Yes, Coinbase Derivatives Exchange has pricing bands and fluctuation limits.
Pricing Bands:
Fair value pricing bands reject orders if the futures mid-price deviates more than 5% from fair value (spot mid-price).
Order Rejection Logic:
- Buy orders above the upper band → Rejected
- Sell orders below the lower band → Rejected
Purpose: Prevent mispriced orders from entering the market
Fluctuation limits:
Price fluctuation limits are set at 10% above and below the hourly reference price.
Reference Price Calculation (using lead month daily settlement procedures):
- If a trade occurs in 60 seconds prior to 4:00 PM ET → VWAP of such trades (rounded to nearest tradable tick)
- If no trades → TWAP of futures midpoint of bid/ask from 60 seconds prior to 4:00 PM ET (rounded to nearest tradable tick)
- If no two-sided market → Index value (difference between previous day's Index value and previous day's relevant Futures Contract's Settlement Price)
When Limit is Reached:
- Market enters a halted state for 2 minutes
- During halt: Orders can be submitted, canceled, and amended
- No matching occurs during the halt
Purpose: Provide the market a momentary pause during times of increased volatility