对于数字货币合约交易的讨论由来已久，从2014年BitMEX、OKCoin相继推出数字货币合约交易已接近6年时间，合约交易长期维持在BitMEX和OKEx两大交易所双雄并立的局面；去年年底，Huobi在内外交困【[i]】的时期选择匆匆上线外包代工的合约产品，创造新的利润增长点以转移迫在眉睫的运营现金流压力。
Discussions on digital currency contract transactions have long been under way, with the successive roll-out of digital currency contract transactions from BitMEX and OKCoin in 2014 almost six years old, with contract transactions permanently maintained on the two main exchanges of BitMEX and OKEx; late last year, during the period of diplomatic hardship in Huobi [[i], contractual products were chosen to rush online to outsource workers, creating new profit growth points to transfer pressing operating cash flow pressures.
根据福布斯近期发布的长篇报道，该报道转载了Alameda Research于2019年7月初发布的《数字货币交易所真实交易量报告》【[ii]】，报告中提及OKEx、BitMEX、Huobi的真实交易量调查，其数据显示OKEx、Huobi、BitMEX真实交易量为100%，在现货与期货交易量上，OKEx、Huobi、BitMEX交易所分列前三。
According to a long story recently published by Forbes, which reproduces the Report on Real Transactions on Digital Currency Exchanges, published by Alameda Research in early July 2019[ii], the report refers to the real volume surveys of OKEx, BitMEX, Huobi, which show that the true volume of transactions is 100 per cent, with the top three breakdowns of spot and future transactions.
Alameda 是数字货币二级市场中最大的流动性提供商之一，曾帮助Binance在全球各主要交易所完成7500枚BTC出售的大宗交易【[iii]】，Alameda依据手中庞大的交易数据，通过6个不同的维度检测数十家交易所的交易量真实性。
Alameda, one of the largest liquidity providers in the secondary market for digital money, has helped Binance complete 7,500 BTC sales in major global exchanges[iii]. Alameda has tested the trueness of dozens of exchanges in six different dimensions, based on the vast amount of transaction data available.
我们认为Alameda的数据相较于国内行情媒体更加客观，因此作为本篇文章的引援数据之一进行分析；本文章主要通过市面上可以获取的第三方数据以及用户反馈，通过用户规模、合约交易量、K线处理、插针问题等4个维度进行分析，解释三大合约交易所的市场深度以及其所产生的影响并进行横向对比。
We consider Alameda's data to be more objective than those of the domestic media and therefore analysed as one of the leading data in this article, mainly through the availability of third-party data on the market, as well as feedback from users, and through four dimensions of user size, contract turnover, K-line processing, needle-pluging, etc., to explain the depth of the markets of the three contracting exchanges and their impact and to compare them horizontally.
在分析的过程中，我们发现Huobi合约交易存在K线处理、K线修改两个问题，容易在合约交易的市场深度判断上误导用户，特此指出。
In the course of the analysis, we found that the Huobi contract transaction had two problems: K-line processing and K-line modification, which made it easier to mislead users about the depth of the market for the contract transaction, and we would like to note this.
(一). 用户规模：BitMEX=OKEx>Huobi
(i) User size: BitMEX=OKEx> Huobi
在合约交易的用户规模方面，BitMEX、OKEx作为老牌的合约交易服务提供方，经历了2014～2016年数字货币合约交易所的激烈竞争并脱颖而出，在整体交易量以及用户规模方面是不分伯仲的，而这也体现于这两家交易所在过去很长一段时间占据全球超过80%的合约交易量。
In terms of the size of the users of contractual transactions, BitMEX and OKEx, as old-fashioned providers of contractual services, experienced intense competition from the digital currency contract exchange from 2014 to 2016, with no distinction as to the overall volume of transactions and the size of the users, which is also reflected in the fact that the two exchanges have accounted for more than 80 per cent of the global volume of contractual transactions for a long period of time.
