Coinbase Derivatives is a Designated Contract Market (DCM), registered with the Commodity Futures Trading Commission (CFTC), operating a crypto-centric futures exchange that offers many products across a broad range of asset classes and contract sizes.

Daily Settlement

The lead month is the contract nearest to expiration for a particular exchange product.  The lead month is the anchor leg for settlements with the expectation of having the most activity.  All other contracts not the lead month are the non-lead months.

Crypto Futures

For all futures contracts based on a cryptocurrency (Bitcoin, nano Bitcoin, nano Bitcoin Perp Style, Ether, nano Ether, nano Ether Perp Style, Solana, nano Solana, Litecoin, Bitcoin Cash, Dogecoin, Hedera, Polkadot, 1k Shib, Avalanche, Stellar, Chainlink, Cardano, nano XRP, XRP, and SUI), daily settlement occurs at 15:00 CT.

Crypto futures Lead Month

If a Trade occurs in the sixty (60) seconds prior to 15:00 CT, the Daily Settlement will be calculated using the volume-weighted average price (“VWAP”) of such Trades, rounded to the nearest tradable tick. If there are no Trades during this time, the Exchange will use the time-weighted average price (“TWAP”) of the Futures Contract’s midpoint of the bid/ask from the sixty (60) seconds prior to 15:00 CT, rounded to the nearest tradable tick.  If a two-sided market is not available during the sixty (60) seconds prior to 15:00 CT, the Daily Settlement Price will be the Index value - (difference between the previous day’s Index value and the previous day’s relevant Futures Contract’s Settlement Price).

Crypto futures Non-Lead Months

If a Trade occurs in the sixty (60) seconds prior to 15:00 CT, the Daily Settlement will be calculated using the VWAP of such Trades, rounded to the nearest tradable tick.  If there are no Trades during this time, but the spread trades between 14:59 - 15:00 CT, then the spread VWAP is calculated, rounded to the spread’s nearest tradable tick, and then applied to the lead month’s settlement to derive the Future Contract’s Daily Settlement Price.  In the absence of this, the Exchange will use the TWAP of the Futures Contract’s midpoint of the bid/ask from the sixty (60) seconds prior to 15:00 CT, rounded to the nearest tradable tick.  If a two-sided market is not available during this time, the last spread Trade price is applied to the lead month settlement to derive the Daily Settlement Price. If this can not be calculated, the Exchange will use the lead month’s Settlement Price +/- the previous day’s calendar spread.

Crypto futures Final Settlement

For all futures contracts based on a cryptocurrency, the following applies, unless otherwise indicated.  On the day of expiration, the final settlement price of the futures contract shall be the value of the relevant Index as specified in the relevant Rule, and as calculated and disseminated by the Index Provider.  Final settlement and trading terminates in the expiring contract at 16:00 London time on the last Friday of the contract month.

Energy Futures

For all energy futures contracts, daily settlement occurs at 13:30 CT.

Energy futures Lead Month

If a trade occurs in the sixty (60) seconds prior to 13:30 CT, the daily settlement will be calculated using the VWAP of such Trades, rounded to the nearest tradable tick. If there are no trades during this time, CDE will use the TWAP of the futures contract’s midpoint of the bid/ask from the sixty (60) seconds prior to 13:30 CT, rounded to the nearest tradable tick. If a two-sided market is not available, market data made publicly available on other CFTC-registered designated contract markets will be used. If publicly available market data is not available, the last Traded price of the current trade day will be used. If there are not any Trades for that day, the Contract will use the prior day’s settlement price.

Energy futures Non-Lead Months

If a trade occurs in the sixty (60) seconds prior to 13:30 CT, the daily settlement will be calculated using the VWAP of such trades, rounded to the nearest tradable tick.  If there are no trades during this time, but the spread trades between 13:29 - 13:30 CT, then the spread VWAP is calculated, rounded to the spread’s nearest tradable tick, and then applied to the lead month’s settlement to derive the future contract’s daily settlement price. In the absence of this, the exchange will use the TWAP of the Futures Contract’s midpoint of the bid/ask from the sixty (60) seconds prior to 13:30 CT, rounded to the nearest tradable tick.  If a two-sided market is not available during this time, the last spread trade price is applied to the lead month settlement to derive the daily settlement price.  If this can not be calculated, the Exchange will use market data made publicly available on other CFTC-registered designated contract markets.

