Exchange Updates

Large Block RFQ Trades Delayed Data Publication

Deribit is implementing a new feature for very large Block RFQ trades, which allows anyone executing a Block RFQ trade above a certain size to have the trade data for that trade published into the public data feeds only after a delay.

What problem is this feature attempting to solve?

For very large Block RFQ trades, some clients execute in several tranches to allow market makers to absorb the large flows. When these tranches hit the tape instantly, this can lead to front running of the next few tranches, leading to worse execution due to the information leaked from the first tranche. By delaying the publication of the trade data, this gives the trader an opportunity to execute their whole trade before any information is available publicly.

As an example of similar solutions, under MiFID II, the European Securities and Markets Authority (ESMA) attempts to tackle this same problem with their Large In Scale (LIS) rules.

What will change on Deribit?

For qualifying Block RFQ trades, the following changes will apply:

  • There will be a delay applied between the execution of a qualifying trade that has opted in, and the reporting of that trade in the public data feeds.

  • The length of the delay will default to 8 hours, however there is a hard cap on how late a trade can be reported of 1 hour before daily settlement (08:00 UTC). This effectively makes the delay time equal to MIN(8 hours, time_until_daily_settlement – 1 hour).

  • The delay will also apply to OI in the individual instruments.

These changes are designed to give traders executing large orders more time to complete their trades before the related trade information becomes publicly available.

What are the qualifying sizes?

Each tranche has to comply with a minimum size. Block RFQ trades with a total size below this minimum amount will always be reported immediately. When requesting the ability to delay a Block RFQ trade, Deribit will require that the total size of that trade within the settlement cycle will be at least 3 times this minimum amount to reflect the purpose of this feature, the avoidance of front running and to ensure the majority of volume is reported in real-time.

Qualifying amount on a single trade:

  • 1,000 BTC for BTC-settled Block RFQ trades

  • 10,000 ETH for ETH-settled Block RFQ trades

  • 10,000,000 USDC notional for USDC-settled Block RFQ trades

Overall size of the trade within one settlement cycle:

  • 3,000 BTC for BTC-settled Block RFQ trades

  • 30,000 ETH for ETH-settled Block RFQ trades

  • 30,000,000 USDC notional for USDC-settled Block RFQ trades

What will not change on Deribit?

Despite the delayed publication, the following aspects of trading and risk management remain unchanged:

  • The trades are still executed immediately.

  • Margin requirements and equity are also still updated in real time. The delay does not apply to anything risk related, only to when the trade data is available publicly.

  • All trades are still eventually reported on the public data feeds.

  • This delayed data publication feature is only available for qualifying Block RFQ trades; it does not apply to on screen trades or liquidation trades.

In short, the feature only delays public reporting of qualifying trades; execution, risk management, and eventual trade reporting remain unaffected.

For full details, see the Knowledge Base article.

Related articles