在整体交易用户的专业性上，BitMEX主要面对B端机构交易者，提供较好的交易撮合引擎以及API体验，在界面优化上采取简洁措施；OKEx暨面对B端机构交易者也面对C端散户投资者，提供方便快捷的交易服务；由于入局时间较短，Huobi目前主要用户是C端的散户交易者。
In terms of the professionalism of the users of the overall transaction, BitMEX is dealing primarily with B-end institutional traders, providing a better trading mix engine and API experience, and taking a streamlined approach to the optimization of the interface; OKEx and B-side agency traders are also dealing with C-end bulk investors, providing easy and fast trading services; due to the short entry time, Huobi is currently the main user of C-end bulk traders.
作为合约交易的后起之秀，Huobi入局合约交易仅仅不到8个月时间，取得了较好的市场表现，但由于用户的入场需要更多时间，因此其整体的用户、投资机构、量化对冲基金数量，仍远远落后于BitMEX以及OKEx；我们认为这样的发展势态，长期而言，可以通过将火币现货交易的用户转移到合约交易而产生改变。
As a follow-up to the contract transaction, Huobi's entry into the company had achieved better market performance for less than eight months, but the overall number of users, investment agencies, quantitative hedge funds still lags far behind BitMEX and OKEx, and we believe that this development can be changed in the long run by transferring the users of the hot currency spot deal to the contract transaction.
(二). 合约交易量：BitMEX=OKEx>>Huobi
(ii) Contract volume: BitMEX=OKEx> > Huobi
在合约交易的市场交易量方面，由于BitMEX主要服务于非美国、加拿大的海外用户，特别是欧洲国家用户，因此，在监管以及合规方面要远好于国内交易所，交易数据造假带来的成本风险比过高，因此其发生的可能性非常低。
With regard to the volume of market transactions in contractual transactions, it is very unlikely that BitMEX will occur because it will mainly serve non-United States, Canadian and European overseas users, especially in Europe, and thus be much better regulated and compliant than domestic exchanges, and because the cost risks associated with trade data counterfeiting are too high.
OKEx则通过近期上线的合约大数据产品，在市场中展现足够的透明度，包含整体交易量、多空人数对比、合约基差、持仓总量、主动买入/卖出、精英趋向指标、精英持仓比例真实可见，透明度带来的是造假成本非常高，保障了其数据的真实性。
OKEx, for its part, has demonstrated sufficient transparency in the market through the recent online large-scale contract data products, including overall transaction volumes, multi-empt comparisons, contract base spreads, stock holdings, voluntary buy-in/sales, elite trend indicators, and the true proportion of elite stockholdings. Transparency has led to very high costs of forgery, safeguarding the authenticity of its data.
Huobi注册于法律宽松的塞舌尔群岛，且未提供足够的市场数据或是透明度，外部获取的真实信息十分有限；此外，由于Huobi对于合约交易量的计算方式，异于于行业其他交易所而采用双向计算，买入、平仓各计算一次交易量，该计算得出的报告交易量在Alameda所提供的报告中并未体现【[iv]】。
Huobi is registered in the loosely legal Seychelles and does not provide sufficient market data or transparency, and has limited external access to real information; furthermore, since Huobi calculates the volume of contractual transactions in a way that differs from that of other trade exchanges, purchases and silos are used to calculate the volume of transactions for one transaction, which is not reflected in the report provided by Alameda[iv].
因此，我们按照市场常规计算方式调整合约交易量，将Huobi的合约交易量除以二，得到如下结果：OKEx以及BitMEX的合约交易量大约是Huobi的2.2倍。
As a result, we adjusted the volume of contractual transactions according to conventional market calculations, dividing Huobi's contract volume by two, with the following results: the contract volume of OKEx and BitMEX was approximately 2.2 times that of Huobi.
