This is a mirror of the original BitMEX trollbox archive that used to be online here.
BitMEX disabled their archive after the DDOS attack so I have decided to make my mirror publicly available.

Well now, a few days after I made this mirror available to the public, the original archive from BitMEX is online again.
But since it is still limited (neutered to the last few hundred messages) I will keep my FULL mirror alive.

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[2015-05-12 21:40:11] BitMEX_Sam : Perhaps it isn't clear, but just like with futures trading, you can sell even if you're not holding
[2015-05-12 21:40:25] krach : ah so quality 1 even if I dont have any , sell, would be short 1
[2015-05-12 21:40:35] chrisxbt : yup
[2015-05-12 21:40:38] krach : go tit
[2015-05-12 21:40:42] krach : it
[2015-05-13 00:48:34] BTCVIX : guys I have been shilling hard
[2015-05-13 00:48:37] BTCVIX : very tired
[2015-05-13 00:48:39] BTCVIX : lol
[2015-05-13 02:53:14] goat : BitMEX_Arthur: http://shitco.in/2015/05/13/where-have-all-the-traders-gone/
[2015-05-13 02:53:49] goat : i told you i was going to do somethign for bitmex too, something like that... probably link to some of your articles and put my referral link if thats cool
[2015-05-13 04:49:29] BitMEX_Wally : goat: We're very happy for people to share their referral links far and wide
[2015-05-13 04:49:35] BitMEX_Wally : So long as they're not spamming of course
[2015-05-13 04:50:07] goat : yeah, of course not
[2015-05-13 04:50:20] goat : it will be a while
[2015-05-13 04:50:53] goat : i have other content to put first, just eventually.
[2015-05-13 04:51:00] goat : ill run it by you guys first :D
[2015-05-13 05:49:58] aabtc : hola
[2015-05-13 05:50:07] BitMEX_Arthur : sup sup
[2015-05-13 05:50:17] aabtc : arthur you in hk?
[2015-05-13 05:50:22] BitMEX_Arthur : I just landed
[2015-05-13 05:50:27] aabtc : me too lol
[2015-05-13 05:50:34] BitMEX_Arthur : 16hr from nyc
[2015-05-13 05:50:37] BitMEX_Arthur : wasn't too bad
[2015-05-13 05:51:15] aabtc : 3 hours for me..
[2015-05-13 05:51:33] aabtc : lots of other ppl piling here later this afternoon i spose
[2015-05-13 05:51:50] BitMEX_Arthur : let's meet tomorrow at the conf
[2015-05-13 05:52:50] aabtc : yeah, sure sounds good
[2015-05-13 05:53:15] cengelandreasen : great moves on BVOL :)
[2015-05-13 05:54:14] BitMEX_Arthur : yeah it's doing well
[2015-05-13 05:54:18] BitMEX_Arthur : much more trader friendly
[2015-05-13 05:55:40] cengelandreasen : yea i'm warming up to it indeed
[2015-05-13 05:57:17] cengelandreasen : arthur, i really wish you would allow the trading/hedging fees to differ by contract rather than account. i keep forgetting to switch to my other account to do the trading :/
[2015-05-13 05:58:04] BitMEX_Arthur : note
[2015-05-13 05:58:11] BitMEX_Arthur : noted
[2015-05-13 05:58:28] cengelandreasen : although even with hedging fees one can reasonably profit on say the BVOL cont
[2015-05-13 05:59:06] cengelandreasen : 0.03% vs 0.005% (+0.015% insurance)
[2015-05-13 05:59:46] cengelandreasen : `so my thought is, although if the insurance is computed daily, for a daily contract, why not just default to trading fees
[2015-05-13 06:02:03] cengelandreasen : sorry for confusing english its morning here :D
[2015-05-13 06:02:28] BitMEX_Wally : cengelandreasen: For the daily contracts, the fees are 0.03% for everyone
[2015-05-13 06:02:43] BitMEX_Wally : The trader/hedger model only applies to the monthly contracts
[2015-05-13 06:02:43] cengelandreasen : ohh okay
[2015-05-13 06:03:03] cengelandreasen : okay! that does make sense, good :) i thought the 0.03% was hedging, and iw as able to get 0.015% if i was using trader
[2015-05-13 06:03:27] cengelandreasen : although yea still it would be helpful to set trader vs. hedging fees by monthly too
[2015-05-13 06:04:02] BitMEX_Wally : https://www.bitmex.com/app/fees
[2015-05-13 06:09:10] cengelandreasen : yea i see at the bottom now the Daily contracts
[2015-05-13 06:09:36] cengelandreasen : but even to trade the non-dailies would be nice to not have a separate account for diff fees
[2015-05-13 06:12:17] cengelandreasen : but as a separate thing, 7day or monthly would be great way to hedge long positions, like using VIX to protect spot positions in equities
[2015-05-13 06:12:46] cengelandreasen : especially for some like me i am hedging cold storage and to have different ways to do this, not just selling longer date futs, is beneficial
[2015-05-13 06:17:15] BTCVIX : arthur the only man to meet aabtc and vix lol
[2015-05-13 06:17:28] BTCVIX : I shill with style
[2015-05-13 06:17:37] BTCVIX : learned most of my shilling skillz from aabtc
[2015-05-13 06:20:05] aabtc : winning hearts and minds since 09
[2015-05-13 06:22:41] BTCVIX : aabtc have you checked out the new BVOL product
[2015-05-13 06:23:03] aabtc : there's a new product?
[2015-05-13 06:23:20] aabtc : been lost in shitcoin land for weeks, just started getting back into btc a few days ago
[2015-05-13 06:23:31] BTCVIX : yeah I hear ya
[2015-05-13 06:27:00] BitMEX_Arthur : aabtc: yeah new volatility product
[2015-05-13 06:27:03] BitMEX_Arthur : tracks daily vol on bfx
[2015-05-13 06:32:58] aabtc : ooh
[2015-05-13 06:33:44] aabtc : and this settles every day?