Energy futures Final Settlement

For all Exchange energy Futures Contracts, the following applies, unless otherwise indicated. Expiration will occur the same Business Day as the Final Settlement of the Contract, which is the Business Day following the Contract’s Termination of Trading. The Final Settlement Price shall be set to the publicly available daily settlement value of:

a. the NYMEX WTI future (CL) at the Termination of Trading of the nano Crude Oil Contract, as set forth in Rules 1114, and

b. the NYMEX Henry Hub Natural Gas future (NG) at the Termination of Trading of the Natural Gas Contract as set forth in Rule 1125.

Metal Futures

For all metal futures contracts, the following applies. Daily Settlement for Gold Futures Contracts occurs at 12:30 PM CT, at 12:25PM CT for Silver Futures Contracts, at 12:00 PM CT for Copper Contracts, and at 12:05 PM CT for Platinum Contracts.

Metal futures Lead Month

If a Trade occurs in the sixty (60) seconds prior to the Daily Settlement, it will be calculated using the VWAP of such Trades, rounded to the nearest tradable tick. If there are no Trades during this time, the Exchange will use the TWAP of the Futures Contract’s midpoint of the bid/ask from the sixty (60) seconds prior to Daily Settlement, rounded to the nearest tradable tick. If a two-sided market is not available, market data made publicly available on other CFTC-registered designated contract markets will be used. If publicly available market data is not available, the last Traded price of the current trade day will be used. If there are not any Trades for that day, the Contract will use the prior day’s settlement price.

Metal futures Non-Lead Month

If a Trade occurs in the sixty (60) seconds prior to the Daily Settlement, it will be calculated using the VWAP of such Trades, rounded to the nearest tradable tick. If there are no Trades during this time, but the spread trades during the last minute prior to Daily Settlement, then the spread VWAP is calculated, rounded to the spread’s nearest tradable tick, and then applied to the lead month’s settlement to derive the Future Contract’s Daily Settlement Price. In the absence of this, the Exchange will use the TWAP of the Futures Contract’s midpoint of the bid/ask from the sixty (60) seconds prior to Daily Settlement, rounded to the nearest tradable tick. If a two-sided market is not available during this time, the last spread Trade price is applied to the lead month settlement to derive the Daily Settlement Price. If this can not be calculated, the Exchange will use market data made publicly available on other CFTC-registered designated contract markets.

Metals futures Final Settlement

For all Exchange metal Futures Contracts, the following applies, unless otherwise indicated. Expiration will occur the same Business Day as the Final Settlement of the Contract, which is the Business Day following the Contract’s Termination of Trading. The Final Settlement Price shall be set to the publicly available daily settlement value of:

• The COMEX Gold future (GC) at the Termination of Trading of the Gold Contract, as specified in Rule 1113;

• The COMEX Silver future (SI) at the Termination of Trading of the Silver Contract, as specified in Rule 1120;

• The COMEX Copper futures (HG) at the Termination of Trading of the Copper Contract, as specified in Rule 1146; and

• The NYMEX Platinum future (PL) at the Termination of Trading of the Platinum Contract, as specified in Rule 1147.

Equity Index Futures

For all futures contracts based on an equity index, daily settlement occurs at 15:00 CT.

Equity Index futures Lead Month

If a Trade occurs in the sixty (60) seconds prior to 15:00 CT, the Daily Settlement will be calculated using the volume-weighted average price (“VWAP”) of such Trades, rounded to the nearest tradable tick. If there are no Trades during this time, the Exchange will use the time-weighted average price (“TWAP”) of the Futures Contract’s midpoint of the bid/ask from the sixty (60) seconds prior to 15:00 CT, rounded to the nearest tradable tick.  If a two-sided market is not available during the sixty (60) seconds prior to 15:00 CT, the Daily Settlement Price will be the Index value - (difference between the previous day’s Index value and the previous day’s relevant Futures Contract’s Settlement Price).

