Overview of cross-sectional interest rates

The term cross-term arbitrage is the practice of establishing an equal number of opposite-direction trading positions on a different monthly contract of the same futures variety, and finally closing the trade by hedging or handing over. The simplest cross-term arbitrage is to buy a short-term futures variety and sell a long-term futures variety. For the digital trading market, the price of different contracts for digital currencies tends to be generally consistent, but in special markets, such as 2020-05-10, there was a large drop of about 10%, so the price is out of sync, when leverage opportunities arise.

Comparison of spot prices

If the selected price is shown in the graph, the price difference between the terms is 5%, but the price difference below the normal market is about 1%, this is the leverage space.

Steps to maturity leverage

As shown in the above graph, the spot price is 5% higher than the futures price, in fact their difference should be back to around 1%. This can be done manually or by running a Python program. I'm using Python code to calculate whether there is a chance of real-time computation, and the formula is: score= ((price A-Price B) /price A) The score is the percentage of the price difference. If the percentage exceeds a certain threshold, the order is automatically opened in both directions.

Automated billing

Screenshot of the follow-up

After the sharp fluctuations, the market has stabilized and started to turn a profit.OKEXI'm not sure. The cost of holding is 781, and the current profit is 40, with a profit of about 5%.

Operating the trading platform

This is the first time I've seen this.OKEXThe platform has a Python API that supports automatic market access and automatic ordering. Continuous sharing of Python real-world projectsPythonOK