Micro bitcoin futures

[globalarbtrader]

I run a fully automated futures system through IB with python (ibinsync)

IB have done something every weird... they appear to have changed the ticker for the micro bitcoin from BRR to MBT (without telling me, which is nice!), but for my existing position the API is still returning a ticker of BRR. So I can't just change the configuration for the instrument from BRR to MBT. As far as I can tell, the only thing I can do is manually close the position, change the configuration ticker from BRR to MBT, and then open a new one.

Any ideas?

>>> from ib_insync import Future, IB
>>> ib = IB()
>>> ib.connect('127.0.0.1', 4001, clientId=10)
<IB connected to 127.0.0.1:4001 clientId=10>
## We have MBT futures...
>>> future = Future(symbol='MBT', exchange = 'CMECRYPTO')
>>> contracts =ib.reqContractDetails(future)
>>> print(len(contracts))
8
## But the old BRR micros are gone
>>> future = Future(symbol='BRR', exchange = 'CMECRYPTO', multiplier=0.1)
>>> contracts =ib.reqContractDetails(future)
Error 200, reqId 5: No security definition has been found for the request, contract: Future(symbol='BRR', multiplier=0.1, exchange='CMECRYPTO')
## Though the original large contract is still there
>>> future = Future(symbol='BRR', exchange = 'CMECRYPTO', multiplier=5)
>>> contracts =ib.reqContractDetails(future)
>>> print(len(contracts))
8
## But in my postitions I'm still holding BRR!
>>> x = ib.positions()
>>> print(x[17].contract)
Future(conId=481220886, symbol='BRR', lastTradeDateOrContractMonth='20210730', multiplier='0.1', currency='USD', localSymbol='MBTN1', tradingClass='MBT')

 

[maxinger]

the MBT bid - offer spread is double horrible and triple terrible.
despite all the publicity, the spread is definitely one of the worst in the whole world.
MBT futures spread could be humongous 10 to 30 ticks wide.
by comparison, ES, NQ spread is 1 to 3 ticks wide

how does that affect your auto system?

 

[globalarbtrader]

the MBT bid - offer spread is double horrible and triple terrible.
despite all the publicity, the spread is definitely one of the worst in the whole world.

how does that affect your auto system?

Off topic, but I'll answer. I look at risk adjusted trading costs. Those are lower than you might think, because the market is insanely volatile. Those come in at 0.0095 SR units per trade, using a conservative spread of $62. That's actually sightly lower than Eurodollar futures (3 years out) which come in at 0.0109 units but admittedly on the high side (for comparision, S&P 500 eminis and micros are about 0.000555). I deal with higher costs by trading more slowly - my target turnover on these sorts of markets is probably 5 times a year.

Just looking at slippage in ticks without considering volatility makes no sense. There are plenty of 1 tick markets that cost more to trade than Bitcoin micros.

GAT

 

[HobbyTrading]

they appear to have changed the ticker for the micro bitcoin from BRR to MBT

Are you sure about this? I have used IB's online contract search tool. Both products are available. For both of them I placed the front month side by side and this is what I get:

Note the difference in multiplier (5 versus 0.1).

 

[globalarbtrader]

Are you sure about this? I have used IB's online contract search tool. Both products are available. For both of them I placed the front month side by side and this is what I get:
View attachment 261515

Note the difference in multiplier (5 versus 0.1).

Yes I'm sure about it. Obviously it has changed - I can assure you that the micro bitcoin used to also have the same ticker BRR but a different multiplier (as we have for other markets like the DAX). And the fact ib.portfolio() is returning the old ticker confirms I'm not going crazy...

GAT

 

[HobbyTrading]

Yes I'm sure about it. Obviously it has changed - I can assure you that the micro bitcoin used to also have the same ticker BRR but a different multiplier (as we have for other markets like the DAX). And the fact ib.portfolio() is returning the old ticker confirms I'm not going crazy...

GAT

I see. So there used to be one ticker BRR with two different multipliers. And now IB has changed into using two different ticker symbols (BRR and MBT)?
I haven't been exposed to this as Bitcoin is not yet in the instrument universe which I use for my trading system.

 

[KevinBB]

This is an image from TWS, the result of a watchlist search.

It appears as if the May BRR Bitcoin contract was the only one with the two multipliers, 0.1 and 5, as there is only one result to this search.

Clicking on the 5 multiplier gives me many past contracts, including May 2021.

 

[globalarbtrader]

This is an image from TWS, the result of a watchlist search.

It appears as if the May BRR Bitcoin contract was the only one with the two multipliers, 0.1 and 5, as there is only one result to this search.

Clicking on the 5 multiplier gives me many past contracts, including May 2021.

No, I've been collecting prices for June, July, August and September BRR multiplier 0.1. So they definitely existed for at least a few weeks. And, as I keep repeating, the ib.positions() api call still gives me back a July BRR 0.1 multiplier position.

GAT

 

[globalarbtrader]

I've changed my configuration file, so at least I can collect prices. But my code now won't recognise the existing position as Bitcoin, which means I can't trade it.

I'll have to manually trade the position until it's closed - I assume then any new position will have the right symbol.

GAT

 

[SunTrader]

BRR is the index.