:51] BitMEX_Arthur : tied to SIBOR?
[2015-04-09 08:35:56] gaoMex : Yes.
[2015-04-09 08:36:03] BitMEX_Arthur : so must be some pain going around
[2015-04-09 08:36:29] BitMEX_Arthur : cause i imagine a lot of people took a lot of leverage on these condos
[2015-04-09 08:37:01] gaoMex : You are right. the middle class will suffer.
[2015-04-09 08:37:35] BitMEX_Arthur : when i go around orchard and somerset area at nigh 2/3 of the buildings have no lights on
[2015-04-09 08:37:40] BitMEX_Arthur : massive glut of luxury condos
[2015-04-09 08:39:10] gaoMex : Looks like SIBOR will continue rising, not a good time to borrow from SG banks right now. :)
[2015-04-09 08:39:45] BitMEX_Arthur : y is it rising, MAS wants to weaken the currency strange to let rates rise
[2015-04-09 08:41:38] gaoMex : well... officially, SIBOR is not set by MAS, SIBOR is set by the banks in SG. MAS control monetary policy by SGD exchange rate.
[2015-04-09 08:42:31] gaoMex : unofficially, maybe MAS sees things coming and they want to prepare themselves beforehand.
[2015-04-09 08:44:48] BitMEX_Arthur : yea
[2015-04-09 12:16:08] gaoMex : Any admin?
[2015-04-09 12:16:12] BitMEX_Arthur : hi
[2015-04-09 12:16:16] BitMEX_Arthur : how can i help
[2015-04-09 12:16:56] gaoMex : Just to confirm - If I anticipate BTC price to go up, I should buy quanto right?
[2015-04-09 12:17:40] BitMEX_Arthur : If the premium was 0 i would day definitely yes, but you have to take into account that you pay above spot and that premium decays over time until maturity
[2015-04-09 12:18:15] BitMEX_Arthur : so the longer it takes for the price to move upwards the more it has to move for you to make a profit
[2015-04-09 12:18:57] BitMEX_Arthur : if you look in the references section we have a `XBT Pricing` spreadsheet
[2015-04-09 12:19:04] BitMEX_Arthur : it should help with your decision making
[2015-04-09 12:19:09] gaoMex : Let me try to be more specific, between quanto and inverse, I should choose quanto right?
[2015-04-09 12:19:26] BitMEX_Arthur : if you are going long yes in a general sense you should go long quanto
[2015-04-09 12:20:17] gaoMex : roger. I will proceed with the assumption that 166 was the lowest point. :)
[2015-04-09 12:22:52] gaoMex : Sorry, I can't find the quanto contract for Jun.
[2015-04-09 12:23:06] BitMEX_Arthur : there isn't one
[2015-04-09 12:23:11] BitMEX_Arthur : only `XBTJ15`
[2015-04-09 12:23:43] gaoMex : Any reason why?
[2015-04-09 12:24:06] BitMEX_Arthur : we want to concentrate liquidity in one contract for XBT series
[2015-04-09 12:25:04] gaoMex : I see. Oh well... :)
[2015-04-09 12:25:54] gaoMex : It's ok if you are not comfortable to answer the next question...
[2015-04-09 12:26:36] gaoMex : Would you recommend a platform that offers 3 months quanto contract?
[2015-04-09 12:27:15] BitMEX_Arthur : As far as I know there is no other platform offering that long dated of a quanto contract
[2015-04-09 12:27:54] gaoMex : roger. thanks. :)
[2015-04-11 08:02:29] uiop : lol i wasnt tryin to steal bitmex nick, using nick to trigger a bot to echo bitmex referal shill link for botmaster, in attempt to contribute meaningfully to #bitcointraders spam run ... :)
[2015-04-11 08:18:44] BitMEX_Arthur : lol
[2015-04-12 14:10:28] rhk : BitMEX_Arthur: ditto from me - please can you offer longer dated quantos? one month quanto is pointless - should be at least quarterly.
[2015-04-13 17:57:16] alphabit : I would like longer dated quanto as well
[2015-04-14 00:20:06] BitMEX_Arthur : We hear you guys, we are having internal discussions now about brining back possibly `XBTM15`
[2015-04-14 04:50:08] joequant : FYI, I've come up with a magic formula to relate XBT and XBU future prices.
[2015-04-14 04:50:11] joequant : https://bitquant.wordpress.com/2015/04/14/magic-formula-for-xbt-and-xbu-futures/
[2015-04-14 04:50:16] joequant : Use at your own risk.
[2015-04-14 04:51:47] joequant : I'm going to pull in empirical data to see if the formula holds.
[2015-04-14 05:50:14] BitMEX_Arthur : Awesome I will check this out today
[2015-04-14 06:39:35] BitMEX_Arthur : joequant: so your XBU coefficient is the gamma
[2015-04-14 06:59:23] joequant : I think it works out that way.
[2015-04-14 06:59:47] BitMEX_Arthur : have you done any back testing?
[2015-04-14 07:52:39] joequant : Not yet. This is just me grinding through the equations.
[2015-04-14 07:53:00] BitMEX_Arthur : what does it give you for the current fair gamma/
[2015-04-14 07:54:29] joequant : Haven't calculated the greeks yet.
[2015-04-14 07:54:54] joequant : Remember that I'm a theorist. :-) I'm not used to handling real data.
[2015-04-14 07:55:01] joequant : Will do some backtesting.
[2015-04-14 07:55:16] BitMEX_Arthur : ur a TRADER now lol
[2015-04-14 07:58:36] joequant : Yup. I'm a trader. I'm not necessarily a *good* trader.
[2015-04-14 08:18:47] rhk : while we're in the spirit if sharing, I published an excel plugin. you can grab it here: https://github.com/stevechk/BitMexExcel/releases
[2015-04-14 08:19:20] rhk : you can grab the compiled .xll file directly from github
[2015-04-14 08:20:18] rhk : or build from source (c#) if you are into that kind of thing
[2015-04-14 09:02:15] rhk : supports live market data via RTD and download of instrument parameters. open a ticket on github if you have any issues
[2015-04-14 11:03:44] goat : I crushed it on that short yesterday :D
[2015-04-14 11:04:18] goat : i got in a 235.14 on that last little pump before the drop
[2015-04-14 11:04:27] goat : (on bfx, using bitmex to hedge)
[2015-04-14 11:04:54] goat : i only got in 1/3 of a position before it dropped, but still was great
[2015-04-14 11:31:50] BitMEX_Arthur : :)
[2015-04-14 22:54:17] BitMEX_Arthur : morning traders
[2015-04-14 23:40:21] goat : good morning :D
[2015-04-14 23:40:28] goat : not too many good shorting opportunities today :(
[2015-04-14 23:40:46] goat : im not comfortable switching up my strategy until these bfx longs are flushed out
[2015-04-14 23:43:31] BitMEX_Arthur : i think we are due for a nice share squeeze
[2015-04-14 23:46:05] goat : share = short?
[2015-04-14 23:46:10] goat : or long squeeze
[2015-04-14 23:55:05] BitMEX_Arthur : short
[2015-04-14 23:55:05] BitMEX_Arthur : sorry
[2015-04-15 00:26:32] gaoMex : goat: Are you the same goat in bitcointalk?
[2015-04-15 02:07:59] goat : gaoMex: no
[2015-04-15 05:29:51] germanjew : any updates on the potential cds/eds instruments?
[2015-04-15 05:30:17] BitMEX_Arthur : germanjew: In development, we will be making some improvements to `BVOL` first
[2015-04-15 05:30:29] BitMEX_Arthur : and possibly listing a DASH/XBT futures contract