Equity Index futures Non-Lead Months

If a Trade occurs in the sixty (60) seconds prior to 15:00 CT, the Daily Settlement will be calculated using the VWAP of such Trades, rounded to the nearest tradable tick.  If there are no Trades during this time, but the spread trades between 14:59 - 15:00 CT, then the spread VWAP is calculated, rounded to the spread’s nearest tradable tick, and then applied to the lead month’s settlement to derive the Future Contract’s Daily Settlement Price.  In the absence of this, the Exchange will use the TWAP of the Futures Contract’s midpoint of the bid/ask from the sixty (60) seconds prior to 15:00 CT, rounded to the nearest tradable tick.  If a two-sided market is not available during this time, the last spread Trade price is applied to the lead month settlement to derive the Daily Settlement Price. If this can not be calculated, the Exchange will use the lead month’s Settlement Price +/- the previous day’s calendar spread.

Equity futures Final Settlement

For all futures contracts based on an equity index, the following applies, unless otherwise indicated.  On the day of expiration, the Final Settlement Price of the Futures Contract shall be the value of the relevant Index as of the Termination of Trading as specified in the relevant Rule, and as calculated and disseminated by the Index Provider.  Final settlement and trading terminates at 15:00 CT on the third Thursday of the contract month.

Max Order Check

Exchange Max Order Check – The exchange will set a Max Order Size per product. This is a market wide control and can only be changed by the exchange. All orders will pass through the Max Order Size check and any orders above the Max Order Size will be rejected. For Spreads the Max Order Size is checked against each leg of the order. For example if the nano Bitcoin Futures max order size is 500 contracts, each leg will be compared against the 500 contract limit. Executing Firm Max Order Check – Clearing Members can set an optional max order size per executing firm. This limit is for all products and does not supersede the Exchange Max Order Size by product. The most restrictive limit will win and orders above the Max Order Size are rejected.

Exposure Limits

Exposure Intraday Limit is set by the Clearing Members per Executing Firm in USD. This limit is the overall USD Long and USD Short allowed per firm and is calculated using each product’s initial margin rate, multiplied by the number of filled and working contracts. If this limit is not set orders will be rejected by the exchange. Exposure limits will be calculated as follows: Long USD positions = (long working quantity + day long fills – day short fills) * initial margin Short USD positions = (short working quantity + day short fills – day long fills) * initial margin Once calculated all Longs will be summed to create a Total Long Exposure USD. Separately, all Shorts will be added to create a Total Short Exposure USD. These will be compared against the Intraday Exposure Limit. Clearing Members will be notified as they approach specified thresholds (e.g. 75%, 90%, 100%, etc.). If an order is submitted that would exceed the Intraday Credit Limit, the order will be rejected.

Kill Switch

The exchange Kill Switch functionality will allow Clearing Firm Admins to shutdown firm activity at various levels. When activated all order entry is blocked and all working orders (DAY and GTC) are cancelled for either a selected subset or all of the firm’s SenderComp IDs. Customers will receive all final order states when the Kill Switch is enabled and rejections for any new orders submitted. The kill switch will not cancel orders during Pre-open no cancel and Halted market states.

Message Throttle

Coinbase Derivatives has three different throttles that are currently set. Note that these values are subject to change.

• Throttle Duration:

  This is the duration interval during which the below throttle limits are calculated.

• Throttle Limit:

  This is the number of messages during the throttle duration beyond which Coinbase Derivatives will throttle inbound requests. For any messages that exceed the limit, Coinbase Derivatives will reject the inbound requests. This is applicable to new and replace order requests.

• Disconnect Limit:

  This is the number of messages during the throttle duration beyond which Coinbase Derivatives will terminate the connection.

