A capital charge spread refers to a transaction in both the spot and the perpetual contract that is simultaneously executed in two opposite directions, in equal quantities, with the goal of earning the capital charge profit in the perpetual contract transaction. Fee arbitrage is a coin-circle-specific arbitrage mechanism derived from a coin-circle-exclusive derivative, a perpetual contract. Traditional contracts have an expiration date, whereas perpetual contracts have no expiration date and can be held forever, so they are called perpetual contracts. Long-term traders must move their holdings to a longer contract before a contract expires, which is either a hassle, an additional handling fee, or two contracts with different terms. The currency circle trades 24 hours a day, and the corresponding futures will be more convenient for traders if they don't have to deliver. But this raises a question of how a perpetual contract can fix the spot price. Traditional contracts have a price that inevitably returns to the spot until the delivery date, and before the delivery, once the futures price deviates from the spot price, a large number of arbitrage deals bring the futures price closer together to maintain price stability. The fact is that most futures, contracts and derivatives are invented to hedge against risk, to offset the volatility of spot prices.
If a permanent contract is not delivered, then there is a need to use other mechanisms to stabilize the current price difference, which is the capital charge.
The fee is a settlement mechanism in a perpetual contract that is used to balance out a lot of empty sentiment. After holding a perpetual contract position, the fee is settled every eight hours. In most cases When the multi-head is strong, the capital fee is > 0, the multi-head pays the capital fee, and the empty head gets the capital fee. When the head is strong, the capital fee is <0, the head pays the capital fee, and the head gets the capital fee. The capital rate is derived from the algorithm given by the exchange based on the current multi-space situation, with all different algorithms for each trade. Below is Ok's method of calculating the capital rate, which other interested friends of the exchange can check out for themselves.
Here's a simple example. Suppose that a perpetual contract for 1 BTC is purchased by Kim at -0.1% at 7:59 a.m., at which time the price of the perpetual contract for 1 BTC is 30,000 U.S. dollars. So at 8:00 PM, you're going to be able to get a capital charge of 1 times 30000 times 0.001 = 30U.
The law above is the basis of the interest rate adjustment. When the market goes up, the counterparty receives a capital charge. So at this time the interest rate trading is done as a buy-in and sell-off. This is the right-to-capital charge interest. When the market is down, many parties receive a capital fee. So at this time, the interest rate trading acts as a selling point, buying permanently, which is the inverse capital fee interest rate.
(i) The interest rate on the capital charge So let's start with a simpler positive capital charge spread, which I did a little while ago. At that time, the market was relatively good, with a one-time annual fee of up to 50% and a minimum of 20%; that is, a stable income of 35 to 90 U every 8 hours.
Let me give you a simple theoretical example.
The spot price is 999 yuan, the permanent price is 1000 yuan, the price difference is 1 yuan, and the capital fee is 0.001. In this case, buy one item and sell one item permanently. At some point in the future, the price of both the spot and the perpetual changes to 1010 yuan, and the price difference is reduced by 1 yuan, at which point the price difference is 0 yuan. So, if you're going to make a permanent loss of 10 yuan, you're going to make a profit of 11 yuan. The total of the three principal fees charged before the settlement, each of which is 0.001 for convenience, is assumed to be 1000 for the three principal fees. So the capital gain is 1000.0.0013 is 3. The final payoff: 1 + 3 = 4
In fact, the long-term interest rate is the same as the term interest rate, and there is a difference in price. The earnings of a fixed-rate capital charge are divided into two parts: the earnings of a fixed-rate capital charge and the earnings of a fixed-rate capital charge. The earnings of a fixed-rate capital charge are the long-term stable earnings and the earnings of a fixed-rate capital charge are the instantaneous earnings due to market fluctuations. When the difference in price can cover the handling fees, we can even out and eat that part of the difference in price. After settlement, continue to open and continue to receive stable capital fee returns
There is also a situation of equity where the down payment rate is expected to be negative and the absolute value is relatively high, i.e. when a high capital fee is required.
The spot price is 999 yuan, the permanent price is 1000 yuan, the price difference is 1 yuan, and the capital fee is 0.001. In this case, buy one item and sell one item permanently. At some point in the future, the forecasted down payment rate will be -0.01, and you will need to pay a 10 yuan high fee, which should be flat. So, if you have a permanent loss of 10 yuan and a profit of 9 yuan, then the difference in price is 10-9 = 1 yuan. The total of three principal fees charged before the strike, each at a rate of 0.001, is calculated for convenience by assuming that the three principal fees are calculated at a perpetual price of 1000 So the capital gain is 1000.0.0013 is 3. The final payoff: 1 + 3 = 4
dianwan99The presence of slippage points makes it difficult to reach the ideal value.
dianwan99There is no guarantee that the presence of slippage will lead to frequent unilateral purchases, so it is necessary to consider whether the unilateral purchase will stop the loss. A stop-loss strategy is needed, which will hedge the profit.
Little white cabbageThere are indeed slippage points, which can be controlled by setting the number of times the price difference can be reached, say 5 times. We can discuss how you control the slider.