[2015-05-13 06:34:41] chrisxbt : yup
[2015-05-13 06:34:51] aabtc : the link in line "Capped This instrument is capped." on page https://www.bitmex.com/app/contract/BVOL24H is borked btw
[2015-05-13 06:35:15] aabtc : links to localhost instead of bitmex.com lol
[2015-05-13 06:35:46] chrisxbt : wow capped at 1.76 for 5 hours
[2015-05-13 06:36:00] BitMEX_Arthur : that is not how it works
[2015-05-13 06:36:08] BitMEX_Arthur : there is limit up and down
[2015-05-13 06:36:12] BitMEX_Arthur : that's for the 8 hour session
[2015-05-13 06:36:26] BitMEX_Arthur : the capping only comes into place when a trader goes bankrupt on a contract
[2015-05-13 06:37:00] chrisxbt : yeah interesting limit up for this session
[2015-05-13 06:37:19] BitMEX_Arthur : right now only `BVOL24H` has this capping logic
[2015-05-13 06:37:22] chrisxbt : so what does cap mean?
[2015-05-13 06:37:29] BitMEX_Arthur : say there are two traders
[2015-05-13 06:37:32] BitMEX_Arthur : long and short
[2015-05-13 06:37:40] BitMEX_Arthur : price spikes
[2015-05-13 06:37:48] BitMEX_Arthur : the short goes bankrupt at $300
[2015-05-13 06:38:04] BitMEX_Arthur : that becomes the highest the price can go, regardless of where spot settles
[2015-05-13 06:38:32] BitMEX_Arthur : and that price gets moved if A. the short funds more Bitcoin into his margin account raising the bankruptcy price, or B. another trader comes and goes short at the bankruptcy price
[2015-05-13 06:38:58] chrisxbt : your link is broken on the capp, http://localhost:2001/app/exchangeGuide#speculative-contract
[2015-05-13 06:39:04] BitMEX_Wally : chrisxbt: Got it
[2015-05-13 06:39:27] BitMEX_Arthur : chrisxbt: does that make sense?
[2015-05-13 06:40:35] chrisxbt : I understand how it works
[2015-05-13 06:40:46] chrisxbt : how would if affect settlement price?
[2015-05-13 06:41:01] BitMEX_Arthur : if bankruptcy price is $300 and settlement price is $301
[2015-05-13 06:41:06] BitMEX_Arthur : the contract settles at $300
[2015-05-13 06:41:15] BitMEX_Arthur : the $1 difference is not covered by BitMEX
[2015-05-13 06:42:06] chrisxbt : but say the bankruptsy is 10 contracts but there is 200 open interest
[2015-05-13 06:42:56] aabtc : so even if spot goes up to 700 in one swoop its capped at 300?
[2015-05-13 06:44:00] chrisxbt : see one problem is that you there is some game theory at play
[2015-05-13 06:44:14] BitMEX_Arthur : correct, it's meant to be a more transparent way of dealing with speculative contracts
[2015-05-13 06:44:38] chrisxbt : Someone who is long a lot of contracts would be better off clearing the bankruptcy so that they get a better settlement price
[2015-05-13 06:45:26] chrisxbt : But why shouldn't you just socialize the loss among all winners? And socializing the loss will end up with the winners making more money then a capped product.
[2015-05-13 06:45:41] BitMEX_Arthur : because socialising a loss is not transparent
[2015-05-13 06:45:56] BitMEX_Arthur : and you don't know ur socialised loss a priori, you trade and then at the end get a number
[2015-05-13 06:46:12] BitMEX_Arthur : and have to accept it, if the contract is at the cap, you can decide not to trade
[2015-05-13 06:47:07] BitMEX_Arthur : and if you hold contracts that have been capped, you can trade out at the cap and your hedge (if you have one) at the same time which is better risk management
[2015-05-13 06:48:08] cengelandreasen : i prefer this to socialized loss system.
[2015-05-13 06:48:10] BitMEX_Wally : Also, the liquidation order for the bankrupt trader will be in the book, so if the longs want the cap raised they can him liquidate
[2015-05-13 06:48:17] aabtc : yeah i agree, theres something really wrong with how popular socializing losses are in btc futures
[2015-05-13 06:48:26] aabtc : false hedging pure casino
[2015-05-13 06:48:43] cengelandreasen : i dont think it's something "wrong", but it is nice to have alternative method like this, it makes BitMex add value
[2015-05-13 06:49:19] aabtc : well socializing losses makes hedging moot
[2015-05-13 06:49:24] chrisxbt : okay my problem is that it affects the settlement price and forces winners to close on it.
[2015-05-13 06:49:45] BitMEX_Arthur : but u know beforehand if you have been capped, and can trade accordinly
[2015-05-13 06:50:00] BitMEX_Arthur : and we will only be applying this method to purely speculative products
[2015-05-13 06:50:15] BitMEX_Arthur : the `XBU` chain is a hedging product and we will continue to centrally clear that
[2015-05-13 06:50:16] BitMEX_Arthur : with no caps
[2015-05-13 06:50:38] chrisxbt : yeah, you're new to utilizing caps
[2015-05-13 06:50:41] cengelandreasen : yes its fair and reasonable
[2015-05-13 06:51:26] BitMEX_Arthur : we want to give you guys more fun stuff to trade, but need to CYA
[2015-05-13 06:52:06] chrisxbt : What I'm saying is that the cap will result in less profit then a socialized loss system
[2015-05-13 06:52:15] cengelandreasen : enjoy the conference
[2015-05-13 06:52:25] BitMEX_Arthur : chrisxbt: y do you say that?
[2015-05-13 06:52:54] chrisxbt : Say its 5 minutes before closing
[2015-05-13 06:53:44] chrisxbt : The settlement should be around 3.00 but there's currently a cap at 2
[2015-05-13 06:54:31] chrisxbt : The cap is worth 10 contracts but there is currently 100 contracts currently long
[2015-05-13 06:55:01] BitMEX_Wally : chrisxbt: I understand what you're saying
[2015-05-13 06:55:51] chrisxbt : If it was a socialized system, each person would close 10% of their contracts on the margin call
[2015-05-13 06:56:07] chrisxbt : but its not, someone will need to take one for the team
[2015-05-13 06:56:16] BitMEX_Wally : chrisxbt: 90 shorts to pay the profits of 100 longs
[2015-05-13 06:56:27] BitMEX_Wally : Effectively the shorts and longs would settle at a different price
[2015-05-13 06:56:33] BitMEX_Wally : Which would seem unfair
[2015-05-13 06:57:00] BitMEX_Wally : The shorts would settle at 3 and the longs would settle at 2.9 (say)
[2015-05-13 06:58:23] chrisxbt : so that's how it works? I thought the cap means it settles at 2
[2015-05-13 06:58:41] BitMEX_Wally : At the moment the cap settles at 2, I was thinking about a socialised system
[2015-05-13 06:59:30] BitMEX_Wally : With proper transparency it could work
[2015-05-13 06:59:35] aabtc : is there a way to guage what the bvol is currently, ie not market price, but what the current calculation is?
