BitMEX enforces the following Trading Rules to encourage efficient trading strategies and incentivise behaviours that improve the executable liquidity of the market. Even though these rules apply to all users of the platform, customers who trade predominantly from the website are unlikely to be affected by them due to the thresholds within each rule.
The Quote Fill Ratio (QFR) Threshold aims to discourage use of strategies that submit quotes to the market without the intent to trade and therefore further strengthen the quality of liquidity on the platform.
Accounts on the platform making over 2000 quotes a day will need to maintain a 7 day moving average QFR above a minimum QFR threshold. Violations of this rule will result in email warnings and an eventual API ban.
We define Quote Fill Ratio (QFR) as the proportion of quotes filled per quotes submitted to the platform per calendar day. A quote submitted is any individual order sent to the market. A quote filled is an order that has been filled for any amount. QFR is calculated as follows:
QFR = (# quotes filled in time period T / # quotes submitted in time period T)
Where T = 24 hours
A market maker quotes a two-sided price on XBTUSD and submits one bulk new order request containing 4 bids and 4 asks which rest in the book at different price levels. The market maker then receives a price signal and submits a bulk amend request to change the prices of the 4 bids in the market down by one tick each.
Another market participant submits a large market buy order which lifts 3 of the asks that the market maker has resting in the book. There is no more quoting or trading for these two participants for the remainder of the day.
The maker’s QFR for the day is calculated as follows:
# quotes filled = 3 # quotes submitted = 12 QFR = 3/12 = 25%
The taker’s QFR for the day is calculated as follows:
# quotes filled = 1 # quotes submitted = 1 QFR = 1/1 = 100%
QFR must be kept above 0.1% on a 7 day moving average.
We may update the minimum QFR threshold and / or mechanism from time to time. Advanced notice of any changes will be published via the API Announcements section of the blog to ensure users have ample time to adjust their trading behaviour.