Building a Crypto Futures Calendar Spread Hedge with Live Data
Summary
The document explains a calendar-spread hedge between near-dated and deferred cryptocurrency futures. A positive spread position buys the nearer contract and sells the deferred one; the reverse position sells the nearer contract and buys the deferred one. The strategy monitors movements in the price difference, with entries, exits, and position additions controlled by spread thresholds and position sizing. It presents the design as a teaching example rather than a fully specified production strategy.
A key implementation lesson is to build spread candles from synchronized live price updates. Subtracting the separate contracts’ candle highs and lows can produce misleading spread values because those extremes may occur at different times. The described architecture uses WebSocket order-book updates, a bar generator for the spread, and a separate hedge component to manage orders and check for unbalanced legs. The article discusses fixed spread-based stop and take-profit levels, but provides no numerical backtest evidence in the excerpt. Execution risk, legging, changing spreads, and exchange-specific details remain important limitations.
Key ideas
- The hedge trades near-dated and deferred futures in opposite directions to target changes in their price spread.
- Spread candles should be calculated from synchronized price observations rather than by subtracting independent candle extremes.
- A bar generator separates spread-data construction from the strategy’s trading logic.
- Order and position checks help detect and handle unbalanced fills across the two legs.
- The document describes a design and implementation approach but provides no numerical evidence of profitability.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.