A Grid-Based Hedge for Futures Calendar Spreads

Summary

This tutorial develops a multi-contract spread monitor and a grid-based hedge for crypto futures. It matches near and far contracts for the same underlying, calculates spread values from executable bid and ask quotes, and creates price levels around an initial spread. When the spread crosses a level, the strategy opens a positive hedge by shorting the farther contract and going long the nearer one; crossing back can trigger a paired close. The design also saves grid and account-equity data so the process can recover after a restart, and displays spread, grid, and position information.

The example was run on an OKEX V5 simulated account for about three days. The author reports spread fluctuations and some funding-rate income, but says only opening trades had been achieved and closing behavior still required testing. The implementation is explicitly a demo, cannot be backtested as presented, and relies on custom helper libraries. The brief simulation does not establish profitability or validate execution, hedge sizing, fees, funding variability, or failure handling under live conditions.

Key ideas

• The strategy monitors matched near and far futures contracts and calculates spreads from bid and ask prices.
• It opens a positive hedge by going long the nearer contract and short the farther contract as spread grid levels are crossed.
• Crossing back across a grid level can trigger closing the paired hedge.
• Persisting grid state supports recovery after a strategy restart.
• A short simulation showed spread movement and some funding income, but closing behavior remained unverified and the example could not be backtested.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.