Introducing the Quote Value Ratio Trading Rule

We are committed to ensuring BitMEX is fair and efficient for all our users, and this is why we will be introducing a Quote Value Ratio (QVR) Trading Rule from 00:00:00 UTC on 15 September 2020, initially in “Warning Only” mode for a period of one week. This is part of our ongoing efforts to incentivise behaviours that increase the executable liquidity of the market, and to enhance the trading experience for all our users.The QVR rule will help to increase overall quoting efficiency on the platform through introducing limits on the number of individual quotes and amount of capacity a trader can utilise if providing little or no trading value for other BitMEX users.A quote is defined as either a new order or an amendment to an existing order. The rule will initially apply to XBTUSD quotes only, and we plan to introduce it to other contracts in due course.It’s important to stress that while the benefits of the rule will be felt by all users, we anticipate only a very small proportion of users will experience restrictions on their trading activity.In this blog, we explain how QVR is calculated, what will happen in the event of a user breaching the rule, how the new rule will be introduced, and thresholds to be aware of.What is the Quote Value Ratio?QVR represents the number of individual quotes, whether new orders or amendments to existing orders,placed for each XBT traded on the platform in excess of an allowable level of quotes. The higher the number, the lower the efficiency. It is calculated as follows:

• The system will calculate raw data for QVR every hour.

• TheQuote Countis defined as the number of quotes placed within the hour. A detailed definition of quotes can be found here. Note that this page will be updated to include the QVR Trading Rule when it comes into effect on 15 September.

• TheXBT Valueis the total value of a user’s trades in XBT within the hour.

• TheFree Quotes(Qfree) represents the number of quotes that you can place each hour without being subject to the rule. For instance, if theQfreefor XBTUSD is 1,000, and a user places 900 quotes but trades no volume, they are exempt. This is to ensure less experienced users that are not as efficient nor active as other users can continue to trade without the risk of being penalised.Qfreewill be defined per symbol.

• TheQVR Thresholdis the number of quotes you are allowed in excess ofQfreeper XBT traded. This threshold will also be defined per symbol.

• The following formula shows the mathematical way of calculating QVR:

  

  whereQVRtis the QVR for time period t,Qtis the number of quotes in time period t,Qfreeis the number of free quotes provided, andVtis the value traded in XBT in time period t. The numerator is maxed with 0 in order to make sure that it can never be negative.

What happens if the QVR rule is breached?

1. The system will check every hour for violations. If a user breaches the QVR threshold within that hour, we will first look back to see how many times a user has breached the rulein the last 24 hours.

2. If a user’s number of violations in the last 24 hours areless than 4, then the account owner will receive a warning notice by email.

3. If a user’s number of violations in the last 24 hours, including the current hour, areequal to, or greater than 4,then the account will receive a temporary API ban.

4. EachAPI ban will last for 1 hourbefore being removed. If an account breaches the QVR threshold again with more than 4 violations within a 24 hour period, they will incur a further ban. Repeated API bans may be investigated by us and, in accordance with our terms of service, we reserve the right to restrict our service or close accounts with continual violations.

Below is an illustrated example. It shows a user’s account activity over several hours. It assumes aQfreeof 1000, and a QVR Threshold of 1000:

How will the rule be introduced?The QVR rule will be introducedon 15 September 2020, initially in “Warning Only” mode, whereby users breaching the rule will receive a warning email rather than a ban for repeated violations of the rule. After one week, effective22 September 2020,the rule will be fully enabled, with users breaching the rule 4 times within a 24 hour period receiving an API ban, as explained above.What are the Qfreeand QVR thresholds?The rule is being introduced initially for XBTUSD, and thresholds will be published on our Trading Rules page from 15 September 2020.  We will monitor activity on the exchange and review these thresholds on an ongoing basis.If you have any further queries, please contact Support.