[2015-05-13 06:59:59] aabtc : or would i have to spreadsheet to figure out around where it should be
[2015-05-13 07:00:00] BitMEX_Wally : aabtc: There is an indicativeSettlePrice on the instrument
[2015-05-13 07:00:10] cengelandreasen : https://www.tradingview.com/script/m5Fr038k-Pip-Foundry-BitMEX-BVOL24H-Index/
[2015-05-13 07:00:16] cengelandreasen : is also someting you can use to track it, aabtc
[2015-05-13 07:00:20] BitMEX_Wally : Expand the instrument table using the `>>` button
[2015-05-13 07:00:25] BitMEX_Wally : Scroll far right
[2015-05-13 07:00:44] BitMEX_Wally : The Indicative Settle Price for `.BVOL24H` is currently 1.35%
[2015-05-13 07:02:34] BitMEX_Wally : You can calculate it yourself using the raw 5 minutely snaps of course: https://www.bitmex.com/app/index/.XBT_5M
[2015-05-13 07:02:36] cengelandreasen : Wally, maybe instead of hiding it there to put it in orderbook or order controls panel
[2015-05-13 07:02:52] aabtc : expand what instrument table?
[2015-05-13 07:02:57] cengelandreasen : but actually it's fine as is really
[2015-05-13 07:03:02] aabtc : oh nvm i see it
[2015-05-13 07:03:04] cengelandreasen : i think its okay
[2015-05-13 07:03:32] aabtc : you guys should freeze the first column for that table, excel style
[2015-05-13 07:04:05] BitMEX_Arthur : aabtc: good point
[2015-05-13 07:10:00] chrisxbt : Is there an error with my script, it says it should be around 1.4 and settlement would've been 2.32 yesterday?
[2015-05-13 07:13:59] BitMEX_Wally : Make sure you're using the 288 snaps between 12:00 UTC and 12:00 UTC
[2015-05-13 07:16:25] BitMEX_Wally : First price 241.15 last price 241f
[2015-05-13 07:22:05] chrisxbt : so if you look at vix's graph
[2015-05-13 07:22:06] chrisxbt : https://www.tradingview.com/chart/idDmeWfv/
[2015-05-13 07:22:53] chrisxbt : 12:00 UTC is 7:00 on that chart
[2015-05-13 07:23:52] chrisxbt : 7:00 on that chart is 2.32 , 7:40 is 2.2
[2015-05-13 07:26:11] aabtc : vix you shorting r1?
[2015-05-13 07:39:31] BTCVIX : I am trying to not look at btc -- feels like I am going to get sucked into chop
[2015-05-13 07:39:54] BitMEX_Wally : ```Test```
[2015-05-13 07:40:02] BitMEX_Wally : ``` timestamp symbol side size price trdMatchID logged --------------------------------------------------------------------------------------------- 2015.05.12D11:59:58.000000000 BTCUSD Buy 5 241 6899569 2015.05.12D12:00:10.053587000 ```
[2015-05-13 07:40:14] BitMEX_Wally : That is the raw Bitfinex data just before 12:00 UTC
[2015-05-13 07:40:20] BitMEX_Wally : Last traded price was 241
[2015-05-13 07:43:47] BitMEX_Wally : In prod, we only publish `.BVOL24H` every day 12:00
[2015-05-13 07:44:04] BitMEX_Wally : So I'm not sure where VIX's data comes from
[2015-05-13 07:44:23] BitMEX_Wally : If that's a chart of indicative settlement price, then it would be over different time horizons
[2015-05-13 07:46:49] BitMEX_Wally : For example, it is currently 07:46 UTC
[2015-05-13 07:47:09] BitMEX_Wally : So if we published a .BVOL24H calculation right now, it would be from 07:46 yesterday to 07:46 today
[2015-05-13 07:47:22] BitMEX_Wally : If we published an indicative settlement price for BVOL24H it would be from 12:00 yesterday to 07:46 today
[2015-05-13 07:47:29] chrisxbt : Well its based on the last 288 sample, so for setttlement I checked the sample at 12:00 UTC (7:00 on that chart)
[2015-05-13 07:47:53] chrisxbt : got it wally
[2015-05-13 07:49:18] chrisxbt : so what is it at right now? The one I have based on the last 237 is 1.40
[2015-05-13 07:49:56] BitMEX_Wally : Right now it would be 1.31
[2015-05-13 07:50:06] BitMEX_Wally : (.BVOL24H)
[2015-05-13 07:51:43] chrisxbt : well something is wrong with TV data then
[2015-05-13 07:52:42] BitMEX_Wally : When you say 237 is that a price or a number of samples?
[2015-05-13 07:53:06] BitMEX_Wally : Based on the last 289 samples I get 2.2%
[2015-05-13 07:53:18] BitMEX_Wally : (for yesterday)
[2015-05-13 07:55:05] aabtc : so im confused about the cap thing
[2015-05-13 07:55:19] aabtc : does this mean that any move beyond margin call is null/capped?
[2015-05-13 07:57:15] chrisxbt : maybe its using the wrong stdev?
[2015-05-13 07:57:24] chrisxbt : not sample
[2015-05-13 08:01:39] chrisxbt : no that's not the problem
[2015-05-13 08:04:27] BitMEX_Wally : Possibly
[2015-05-13 08:04:36] BitMEX_Wally : But that wouldn't account for the difference
[2015-05-13 08:07:57] BitMEX_Wally : aabtc: You can still get margin called and liquidated, but the cap means the contract cannot trade past your bankruptcy price
[2015-05-13 08:08:57] aabtc : so setting orders on both sides of the book at where the minimum margin call would trigger is like risk free profit/breakeven?
[2015-05-13 08:12:47] BitMEX_Wally : I'm not sure I follow
[2015-05-13 08:13:02] BitMEX_Wally : Everything on BitMEX is 'risk free' in so far as you can't lose more than the margin you put in
[2015-05-13 08:13:08] chrisxbt : I don't think you can front run the margin call
[2015-05-13 08:13:10] BitMEX_Wally : We don't come after you and sue you for your house
[2015-05-13 08:13:54] BitMEX_Wally : We want people to post limit orders around those points
[2015-05-13 08:14:00] BitMEX_Wally : It would help liquidate people and keep the cap wide
[2015-05-13 08:14:12] aabtc : ah, because it would be risk free for them right?
