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hbdmapi / huobi_futures_Python

An Asynchronous Event-driven High-frequency Trading System,huobi future,huobi coin margined swap, huobi usdt margined swap included.
MIT License
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Tick size 0.01 for Futures and 0.1 for Swaps #16

Closed igkoh closed 4 years ago

igkoh commented 4 years ago

One tick in futures is 0.01, and 0.1 for swaps.   From market maker viewpoints, futures expose more opportunities of ask/bid to be filled by takers,  Thus more market makers participate into the market to provide better liquidity.  I am curious why Huobi makes a decision of 0.1 tick in swaps. Best regards, Ingyu

foonsun commented 4 years ago

@igkoh The reason that Huobi makes a decision of 0.1 tick in swaps is that the liquidity will be better under the extreme market.

igkoh commented 4 years ago

Thanks, foonsun. Since both swaps and futures have forced liquidation for the high leveraged position, 0.1 and 0.01 tick of swaps and futures provides same liquidity. Reasoning is : sum of liquidity in 10 ticks(0.01) of futures = liquidity of 1 ticks (0.1 ) swaps. Thus why swaps have more problems in the extreme market? By funding rate, swap price - index is controlled as expiration of future market restricts future price-index. Best regards, Ingyu

foonsun commented 4 years ago

@igkoh The slippage is lower if the tick is 0.1. It's simliar with BitMex.