Cancel on Disconnect (COD)

Cancel on Disconnect can be enabled on a per session basis for both FIX and SBE sessions. SBE sessions have cancel on disconnect enabled by default. FIX sessions have this functionality turned off by default and you will need to reach out to Coinbase Derivatives to enable this functionality. COD functionally does not include GTC (Good Till Cancel) and GTD (Good Till Date) orders.

Self-Match Prevention (SMP)

Coinbase Derivatives, LLC (CDE or Exchange) provides the ability for participants to utilize SMP to prevent the matching of orders with common ownership. Participants that fail to use SMP risk executing wash sales, which are prohibited under the Exchange’s Rulebook and constitute a violation of CFTC regulations.

• The following SMP Modes are supported:

  • Cancel Aggressing Order (default);

  • Cancel Resting Order;

  • Cancel Both Orders.

• Default mode can be modified by having an Authorized Individual contact CDE at [email protected].

• Note: For the FIFO matching algorithm, SMP functionality is triggered when qualifying opposite side orders will match at a given price level.

Trader - Order Entry (OE) Session Level SMP

• Clients can also utilize this functionality across one or more of their OE sessions.

• For FIX OE, the SMP identifier must be passed via Tag 7928 (SelfMatchPreventionID) on all order messages in order for the functionality to work.

  • The numeric tag value is provided by CDE during order entry onboarding.

  • Default SMP Mode can be overridden by specifying Tag 8000 (SelfMatchPreventionStrategy) on an order.

• For SBE Order Entry, there is no need to specify the SMP identifier.

  • SMP Mode cannot be overridden via order message. 

Entity-level SMP - Account Based SMP

• CDE offers an Entity-Level SMP setting designed to simplify operations for brokers.

• This setting prevents self-matching within individual SubAccounts (Tag 1) under the same entity, while still allowing matching between different SubAccounts within the entity.

• Configured directly by the Exchange, this functionality removes the need for entities to send SMP identifiers, making it especially beneficial for retail brokers or scenarios where legal entities operate with a single SubAccount.

Futures Outrights

Equity Index

Coinbase Derivatives Exchange futures contracts will have 3 quarterly contracts listed at a given time in accordance with the March (H), June (M), September (U) and December (Z) quarterly cycle. A new expiry will be listed once the front month has expired.

Futures Calendar Spreads

In addition to the outright contracts, Coinbase Derivatives Exchange lists calendar spreads for each product. Calendar spread contracts involve the buying of one expiry and selling of another expiry with a single order. CDE equity future calendar spreads follow the reverse spread convention (i.e buying the calendar spread refers to buying the far month of the calendar spread, selling the calendar spread refers to selling the far month of the calendar spread).

Example: Buy 1 lot of BTIX24-BTIZ24 refers to Buying 1 lot of BTIX24 and Selling 1 lot of BTIZ24.

The following sections give an overview of the list of order types supported by Coinbase. Please refer to API documentation for tag details.

Market Order (with Protection)

A market order is a buy or sell order sent without specifying a limit price with the aim of executing at the best available price in the central limit order book. Each Coinbase product will have a designated protection point. When a market order is entered it will look at the opposing side of the book and assign a protection value to that price at which the market order is converted to a limit order. For buy market orders, protection points are added to the current best offer price. For sell market orders, protection points are subtracted from the current best bid price.

Limit

A limit order is a type of order to buy or sell at a specified price or better. For buy limit orders, the order will be executed only at or below the limit price, while for sell limit orders, the order will be executed at or higher than the limit price.

Stop Orders (with Protection)

A stop order is an order to buy or sell a futures contract when the price of the contract reaches a specified price (Stop Price).

Stop orders with protection prevent orders from being executed at extremely inferior prices after the stop price is triggered. The stop order with protection will be entered as a limit order with a protection price limit set at the stop trigger price plus or minus the protection point range. For buy stops with protection, protection points are added to the trigger price to calculate the protection price limit. For sell stops with protection, protection points are subtracted from the trigger price.

If the market trades at or through the stop trigger price, the order will be matched at the best available price level, executed at a price no worse than the protection price limit. If the order is not completely executed, the remaining quantity is then placed as a limit order in the order book at the protection price limit.

