Deribit Block RFQs: Pricing, Liquidity Aggregation, and Execution
Summary
The document explains Deribit’s block request-for-quote process for large trades across options, perpetuals, futures, and spot. A taker requests a structure and size; makers submit quotes, and the taker sees the best available bid and ask. It describes the five-minute expiry and the choice to disclose identity, alongside a taker rating based on requested versus executed notional that makers can view in grouped ranges.
Its central mechanism is the multi-maker quote, which aggregates eligible partial quotes and prices the full block at the last matched price. That price competes with all-or-none quotes, with best price taking priority and an all-or-none quote winning a tie. The examples illustrate how aggregation can improve a taker’s price while letting makers quote smaller amounts. The document also outlines hedge-leg constraints and possible liquidity sharing across platforms. It describes exchange rules rather than independently measured execution outcomes; actual fills depend on available quotes, minimum sizes, and market conditions.
Key ideas
- Block RFQs let traders arrange large trades privately across several crypto instrument types.
- Multi-maker quotes combine partial maker liquidity and execute the full requested size at the last matched price.
- All-or-none quotes compete against aggregated quotes, with price priority and a tie preference for all-or-none.
- Takers can choose identity disclosure, while makers can assess grouped order-to-volume ratings.
- A structure may include one eligible perpetual or dated-futures hedge leg.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.