图表1 BitMEX、OKEx、Huobi现货、期货真实交易量
Figure 1 BitMEX, OKEx, Huobi spot, futures real transactions
(三). K线处理：BitMEX=OKEx>>>Huobi
(iii) K-line handling: BitMEX=OKEx> > > Huobi
在合约交易中，爆仓问题和插针问题经常伴随存在，当市场大幅震荡导致的整体流动性枯竭、瞬间单一方向的挂单大幅增加时，将导致反方向的合约大量爆仓，同时这也表示了市场反转的信号，因此通过比较各家交易所的插针问题以及爆仓问题，能够准确反映各合约交易平台的整体市场深度。
In the case of contract transactions, the problems of silos and needle plugs are often associated with the fact that when overall liquidity is depleted as a result of large market shocks, and when single-direction listings increase significantly in an instant, a large number of counter-directional contracts will explode, which also signals a reversal of the market, thus providing an accurate picture of the overall market depth of the various contract trading platforms by comparing the needle plugs of various exchanges and the silos.
基于此，我们研究BitMEX、OKEx、Huobi交易所三家的插针点位以及爆仓机制，我们发现了一个非常有趣的现象，也就是“Huobi合约交易的K线处理”情形；根据Huobi对于爆仓机制的描述【[v]】，可以得知“由于强制平仓接管过程不经撮合系统，因此接管价格将不会在K线上显示，同时接管价格不等于实际强制平仓价格。”
On the basis of this, we looked at the point of injection of the three BitMEX, OKEx, Huobi Exchanges and the Blast Mechanism, and we found a very interesting phenomenon, namely, the “K-line treatment of the Huobi contract deal” situation; according to Huobi's description of the Blast Mechanism [[v], it can be said that “since the takeover price will not be shown on the K-line, since there is no sorting system for the compulsory silo takeover process, and the taking over price does not amount to a physical salvation of the price”.
图表2 Huobi合约的K线价格计算方式
Figure 2 K-line price calculation for the Huobi contract
我们对比BitMEX以及OKEx的合约交易爆仓强平机制，如下图所示，BitMEX以及OKEx在爆仓强平机制上，都是通过将爆仓单委托到二级市场上进行成交，从而得出最终的二级市场K线；Huobi则是将爆仓单通过内部系统进行直接匹配，最终爆仓价格以及爆仓单的成交均价均不显示于K线图上，这也导致了Huobi合约能够大幅度优化其插针体现在K线上的问题。
We compare BitMEX and OKEx's contract deal with the scheme, which, as shown in the figure below, resulted in the final secondary market line K by entrusting the warehouse bill to the secondary market, and Huobi's direct matching through the internal system, which resulted in neither the terminal price nor the average transaction price on the K line, which also led to the Huobi contract being able to significantly optimize the presence of its needles on the K line.
图表3 OKEx、BitMEX以及正常K线价格的计算方式
Figure 3 Calculation of OKEx, BitMEX and normal K-line prices
如上图所示，一名用户在搜狐网发文称【[vi]】，其LTC合约交易在2019年2月13日23点05分被强制平仓，该质疑在Huobi交易所存在“暗箱操作”、“定点爆仓”的情况，我们研究了该篇文章，了解Huobi合约交易存在“K线处理”的情况，体现在爆仓成交均价为39.903元，而在Huobi K线图显示的时点最低价格为40.000。
As shown in the figure above, one user, in a search for Foxnet, stated [vi] that its LTC contract deal was compulsorily levelled at 2305 hours on 13 February 2019, questioning the existence of “black box operations” on the Huobi exchange and “scrambled silos”, and we studied the article on the “K-line processing” of Huobi's contract transaction, as evidenced by the average price of $39.903 on the blowout and the minimum price of 40,000 at the time indicated in the Huobi K map.
图表4 HuobiLTC合约强平成交均价
Figure 4. HuobiLTC contract is a good deal.
Huobi存在明显的K线图处理行为，导致了用户对于其市场深度的误判。我们同样对比BitMEX以及OKEx的交易规则，在用户爆仓后会将爆仓单委托到二级市场进行成交并体现于K线上的做法相比，在爆仓问题上，Huobi合约交易明显地、蓄意地误导用户对于其合约市场“浅”的认知。
Huobi’s apparent K-charting behaviour led to a miscalculation by users of its market depth. We also compare the trading rules of BitMEX and OKEx with the practice of entrusting a warehouse bill to a secondary market and being reflected on the K-line when the user explodes. In the case of a warehouse, Huobi’s contract deal clearly and deliberately misleads users’ perception of the “light” of its contract market.
