Building a Crypto Futures Calendar-Spread Hedging Strategy

Summary

This article explains the design of a C++ strategy for hedging the calendar spread between near and deferred cryptocurrency futures contracts. It outlines the basic position logic: when the spread is positive, it sells the deferred contract and buys the nearer one; when negative, it takes the reverse position. It also describes a modular structure with state handling, a bar generator, a hedge execution class, and a main loop that receives exchange quotes over a WebSocket connection.

A key implementation lesson is to calculate spread bars from synchronized tick prices. Subtracting separate contracts’ high and low values from their individual bars can pair prices that occurred at different times, producing misleading spread extremes. The article also discusses opening and closing triggers, adding to positions, aggregate exposure controls, charting, and the possibility of using a volatility indicator to guide entries. It presents code architecture and strategy concepts, but the supplied material does not establish robust profitability or quantify performance. Spread behavior can vary, and the article itself frames live use as requiring adaptation to market conditions.

Key ideas

• A calendar-spread hedge takes opposite positions in near and deferred contracts based on the spread’s sign.
• Spread bars should be built from synchronized tick prices rather than subtracting separately aggregated contract bars.
• The strategy separates bar generation, hedge logic, state tracking, and the main market-data loop.
• Position sizing and entry and exit triggers are key controls for spread risk.
• The article presents an implementation example, not evidence of reliable live profitability.

Tags

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