A Semi-Automated Interface for Manual Futures–Spot Hedging

Summary

This document describes a multi-instrument tool for manually opening and closing futures–spot hedges. The strategy gathers futures and spot quotes, calculates the price differences for two hedge directions, checks available margin and spot balances, adjusts trade quantities to venue rules, and sends paired orders from a status interface. It also refreshes account and position information periodically and displays combined profit and loss. Users configure futures–spot symbol pairs and a hedge amount; the strategy maps those pairs to the relevant exchange instruments.

A simulated example shows opening and then closing a hedge, with the resulting trade losing money. The author attributes this outcome to a spread too small to cover fees and notes that slippage should also be considered when planning an exit. The approach is semi-automated: the operator chooses when to trade rather than relying on an automated entry signal. It depends on supported exchange interfaces and a helper library, and the document says the strategy cannot be backtested, though it can be tried in simulation. Its example is not evidence of a generally profitable hedge.

Key ideas

• The tool presents multiple futures–spot pairs, quote spreads, balances, positions, and profit and loss in one interface.
• Manual controls can open or close the two legs of a hedge using configured trade quantities.
• Before placing orders, the strategy checks balances, margin, positions, and venue-specific quantity rules.
• The shown simulated trade loses money, highlighting the need to account for fees and slippage when closing.
• The strategy depends on exchange support and cannot be backtested according to the document.

Tags

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