图表5 Huobi合约K线图存在“优化”行为
Figure 5 Operation "optimal" in the K-line map of the Huobi contract
(四). 插针问题：BitMEX=OKEx>>Huobi
(iv) The needle problem: BitMEX=OKEx> > Huobi
尽管如此，我们通过二级市场K线数据尽可能地进行比较，通过对于剧烈市场震荡的时间段，不同市场、不同主流数字货币的合约交易市场价格进行取样，取样币种包含主流币种BTC以及其他数字货币，考虑到Huobi的K线价格的计算方式对于K线优化的影响正在逐渐提高，因此我们选取较早时间段的数据进行对比，其对比如下：
Nevertheless, we compare as much as possible with the K-line data of the secondary market, and with the sampling of the market price for the contract transactions of different markets, different mainstream digital currencies and the inclusion of the main currency BTC and other digital currencies over a period of time in which the K-line price of Huobi is experiencing a gradual increase in its impact on the K-line optimization, so we compare the data for an earlier period of time, as follows:
在主流币种BTC合约方面，OKEx插针点位为7001.00、Huobi插针点位为6791.71、BitMEX插针点位为6380.00。
In the case of the main currency BTC contracts, the number of OKEx plug points is 7001.00, the number of Huobi plugs is 6791.71 and the number of BitMEX plugs is 630.000.
BitMEX当天插针的原因，是由于合约指数的采集交易所的BTC价格大幅下跌，导致合约交易大量爆仓；但实际上，BitMEX的整体市场深度与OKEx接近，BitMEX有近九成的整体交易量在BTC交易上。因此，BitMEX的BTC交易深度应好于OKEx合约交易。
BitMEX inserted the needle on the same day because the BTC prices on the contract index collection exchange fell sharply, leading to a large explosion in contract transactions; in fact, BitMEX’s overall market depth was close to OKEx, and BitMEX’s total volume was nearly 90% on BTC transactions. Therefore, BitMEX’s BTC trading depth should be better than that of OKEx’s contracts.
图表6 OKEx BTC合约最低点7001.00（2019年5月17日）
Figure 6 OKEx BTC contract lowest point 7001.00 (17 May 2019)
图表7 Huobi BTC合约最低点6791.71（2019年5月17日）
Figure 7 Huobi BTC Contract Minimum Point 6791.71 (17 May 2019)
图表8 BitMEX BTC合约最低点6380.00（2019年5月17日）
Figure 8 BitMEX BTC minimum contract 6380.00 (17 May 2019)
在其他币种方面，，OKEx的整体交易量好于BitMEX，如ETH、EOS等交易对，这也表明OKEx的用户更倾向于投资更高风险的资产。
In other currencies, the overall transaction volume of OKEx is better than that of BitMEX, such as ETH, EOS, etc., which also indicates that the users of OKEx are more inclined to invest in assets at higher risk.
对比于BitMEX以及OKEx，我们无法对Huobi的交易深度进行比较，其原因在于，Huobi火币出了有K线图优化行为，也同样存在修改K线图的行为；根据一篇在自链财经的文章引述【[vii]】：“5月24日，火币ETH现货杠杆插出天地针，根据火币K线显示，ETH现货杠杆价格最低100美金，最高价格瞬间到达1400美金”
Compared to BitMEX and OKEx, we are unable to compare the depth of the trade in Huobi because the Huobi coin has a K-line optimization, and there is also a modification of the K-line map; according to an article in a self-chained finance book[vii]: “On May 24, the tender ETH spot levers inbound the needles, and according to the sign K line, the ETH spot is at a minimum price of $100 and at a maximum price of $1,400 instantaneously.”
