Deribit. Frequently asked questions and useful information
Deribit PostOnly
PostOnly in the TSLab program is supported only with limit orders. It does not work with conditional orders and orders "by market"!
Examples for the visual editor:
"Opening and Closing a position with a limit price"
"Open a position if more/less" with the "Open by limit orders" flag set in the agent's trading settings (Agent's trading settings - the button with the image of a gear in the Agents window)
"Closing a position by take-profit" with the "Take-profit without slippage" flag set in the agent's trading settings. (Agent's trading settings - the button with the image of a gear in the Agents window).
The blocks corresponding to the first three "Convert By" items and their flags in the agent's trading settings (Agent's trading settings - the button with the image of a gear in the Agents window).
The type of the placed order can only be limit, for the PostOnly option to work in the TSLab program.
Non-tradable Deribit futures
The Deribit exchange has specific options, the underlying asset of which is a non-tradable futures individual for each series, which are not in the documentation. In the Deribit API, upon request for an option ticker, information about a non-tradable futures and its price is disclosed. The price of a non-tradable futures is calculated according to a formula similar to the rate of futures with expiration, depending on the variable "minutes to expiration". Unfortunately, it is impossible to implement access to the "Result Underlying Price" data for a specific option series, because there is no way to subscribe to these instruments when the program starts. They are broadcast only if you subscribe to one of the strikes where they are calculated. We have decided not to come up with any special mechanisms. You can calculate this value using linear interpolation:
Price_SYN = Price_Perpetual - (Price_Perpetual - Price_26JUN20) * (dT_SYN - 0) / (dT_26JUN20 - 0)
Buy/Sell blocks adapted for the Deribit exchange
Example of indicators implementation developed by one of our users:
ly0ka | SYN The underlying Deribit option futures price used to calculate theoretical prices and option Greeks. |
Customized Buy/Sell options blocks:
Deribit Margin Requirements Calculation
Short call
Initial margin (BTC): Maximum (0.15 - Out of the Money Amount/Underlying MarkPrice, 0.1) + Mark Price of the option
Maintenance margin (BTC): 0.075 + mark price of the option
Short put
Initial margin (BTC): Maximum (Maximum (0.15 - Out of the Money Amount/Underlying MarkPrice, 0.1 )+ markprice_option, Maintenance Margin)
Maintenance margin (BTC):Maximum (0.075, 0.075 * markprice_option) + mark_price_option Click this link to see calculation example - https://docs.google.com/spreadsheets/d/1KQWOMF7Y5AE3SPJ_WLEcdVylysyJVZBP00-g_PbqURE/edit#gid=0
is there a way to calculate a simluation that would include the leverage? For Deribit you can set the initial deposit in BTC in a script
And use portfolio simulation with imitation type "Calculate changes"
Use Portfolio imitation with Calculate Changes imitation type.
Do the following in a script:
Initial deposit = 0.3btc
Use the "Constant" block as the initial deposit in the script. If the drawdown is greater than the initial deposit, then do not open new positions.
In open position we set lots per calculation leverage
script:
Deribit order queue
On the website of the Deribit exchange, the price step in the order queue is from $1 (can be changed up to $5). The queue depth is much greater than in TSLab.
Why is the price step from 1 to 5$ on the exchange website, and every 0.5$ in TSLab? The step of futures at the exchange is $0.5, this is indicated in the contract specification.
Why is the queue depth on the exchange website much larger? We issue a queue of applications such as the exchange broadcasts from https://www.deribit.com/main#/account?scrollTo=api It can be compared with what comes from the getorderbook function on the stock exchange. If the exchange gives more, we will give the depth automatically.
Commission for testing and optimization on the Deribit exchange
For Deribit, use 0.05% or 0.075% Relative Fee and 0% Margin
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