[2015-05-13 08:14:18] aabtc : they either breakeven or profit if it retraces
[2015-05-13 08:14:25] BitMEX_Wally : If you call losing 100% of your equity risk free...
[2015-05-13 08:15:15] chrisxbt : aabtc the cap can get removed
[2015-05-13 08:15:16] BitMEX_Wally : If it doesn't retrace, and you haven't hedged the future position, then it could keep moving against you
[2015-05-13 08:15:23] BitMEX_Wally : And then you lose
[2015-05-13 08:15:33] aabtc : what conditions gets the cap removed?
[2015-05-13 08:15:44] BitMEX_Wally : If a trader is liquidated
[2015-05-13 08:15:59] BitMEX_Wally : Then they no-long have a bankrupt price
[2015-05-13 08:16:02] aabtc : oh, if his liquidation is filled then it resumes?
[2015-05-13 08:16:03] BitMEX_Wally : So the cap will widen
[2015-05-13 08:18:08] BitMEX_Wally : chrisxbt: That trading view link you sent me isn't showing the BVOL24H index anymore
[2015-05-13 08:19:17] chrisxbt : well here's mine, https://www.tradingview.com/chart/XNOTqYLe/#
[2015-05-13 08:20:22] chrisxbt : red line is the BVOL24 index
[2015-05-13 08:21:08] chrisxbt : tv doesn't let you do an indicator with a series for stdev
[2015-05-13 08:21:19] chrisxbt : (series for length)
[2015-05-13 08:24:21] BitMEX_Arthur : the prob with using TV is that you need to start at 12:00 UTC every tday
[2015-05-13 08:24:22] BitMEX_Arthur : day
[2015-05-13 08:24:28] BitMEX_Arthur : and take the last 289 snaps from there
[2015-05-13 08:25:33] chrisxbt : Well the red line always takes the last 289 snaps from every point
[2015-05-13 08:25:43] BitMEX_Arthur : which is wrong
[2015-05-13 08:25:57] BitMEX_Arthur : there are only 289 snaps from 12:00 UTC until settlement
[2015-05-13 08:26:09] BitMEX_Arthur : that's a rolling daily vol number
[2015-05-13 08:26:26] BitMEX_Arthur : but `BVOL24H` only takes 289 snaps from 12:00 UTC to 12:00 UTC
[2015-05-13 08:26:33] BitMEX_Arthur : T+0 - T+1
[2015-05-13 08:26:43] BitMEX_Arthur : we are working on better charting
[2015-05-13 08:26:47] BitMEX_Arthur : so you can see an indicative price
[2015-05-13 08:27:46] chrisxbt : yeah it doesn't give a rolling number, but its supposed to have the correct number at 12:00 UTC
[2015-05-13 08:28:08] BitMEX_Arthur : which TV chart are you referring to, can you share again
[2015-05-13 08:28:24] chrisxbt : https://www.tradingview.com/chart/XNOTqYLe/#
[2015-05-13 08:28:37] chrisxbt : time is set -4 UTC
[2015-05-13 08:29:23] chrisxbt : yeah I know today's BVOL is not always 289 snaps, only at settlement, but TV only lets you chart using integer snaps
[2015-05-13 08:29:23] BitMEX_Wally : Yeah, I see it has 2.3
[2015-05-13 08:30:58] cengelandreasen : i have a feeling market maker will be better to anchor around fair value now though ;)
[2015-05-13 08:32:50] chrisxbt : yeah the value is slightly off which is bad for making decisions off of
[2015-05-13 08:33:38] chrisxbt : but the other settlements have no deviation
[2015-05-13 08:34:16] BitMEX_Wally : The best thing to do is look at the Indicative Settlement Price on the `BVOL24H` future
[2015-05-13 08:34:38] BitMEX_Wally : That is calculated from 12:00 to current
[2015-05-13 08:34:50] chrisxbt : oh you have that published now?
[2015-05-13 08:34:53] BitMEX_Wally : i.e. 247 samples, giving 1.36% at the moment
[2015-05-13 08:35:01] BitMEX_Wally : Look at the Instrument Table
[2015-05-13 08:35:05] BitMEX_Wally : Use the `>>` to expand it
[2015-05-13 08:35:09] BitMEX_Wally : Scroll to the right...
[2015-05-13 08:37:37] chrisxbt : where is the button?
[2015-05-13 08:37:52] BitMEX_Wally : Left hand side of the table
[2015-05-13 08:38:13] chrisxbt : which table
[2015-05-13 08:38:18] BitMEX_Wally : The Instruments table
[2015-05-13 08:38:23] BitMEX_Arthur : all the way at the bottom
[2015-05-13 08:38:47] chrisxbt : wow that is really hidden
[2015-05-13 08:39:01] BitMEX_Wally : There's a whole load of data there
[2015-05-13 08:39:02] BitMEX_Arthur : chrisxbt: We know we are working on displaying this info better
[2015-05-13 08:43:55] chrisxbt : 2.32. 2.13 1.94 4.16 2.47 2.7 1.84 2.73
[2015-05-13 08:44:16] BitMEX_Arthur : what's that
[2015-05-13 08:44:21] chrisxbt : past 7 settlements using tv script
[2015-05-13 08:44:26] chrisxbt : 8
[2015-05-13 08:45:26] chrisxbt : so some are more off than others
[2015-05-13 08:45:32] chrisxbt : anyways I'll use your estimate
[2015-05-13 08:45:34] BitMEX_Arthur : yeah
[2015-05-13 08:46:19] BitMEX_Arthur : chrisxbt: after the hk conference is over i'm going to do some stats work on a model to attempt to market make this thing and i'll release it
[2015-05-13 08:46:53] cengelandreasen : the sample distribution is pretty uninteresting, it becomes, like someone mentioned earlier, more like binary options
[2015-05-13 08:47:15] BitMEX_Arthur : yeah
[2015-05-13 08:49:12] chrisxbt : yeah I mentioned that, risk vs reward, odds
[2015-05-13 08:49:15] cengelandreasen : but even without major deviations from fair value it should be an interesting contract to play
[2015-05-13 08:49:44] chrisxbt : what do you mean by fair value?