Huobi合约在2019年5月24日出现天地针的情况，在当时社区内引起较大范围的讨论，但我们在后续跟进Huobi的现货杠杆以及合约交易K线时并未搜索到该天地针的交易数据，鉴于该指控是通过照片而非截屏的方式进行传播；因此，我们怀疑火币在后续的操作中，通过某种方式将该K线删除了。
The Huobi contract, which occurred on 24 May 2019, gave rise to much discussion within the community at the time, but we did not search the trading data on the Hoobi spot leverage and the contract deal K-line, given that the allegation was spread through photographs rather than screens; we therefore suspect that the tender was removed from the K-line in some way during the follow-up operation.
图表9 火币ETH现货杠杆天地针（2019年5月24日）
Figure 9 Sign currency ETH spot-leveraging needles (24 May 2019)
图表10 火币ETH现货杠杆天地针（2019年5月24日）
Figure 10 Sign currency ETH spot-leveraging needles (24 May 2019)
(五). 结语
(v) Concluding remarks
通过对上文分析，出乎意料的是，火币合约在市场深度的各个维度上，与当前合约交易市场领先者BitMEX、OKEx仍然存在非常大的差距，特别是在那些容易模棱两可的维度上，如K线优化、修改，爆仓机制的设计等，存在非常明显的投机取巧行为。
As a result of the above analysis, it is surprising that there is still a very large gap between the tender contract and the current market leader, BitMEX, and OKEx, at the various dimensions of the market depth, especially those that are easily ambiguous, such as the optimisation of the K-line, modification, and the design of the silo mechanism.
在数字货币市场整体逐渐好转的情况下，后进者入局合约交易，将为数字货币带来更加健康的发展，我们相信合约市场必然会经历大变局，新的竞争者可能会崛起成为重要市场力量，但是鉴于火币的种种近乎用户诈欺的行为，这种趋势可能并非是现在。
With the overall improvement in the digital currency market as a whole, the back-to-back contract deal will lead to a more healthy development of the digital currency. We believe that the contract market will inevitably undergo major changes and that new competitors may emerge as important market forces, but this trend may not be the case now, given the near-user fraud of the tender.
[i]《内外交困，火币大撤退》，http://onchain.caijing.com.cn/20190118/4556382.shtml
[i] “Intra-Diplomatic Distress, the Great Falls”, http://onchain.caijing.com.cn/20190118/4556382.shtml
[ii]《数字货币交易量实时量鉴》，https://ftx.com/volume-monitor
[ii] Digital Currency Volume Real Time Accounting, https://ftx.com/volume-monitor
[iii]《Alameda Research Trading the 7.5K BTC Sell Wall on Binance Today》，https://www.youtube.com/watch?v=KMZckrBPw38
[iv]根据Alameda Research发布的论文，Alameda仅确认各大交易所是否对数据进行造假，不检验其“计算方式”的有效性。因此严格来说，火币交易所的双向计算并不是一种数据造假，而是一种取巧的计算方式。
[iv] According to a paper published by Alameda Research, Alameda merely confirms whether the data are falsified by the major exchanges and does not test the validity of their “calculations”. Thus, strictly speaking, the two-way calculation of the currency exchange is not a data fabrication, but rather a convenient calculation.
[v]《火币合约强制平仓说明》，https://support.huobi.so/hc/zh-cn/articles/360000143042-%E5%BC%BA%E5%88%B6%E5%B9%B3%E4%BB%93%E8%AF%B4%E6%98%8E
[v] [Compulsory Statement of the Coercive Tilt Contract, https://support.huobi.so/hc/zh-cn/articles/3600000143042-%E5%BC%BA%E5%E58%B6%E5%B9%B9%B3%E4%B93%E8%B4%E6%E988E]
[vi]《火币合约交易黑幕重重》，http://www.sohu.com/a/331824682_100136622
[vi] The Black Curtain of Gunn Contract Transactions, http://www.sohu.com/a/331824682_100136622
[vii]《火币合约问题频出，提前爆仓坑了多少用户？》，https://www.zilian8.com/179663.html
[vii] " How many users are pre-empted by problems with the tender contract? ", https://www.zilian8.com/179663.html
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