When a stop order is submitted, if the top of book of the same order side is already worse than stop trigger price, the stop order will get rejected.

Stop-Limit Orders

A stop limit order is an order to buy or sell a Futures contract at a specified price (limit price) when the price of the contract reaches a trigger price (stop price).

The limit price is the highest/lowest price at which the stop order can be filled. The order can be filled at all price levels between the trigger price and the limit price. If any quantity remains unfilled, the order will remain on the order book as a limit order at the specified limit price. The maximum differential between the trigger price and the limit price will be equal to the product’s price bands.

One-Cancels-the-Other (OCO)

An OCO order combines aspects of a limit order and a stop market order allowing users to set predefined limit and stop levels simultaneously depending on their view of the market. Initially, it acts like a regular limit order, contributing to market data. When its stop price condition is met, it shifts to behave like a stop limit order. CDE treats the OCO order as a single order, not two linked orders.

OCO Order Types are only supported on FIX Order Entry.

Coinbase Derivatives requires each order entered in the system to have a Time In Force, which is a qualifier that defines how long an order is in effect. CDE supports the following time in force values.

DAY

Orders entered with a qualifier of DAY will remain on the book for the duration of the session that it is placed in. If a DAY order is not fully executed, any remaining quantity is cancelled at the end of the trading session.

Good Till Cancel (GTC)

Orders entered with a qualifier of GTC will work until either the order gets filled, or the contract expires.

Fill or Kill (FOK)

Orders entered with a qualifier of FOK will execute the entire order on entry. If the order is not fully executed, it is cancelled.

Immediate or Cancel (IOC)

Orders entered with a qualifier of IOC will attempt to execute any available quantity (or the minimum specified quantity) upon entry and with any remaining quantity immediately cancelled.

Good Till Date (GTD)

Orders entered with a qualifier of GTD are active until their specified date.

Post Only

Post Only means, upon entry, a Limit Order will be posted only if the Order does not get an immediate execution. If the Order is eligible for immediate execution (partial or full), the Order will be cancelled. Post Only functionality is available on Limit orders with a duration of Day, GTC or GTD.

Coinbase Derivatives Command Center Authority Regarding Trade Cancellations and Price Adjustments

• Coinbase Derivatives Command Center (“DCC”) has authority to adjust trade prices or cancel (bust) trades when such action is necessary to mitigate market disrupting events caused by the improper or erroneous use of the Coinbase Derivatives Trading System or by system defects.

• Notwithstanding any other provisions of this Rule, the DCC may adjust trade prices or bust any trade if the DCC determines that allowing the trade to stand as executed may have a material, adverse effect on the integrity of the market.

• All decisions of the DCC shall be final.

Review of Trades

• The DCC may determine to review a trade based on its independent analysis of market activity or upon request for review by a user of the CDE Trading System. A request for review must be made to the DCC via phone within 10 minutes of the execution of the trade.

• The DCC shall determine whether or not a trade will be subject to review. In the absence of a timely request for review, during volatile market conditions, upon the release of significant news, or in any other circumstance in which the DCC deems it to be appropriate, the DCC may determine, in its sole discretion, that a trade shall not be subject to review.

• Upon deciding to review a trade, the DCC will promptly issue an alert to all Participants via the CDE Trading System or electronic mail indicating that the trade is under review.

Price Adjustments and Cancellations

• In reviewing a trade, the DCC will first determine whether the trade price is within the Non-Reviewable Range for futures or within the Bid/Ask Reasonability Allowance for options, as described in Rule 539(g). The Bid/Ask Reasonability Allowance for an option is the maximum width of the bid/ask range which will be considered reasonable for use in applying the parameters necessary to establish the Non-Reviewable Range for the option.

• In applying the Non-Reviewable Range, the DCC shall determine the fair value market price for that contract at the time the trade under review occurred. The DCC may consider any relevant information, including, but not limited to, the last trade price in the contract or a better bid or offer price on the CDE Trading System, a more recent price for a different maturity date, the price of the same or related contract established in another venue or another market, the market conditions at the time of the trade, and the theoretical value of an option based on the most recent implied volatility.