[2015-05-13 08:50:06] cengelandreasen : the indicative price
[2015-05-13 08:50:39] cengelandreasen : like earlier when it was 1.2-1.3, but bids were up all the way to 3
[2015-05-13 08:50:45] chrisxbt : Well during a flat market, there's usually going to be a time based premium on indicative price, that is fair value
[2015-05-13 08:51:12] cengelandreasen : yes depending how far from settlement
[2015-05-13 08:51:26] chrisxbt : chance of it going down vs going up
[2015-05-13 08:53:35] cengelandreasen : yea but then the question is how good past volatility predicts current. btc tends to have serious volatility clustering features, more than normal instruments
[2015-05-13 08:54:07] cengelandreasen : so when it rains it pours and when it sleeps it snores
[2015-05-13 08:54:08] BitMEX_Arthur : yeah i think XBT has volatility phases
[2015-05-13 08:54:18] BitMEX_Arthur : we are in major snorefest right now
[2015-05-13 08:54:48] cengelandreasen : can (and will) change fast though
[2015-05-13 08:55:41] cengelandreasen : past couple weekends have been relatively exciting, might be worth picking up cheap BVOL contracts on sat/sun if it repeats
[2015-05-13 08:56:12] chrisxbt : 2.2 - 4 in two hours
[2015-05-13 09:09:37] chrisxbt : anyways, yeah we're in a major snorefest
[2015-05-13 12:38:42] cengelandreasen : yep, has to end sometime though
[2015-05-13 14:53:27] cengelandreasen : got bids on BVOL well above indicative !
[2015-05-13 15:15:20] BitMEX_Sam : Working on getting that indicative price somewhere easier to reference
[2015-05-13 17:03:05] chrisxbt : So is there any limit up problems?
[2015-05-13 17:03:29] chrisxbt : Is there a limit up barrier?
[2015-05-13 17:03:37] BitMEX_Arthur : what do you mean
[2015-05-13 17:03:54] chrisxbt : for BVOL24H it says 1.89
[2015-05-13 19:27:52] BitMEX_Sam : FYI indicative settlement changes coming to BitMEX soon. It is live on testnet, if you want an easy way to reference it please go to https://testnet.bitmex.com/app/trade and select BVOL24H.
[2015-05-13 19:29:42] BitMEX_Sam : The changes are all aesthetic, no rule changes to how any of the contracts work.
[2015-05-13 19:38:31] cengelandreasen : which panel is the indicative price shown on
[2015-05-13 19:38:53] BitMEX_Sam : On testnet it's shown on the instrument status panel on the top right
[2015-05-13 19:38:58] BitMEX_Sam : The one that shows the instrument's symbol in big letters
[2015-05-13 19:39:11] cengelandreasen : ah okay i see now, under the bid/offer
[2015-05-13 19:40:21] cengelandreasen : yea thats cool
[2015-05-13 21:21:28] chrisxbt : still there?
[2015-05-13 21:22:18] chrisxbt : cool see it
[2015-05-13 21:30:13] cengelandreasen : btc has been sooo flattt
[2015-05-13 21:33:13] cengelandreasen : but too early for me to wanna fill any bids at this level
[2015-05-13 22:09:38] cengelandreasen : finally some action, nice little dump
[2015-05-13 22:31:24] chrisxbt : yup nice volatility
[2015-05-13 23:24:10] BitMEX_Sam : Wow. Some news, or just typical market skittishness?
[2015-05-13 23:56:30] chrisxbt : Interested to see what happens when the next session opens
[2015-05-14 00:04:24] aabtc : jesus shouldve longed bvol
[2015-05-14 00:06:14] BitMEX_Arthur : it's going to drift back
[2015-05-14 00:17:21] chrisxbt : how is limit up calculated?
[2015-05-14 00:18:18] BitMEX_Sam : It's 40% up/down from last session close
[2015-05-14 00:18:34] BitMEX_Sam : We're working on loosening it, BVOL24H is a new type of product for us so it requires new rules
[2015-05-14 00:21:45] chrisxbt : or you could shorten sessions
[2015-05-14 00:22:47] chrisxbt : its understandable that you don't want manipulation
[2015-05-14 00:23:12] aabtc : yeah bvol should have its own bvol lol... didn't realize it could double or halve so easily
[2015-05-14 00:23:31] BitMEX_Arthur : that's the beauty of it
[2015-05-14 00:24:10] aabtc : volception
[2015-05-14 00:25:22] chrisxbt : That's like VIX options
[2015-05-14 00:25:36] chrisxbt : Implied Volatility of Volatility
[2015-05-14 00:27:15] chrisxbt : Yeah next session limit up will be 3.70
[2015-05-14 00:37:38] aabtc : yeah i have to tinker with it a bit before promoting its profitmaking virtues to everyone
[2015-05-14 00:37:44] aabtc : been really distracted and busy lately
[2015-05-14 00:38:38] aabtc : anyone got a spreadsheet or something set up? if this drop totally retraces whats the ballpark for bvol24?
[2015-05-14 00:41:48] BitMEX_Arthur : the direction isn't important but how fast or slow
[2015-05-14 00:41:55] BitMEX_Arthur : the price moves up or down
[2015-05-14 00:42:22] BitMEX_Arthur : so if u think it will be snorefest for the next few hours then BVOL should fall
[2015-05-14 00:46:00] aabtc : basically an identical counter move back up
[2015-05-14 00:56:59] chrisxbt : volatility will actually increase if we go back up
[2015-05-14 00:57:36] chrisxbt : If it only goes up in a perfectly straight line , volatility would be 0
[2015-05-14 01:06:19] BitMEX_Arthur : not necessarily it depends on how fast we go up
[2015-05-14 01:07:49] chrisxbt : Oh what I meant is that 24 hour rolling volatility would increase
[2015-05-14 01:07:55] chrisxbt : if we went up
[2015-05-14 01:12:43] BitMEX_Arthur : We have amended limits for `BVOL24H`
[2015-05-14 01:14:38] chrisxbt : and my other point is that if we went up 5% every 5 minutes volatility is zero
[2015-05-14 01:15:43] chrisxbt : how does it work now?
[2015-05-14 01:21:52] chrisxbt : BitMEX_Arthur: what's the limit now
[2015-05-14 01:22:07] BitMEX_Arthur : limit up / down 5.67% / 1.25%
[2015-05-14 01:22:12] chrisxbt : i mean how does the limit work
[2015-05-14 01:22:26] BitMEX_Arthur : that is the session limit up / down
[2015-05-14 01:22:36] chrisxbt : how is it calculated
[2015-05-14 01:23:00] BitMEX_Arthur : Close price of the previous 8 hours session
[2015-05-14 01:24:00] BitMEX_Arthur : multiplied by the limit up / down percentage
[2015-05-14 01:29:22] BombaUcigasa : thanks again for the chat @BitMEX_Arthur
[2015-05-14 01:29:41] BitMEX_Arthur : Happy to have you on board
[2015-05-14 01:29:49] BombaUcigasa : do you happen to have a link for the tradingview volatility pine script?
