Crypto Futures Calendar Spread Hedging with Tick-Based Spread Bars

Summary

This tutorial explains a cryptocurrency futures intertemporal hedge that trades the spread between near and deferred contracts. When the deferred contract trades above the near contract, the described position sells the deferred contract and buys the near one; when the spread is negative, it reverses those legs. The strategy monitors spread movement and reversion, with opening, closing, adding positions, and total exposure control handled by a hedge component. The article suggests position controls and Bollinger bands as possible areas for adapting the approach.

A key implementation point is to construct spread bars from synchronized tick prices. Subtracting the separate contracts’ OHLC bars can produce misleading spread highs and lows because each contract’s extremes may occur at different times. The example architecture uses websocket quotes, a bar generator, and a separate hedging class, with code described as written in C++. The text provides design guidance and backtest images, but no readable performance figures or detailed test conditions. Spread behavior can vary or trend in one direction, so the article cautions that hedging does not remove risk and the example requires adaptation before live use.

Key ideas

• The strategy takes opposite positions in near and deferred futures contracts according to the sign of their spread.
• It aims to trade spread fluctuations and reversion rather than an outright market direction.
• Spread OHLC bars should be built from synchronized tick prices, not by subtracting separate contract bars.
• Separating quote processing, bar generation, and hedge execution can make the implementation easier to modify.
• Changing spreads and directional moves can still cause losses, and the article does not provide detailed backtest statistics.

Tags

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