Multi-Contract Futures Spread Grid Hedging

Summary

This execution system monitors matched near and far futures contracts across several assets and tracks the difference between their bid and ask prices. It builds a grid around the initial spread, adding levels as the spread moves beyond the current range. When the spread crosses a level, it opens a paired position by shorting the far contract and going long the near contract; crossing back can trigger the corresponding close. Contract lists, polling interval, grid spacing, hedge size, reset behavior, and simulation mode are configurable.

The document is implementation-focused and offers no backtest or profitability evidence. It is specified for OKEX V5 and includes account monitoring and state recovery, but the paired orders are submitted separately, so execution failures or partial fills could leave exposure unhedged. Contract matching, sizing, fees, funding, expiry differences, and margin risks also matter. The code’s return handling and spread-grid logic would need careful review and testing before live use.

Key ideas

• The system trades the spread between matched near and far futures contracts across multiple assets.
• A grid of spread levels triggers paired long-near and short-far positions, with reverse crossings used to close them.
• Grid spacing can be expressed as a proportion of the initial underlying price, and hedge size is configurable.
• The document gives no performance evidence, and separately submitted legs create partial-fill and residual exposure risk.

Tags

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