[2015-05-14 01:30:07] BombaUcigasa : mine says ~3.0 now
[2015-05-14 01:33:40] chrisxbt : The pinescript can be up to ± 0.1%
[2015-05-14 01:37:48] BitMEX_Sam : The pinescript is inaccurate sometimes. Use the indicativeSettlePrice in the instruments table
[2015-05-14 01:37:57] BitMEX_Sam : It's also published in the widget on https://testnet.bitmex.com/app/trade
[2015-05-14 01:38:04] BitMEX_Sam : That will make it to production in a day or so after further testing
[2015-05-14 01:38:24] BitMEX_Sam : You'll see it in the instrument details widget on the top left. BVOL24H indicative settlement price is the same here and on testnet
[2015-05-14 01:49:01] BombaUcigasa : Ok, found it, I'll keep an eye on it
[2015-05-14 02:34:06] chrisxbt : Interesting that you decided to uncap BVOL.
[2015-05-14 02:34:50] BitMEX_Sam : chrisxbt: That's a display bug, deploying a fix for it shortly
[2015-05-14 02:49:48] BitMEX_Sam : Okay, you should see it properly capped now
[2015-05-14 04:37:09] cengelandreasen : ack, cant find that snap .XBT_5M series, anyone know where it is ?
[2015-05-14 04:37:47] cengelandreasen : and does the indicative settlement price calculate only based on price action from the day or rolled from previous day ?
[2015-05-14 04:38:19] cengelandreasen : https://www.bitmex.com/app/index/.XBT_5M
[2015-05-14 04:38:22] cengelandreasen : found it, was under indices
[2015-05-14 04:38:29] BitMEX_Arthur : :)
[2015-05-14 04:39:05] cengelandreasen : theres a pretty big deviation from the pinescript in TV so im going to just compute differnetly
[2015-05-14 04:40:33] cengelandreasen : so, do i take the past 288 observations, or only the observations from the day cutoff, to get the indicative settle price at any one point ?
[2015-05-14 04:40:54] BitMEX_Arthur : take from 20:00
[2015-05-14 04:41:00] BitMEX_Arthur : i mean 12:00 GMT day previous
[2015-05-14 04:41:19] BitMEX_Arthur : you will see it in your server time zone when you look at the index prices
[2015-05-14 04:42:15] cengelandreasen : and then just adjust the sqrt(numobs) to reflect obs < 288
[2015-05-14 04:42:54] cengelandreasen : or am i failing stats 101
[2015-05-14 04:43:06] BitMEX_Arthur : i would just use sort(288)
[2015-05-14 04:43:11] BitMEX_Arthur : sqrt
[2015-05-14 04:47:03] BitMEX_Wally : Correct
[2015-05-14 04:47:20] BitMEX_Wally : sqrt[288] is to turn a 5 minutely sample into a daily vol
[2015-05-14 04:47:58] cengelandreasen : oky so even with only 2 snapped prices you use this to dailyize (?)
[2015-05-14 04:48:16] BitMEX_Wally : Actually, I wait until 6 hour have passed
[2015-05-14 04:48:33] BitMEX_Wally : Between 0-6 hours I just use .BVOL24H for the indicative settle price
[2015-05-14 04:48:42] BitMEX_Wally : Then between 6-24 hours I use the calculation from 12:00
[2015-05-14 04:48:55] BitMEX_Wally : So there's always minimum of 72 samples
[2015-05-14 04:49:23] BitMEX_Wally : Right now, from 12:00 UTC to now there are 202 samples, and I calculate an indicative settle price of 3.43
[2015-05-14 04:49:39] cengelandreasen : yea
[2015-05-14 04:50:11] cengelandreasen : this is probably the most interesting session to trade BVOL, because it's a play on whether things stay calm or more explosive movements
[2015-05-14 04:50:19] cengelandreasen : nobody wants to fill bids in the first session
[2015-05-14 04:51:12] BitMEX_Arthur : the first 8 hours are usually sparsely traded
[2015-05-14 04:52:34] cengelandreasen : i mean im willing to put bids above indicative but if nobody is biting at 1.6, 1.7, cant push it when we have been so quiet past weeks
[2015-05-14 04:53:10] cengelandreasen : but historically those are really low so i dont blame anyone for not wanting to fill
[2015-05-14 04:53:20] cengelandreasen : low probability i mean
[2015-05-14 04:53:36] BitMEX_Arthur : the trend is your friend until it aint
[2015-05-14 04:53:50] Swedishnut : Anyone else positive about the BTC price in the near future?
[2015-05-14 04:54:56] BitMEX_Arthur : i"m on record saying sub $200 in 2Q
[2015-05-14 04:55:49] cengelandreasen : swedishnut, i am always positive because i'm always net long
[2015-05-14 04:56:06] cengelandreasen : but that doens't mean i leave my cold storage naked
[2015-05-14 04:56:49] Swedishnut : agreed. What are your thoughts on the BVOL24H?
[2015-05-14 04:57:05] cengelandreasen : Arthur you mentioned before doing some more spreadsheets, were you also going to do something for BVOL?
[2015-05-14 04:57:26] BitMEX_Arthur : Yes I will put an excel sheet out soon
[2015-05-14 04:57:27] cengelandreasen : swedishnut, i think we will be quiet going into the day, sold some contracts in upper 3's
[2015-05-14 04:58:02] cengelandreasen : maybe we settle in the low 3's
[2015-05-14 04:58:26] Swedishnut : quiet? I am new to this platform. I bought some just to understand it at 10 for 3.10 what is the possible outcome?
[2015-05-14 04:58:52] Swedishnut : Background. I mine and have holdings
[2015-05-14 04:59:04] BitMEX_Arthur : it's a volatility contract, if the price doesn't move the price of `BVOL24H` drops
[2015-05-14 04:59:05] cengelandreasen : well quiet meaning not a lot price action, meaning lower BVOL
[2015-05-14 04:59:30] cengelandreasen : but i'm just speculating of course, $10 dump incoming 1 hour for all i know
[2015-05-14 04:59:55] Swedishnut : gotcha. Ty. So if it is greater in average for 24 than the bvol then it ____ up or down?
