1. Introduction

Deribit derivatives exchange has 2 trading pages:
Below you can find general exchange information and rules. In the menu above you can go directly to the different sections with information about fees, futures trading, options trading, and the API.

2. Matching Engine

Deribit exchange matching engine is based on a “first come first serve” principle. Orders are executed in price-time priority as received by the matching engine after passing risk engine checks.

The matching engine can process thousands of orders per second and also hundreds of orders per second from a single account.  If an order executes immediately, an execution report will be included in the order confirmation message.

Currently, the matching engine accepts limit orders, market orders, and stop-limit orders. As well orders can be sent as hidden orders and post only orders.

The matching engine DOES NOT allow for self-trading. If an order is sent to the exchange that would execute immediately with an order from the same account in the order book, this order will be rejected. Note that the order will only be rejected if it would actually execute against another order in the same account. So an order overlapping with other orders in the same account might still be accepted and executed if it would execute against other orders in the order book, not from the same account.

Thanks to an average total latency for an order to pass the risk engine and enter the order book via the matching engine of just a few ms it is possible to send hundreds of orders per second from a single account.

3. Risk Engine

The risk engine is a vital part of any derivatives exchange. Deribit risk engine can assess thousands of incoming orders per second and hundreds of incoming orders per second from a single account. If the risk engine approves an order, the order will continue its way to the matching engine to get matched or enter the order book. Then a message is sent back to the client. This whole process takes on average less than 2 ms.

4. Deribit BTC Index

Currently, the Deribit BTC index is made up of the latest prices from Bitstamp, Gemini, Bitfinex, Bittrex,  Itbit, Coinbase, LMAX Digital and Kraken.

When calculating the Index price, exchanges that are excluded by the system administrator, have invalid data or have delayed order book data will not be included in the final calculation.

The remaining exchanges will be included in the index calculation and will be benchmarked against the median price of the final sample. The values that will fall outside the +/-0.5% range of the median price will be adjusted to the closest bandwidth price limit. Consequentially, the index is calculated as the equally-weighted average of these values.

There is a page dedicated to the price index where you can see at any time which exchanges are actually part of the index at this very moment. Here:

Deribit Index is continuously measured against an external benchmark to ensure that the index represents an accurate market price. If there is just a single feed, this single feed will be the index. If for some reason no single feed reaches Deribit or the Index significantly deviates from the external benchmark, the platform will be temporarily locked (trading disabled) until the connection is re-established and error has been determined. 

Note: Currently Bitfinex is disabled and is not part of the Deribit Index.

5. Expiration Price

The price used for settlement and delivery of contracts will be calculated as the time-weighted average of the Deribit index over the last half hour before expiration. The Deribit index gets calculated every 4 seconds.  So the final delivery price is the average of 450 index prices taken in the last 30 minutes before expiration.

6. Cross Margin

All funds held in an account will be considered as available margin. Equity, balances, and margin will fluctuate as prices in the market change. If the maintenance margin in an account is higher than the margin balance in an account a margin call is triggered. A user's position will be incrementally liquidated in small steps (12.5% of position size or minimum 500 contracts) until margin balance is higher than the maintenance margin. Any unrealized profits are also immediately available as collateral for trading.

7. Auto Liquidation 

Deribit is operating with an incremental auto-liquidation system. This means that as soon as an account does not have enough equity to maintain its positions, (as assessed by the risk engine) a small part of the position will be closed in the market.

Bitcoin futures and perpetual: At this moment the liquidation orders sent to the market are up to 12.5% of your position or a minimum of 500 contracts of $10 each.
Ethereum futures and perpetual: At this moment the liquidation orders sent to the market are up to 12.5% of your position or a minimum of 1000 contracts of $1 each.

This happens in real-time, such that positions in an account will be reduced immediately when the maintenance margin is higher than the margin balance.  As soon as the maintenance margin is again lower than the margin balance, liquidation will stop.

The system would first liquidate perpetual and futures positions and after that liquidate any short option positions, in such a way that the risk of the position will be reduced. (basically striving for a “delta neutral” position where possible). There are circumstances possible where options would get liquidated first, where options delta’s are bigger and opposite direction than all other delta’s on the platform. For normal margin accounts, long option positions can not get liquidated.

Auto liquidation for portfolio margin users works differently. The liquidation algorithm would automatically only trade perpetual and futures contracts in an attempt to reduce the risk profile of your position (reducing the delta exposure of your position). This is under most circumstances the least hurtful way of reducing the risk profile of a position with portfolio margin. Automatically reducing options positions could be very hurtful and resulting in a cascading liquidation of the whole position, due to the possibility of finding a very illiquid options market at the moment of liquidation. Any options positions, of course, can also get reduced, such liquidation trades would be done manually by Deribit Risk management.

During auto liquidation, a trader has no control over his account and cannot place orders nor cancel orders created by the auto liquidation engine. A trader will get back control over his account once Maintenance Margin is brought back to a level lower than 100% of your margin balance or equity. This means that the reduction of your position, once the maintenance margin is higher than 100%, is solely at the discretion of Deribit. The user cannot influence this process by placing additional closing orders.

8. Insurance Fund

Deribit has an insurance fund that should cover all losses of bankrupt traders. Due to our advanced real-time incremental liquidation system, it will be actually a challenge to go bankrupt even if a trader would wish to do so. On the insurance page we will publish in real-time any occurring bankruptcies and the last state of the insurance fund. As long as there is BTC in the insurance funds, withdrawals of funds (including (unrealized) profits of not expired assets are available for withdrawal immediately after settlement (future trades settle daily at  08.00 UTC). If the insurance fund gets depleted, any then occurring bankruptcies will be socialized among the winning traders, though our goal is to never get to that point, and margin requirements will be made more strict as soon as bankruptcies appear.

Insurance fund income BTC:
Any liquidation orders are charged 0.50% transaction fees. The extra proceeds compared to default trading fees are added every hour to the insurance fund.

Insurance fund income ETH Futures and Perpetual:
Any liquidation orders are charged 0.90% transaction fees. The extra proceeds compared to default trading fees are added every hour to the insurance fund.

9. Test Server

On the exchange is running in a test mode with all functionality but not with real bitcoins. Internal “Deribit” coins can be used to withdraw/deposit funds. New updates are also first tested on this server before they will be implemented in production, so the version you encounter on can vary slightly from the production version.