• Trade Price Inside the Non-Reviewable Range. If the DCC determines that the price of the trade is inside the Non-Reviewable Range, the DCC will issue an alert indicating that the trade shall stand.

• Trade Price Outside the Non-Reviewable Range.

I.   Futures Contracts

If the DCC determines that a trade price is outside the Non-Reviewable Range for a futures contract, the trade price shall be adjusted to a price that equals the fair value market price for that contract at the time the trade under review occurred, plus or minus the Non-Reviewable Range.

If the trade at issue involves multiple parties, prices and/or contracts, the DCC has the authority, but not the obligation, to bust or price adjust such transactions. The DCC will issue an alert regarding its decision.

ii.   Option Contracts

If the DCC determines that a trade price is outside the applicable Non-Reviewable Range for an option contract, the trade price shall be adjusted. In the case of a buy (sell) error, the price will be adjusted to the determined ask (bid) price set forth in the Bid/Ask Reasonability Allowance in Section G plus (minus) the Non-Reviewable Range.

If the trade at issue involves multiple parties, prices and/or contracts the DCC has the authority, but not the obligation, to bust or price adjust such transactions. The DCC will issue an alert regarding its decision.

iii. Busted or Adjusted Trade Busted or adjusted trades shall be cancelled in the exchange’s official record of time and sales, Trades that are price adjusted shall be inserted in the time and sales record at the adjusted trade price.

Alternative Resolution by Agreement of Parties

• With the approval of the DCC, parties to a trade that is price adjusted may instead mutually agree to cancel the trade.

• With the approval of the DCC, parties to a trade that is busted may instead mutually agree to price adjust the trade to a price consistent with the adjustment provisions of Rule 539(c).

• Subject to section (d)(1) and (d)(2), parties to a trade that is cancelled or price adjusted may mutually agree to a cash adjustment provided that such adjustments are reported to the DCC and the parties maintain a record of the adjustment.

• An executed trade may not be reversed via transfer except where such trade is determined by DCC to be outside of the Non-Reviewable Range but not reported timely, subject to agreement of the parties and approval of the DCC. Any such transfer must occur at the original trade price and quantity; however, the parties may mutually agree to a cash adjustment.

Liability for Losses Resulting from Price Adjustments or Cancellation

• A party entering an order that results in a price adjustment or trade bust shall be responsible for demonstrated claims of realized losses incurred by persons whose trade prices were adjusted or busted provided, however, that a claimant shall not be entitled to compensation for losses incurred as a result of the claimant’s failure to take reasonable actions to mitigate the loss.

• A claim for a loss pursuant to this section must be submitted to the Exchange on an Exchange claim form within one business day of the event giving rise to the claim. The Exchange will reject any claim that is not filed in a timely manner and such decisions shall be final. Eligible claims shall be forwarded by the Exchange to the party responsible for the order(s) that resulted in a trade bust or a price adjustment and to the Clearing Firm through which the trade was placed. Such party, or the Clearing Firm on behalf of the party, shall, within ten business days of receipt of the claim, admit or deny responsibility in whole or in part. Failure to respond to the claim within ten business days shall be considered a denial of liability.

• To the extent that liability is admitted, payment shall be made within ten business days. Unless otherwise agreed upon in writing by the parties, failure to make the payment within ten business days shall be considered a denial of liability for purposes of this rule. A copy of any such written agreement must be provided to the Exchange. To the extent that liability is denied, the party making the claim may submit the claim for arbitration pursuant to Chapter 8 of the Rules. Such claims must be submitted to the DCC within ten business days of the date the party was issued notification that liability was denied.

Schedule of Administrative Fees

When DCC busts or price adjusts a trade, the party responsible for entering the order into the CDE Trading System that gave rise to the trade bust or price adjustment shall pay an administrative fee to the Exchange in the amount of $500 for each such occurrence.

Contact the DCC at 312.469.0985 or [email protected]