[2015-05-14 05:00:36] cengelandreasen : it computes the distribution based on log price differences between 5Min, and uses the stdev as volatility there
[2015-05-14 05:01:20] cengelandreasen : but i recommend running like mini simulations with different price drop scenarios so you can see how the BVOL reacts and has a sort of persistent bump for the day when theres a fat move
[2015-05-14 05:02:21] Swedishnut : cengelandreasen: I'll do more simulations here shortly ty for the recommendations
[2015-05-14 05:03:01] cengelandreasen : i should say not just price drop but any price action
[2015-05-14 05:03:15] BitMEX_Arthur : it's about price change not about direction as you said
[2015-05-14 05:03:15] cengelandreasen : swedishnut, are you familiar with how equity traders use VIX?
[2015-05-14 05:04:26] cengelandreasen : cant really use it as a hedge like they do on 24Hr so it's different from this
[2015-05-14 05:11:27] cengelandreasen : like if there was weeklies i can envision going long, say, XBTK15, and then long BVOL7days for protection in case of dump
[2015-05-14 05:11:45] cengelandreasen : and if it pumps you get added benefit too
[2015-05-14 05:11:58] cengelandreasen : because BTC loves to make it inexplicable random $10 jumps
[2015-05-14 05:15:37] cengelandreasen : so how did the conference go today Arthur ?
[2015-05-14 05:15:44] BitMEX_Arthur : I'm there now
[2015-05-14 05:15:47] chrisxbt : its about standard deviation of the price changes
[2015-05-14 05:15:58] BitMEX_Arthur : it's ok, lots of the same faces
[2015-05-14 05:16:30] cengelandreasen : i heard you met or were on the same panel as Reggie Middleton, do you have any thoughts about his product? (maybe you dont want to speak about it publicly)
[2015-05-14 05:17:26] BitMEX_Arthur : The problem with smart contracts are they are too bespoke
[2015-05-14 05:17:35] BitMEX_Arthur : so they will lack liquidity that a centralised platform like ours will bring
[2015-05-14 05:18:17] chrisxbt : A lot of contracts were open recently
[2015-05-14 05:18:36] cengelandreasen : on ultracoin?
[2015-05-14 05:18:37] BitMEX_Arthur : i haven't really taken a deep look through Reggie's platform
[2015-05-14 05:18:44] BitMEX_Arthur : so i can't speak that specifically
[2015-05-14 05:18:57] cengelandreasen : it seems to have some aspects of centralization anyway too, with how it gets price feeds to settle them p2p
[2015-05-14 05:19:00] chrisxbt : Yeah, the good thing about his platform is it allows settlement between two parties
[2015-05-14 05:19:16] cengelandreasen : but the settlement is determined centrally through some price feed which could be corrupted, right?
[2015-05-14 05:19:20] chrisxbt : It's called veritaseum now
[2015-05-14 05:19:40] cengelandreasen : haha, from one shit name to another, marginally less shit name :)
[2015-05-14 05:20:08] cengelandreasen : cheap shot, name is irrelevant its just style
[2015-05-14 05:20:21] BitMEX_Arthur : lol
[2015-05-14 05:20:32] BitMEX_Arthur : SHILL SHILL SHILL
[2015-05-14 05:20:33] BitMEX_Arthur : :)
[2015-05-14 05:20:48] cengelandreasen : from what i saw in the platform too it looks rinky dink as fuck
[2015-05-14 05:21:06] cengelandreasen : i also heard he was going to try to patent aspects of smartcontract/blockchain settlement tech which makes me vomit in my mouth
[2015-05-14 05:21:27] chrisxbt : Well its sort of about the backbone, and infrastructure, you could create apps that look better
[2015-05-14 05:23:35] cengelandreasen : yea i'm excited about any project in the bitcoin scene, but something smells off with him (just a feeling)
[2015-05-14 05:26:15] cengelandreasen : and i'm a big proponent of decentralization in general, but there are certain market functions better centralized
[2015-05-14 05:50:16] cengelandreasen : London is still open the next couple days but in Europe we have holiday today and tomorrow
[2015-05-14 06:17:23] chrisxbt : what for?
[2015-05-14 06:17:51] chrisxbt : cengelandreasen: .
[2015-05-14 06:19:32] cengelandreasen : some sort of jesus-related holiday
[2015-05-14 06:26:35] chrisxbt : Is there a hotkey for cancelling all orders?
[2015-05-14 07:43:55] BitMEX_Arthur : `Open Orders` panel
[2015-05-14 08:18:22] cengelandreasen : its times like this i refresh my charts to make sure my screen isnt frozen
[2015-05-14 08:21:55] germanjew : maybe a last updated counter would help?
[2015-05-14 08:22:11] germanjew : like on bitcoinwisdom
[2015-05-14 08:23:09] chrisxbt : germanjew: I think he's joking about the sideways
[2015-05-14 08:24:40] germanjew : sure, but when everything stands still there is always that small change that something is broken and not updating correctly :)
[2015-05-14 08:24:51] germanjew : chance*
[2015-05-14 08:45:03] cengelandreasen : :)
[2015-05-14 08:49:24] cengelandreasen : Arthur, out of curiosity, how would you have handled the fake Finex volume (and volatility) where trades were reversed etc, and the impact on BVOL?
[2015-05-14 08:49:33] cengelandreasen : or Sam or anyone from Mex
[2015-05-14 09:02:07] cengelandreasen : we're about to break <3 on indicative on BVOL. 3 hr to settlement
[2015-05-14 09:02:18] cengelandreasen : test
[2015-05-14 09:02:30] cengelandreasen : oh that's an interesting bug <test test
[2015-05-14 09:02:43] cengelandreasen : just by typing "<" cuts off the message
[2015-05-14 09:04:44] cengelandreasen : Alt 60
[2015-05-14 09:04:57] cengelandreasen : testing A > B C
[2015-05-14 09:05:03] cengelandreasen : testing A < B C
[2015-05-14 09:05:13] cengelandreasen : testing A <BC
[2015-05-14 09:05:42] cengelandreasen : sorry to flood, the text cuts off when you type any text next to Alt 60
[2015-05-14 09:06:01] cengelandreasen : thought i was in testnet :)
[2015-05-14 09:07:15] cengelandreasen : it must think when you open bracket that it is code
[2015-05-14 09:07:50] cengelandreasen : or tag
[2015-05-14 10:40:43] MeeGee : hi
[2015-05-14 10:40:52] MeeGee : anyone here?
