Maker Hedging Across Spot and Futures Order Books
Summary
The document outlines a maker-style hedge between spot and futures markets for the same asset. It monitors both order books, places a buy on one venue and a sell on the other when the quoted spread meets a target, then checks fills and adjusts the hedge as positions change. The design aims to earn the spread while paying maker fees, with logic to rebalance an unmatched leg and move later orders as the hedge grows.
The code prototype tracks depth, account balances, futures positions, and outstanding orders. A backtest is reported in which futures lost ETH while spot gained USDT; the author converts the futures loss at the ending spot price and reports a net gain. The article cautions that the sample is incomplete and needs further work before live use. Maker orders may not fill, one leg can fill alone, and the backtest does not establish performance under real execution, fees, or changing market conditions.
Key ideas
- The strategy places maker buy and sell orders across spot and futures markets when their price difference meets a threshold.
- It monitors fills and adjusts the hedge to control exposure when only one leg executes.
- As the hedge position grows, the order distance is adjusted to seek a larger spread.
- The reported backtest combines spot profit with the value of the futures loss, but does not establish live performance.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.