Deribit Spot–Perpetual Spread Threshold Execution

Summary

This trading-terminal plugin checks the spread between a perpetual swap and a dated future, with Deribit as its stated default venue. It calculates the difference between the future’s best bid and the swap’s best ask, then compares that difference with a user-set minimum. It also checks displayed order-book size against the requested quantity and can report the spread without placing orders.

When live trading is enabled and the checks pass, the method buys the swap at a price slightly above its ask and sells the future slightly below its bid. The document provides implementation code and parameter defaults, but no performance evidence. It is a narrow execution example rather than a complete arbitrage framework: it does not describe position management, leg-fill recovery, fees, funding, or broader risk controls. The author notes that support for other exchanges may require changes.

Key ideas

• The method compares a perpetual swap’s best ask with a dated future’s best bid.
• A minimum spread and displayed order-book size gate the trade.
• When enabled, it buys the swap and sells the future as a paired position.
• The example is designed for Deribit and may need adaptation for other venues.
• The document gives no performance results or complete risk-management process.

Tags

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