[2015-05-14 11:43:27] BombaUcigasa : 2.87
[2015-05-14 11:49:54] cengelandreasen : arb dat shit
[2015-05-14 11:53:23] BombaUcigasa : we could use a graphical orderbook :D
[2015-05-14 12:00:53] BitMEX_Arthur : Hi meegee what is your question
[2015-05-14 12:20:12] BitMEX_Arthur : cengelandreasen: we have a clause for Market Disruption Events (MDE)
[2015-05-14 12:20:32] cengelandreasen : so you just take the data as is
[2015-05-14 12:20:48] BitMEX_Arthur : unless we fell that prices do not reflect reality
[2015-05-14 12:21:03] BitMEX_Arthur : or there is some problem with the exchange, DDOS, bad feed etc
[2015-05-14 12:21:49] cengelandreasen : you wouldn't consider the snafu they had with phantom orders last week to qualify ?
[2015-05-14 12:22:20] BitMEX_Arthur : well have the released a definitive cause for the alleged price problems
[2015-05-14 12:22:26] BitMEX_Arthur : because i think all the trades stood
[2015-05-14 12:22:48] cengelandreasen : yea zane described it as a backend failure and they reversed tons of trades and refunded people
[2015-05-14 12:23:47] cengelandreasen : i guess everything is case by case basis
[2015-05-14 12:23:56] BitMEX_Arthur : exactly
[2015-05-14 12:24:31] cengelandreasen : if only you launched a little earlier it would have been a good test of your MDE criteria
[2015-05-14 13:46:02] cengelandreasen : anyone recommend a JSON parser that's already working in VBA for Excel ?
[2015-05-14 13:47:54] BitMEX_Sam : you should be able to eval() it in JScript if all else fails
[2015-05-14 13:48:42] BitMEX_Sam : Otherwise it looks like this is well maintained: https://github.com/VBA-tools/VBA-JSON
[2015-05-14 13:48:58] cengelandreasen : I tried that one and had some problems with type mismatches and stuff, i think because i have a newer Office
[2015-05-14 13:49:24] cengelandreasen : i was almost just going to use perl to parse but then i cant avoid VBA if i want excel interaction
[2015-05-14 13:50:59] cengelandreasen : that same guy made a bigger package called VBA Web i'm playing wiht now
[2015-05-14 13:51:12] BitMEX_Sam : I don't do much Excel work anymore but I think you can use JS or Python instead of VBA now
[2015-05-14 13:51:35] BitMEX_Sam : Something with the new apps feature
[2015-05-14 16:22:30] chrisxbt : Hm, asks below indicative
[2015-05-14 16:29:48] Swedishnut : am I reading it right that there has been about 5x more volume in the last 24 hours than normal? Getting this info off of Bitcoinwisdom charts though
[2015-05-14 16:30:14] chrisxbt : where?
[2015-05-14 16:31:13] Swedishnut : nvm I was reading it wrong. ! day 7 day 30 day volumes. All up but not 5 x up
[2015-05-14 16:32:59] Swedishnut : Looks like the sell yesterday has caused a bit of a buying spree. My guess. Still not big players but lots of little buys I'm seeing
[2015-05-14 16:39:19] cengelandreasen : its actually at about 1.08 by my measure
[2015-05-14 16:40:51] cengelandreasen : which is only calculating the vol from prices since the new contract issue (GMT12)
[2015-05-14 16:41:27] cengelandreasen : all it takes is a standard $10, or even $5 move to blow that out
[2015-05-14 16:43:44] Swedishnut : What would you recommend for a new person to this platform for reading materials? I'm fairly inexperienced
[2015-05-14 16:53:41] chrisxbt : Swedishnut: what do you want to learn about?
[2015-05-14 16:55:55] chrisxbt : cengelandreasen: so are you going to place a trade?
[2015-05-14 16:56:35] cengelandreasen : nah not this early, unless there's some decent offers
[2015-05-14 16:56:45] cengelandreasen : not worth selling into decent bids and getting rekt if theres some action later
[2015-05-14 17:11:48] Swedishnut : I'm most interested in hedging for a large increase to 2000$ + in less than 12 months.
[2015-05-14 17:16:50] chrisxbt : hedging USD?
[2015-05-14 17:19:42] cengelandreasen : swedishnut, then buy the XBUU15
[2015-05-14 17:19:55] cengelandreasen : that's the farthest dated one you can get (on any exchange even, afaik)
[2015-05-14 17:28:05] cengelandreasen : chrisxbt, you still using the pine script on TV?
[2015-05-14 17:30:03] chrisxbt : yup
[2015-05-14 17:40:28] chrisxbt : So what do you do with Bitfinex down?
[2015-05-14 17:43:07] cengelandreasen : chrisxbt, did you get the pine script to reflect fair value from contract time? not including day before?
[2015-05-14 17:43:31] chrisxbt : I got something good enough
[2015-05-14 17:43:42] chrisxbt : cengelandreasen: did you get it?
[2015-05-14 17:43:51] cengelandreasen : nah, i wrote a custom one instead to do it
[2015-05-14 17:43:56] cengelandreasen : not in pine
[2015-05-14 17:44:40] cengelandreasen : just something to calculate and graph the indicative price using only price snaps from contract start
[2015-05-14 17:46:02] cengelandreasen : but would be nice to have the indicator in TV
[2015-05-14 17:59:23] chrisxbt : impossible to code in pinescript
[2015-05-14 19:21:05] cengelandreasen : yea its garbage
[2015-05-14 19:21:21] BombaUcigasa : Sam, is BVOL indicative settlement price a rolling value?
[2015-05-14 19:21:25] BombaUcigasa : it seems rather low now
[2015-05-14 19:32:28] chrisxbt : BombaUcigasa: its the volatility from 12:00 UTC to now
[2015-05-14 19:40:33] cengelandreasen : Bomba, first 6 hours it uses the volatility from past day, but after that only from 12:00
[2015-05-14 19:44:03] chrisxbt : by past day you mean past 24 hours
[2015-05-14 19:56:22] cengelandreasen : nope Wally said he just uses the BVOL from the day before
[2015-05-14 19:56:49] cengelandreasen : that's why in the first 6 hours the indicative price was static at the prior settled BVOL24
[2015-05-14 19:58:53] chrisxbt : but it wasn't static